# JPMORGAN CHASE & CO (JPM) FY 2021 MD&A

Verbatim Item 7 Management's Discussion and Analysis from JPMORGAN CHASE & CO's 10-K for fiscal year 2021.

SEC filing source: https://www.sec.gov/Archives/edgar/data/19617/000001961722000272/jpm-20211231.htm
Accession: 0000019617-22-000272
Filing date: 2022-02-22
Report date: 2021-12-31
Extracted from a later financial-section MD&A body after the formal Item 7 span was a short reference.
Confidence: high

Company profile: /company/JPM/
All MD&A years: /company/JPM/mda/
Next year: /company/JPM/mda/fy2022/ (FY 2022)

Management’s discussion and analysis

The following is Management’s discussion and analysis of the financial condition and results of operations (“MD&A”) of JPMorgan Chase for the year ended December 31, 2021. The MD&A is included in both JPMorgan Chase’s Annual Report for the year ended December 31, 2021 (“Annual Report”) and its Annual Report on Form 10-K for the year ended December 31, 2021 (“2021 Form 10-K”) filed with the Securities and Exchange Commission (“SEC”). Refer to the Glossary of terms and acronyms on pages 305-311 for definitions of terms and acronyms used throughout the Annual Report and the 2021 Form 10-K.

This Form 10-K contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. These forward-looking statements are based on the current beliefs and expectations of JPMorgan Chase’s management, speak only as of the date of this Form 10-K and are subject to significant risks and uncertainties. Refer to Forward-looking Statements on page 155 and Part 1, Item 1A: Risk factors in the 2021 Form 10-K on pages 9-33 for a discussion of certain of those risks and uncertainties and the factors that could cause JPMorgan Chase’s actual results to differ materially because of those risks and uncertainties. There is no assurance that actual results will be in line with any outlook information set forth herein, and the Firm does not undertake to update any forward-looking statements.

INTRODUCTION

JPMorgan Chase & Co. (NYSE: JPM), a financial holding company incorporated under Delaware law in 1968, is a leading financial services firm based in the United States of America (“U.S.”), with operations worldwide. JPMorgan Chase had $3.7 trillion in assets and $294.1 billion in stockholders’ equity as of December 31, 2021. The Firm is a leader in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing and asset management. Under the J.P. Morgan and Chase brands, the Firm serves millions of customers, predominantly in the U.S., and many of the world’s most prominent corporate, institutional and government clients globally.

JPMorgan Chase’s principal bank subsidiary is JPMorgan Chase Bank, National Association (“JPMorgan Chase Bank, N.A.”), a national banking association with U.S. branches in 48 states and Washington, D.C. as of December 31, 2021. JPMorgan Chase’s principal nonbank subsidiary is J.P. Morgan Securities LLC (“J.P. Morgan Securities”), a U.S. broker-dealer. The bank and non-bank subsidiaries of JPMorgan Chase operate nationally as well as through overseas branches and subsidiaries, representative offices and subsidiary foreign banks. The Firm’s principal operating subsidiary outside the U.S. is J.P. Morgan Securities plc, a U.K.-based subsidiary of JPMorgan Chase Bank, N.A.

For management reporting purposes, the Firm’s activities are organized into four major reportable business segments, as well as a Corporate segment. The Firm’s consumer business is the Consumer & Community Banking (“CCB”) segment. The Firm’s wholesale business segments are the Corporate & Investment Bank (“CIB”), Commercial Banking (“CB”), and Asset & Wealth Management (“AWM”). Refer to Business Segment Results on pages 61-80, and Note 32 for a description of the Firm’s business segments, and the products and services they provide to their respective client bases.

The Firm’s website is www.jpmorganchase.com. JPMorgan Chase makes available on its website, free of charge, annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K pursuant to Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as soon as reasonably practicable after it electronically files or furnishes such material to the U.S. Securities and Exchange Commission (the “SEC”) at www.sec.gov. JPMorgan Chase makes new and important information about the Firm available on its website at https://www.jpmorganchase.com, including on the Investor Relations section of its website at https://www.jpmorganchase.com/ir. Information on the Firm's website is not incorporated by reference into this 2021 Form 10-K or the Firm’s other filings with the SEC.

[[GREPCENT_TABLE]]
[["46","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

EXECUTIVE OVERVIEW

This executive overview of the MD&A highlights selected information and does not contain all of the information that is important to readers of this 2021 Form 10-K. For a complete description of the trends and uncertainties, as well as the risks and critical accounting estimates, affecting the Firm, this 2021 Form 10-K should be read in its entirety.

[[GREPCENT_TABLE]]
[["Financial performance of JPMorgan Chase"],["Year ended December 31, (in millions, except per share data and ratios)"],["2021","2020","","Change"],["Selected income statement data"],["Total net revenue(a)","$","121,649","","$","119,951","","","1","%"],["Total noninterest expense","71,343","","66,656","","","7"],["Pre-provision profit","50,306","","53,295","","","(6)"],["Provision for credit losses","(9,256)","","17,480","","","NM"],["Net income","48,334","","29,131","","","66"],["Diluted earnings per share","15.36","","8.88","","","73"],["Selected ratios and metrics"],["Return on common equity","19","%","12","%"],["Return on tangible common equity","23","","14"],["Book value per share","$","88.07","","$","81.75","","","8"],["Tangible book value per share","71.53","","66.11","","","8"],["Capital ratios(b)"],["CET1 capital","13.1","%","13.1","%"],["Tier 1 capital","15.0","","15.0"],["Total capital","16.8","","17.3"]]
[[/GREPCENT_TABLE]]

(a)    Prior-period amount has been revised to conform with the current presentation. Refer to Note 25 for further information.

(b)    The capital metrics reflect the relief provided by the Federal Reserve Board in response to the COVID-19 pandemic, including the CECL capital transition provisions that became effective in the first quarter of 2020 and expired on December 31, 2021. Refer to Capital Risk Management on pages 86-96 for additional information.

Comparisons noted in the sections below are for the full year of 2021 versus the full year of 2020, unless otherwise specified.

Firmwide overview

JPMorgan Chase reported net income of $48.3 billion for 2021, or $15.36 per share, on net revenue of $121.6 billion. The Firm reported ROE of 19% and ROTCE of 23%. The Firm's results for 2021 included a reduction in the allowance for credit losses of $12.1 billion.

•The Firm had net income of $48.3 billion, up 66%, driven by a net benefit in the provision for credit losses, compared to an expense recorded in the prior year.

•Total net revenue was up 1%.

–Noninterest revenue was $69.3 billion, up 6%, driven by higher Investment Banking fees and asset management fees, partially offset by lower CIB Markets revenue.

–Net interest income was $52.3 billion, down 4%, driven by the impact of lower market rates and changes in the balance sheet mix, partially offset by balance sheet growth.

•Noninterest expense was $71.3 billion, up 7%, predominantly driven by higher compensation expense and continued investments in the business, including technology.

•The provision for credit losses was a net benefit of $9.3 billion, driven by;

–a $12.1 billion reduction in the allowance for credit losses primarily reflecting improvements in the Firm’s macroeconomic outlook, and

–$2.9 billion of net charge-offs predominantly driven by Card

The prior year provision was an expense of $17.5 billion, reflecting a net addition to the allowance for credit losses of $12.2 billion, and $5.3 billion of net charge-offs.

•The total allowance for credit losses was $18.7 billion at December 31, 2021. The Firm had an allowance for loan losses to retained loans coverage ratio of 1.62%, compared with 2.95% in the prior year; the decrease from the prior year was driven by reductions in the allowance for credit losses.

•The Firm’s nonperforming assets totaled $8.3 billion at December 31, 2021, a decrease of $2.6 billion from the prior year, driven by lower nonaccrual loans, reflecting the impact of net portfolio activity and client-specific upgrades in wholesale, as well as improved credit performance in consumer; and lower loans at fair value in the CIB consumer portfolio, largely due to sales.

•Firmwide average loans of $1.0 trillion were up 3%, driven by higher loans in AWM and CIB, partially offset by lower loans in CCB and CB.

•Firmwide average deposits of $2.3 trillion were up 23%, reflecting significant inflows across the LOBs, primarily driven by the effect of certain government actions in response to the COVID-19 pandemic, as well as growth from existing and new accounts in CCB.

Selected capital-related metrics

•The Firm’s CET1 capital was $214 billion, and the Standardized and Advanced CET1 ratios were 13.1% and 13.8%, respectively.

•The Firm’s SLR was 5.4%.

•The Firm grew TBVPS, ending 2021 at $71.53, up 8% versus the prior year.

Pre-provision profit, ROTCE, TCE and TBVPS are non-GAAP financial measures. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 58-60, and Capital Risk Management on pages 86-96 for a discussion of each of these measures.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","47"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Business segment highlights

Selected business metrics for each of the Firm’s four LOBs are presented below for the full year of 2021.

[[GREPCENT_TABLE]]
[["CCB ROE 41%","","\u2022Average deposits up 24%; client investment assets up 22% \u2022Average loans down 3%; Card net charge-off rate of 1.94% \u2022Debit and credit card sales volume(a) up 26%\u2022Active mobile customers up 11%"],["CIBROE 25%","","\u2022$13.4 billion of Global Investment Banking fees, up 41%\u2022#1 ranking for Global Investment Banking fees with 9.5% wallet share for the year\u2022Total Markets revenue of $27.4 billion, down 7%, with Fixed Income Markets down 19% and Equity Markets up 22%"],["CB ROE 21%","","\u2022Gross Investment Banking revenue of $5.1 billion, up 52%\u2022Average deposits up 27%; average loans down 6%"],["AWM ROE 33%","","\u2022Assets under management (AUM) of $3.1 trillion, up 15%\u2022Average deposits up 42%; average loans up 19%"]]
[[/GREPCENT_TABLE]]

(a) Excludes Commercial Card

Refer to the Business Segment Results on pages 61-62 for a detailed discussion of results by business segment.

Credit provided and capital raised

JPMorgan Chase continues to support consumers, businesses and communities around the globe. The Firm provided new and renewed credit and raised capital for wholesale and consumer clients during 2021, consisting of:

[[GREPCENT_TABLE]]
[["$3.2 trillion","","Total credit provided and capital raised (including loans and commitments)(a)"],["","$331 billion","","Credit for consumers"],["","$22 billion","","Credit for U.S. small businesses"],["","$1.3 trillion","","Credit for corporations"],["","$1.5 trillion","","Capital raised for corporate clients and non-U.S. government entities"],["","$63 billion","","Credit and capital raised for nonprofit and U.S. government entities(b)"],["$11 billion","","Loans under the Small Business Administration\u2019s Paycheck Protection Program"]]
[[/GREPCENT_TABLE]]

(a)Excludes loans under the SBA’s PPP.

(b)Includes states, municipalities, hospitals and universities.

[[GREPCENT_TABLE]]
[["48","","JPMorgan Chase & Co./2021 Form 10-K"]]
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Recent events

•On January 25, 2022, JPMorgan Chase announced that it entered into an agreement with Viva Wallet Holdings Software Development S.A. to acquire an ownership stake of approximately 49% in the cloud-based payments financial technology company, subject to regulatory approvals.

•On January 24, 2022, JPMorgan Chase announced that it has merged three of its EU credit institution subsidiaries into a single subsidiary, J.P. Morgan SE, which is headquartered in Germany and has a branch network across the European Economic Area, as well as a branch in London.

•On January 1, 2022, Daniel Pinto became the sole President and Chief Operating Officer of JPMorgan Chase after the retirement of Gordon Smith at the end of 2021. Mr. Pinto continues to serve as the CEO of CIB, and the CEOs of the other LOBs report jointly to Mr. Pinto and Jamie Dimon, Chairman and CEO of the Firm.

2022 outlook

These current expectations are forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Such forward-looking statements are based on the current beliefs and expectations of JPMorgan Chase’s management and are subject to significant risks and uncertainties. Refer to Forward-Looking Statements on page 155, and the Risk Factors section on pages 9-33 of the Firm’s 2021 Form 10-K, for a further discussion of certain of those risks and uncertainties and the other factors that could cause JPMorgan Chase’s actual results to differ materially because of those risks and uncertainties. There is no assurance that actual results in 2022 will be in line with the outlook information set forth below, and the Firm does not undertake to update any forward-looking statements.

JPMorgan Chase’s current outlook for 2022 should be viewed against the backdrop of the global and U.S. economies, the COVID-19 pandemic, financial markets activity, the geopolitical environment, the competitive environment, client and customer activity levels, and regulatory and legislative developments in the U.S. and other countries where the Firm does business. Each of these factors will affect the performance of the Firm and its LOBs. The Firm will continue to make appropriate adjustments to its businesses and operations in response to ongoing developments in the business, economic, regulatory and legal environments in which it operates. The outlook information contained in this Form 10-K supersedes all outlook information provided by the Firm in its periodic reports furnished to or filed with the SEC prior to the date of this Form 10-K.

Full-year 2022

•Management expects net interest income on a managed basis, excluding CIB Markets, to be in excess of $53 billion, market dependent.

•Management expects adjusted expense to be approximately $77 billion, which includes increased investments in technology, distribution and marketing, and higher structural expense.

Net interest income on a managed basis, excluding CIB Markets, and adjusted expense are non-GAAP financial measures. Refer to Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 58-60.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","49"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Business Developments

COVID-19 Pandemic

As the COVID-19 pandemic has continued to evolve, the Firm has remained focused on serving its clients, customers and communities, as well as the well-being of its employees. The Firm continues to actively monitor and adapt to health and safety developments at local and regional levels as more of its global workforce returns to the office.

For information on the impact of U.S. government actions and programs in response to the COVID-19 pandemic, refer to:

•Credit Portfolio on page 109 for information on PPP,

•Consumer Credit Portfolio on page 112 and Wholesale Credit Portfolio on page 118 for information on retained loans under payment deferral, and

•Note 12 on page 231 for information on the Firm’s loan modification activities.

Interbank Offered Rate (“IBOR”) transition

JPMorgan Chase and other market participants continue to make progress with respect to the transition from the use of the London Interbank Offered Rate (“LIBOR”) and other IBORs to comply with the International Organization of Securities Commission’s standards for transaction-based benchmark rates. As of January 1, 2022, ICE Benchmark Administration ceased the publication of all tenors of LIBOR for U.K. sterling, Japanese yen, Swiss franc and Euro LIBOR (collectively, “non-U.S. dollar LIBOR”) and the one-week and two-month tenors of U.S. dollar LIBOR. The cessation of the publication of the principal tenors of U.S. dollar LIBOR (i.e., overnight, one-month, three-month, six-month and 12-month LIBOR) is scheduled for June 30, 2023.

In joint statements issued by the Federal Reserve, the OCC and the FDIC, the banking regulators encouraged U.S. banks to cease entering into new contracts that use U.S. dollar LIBOR as a reference rate by December 31, 2021. The Firm has ceased executing contracts that reference U.S. dollar LIBOR, with certain permissible limited exceptions, and now offers various floating rate products, and provides and arranges various types of floating rate debt financings, across its businesses that reference replacement rates, including the Secured Overnight Financing Rate (“SOFR”). The Firm continues to engage with clients in relation to the transition from the principal tenors of U.S. dollar LIBOR and to support clients as they move to replacement rates.

On November 16, 2021 the Financial Conduct Authority (“FCA”) confirmed that it will allow, for a period of at least one year, the use of “synthetic” U.K. sterling and Japanese yen LIBOR rates in all legacy LIBOR contracts, other than cleared derivatives, that had not been transitioned to replacement rates by January 1, 2022. The use of these synthetic LIBORs, will allow market participants additional time to complete their transition to replacement rates or otherwise to reduce their exposure to contracts that do not have robust fallback mechanisms and that are difficult to amend.

During the fourth quarter of 2021, the principal central counterparties (“CCPs”) converted cleared derivatives contracts linked to non-U.S. dollar LIBOR to replacement rates before the cessation of the publication of those LIBORs on December 31, 2021.

The Firm has made significant progress towards reducing its exposure to IBOR-referencing contracts, including in derivatives, bilateral and syndicated loans, securities, and debt and preferred stock issuances, and is on-track to meet its internal milestones for contract remediation as well as the industry milestones and recommendations published by National Working Groups, including the Alternative Reference Rates Committee in the U.S.

In connection with the transition from LIBOR, as of December 31, 2021 the Firm had remediated substantially all of the notional amount of its bilateral derivatives contracts linked to U.S. dollar LIBOR and non-U.S. dollar

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[["50","","JPMorgan Chase & Co./2021 Form 10-K"]]
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LIBOR, and substantially all of its non-U.S. dollar LIBOR-linked loans. The Firm continues its client outreach with respect to U.S. dollar LIBOR-linked loans.

The Firm is also on schedule to implement further necessary changes to risk management systems in order to transition from LIBOR, including modifications to its operational systems and models. In 2021, the Firm changed the rate basis of its transfer pricing methodology for U.S. dollar-denominated contracts to SOFR and implemented internal controls to restrict the use of LIBOR in new transactions.

Legislation intended to reduce the likelihood of disputes arising from the cessation of LIBOR has been adopted or proposed in certain jurisdictions. The Firm continues to review the extent to which these legislative actions or proposals, if enacted, may reduce the risk of litigation and disputes arising from the transition from LIBOR.

The Firm continues to monitor and evaluate client, industry, market, regulatory and legislative developments, including the transition relief issued by the Internal Revenue Service and U.S. Treasury Department in January 2022 with respect to the tax implications of reference rate reform.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","51"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

CONSOLIDATED RESULTS OF OPERATIONS

This section provides a comparative discussion of JPMorgan Chase’s Consolidated Results of Operations on a reported basis for the two-year period ended December 31, 2021, unless otherwise specified. Refer to Consolidated Results of Operations on pages 54-56 of the Firm’s Annual Report on Form 10-K for the year ended December 31, 2020 (the “2020 Form 10-K”) for a discussion of the 2020 versus 2019 results. Factors that relate primarily to a single business segment are discussed in more detail within that business segment’s results. Refer to pages 150-153 for a discussion of the Critical Accounting Estimates Used by the Firm that affect the Consolidated Results of Operations.

[[GREPCENT_TABLE]]
[["Revenue"],["Year ended December 31, (in millions)"],["2021","2020","2019"],["Investment banking fees","$","13,216","","$","9,486","","$","7,501"],["Principal transactions","16,304","","18,021","","14,018"],["Lending- and deposit-related fees","7,032","","6,511","","6,626"],["Asset management, administration and commissions","21,029","","18,177","","16,908"],["Investment securities gains/(losses)","(345)","","802","","258"],["Mortgage fees and related income","2,170","","3,091","","2,036"],["Card income","5,102","","4,435","","5,076"],["Other income(a)(b)","4,830","","4,865","","6,052"],["Noninterest revenue","69,338","","65,388","","58,475"],["Net interest income","52,311","","54,563","","57,245"],["Total net revenue","$","121,649","","$","119,951","","$","115,720"]]
[[/GREPCENT_TABLE]]

(a)Included operating lease income of $4.9 billion, for the year ended December 31, 2021, and $5.5 billion for each of the years ended December 31, 2020 and 2019.

(b)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 25 for further information.

2021 compared with 2020

Investment banking fees increased across products in CIB, reflecting:

•higher advisory fees driven by increased M&A activity and wallet share gains

•higher equity underwriting fees due to a strong IPO market and wallet share gains, and

•higher debt underwriting fees predominantly driven by an active leveraged loan market primarily related to acquisition financing.

Refer to CIB segment results on pages 67-72 and Note 6 for additional information.

Principal transactions revenue decreased, reflecting:

•lower revenue in CIB Fixed Income Markets, primarily in Rates, Currencies & Emerging Markets, Credit and Commodities, compared to a strong prior year, and an increase in Securitized Products, and

•lower net valuation gains on several legacy equity investments in Corporate,

partially offset by

•higher revenue in CIB Equity Markets driven by strong performance across derivatives, prime brokerage, and Cash Equities

•favorable results in CIB’s Credit Adjustments & Other, with a net gain of $250 million predominantly driven by valuation adjustments related to derivatives, compared with a $29 million net loss in the prior year, and

•the absence of losses recorded in the prior year in Treasury and CIO related to cash deployment transactions, which were more than offset by the related net interest income earned on these transactions, also in the prior year.

Refer to CIB and Corporate segment results on pages 67-72 and pages 79-80, respectively, and Note 6 for additional information.

Lending- and deposit-related fees increased as a result of:

•higher cash management fees in CIB and CB, and higher lending-related fees, particularly loan commitment fees in CIB,

predominantly offset by

•lower overdraft fee revenue in CCB.

Refer to CCB, CIB and CB segment results on pages 63-66, pages 67-72 and pages 73-75, respectively, and Note 6 for additional information.

Asset management, administration and commissions revenue increased driven by:

•higher asset management fees in AWM and CCB as a result of higher average market levels and net inflows, and

•higher custody fees in CIB Securities Services, primarily associated with higher assets under custody.

Refer to CCB, CIB and AWM segment results on pages 63-66, pages 67-72 and pages 76-78, respectively, and Note 6 for additional information.

Investment securities gains/(losses) reflected net losses related to repositioning the investment securities portfolio, compared with net gains in the prior year from sales of U.S. GSE and government agency MBS. Refer to Corporate segment results on pages 79-80 and Note 10 for additional information.

Mortgage fees and related income decreased due to:

•lower net mortgage servicing revenue, reflecting a net loss in MSR risk management results primarily driven by updates to model inputs related to prepayment expectations, and

•lower mortgage production revenue on lower production margins.

Refer to CCB segment results on pages 63-66, Note 6 and 15 for further information.

Card income increased due to:

•higher net interchange income in CCB driven by an increase in debit and credit card sales volume above pre-pandemic levels, partially offset by the impact of a renegotiation of a co-brand partner contract, as well as an increase to the rewards liability, and

[[GREPCENT_TABLE]]
[["52","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

•higher payments revenue related to commercial card and merchant processing in CB and CIB on higher volume,

partially offset by

•higher amortization related to new account origination costs in CCB.

Refer to CCB, CIB and CB segment results on pages 63-66, pages 67-72 and pages 73-75, respectively, and Note 6 for further information.

Other income decreased reflecting:

•lower auto operating lease income in CCB as a result of a decline in volume, and

•increased amortization on a higher level of alternative energy investments in the tax-oriented investment portfolio in CIB. The increased amortization was more than offset by lower income tax expense from the associated tax credits,

predominantly offset by

•net gains on several investments, primarily in CIB and AWM, and

•the absence of losses recorded in the prior year related to the early termination of certain of the Firm's long-term debt in Treasury and CIO.

Net interest income decreased driven by the impact of lower market rates and changes in the balance sheet mix, partially offset by balance sheet growth.

The Firm’s average interest-earning assets were $3.2 trillion, up $436 billion, predominantly driven by higher deposits with banks and investment securities, and the yield was 1.81%, down 53 basis points (“bps”). The net yield on these assets, on an FTE basis, was 1.64%, a decrease of 34 bps. The net yield excluding CIB Markets was 1.91%, down 39 bps.

Net yield excluding CIB Markets is a non-GAAP financial measure. Refer to the Consolidated average balance sheets, interest and rates schedule on pages 300-304 for further details; and the Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 58-60 for a further discussion of Net interest yield excluding CIB Markets.

[[GREPCENT_TABLE]]
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[[/GREPCENT_TABLE]]

Effective January 1, 2020, the Firm adopted the CECL accounting guidance. Refer to Note 1 for further information.

2021 compared with 2020

The provision for credit losses was a net benefit driven by net reductions in the allowance for credit losses.

The net benefit in consumer was driven by:

•a $9.5 billion reduction in the allowance for credit losses, reflecting improvements in the Firm's macroeconomic outlook, including $7.6 billion in Card, and $1.2 billion in Home Lending, which also reflects continued improvements in Home Price Index ("HPI") expectations, and

•lower net charge-offs predominantly in Card, as consumer cash balances remained elevated;

•the prior year included a $7.4 billion net addition to the allowance for credit losses.

The net benefit in wholesale was due to a net reduction of $2.6 billion in the allowance for credit losses across the LOBs, reflecting improvements in the Firm's macroeconomic outlook. The prior year included a $4.7 billion net addition to the allowance for credit losses.

Refer to the segment discussions of CCB on pages 63-66, CIB on pages 67-72, CB on pages 73-75, AWM on pages 76-78, the Allowance for Credit Losses on pages 129-131, and Notes 1, 10 and 13 for further discussion of the credit portfolio and the allowance for credit losses.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","53"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

[[GREPCENT_TABLE]]
[["Noninterest expense"],["Year ended December 31,"],["(in millions)","2021","2020","2019"],["Compensation expense","$","38,567","","$","34,988","","$","34,155"],["Noncompensation expense:"],["Occupancy","4,516","","4,449","","4,322"],["Technology, communications and equipment(a)","9,941","","10,338","","9,821"],["Professional and outside services","9,814","","8,464","","8,533"],["Marketing","3,036","","2,476","","3,351"],["Other(b)","5,469","","5,941","","5,087"],["Total noncompensation expense","32,776","","31,668","","31,114"],["Total noninterest expense","$","71,343","","$","66,656","","$","65,269"]]
[[/GREPCENT_TABLE]]

(a)Includes depreciation expense associated with auto operating lease assets.

(b)Included Firmwide legal expense of $426 million, $1.1 billion and $239 million for the years ended December 31, 2021, 2020 and 2019, respectively.

2021 compared with 2020

Compensation expense increased across the LOBs and Corporate, primarily from higher volume- and revenue-related expense, as well as the impact of investments in the businesses.

Noncompensation expense increased as a result of:

•higher volume-related expense, including outside services, predominantly brokerage expense in CIB and distribution fees in AWM

•higher marketing expense predominantly driven by higher investments in marketing campaigns and growth in travel-related benefits in CCB

•higher other investments, including technology expense across the LOBs

•higher contribution expense, which included a $550 million donation of equity investments to the Firm's Foundation in the first quarter of 2021, and

•higher other structural expense, including regulatory-related expense,

partially offset by

•lower depreciation expense in CCB due to lower auto lease assets and the impact of higher vehicle collateral values

•lower legal expense, driven by CIB and AWM, and

•the absence of an impairment recorded in the prior year on a legacy investment in Corporate.

[[GREPCENT_TABLE]]
[["Income tax expense"],["Year ended December 31, (in millions, except rate)"],["2021","","2020","","2019"],["Income before income tax expense","$","59,562","","","$","35,815","","","$","44,866"],["Income tax expense(a)","11,228","","","6,684","","","8,435"],["Effective tax rate(a)","18.9","%","","18.7","%","","18.8","%"]]
[[/GREPCENT_TABLE]]

(a)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 25 for further information.

2021 compared with 2020

The effective tax rate was relatively flat as the settlement of tax audits was largely offset by changes in the level and mix of income and expenses subject to U.S. federal, and state and local taxes. Refer to Note 25 for further information.

[[GREPCENT_TABLE]]
[["54","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

CONSOLIDATED BALANCE SHEETS AND CASH FLOWS ANALYSIS

Consolidated balance sheets analysis

The following is a discussion of the significant changes between December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["Selected Consolidated balance sheets data"],["December 31, (in millions)","2021","","2020","Change"],["Assets"],["Cash and due from banks","$","26,438","","","$","24,874","","6","%"],["Deposits with banks","714,396","","","502,735","","42"],["Federal funds sold and securities purchased under resale agreements","261,698","","","296,284","","(12)"],["Securities borrowed","206,071","","","160,635","","28"],["Trading assets","433,575","","","503,126","","(14)"],["Available-for-sale securities","308,525","","","388,178","","(21)"],["Held-to-maturity securities, net of allowance for credit losses","363,707","","","201,821","","80"],["Investment securities, net of allowance for credit losses","672,232","","","589,999","","14"],["Loans","1,077,714","","","1,012,853","","6"],["Allowance for loan losses","(16,386)","","","(28,328)","","(42)"],["Loans, net of allowance for loan losses","1,061,328","","","984,525","","8"],["Accrued interest and accounts receivable","102,570","","","90,503","","13"],["Premises and equipment","27,070","","","27,109","","\u2014"],["Goodwill, MSRs and other intangible assets","56,691","","","53,428","","6"],["Other assets(a)","181,498","","","151,539","","20"],["Total assets","$","3,743,567","","","$","3,384,757","","11","%"]]
[[/GREPCENT_TABLE]]

(a) Prior-period amount has been revised to conform with the current presentation. Refer to Note 25 for further information.

Cash and due from banks and deposits with banks increased primarily as a result of the continued growth in deposits and limited deployment opportunities in Treasury and CIO. Deposits with banks reflect the Firm’s placements of its excess cash with various central banks, including the Federal Reserve Banks.

Federal funds sold and securities purchased under resale agreements decreased driven by:

•lower deployment of funds in Treasury and CIO, and lower client-driven market-making activities in CIB Markets,

partially offset by

•higher collateral requirements in CIB Markets.

Securities borrowed increased reflecting higher client-driven activities and an increase in the demand for securities to cover short positions in CIB Markets.

Refer to Note 11 for additional information on securities purchased under resale agreements and securities borrowed.

Trading assets decreased reflecting;

•a lower level of securities, primarily debt instruments related to client-driven market-making activities in CIB Fixed Income Markets

•lower derivative receivables, primarily as a result of market movements, as well as maturities of certain trades in CIB, and

•lower deployment of funds in Treasury and CIO.

Refer to Notes 2 and 5 for additional information.

Investment securities increased due to the net impact of purchases and paydowns in the available-for-sale (“AFS”) and held-to-maturity (“HTM”) portfolios, largely offset by sales in the AFS portfolio. In the second quarter of 2021, $104.5 billion of AFS were transferred to the HTM portfolio for capital management purposes. Refer to Corporate segment results on pages 79-80, Investment Portfolio Risk Management on page 132 and Notes 2 and 10 for additional information on investment securities.

Loans increased, reflecting:

•higher secured lending in CIB Markets; continued strength in securities-based lending, custom lending and mortgages in AWM; and growth in Card,

partially offset by

•a decline in CBB and CB due to the net impact of PPP loan forgiveness and loan originations, and

•lower retained residential real estate loans in Home Lending primarily due to net paydowns.

The allowance for loan losses decreased primarily as a result of improvements in the macroeconomic environment. The decline in the allowance consisted of:

•a $9.4 billion reduction in consumer, reflecting improvements in the Firm's macroeconomic outlook, predominantly in the credit card and residential real estate portfolios. The residential real estate portfolio also reflects continued improvements in HPI expectations, and

•a $2.5 billion net reduction in wholesale, across the LOBs, reflecting improvements in the Firm's macroeconomic outlook.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","55"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

There was a $148 million net reduction in the allowance for lending-related commitments, driven by both wholesale and consumer. This allowance is included in other liabilities on the consolidated balance sheets. The total net reduction in the allowance for credit losses was $12.1 billion, as of December 31, 2021.

Refer to Credit and Investment Risk Management on pages 106-132, and Notes 1, 2, 3, 12 and 13 for further discussion of loans and the allowance for loan losses.

Accrued interest and accounts receivable increased due to higher client receivables related to client-driven activities primarily in CIB prime brokerage.

Refer to Note 16 and 18 for additional information on Premises and equipment.

Goodwill, MSRs and other intangibles increased reflecting:

•higher MSRs as a result of net additions, partially offset by the realization of expected cash flows; and

•an increase in Goodwill as a result of the acquisitions of Nutmeg, OpenInvest, Frank, The Infatuation and Campbell Global.

Refer to Note 15 for additional information.

Other assets increased due to the higher cash collateral placed with central counterparties ("CCPs") in CIB, and higher tax receivables.

[[GREPCENT_TABLE]]
[["Selected Consolidated balance sheets data"],["December 31, (in millions)","2021","","2020","Change"],["Liabilities"],["Deposits","$","2,462,303","","","$","2,144,257","","15"],["Federal funds purchased and securities loaned or sold under repurchase agreements","194,340","","","215,209","","(10)"],["Short-term borrowings","53,594","","","45,208","","19"],["Trading liabilities","164,693","","","170,181","","(3)"],["Accounts payable and other liabilities(a)","262,755","","","231,285","","14"],["Beneficial interests issued by consolidated variable interest entities (\u201cVIEs\u201d)","10,750","","","17,578","","(39)"],["Long-term debt","301,005","","","281,685","","7"],["Total liabilities","3,449,440","","","3,105,403","","11"],["Stockholders\u2019 equity","294,127","","","279,354","","5"],["Total liabilities and stockholders\u2019 equity","$","3,743,567","","","$","3,384,757","","11","%"]]
[[/GREPCENT_TABLE]]

(a) Prior-period amount has been revised to conform with the current presentation. Refer to Note 25 for further information.

Deposits increased across the LOBs primarily driven by the effect of certain government actions in response to the COVID-19 pandemic. In CCB, the increase was also driven by growth from new and existing accounts across both consumer and small business customers.

Refer to Liquidity Risk Management on pages 97-104; and Notes 2 and 17 for more information.

Federal funds purchased and securities loaned or sold under repurchase agreements decreased due to lower secured financing of AFS investment securities in Treasury and CIO, and trading assets in CIB Markets. Refer to Liquidity Risk Management on pages 97-104 and Note 11 for additional information.

Short-term borrowings increased as a result of higher financing of CIB Markets activities, as well as higher issuances of commercial paper in Treasury and CIO. Refer to Liquidity Risk Management on pages 97-104 for additional information.

Refer to Notes 2 and 5 for information on trading liabilities.

Accounts payable and other liabilities increased reflecting higher client payables related to client-driven activities primarily in CIB prime brokerage. Refer to Note 19 for additional information.

Beneficial interests issued by consolidated VIEs decreased driven by lower issuances of commercial paper as a result of lower loans in the Firm-administered multi-seller conduits in CIB, as well as maturities of credit card securitizations in Treasury and CIO.

Refer to Liquidity Risk Management on pages 97-104; and Notes 14 and 28 for additional information on Firm-sponsored VIEs and loan securitization trusts.

Long-term debt increased driven by net issuances, partially offset by fair value hedge accounting adjustments related to higher rates, and maturities of Federal Home Loan Bank (“FHLB”) advances. Refer to Liquidity Risk Management on pages 97-104 and Note 20 for additional information.

Stockholders’ equity increased reflecting net income, partially offset by the net impact of capital actions, and a decrease in accumulated other comprehensive income (“AOCI”). The decrease in AOCI was primarily driven by the impact of higher rates on the AFS securities portfolio and cash flow hedges. Refer to page 163 for information on changes in stockholders’ equity, and Capital actions on page 94, Note 24 for additional information on AOCI.

[[GREPCENT_TABLE]]
[["56","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Consolidated cash flows analysis

The following is a discussion of cash flow activities during the years ended December 31, 2021 and 2020. Refer to Consolidated cash flows analysis on page 59 of the Firm’s 2020 Form 10-K for a discussion of the 2019 activities.

[[GREPCENT_TABLE]]
[["(in millions)","","","","Year ended December 31,"],["","","","","","2021","","2020","","2019"],["Net cash provided by/(used in)"],["Operating activities","","","","","","$","78,084","","","$","(79,910)","","","$","4,092"],["Investing activities","","","","","","(129,344)","","","(261,912)","","","(52,059)"],["Financing activities","","","","","","275,993","","","596,645","","","32,987"],["Effect of exchange rate changes on cash","","","","","","(11,508)","","","9,155","","","(182)"],["Net increase/(decrease) in cash and due from banks and deposits with banks","","","","","","$","213,225","","","$","263,978","","","$","(15,162)"]]
[[/GREPCENT_TABLE]]

Operating activities

JPMorgan Chase’s operating assets and liabilities primarily support the Firm’s lending and capital markets activities. These assets and liabilities can vary significantly in the normal course of business due to the amount and timing of cash flows, which are affected by client-driven and risk management activities and market conditions. The Firm believes that cash flows from operations, available cash and other liquidity sources, and its capacity to generate cash through secured and unsecured sources, are sufficient to meet its operating liquidity needs.

•In 2021, cash provided resulted from lower trading assets and higher accounts payable and other liabilities, partially offset by higher securities borrowed and lower trading liabilities.

•In 2020, cash used primarily reflected higher trading assets, other assets, and securities borrowed, partially offset by higher trading liabilities and net income excluding noncash adjustments.

Investing activities

The Firm’s investing activities predominantly include originating held-for-investment loans and investing in the investment securities portfolio, and other short-term instruments.

•In 2021, cash used resulted from net purchases of investment securities and higher net originations of loans, partially offset by lower securities purchased under resale agreements.

•In 2020, cash used primarily reflected net purchases of investment securities, higher net originations of loans, and higher securities purchased under resale agreements.

Financing activities

The Firm’s financing activities include acquiring customer deposits and issuing long-term debt and preferred stock.

•In 2021, cash provided reflected higher deposits and net proceeds from long- and short-term borrowings, partially offset by a decrease in securities loaned or sold under repurchase agreements.

•In 2020, cash provided reflected higher deposits and an increase in securities loaned or sold under repurchase agreements, partially offset by net payments of long-term borrowings.

•For both periods, cash was used for repurchases of common stock and cash dividends on common and preferred stock.

* * *

Refer to Consolidated Balance Sheets Analysis on pages 55-56, Capital Risk Management on pages 86-96, and Liquidity Risk Management on pages 97-104 for a further discussion of the activities affecting the Firm’s cash flows.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","57"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

EXPLANATION AND RECONCILIATION OF THE FIRM’S USE OF NON-GAAP FINANCIAL MEASURES

Non-GAAP financial measures

The Firm prepares its Consolidated Financial Statements in accordance with U.S. GAAP; these financial statements appear on pages 160-164. That presentation, which is referred to as “reported” basis, provides the reader with an understanding of the Firm’s results that can be tracked consistently from year-to-year and enables a comparison of the Firm’s performance with the U.S. GAAP financial statements of other companies.

In addition to analyzing the Firm’s results on a reported basis, management reviews Firmwide results, including the overhead ratio, on a “managed” basis; these Firmwide managed basis results are non-GAAP financial measures. The Firm also reviews the results of the LOBs on a managed basis. The Firm’s definition of managed basis starts, in each case, with the reported U.S. GAAP results and includes certain reclassifications to present total net revenue for the Firm (and each of the reportable business segments) on an FTE basis. Accordingly, revenue from investments that receive tax credits and tax-exempt securities is presented in the managed results on a basis comparable to taxable investments and securities. These financial measures allow

management to assess the comparability of revenue from year-to-year arising from both taxable and tax-exempt sources. The corresponding income tax impact related to tax-exempt items is recorded within income tax expense. These adjustments have no impact on net income as reported by the Firm as a whole or by the LOBs.

Management also uses certain non-GAAP financial measures at the Firm and business-segment level because these other non-GAAP financial measures provide information to investors about the underlying operational performance and trends of the Firm or of the particular business segment, as the case may be, and, therefore, facilitate a comparison of the Firm or the business segment with the performance of its relevant competitors. Refer to Business Segment Results on pages 61-80 for additional information on these non-GAAP measures. Non-GAAP financial measures used by the Firm may not be comparable to similarly named non-GAAP financial measures used by other companies.

The following summary table provides a reconciliation from the Firm’s reported U.S. GAAP results to managed basis.

[[GREPCENT_TABLE]]
[["","2021","","2020","","2019"],["Year ended December 31, (in millions, except ratios)","Reported","","Fully taxable-equivalent adjustments(b)","","Managed basis","","Reported","","Fully taxable-equivalent adjustments(b)","","Managed basis","","Reported","","Fully taxable-equivalent adjustments(b)","","Managed basis"],["Other income(a)","$","4,830","","","$","3,225","","","$","8,055","","","$","4,865","","","$","2,560","","","$","7,425","","","$","6,052","","","$","2,213","","","$","8,265"],["Total noninterest revenue","69,338","","","3,225","","","72,563","","","65,388","","","2,560","","","67,948","","","58,475","","","2,213","","","60,688"],["Net interest income","52,311","","","430","","","52,741","","","54,563","","","418","","","54,981","","","57,245","","","531","","","57,776"],["Total net revenue","121,649","","","3,655","","","125,304","","","119,951","","","2,978","","","122,929","","","115,720","","","2,744","","","118,464"],["Total noninterest expense","71,343","","","NA","","71,343","","","66,656","","","NA","","66,656","","","65,269","","","NA","","65,269"],["Pre-provision profit","50,306","","","3,655","","","53,961","","","53,295","","","2,978","","","56,273","","","50,451","","","2,744","","","53,195"],["Provision for credit losses","(9,256)","","","NA","","(9,256)","","","17,480","","","NA","","17,480","","","5,585","","","NA","","5,585"],["Income before income tax expense","59,562","","","3,655","","","63,217","","","35,815","","","2,978","","","38,793","","","44,866","","","2,744","","","47,610"],["Income tax expense(a)","11,228","","","3,655","","","14,883","","","6,684","","","2,978","","","9,662","","","8,435","","","2,744","","","11,179"],["Net income","$","48,334","","","NA","","$","48,334","","","$","29,131","","","NA","","$","29,131","","","$","36,431","","","NA","","$","36,431"],["Overhead ratio(a)","59","%","","NM","","57","%","","56","%","","NM","","54","%","","56","%","","NM","","55","%"]]
[[/GREPCENT_TABLE]]

(a)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 25 for further information.

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

[[GREPCENT_TABLE]]
[["58","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Net interest income, net yield, and noninterest revenue excluding CIB Markets

In addition to reviewing net interest income, net yield, and noninterest revenue on a managed basis, management also reviews these metrics excluding CIB Markets, as shown below. CIB Markets consists of Fixed Income Markets and Equity Markets. These metrics, which exclude CIB Markets, are non-GAAP financial measures. Management reviews these metrics to assess the performance of the Firm’s lending, investing (including asset-liability management) and deposit-raising activities, apart from any volatility associated with CIB Markets activities. In addition, management also assesses CIB Markets business performance on a total revenue basis as offsets may occur across revenue lines. Management believes that these measures provide investors and analysts with alternative measures to analyze the revenue trends of the Firm.

[[GREPCENT_TABLE]]
[["Year ended December 31, (in millions, except rates)","2021","2020","2019"],["Net interest income \u2013 reported","$","52,311","","$","54,563","","$","57,245"],["Fully taxable-equivalent adjustments","430","","418","","531"],["Net interest income \u2013 managed basis(a)","$","52,741","","$","54,981","","$","57,776"],["Less: CIB Markets net interest income(b)","8,243","","8,374","","3,120"],["Net interest income excluding CIB Markets(a)","$","44,498","","$","46,607","","$","54,656"],["Average interest-earning assets","$","3,215,942","","$","2,779,710","","$","2,345,279"],["Less: Average CIB Markets interest-earning assets(b)","888,238","","751,131","","672,417"],["Average interest-earning assets excluding CIB Markets","$","2,327,704","","$","2,028,579","","$","1,672,862"],["Net yield on average interest-earning assets \u2013 managed basis","1.64","%","1.98","%","2.46","%"],["Net yield on average CIB Markets interest-earning assets(b)","0.93","","1.11","","0.46"],["Net yield on average interest-earning assets excluding CIB Markets","1.91","%","2.30","%","3.27","%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Noninterest revenue \u2013 reported","$","69,338","","$","65,388","","$","58,475"],["Fully taxable-equivalent adjustments","3,225","","2,560","","2,213"],["Noninterest revenue \u2013 managed basis","$","72,563","","$","67,948","","60,688"],["Less: CIB Markets noninterest revenue","19,151","","21,109","","17,792"],["Noninterest revenue excluding CIB Markets","$","53,412","","$","46,839","","$","42,896"],["Memo: CIB Markets total net revenue","$","27,394","","$","29,483","","$","20,912"]]
[[/GREPCENT_TABLE]]

(a)Interest includes the effect of related hedges. Taxable-equivalent amounts are used where applicable.

(b)Refer to pages 70-71 for further information on CIB Markets.

[[GREPCENT_TABLE]]
[["Calculation of certain U.S. GAAP and non-GAAP financial measures"],["Certain U.S. GAAP and non-GAAP financial measures are calculated as follows:"],["Book value per share (\u201cBVPS\u201d)Common stockholders\u2019 equity at period-end /Common shares at period-end"],["Overhead ratioTotal noninterest expense / Total net revenue"],["ROAReported net income / Total average assets"],["ROENet income* / Average common stockholders\u2019 equity"],["ROTCENet income* / Average tangible common equity"],["TBVPSTangible common equity at period-end / Common shares at period-end"],["* Represents net income applicable to common equity"]]
[[/GREPCENT_TABLE]]

In addition, the Firm reviews other non-GAAP measures such as

•Adjusted expense, which represents noninterest expense excluding Firmwide legal expense, and

•Pre-provision profit, which represents total net revenue less total noninterest expense.

Management believes that these measures help investors understand the effect of these items on reported results and provide an alternative presentation of the Firm’s performance.

The Firm also reviews the allowance for loan losses to period-end loans retained excluding trade finance and conduits, a non-GAAP financial measure, to provide a more meaningful assessment of CIB’s allowance coverage ratio.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","59"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

TCE, ROTCE and TBVPS

TCE, ROTCE and TBVPS are each non-GAAP financial measures. TCE represents the Firm’s common stockholders’ equity (i.e., total stockholders’ equity less preferred stock) less goodwill and identifiable intangible assets (other than MSRs), net of related deferred tax liabilities. ROTCE measures the Firm’s net income applicable to common equity as a percentage of average TCE. TBVPS represents the Firm’s TCE at period-end divided by common shares at period-end. TCE, ROTCE and TBVPS are utilized by the Firm, as well as investors and analysts, in assessing the Firm’s use of equity.

The following summary table provides a reconciliation from the Firm’s common stockholders’ equity to TCE.

[[GREPCENT_TABLE]]
[["","Period-end","","Average"],["","Dec 31, 2021","Dec 31, 2020","","Year ended December 31,"],["(in millions, except per share and ratio data)","","2021","2020","2019"],["Common stockholders\u2019 equity","$","259,289","","$","249,291","","","$","250,968","","$","236,865","","$","232,907"],["Less: Goodwill","50,315","","49,248","","","49,584","","47,820","","47,620"],["Less: Other intangible assets","882","","904","","","876","","781","","789"],["Add: Certain deferred tax liabilities(a)","2,499","","2,453","","","2,474","","2,399","","2,328"],["Tangible common equity","$","210,591","","$","201,592","","","$","202,982","","$","190,663","","$","186,826"],["Return on tangible common equity","NA","NA","","23","%","14","%","19","%"],["Tangible book value per share","$","71.53","","$","66.11","","","NA","NA","NA"]]
[[/GREPCENT_TABLE]]

(a)Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating TCE.

[[GREPCENT_TABLE]]
[["60","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

BUSINESS SEGMENT RESULTS

The Firm is managed on an LOB basis. There are four major reportable business segments – Consumer & Community Banking, Corporate & Investment Bank, Commercial Banking and Asset & Wealth Management. In addition, there is a Corporate segment.

The business segments are determined based on the products and services provided, or the type of customer

served, and they reflect the manner in which financial information is evaluated by the Firm’s Operating Committee. Segment results are presented on a managed basis. Refer to Explanation and Reconciliation of the Firm’s use of Non-GAAP Financial Measures, on pages 58-60 for a definition of managed basis.

[[GREPCENT_TABLE]]
[["JPMorgan Chase"],["Consumer Businesses","","Wholesale Businesses"],["Consumer & Community Banking","","Corporate & Investment Bank","","Commercial Banking","","Asset & Wealth Management"],["Consumer & Business Banking","","Home Lending","","Card & Auto","","Banking","","Markets & Securities Services","","\u2022 Middle Market Banking","","\u2022 Asset Management"],["\u2022 Consumer Banking \u2022 J.P. Morgan Wealth Management \u2022 Business Banking","\u2022 Home Lending Production \u2022 Home Lending Servicing \u2022 Real Estate Portfolios","\u2022 Credit Card\u2022 Auto","\u2022 Investment Banking \u2022 Payments(a) \u2022 Lending","\u2022 Fixed Income Markets","\u2022 Corporate Client Banking","\u2022 Global Private Bank(b)"],["\u2022 Equity Markets \u2022 Securities Services \u2022 Credit Adjustments & Other","\u2022 Commercial Real Estate Banking"]]
[[/GREPCENT_TABLE]]

(a)In the fourth quarter of 2021, the Wholesale Payments business was renamed Payments.

(b)In the first quarter of 2021, the Wealth Management business was renamed Global Private Bank.

Description of business segment reporting methodology

Results of the business segments are intended to present each segment as if it were a stand-alone business. The management reporting process that derives business segment results includes the allocation of certain income and expense items. The Firm also assesses the level of capital required for each LOB on at least an annual basis. The Firm periodically assesses the assumptions, methodologies and reporting classifications used for segment reporting, and further refinements may be implemented in future periods. The Firm’s LOBs also provide various business metrics which are utilized by the Firm and its investors and analysts in assessing performance.

Revenue sharing

When business segments join efforts to sell products and services to the Firm’s clients, the participating business segments may agree to share revenue from those transactions. Revenue is generally recognized in the segment responsible for the related product or service, with allocations to the other segment(s) involved in the transaction. The segment results reflect these revenue-sharing agreements.

Expense Allocation

Where business segments use services provided by corporate support units, or another business segment, the costs of those services are allocated to the respective business segments. The expense is generally allocated based on the actual cost and use of services provided. In contrast, certain costs and investments related to corporate support units, technology and operations not currently utilized by any LOB, are not allocated to the business segments and are retained in Corporate. Expense retained in Corporate generally includes costs that would not be incurred if the segments were stand-alone businesses; and other items not aligned with a particular business segment.

Funds transfer pricing

Funds transfer pricing (“FTP”) is the process by which the Firm allocates interest income and expense to each business segment and transfers the primary interest rate risk and liquidity risk to Treasury and CIO within Corporate.

The funds transfer pricing process considers the interest rate and liquidity risk characteristics of assets and liabilities and off-balance sheet products. Periodically the methodology and assumptions utilized in the FTP process are adjusted to reflect economic conditions and other factors, which may impact the allocation of net interest income to the business segments.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","61"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

As a result of the current interest rate environment and the excess liquidity stemming from government and central bank actions since the onset of the COVID-19 pandemic, the cost of funds for assets and the credits earned for liabilities have generally declined, impacting the business segments net interest income. As such, during the period ended December 31, 2021, this has resulted in lower cost of funds for loans and margin compression on deposits across the LOBs.

Debt expense and preferred stock dividend allocation

As part of the funds transfer pricing process, almost all of the cost of the credit spread component of outstanding unsecured long-term debt and preferred stock dividends is allocated to the reportable business segments, while the balance of the cost is retained in Corporate. The methodology to allocate the cost of unsecured long-term debt and preferred stock dividends to the business segments is aligned with the relevant regulatory capital requirements, as applicable. The allocated cost of unsecured long-term debt is included in a business segment’s net interest income, and net income is reduced

by preferred stock dividends to arrive at a business segment’s net income applicable to common equity.

Refer to Capital Risk Management on pages 86-96 for additional information.

Capital allocation

The amount of capital assigned to each segment is referred to as equity.The Firm’s allocation methodology incorporates Basel III Standardized RWA, Basel III Advanced RWA, the GSIB surcharge, and a simulation of capital in a severe stress environment. As of January 1, 2022, the Firm has changed its line of business capital allocations primarily as a result of changes in RWA for each LOB and to reflect an increase in the Firm’s GSIB surcharge to 4.0% that will be effective January 1, 2023. The assumptions and methodologies used to allocate capital are periodically reassessed and as a result, the capital allocated to the LOBs may change from time to time. 

Refer to Line of business equity on page 93 for additional information on capital allocation.

Segment Results – Managed Basis

The following tables summarize the Firm’s results by segment for the periods indicated.

[[GREPCENT_TABLE]]
[["Year ended December 31,","Consumer & Community Banking","","Corporate & Investment Bank","","Commercial Banking"],["(in millions, except ratios)","2021","2020","2019","","2021","2020","2019","","2021","2020","2019"],["Total net revenue","$","50,073","$","51,268","$","55,133","","$","51,749","","$","49,284","$","39,265","","$","10,008","","$","9,313","$","9,264"],["Total noninterest expense","29,256","27,990","28,276","","25,325","","23,538","22,444","","4,041","","3,798","3,735"],["Pre-provision profit/(loss)","20,817","23,278","26,857","","26,424","","25,746","16,821","","5,967","","5,515","5,529"],["Provision for credit losses","(6,989)","12,312","4,954","","(1,174)","","2,726","277","","(947)","","2,113","296"],["Net income/(loss)","20,930","8,217","16,541","","21,134","","17,094","11,954","","5,246","","2,578","3,958"],["Return on equity (\u201cROE\u201d)","41%","15%","31%","","25","%","20%","14%","","21","%","11%","17%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Year ended December 31,","Asset & Wealth Management","","Corporate","","Total"],["(in millions, except ratios)","2021","2020","2019","","2021","2020","2019","","2021","2020","2019"],["Total net revenue","$","16,957","","$","14,240","$","13,591","","$","(3,483)","$","(1,176)","$","1,211","","$","125,304","$","122,929","$","118,464"],["Total noninterest expense","10,919","","9,957","9,747","","1,802","1,373","1,067","","71,343","66,656","65,269"],["Pre-provision profit/(loss)","6,038","","4,283","3,844","","(5,285)","(2,549)","144","","53,961","56,273","53,195"],["Provision for credit losses","(227)","","263","59","","81","66","(1)","","(9,256)","17,480","5,585"],["Net income/(loss)","4,737","","2,992","2,867","","(3,713)","(1,750)","1,111","","48,334","29,131","36,431"],["Return on equity (\u201cROE\u201d)","33","%","28%","26%","","NM","NM","NM","","19%","12%","15%"]]
[[/GREPCENT_TABLE]]

The following sections provide a comparative discussion of the Firm’s results by segment as of or for the years ended December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["62","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

CONSUMER & COMMUNITY BANKING

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

[[GREPCENT_TABLE]]
[["Selected income statement data"],["Year ended December 31,"],["(in millions, except ratios)","2021","","2020","","2019"],["Revenue"],["Lending- and deposit-related fees","$","3,034","","","$","3,166","","","$","3,938"],["Asset management, administration and commissions","3,514","","","2,780","","","2,808"],["Mortgage fees and related income","2,159","","","3,079","","","2,035"],["Card income","3,563","","","3,068","","","3,412"],["All other income","5,016","","","5,647","","","5,603"],["Noninterest revenue","17,286","","","17,740","","","17,796"],["Net interest income","32,787","","","33,528","","","37,337"],["Total net revenue","50,073","","","51,268","","","55,133"],["Provision for credit losses","(6,989)","","","12,312","","","4,954"],["Noninterest expense"],["Compensation expense","12,142","","","11,014","","","10,815"],["Noncompensation expense(a)","17,114","","","16,976","","","17,461"],["Total noninterest expense","29,256","","","27,990","","","28,276"],["Income before income tax expense","27,806","","","10,966","","","21,903"],["Income tax expense","6,876","","","2,749","","","5,362"],["Net income","$","20,930","","","$","8,217","","","$","16,541"],["Revenue by line of business"],["Consumer & Business Banking","$","23,980","","","$","22,955","","","$","27,376"],["Home Lending","5,291","","","6,018","","","5,179"],["Card & Auto","20,802","","","22,295","","","22,578"],["Mortgage fees and related income details:"],["Production revenue","2,215","","","2,629","","","1,618"],["Net mortgage servicing revenue(b)","(56)","","","450","","","417"],["Mortgage fees and related income","$","2,159","","","$","3,079","","","$","2,035"],["Financial ratios"],["Return on equity","41","%","","15","%","","31","%"],["Overhead ratio","58","","","55","","","51"]]
[[/GREPCENT_TABLE]]

(a)Included depreciation expense on leased assets of $3.3 billion, $4.2 billion and $4.0 billion for the years ended December 31, 2021, 2020 and 2019, respectively.

(b)Included MSR risk management results of $(525) million, $(18) million and $(165) million for the years ended December 31, 2021, 2020 and 2019, respectively.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","63"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

2021 compared with 2020

Net income was $20.9 billion, up $12.7 billion, driven by a net benefit in the provision for credit losses, compared to an expense in the prior year.

Net revenue was $50.1 billion, a decrease of 2%.

Net interest income was $32.8 billion, down 2%, driven by:

•the net impact in Card of lower revolving loans, primarily due to higher payments, and lower funding costs,

largely offset by

•higher loans in Auto, and

•the accelerated recognition of deferred processing fees associated with PPP loan forgiveness, largely offset by the net impact of margin compression on higher deposits in CBB.

Noninterest revenue was $17.3 billion, down 3%, driven by:

•a decrease in mortgage fees and related income due to a net loss in MSR risk management results primarily driven by updates to model inputs related to prepayment expectations as well as lower production margins,

•lower auto operating lease income as a result of a decline in volume, and

•lower overdraft fee revenue,

largely offset by

•higher asset management fees as a result of higher average market levels and net inflows, and

•higher card income due to higher net interchange income driven by an increase in debit and credit card sales volume above pre-pandemic levels, partially offset by the impact of a renegotiation of a co-brand partner contract, an increase to the rewards liability, and higher amortization related to new account origination costs.

Refer to Note 15 for further information regarding changes in the value of the MSR asset and related hedges, and mortgage fees and related income. Refer to Critical Accounting Estimates on pages 150-153, and Note 6 for additional information on card income.

Noninterest expense was $29.3 billion, up 5%, reflecting:

•increased compensation expense, as well as investments in technology and marketing campaigns, and growth in travel-related benefits,

partially offset by

•lower depreciation expense due to lower auto lease assets and the impact of higher vehicle collateral values.

The provision for credit losses was a net benefit of $7.0 billion, compared with an expense of $12.3 billion in the prior year, driven by:

•a $9.8 billion reduction in the allowance for credit losses, reflecting improvements in the Firm’s macroeconomic outlook, consisting of $7.6 billion in Card, $675 million in CBB, $300 million in Auto and $1.2 billion in Home Lending, which also reflects continued improvements in HPI expectations, and

•lower net charge-offs predominantly in Card, as consumer cash balances remained elevated.

The prior year included a $7.8 billion addition to the

allowance for credit losses.

Refer to Credit and Investment Risk Management on pages 106-132 and Allowance for Credit Losses on pages 129-131 for a further discussion of the credit portfolios and the allowance for credit losses.

[[GREPCENT_TABLE]]
[["64","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31,"],["(in millions, except headcount)","2021","2020","2019"],["Selected balance sheet data (period-end)"],["Total assets","$","500,370","","$","496,705","","$","541,367"],["Loans:"],["Consumer & Business Banking (a)","35,095","","48,810","","29,585"],["Home Lending(b)","180,529","","182,121","","213,445"],["Card","154,296","","144,216","","168,924"],["Auto","69,138","","66,432","","61,522"],["Total loans","439,058","","441,579","","473,476"],["Deposits","1,148,110","","958,706","","723,418"],["Equity","50,000","","52,000","","52,000"],["Selected balance sheet data (average)"],["Total assets","$","489,771","","$","501,584","","$","543,127"],["Loans:"],["Consumer & Business Banking","44,906","","43,064","","28,859"],["Home Lending(c)","181,049","","197,148","","230,662"],["Card","140,405","","146,633","","156,325"],["Auto","67,624","","61,476","","61,862"],["Total loans","433,984","","448,321","","477,708"],["Deposits","1,054,956","","851,390","","698,378"],["Equity","50,000","","52,000","","52,000"],["Headcount","128,863","","122,894","","125,756"]]
[[/GREPCENT_TABLE]]

(a)At December 31, 2021 and 2020 included $5.4 billion and $19.2 billion of loans, respectively, in Business Banking under the PPP. Refer to Credit Portfolio on pages 108-109 for a further discussion of the PPP.

(b)At December 31, 2021, 2020 and 2019, Home Lending loans held-for-sale and loans at fair value were $14.9 billion, $9.7 billion and $16.6 billion, respectively.

(c)Average Home Lending loans held-for sale and loans at fair value were $15.4 billion, $11.1 billion and $14.1 billion for the years ended December 31, 2021, 2020 and 2019, respectively.

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31,"],["(in millions, except ratio data)","2021","","2020","","2019"],["Credit data and quality statistics"],["Nonaccrual loans(a)(b)(c)","$","4,875","","(h)","$","5,492","","(i)","$","3,027"],["Net charge-offs/(recoveries)"],["Consumer & Business Banking","289","","","263","","","298"],["Home Lending","(275)","","","(169)","","","(98)"],["Card","2,712","","","4,286","","","4,848"],["Auto","35","","","123","","","206"],["Total net charge-offs/(recoveries)","$","2,761","","","$","4,503","","","$","5,254"],["Net charge-off/(recovery) rate"],["Consumer & Business Banking(d)","0.64","%","","0.61","%","","1.03","%"],["Home Lending","(0.17)","","","(0.09)","","","(0.05)"],["Card","1.94","","","2.93","","","3.10"],["Auto","0.05","","","0.20","","","0.33"],["Total net charge-off/(recovery) rate","0.66","%","","1.03","%","","1.13","%"],["30+ day delinquency rate(e)"],["Home Lending(f)(g)","1.25","%","","1.15","%","","1.58","%"],["Card","1.04","","","1.68","","","1.87"],["Auto","0.64","","","0.69","","","0.94"],["90+ day delinquency rate - Card(e)","0.50","%","","0.92","%","","0.95","%"],["Allowance for loan losses"],["Consumer & Business Banking","$","697","","$","1,372","","$","750"],["Home Lending","660","","1,813","","1,890"],["Card","10,250","","17,800","","5,683"],["Auto","733","","1,042","","465"],["Total allowance for loan losses","$","12,340","","","$","22,027","","","$","8,788"]]
[[/GREPCENT_TABLE]]

Effective January 1, 2020, the Firm adopted the CECL accounting guidance. The adoption resulted in a change in the accounting for purchased credit-impaired (“PCI”) loans, which are considered purchased credit deteriorated (“PCD”) loans under CECL. Refer to Consumer Credit Portfolio on pages 110-116 and Note 12 for further information on PCD loans.

(a)At both December 31, 2021 and 2020, nonaccrual loans included $1.6 billion of PCD loans. Prior to the adoption of CECL, nonaccrual loans excluded PCI loans as the Firm recognized interest income on each pool of PCI loans as each of the pools was performing.

(b)At December 31, 2021, 2020 and 2019, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $342 million, $558 million and $963 million, respectively. These amounts have been excluded based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance.

(c)At December 31, 2021 and 2020, generally excludes loans that were under payment deferral programs offered in response to the COVID-19 pandemic. Refer to Consumer Credit Portfolio on pages 110-116 for further information on consumer payment assistance activity. Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent at time of exit.

(d)At December 31, 2021 and 2020, included $5.4 billion and $19.2 billion of loans, respectively, in Business Banking under the PPP. The Firm does not expect to realize material credit losses on PPP loans because the loans are guaranteed by the SBA. Refer to Credit Portfolio on pages 108-109 for a further discussion of the PPP.

(e)At December 31, 2021 and 2020, the principal balance of loans in Home Lending, Card and Auto under payment deferral programs offered in response to the COVID-19 pandemic were as follows: (1) $1.1 billion and $9.1 billion in Home Lending, respectively; (2) $46 million and $264 million in Card, respectively; and (3) $115 million

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","65"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

and $376 million in Auto, respectively. Loans that are performing according to their modified terms are generally not considered delinquent. Refer to Consumer Credit Portfolio on pages 110-116 for further information on consumer payment assistance activity.

(f)At December 31, 2021 and 2020, the 30+ day delinquency rates included PCD loans. The rate at December 31, 2019 was revised to include the impact of PCI loans.

(g)At December 31, 2021, 2020 and 2019, excluded mortgage loans insured by U.S. government agencies of $405 million, $744 million and $1.7 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.

(h)At December 31, 2021, nonaccrual loans excluded $506 million of PPP loans 90 or more days past due and guaranteed by the SBA.

(i)Prior-period amount has been revised to conform with the current presentation.

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31,"],["(in billions, except ratios and where otherwise noted)","2021","2020","2019"],["Business Metrics"],["CCB households (in millions)","66.3","","63.4","","62.6"],["Number of branches","4,790","","4,908","","4,976"],["Active digital customers (in thousands)(a)","58,857","","55,274","","52,453"],["Active mobile customers (in thousands)(b)","45,452","","40,899","","37,315"],["Debit and credit card sales volume","$","1,360.7","","$","1,081.2","","$","1,114.4"],["Consumer & Business Banking"],["Average deposits","$","1,035.4","","$","832.5","","$","683.7"],["Deposit margin","1.27","%","1.58","%","2.48","%"],["Business bankingorigination volume(c)","$","13.9","","$","26.6","","$","6.6"],["Client investment assets(d)","718.1","","590.2","","501.4"],["Number of client advisors","4,725","","4,417","","4,196"],["Home Lending"],["Mortgage origination volume by channel"],["Retail","$","91.8","","$","72.9","","$","51.0"],["Correspondent","70.9","","40.9","","54.2"],["Total mortgage origination volume(e)","$","162.7","","$","113.8","","$","105.2"],["Third-party mortgage loans serviced (period-end)","$","519.2","","$","447.3","","$","520.8"],["MSR carrying value(period-end)","5.5","","3.3","","4.7"],["Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end)","1.06","%","0.74","%","0.90","%"],["MSR revenue multiple(f)","3.93","x","2.55","x","2.65x"],["Credit Card"],["Credit card sales volume, excluding commercial card","$","893.5","","$","702.7","","$","762.8"],["New accounts opened(in millions)","8.0","","5.4","","7.8"],["Net revenue rate","10.51","%","10.92","%","10.48","%"],["Auto"],["Loan and lease origination volume","$","43.6","","$","38.4","","$","34.0"],["Average auto operating lease assets","19.1","","22.0","","21.6"]]
[[/GREPCENT_TABLE]]

(a)Users of all web and/or mobile platforms who have logged in within the past 90 days.

(b)Users of all mobile platforms who have logged in within the past 90 days.

(c)Included origination volume under the PPP of $10.6 billion and $21.9 billion for the years ended December 31, 2021 and 2020, respectively. Refer to Credit Portfolio on pages 108-109 for a further discussion of the PPP.

(d)Includes assets invested in managed accounts and J.P. Morgan mutual funds where AWM is the investment manager. Refer to AWM segment results on pages 76-78 for additional information.

(e)Firmwide mortgage origination volume was $182.4 billion, $133.4 billion and $115.9 billion for the years ended December 31, 2021, 2020 and 2019, respectively.

(f)Represents the ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end) divided by the ratio of annualized loan servicing-related revenue to third-party mortgage loans serviced (average).

[[GREPCENT_TABLE]]
[["66","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

CORPORATE & INVESTMENT BANK

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

[[GREPCENT_TABLE]]
[["Selected income statement data"],["Year ended December 31,"],["(in millions)","2021","","2020","","2019"],["Revenue"],["Investment banking fees","$","13,359","","","$","9,477","","","$","7,575"],["Principal transactions","15,764","","","17,560","","","14,399"],["Lending- and deposit-related fees","2,514","","","2,070","","","1,668"],["Asset management, administration and commissions","5,024","","","4,721","","","4,400"],["All other income","1,548","","","1,292","","","2,018"],["Noninterest revenue","38,209","","","35,120","","","30,060"],["Net interest income","13,540","","","14,164","","","9,205"],["Total net revenue(a)","51,749","","","49,284","","","39,265"],["Provision for credit losses","(1,174)","","","2,726","","","277"],["Noninterest expense"],["Compensation expense","13,096","","","11,612","","","11,180"],["Noncompensation expense","12,229","","","11,926","","","11,264"],["Total noninterest expense","25,325","","","23,538","","","22,444"],["Income before income tax expense","27,598","","","23,020","","","16,544"],["Income tax expense","6,464","","","5,926","","","4,590"],["Net income","$","21,134","","","$","17,094","","","$","11,954"]]
[[/GREPCENT_TABLE]]

(a)Includes tax-equivalent adjustments, predominantly due to income tax credits and other tax benefits related to alternative energy investments; income tax credits and amortization of the cost of investments in affordable housing projects; and tax-exempt income from municipal bonds of $3.0 billion, $2.4 billion and $1.9 billion for the years ended December 31, 2021, 2020 and 2019, respectively. Prior-period tax-equivalent adjustment amounts have been revised to conform with the current presentation. Refer to Note 25 for further information.

[[GREPCENT_TABLE]]
[["Selected income statement data"],["Year ended December 31,"],["(in millions, except ratios)","2021","","2020","","2019"],["Financial ratios"],["Return on equity","25","%","","20","%","","14","%"],["Overhead ratio","49","","","48","","","57"],["Compensation expense aspercentage of total net revenue","25","","","24","","","28"],["Revenue by business"],["Investment Banking","$","12,506","","","$","8,871","","$","7,215"],["Payments(a)","6,270","","","5,560","","5,842"],["Lending","1,001","","","1,146","","1,021"],["Total Banking","19,777","","","15,577","","14,078"],["Fixed Income Markets","16,865","","","20,878","","14,418"],["Equity Markets","10,529","","","8,605","","6,494"],["Securities Services","4,328","","","4,253","","4,154"],["Credit Adjustments & Other(b)","250","","","(29)","","121"],["Total Markets & Securities Services","31,972","","","33,707","","25,187"],["Total net revenue","$","51,749","","","$","49,284","","","$","39,265"]]
[[/GREPCENT_TABLE]]

(a)In the fourth quarter of 2021, the Wholesale Payments business was renamed Payments.

(b)Consists primarily of centrally managed credit valuation adjustments ("CVA"), funding valuation adjustments ("FVA") on derivatives, other valuation adjustments, and certain components of fair value option elected liabilities, which are primarily reported in principal transactions revenue. Results are presented net of associated hedging activities and net of CVA and FVA amounts allocated to Fixed Income Markets and Equity Markets. Refer to Notes 2, 3 and 24 for additional information.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","67"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

2021 compared with 2020

Net income was $21.1 billion, up 24%, largely driven by a net benefit in the provision for credit losses, compared to an expense in the prior year.

Net revenue was $51.7 billion, up 5%.

Banking revenue was $19.8 billion, up 27%.

•Investment Banking revenue was $12.5 billion, up 41%, driven by higher Investment Banking fees, reflecting higher fees across products. The Firm ranked #1 for Global Investment Banking fees, according to Dealogic.

–Advisory fees were $4.4 billion, up 85%, driven by increased M&A activity and wallet share gains.

–Equity underwriting fees were $4.0 billion, up 43%, driven by a strong IPO market and wallet share gains.

–Debt underwriting fees were $5.0 billion, up 15%, predominantly driven by an active leveraged loan market primarily related to acquisition financing.

•Payments revenue was $6.3 billion, up 13%, and included net gains on equity investments. Excluding these net gains, revenue was $5.8 billion, up 5%, driven by higher deposit balances and fees, largely offset by deposit margin compression.

•Lending revenue was $1.0 billion, down 13%, predominantly driven by lower net interest income, largely offset by lower fair value losses on hedges of accrual loans, and higher loan commitment fees.

Markets & Securities Services revenue was $32.0 billion, down 5%. Markets revenue was $27.4 billion, down 7%.

•Fixed Income Markets revenue was $16.9 billion, down 19%, driven by lower revenue in Rates, Currencies & Emerging Markets, Fixed Income Financing, Commodities and Credit compared to a strong prior year, partially offset by higher revenue in Securitized Products.

•Equity Markets revenue was $10.5 billion, up 22%, driven by strong performance across prime brokerage, derivatives and Cash Equities.

•Securities Services revenue was $4.3 billion, up 2%, driven by growth in fees and deposits, predominantly offset by deposit margin compression.

•Credit Adjustments & Other was a gain of $250 million predominantly driven by valuation adjustments related to derivatives.

Noninterest expense was $25.3 billion, up 8%, predominantly driven by higher compensation expense, including revenue-related compensation and investments, as well as higher volume-related brokerage expense, partially offset by lower legal expense.

The provision for credit losses was a net benefit of $1.2 billion, driven by a net reduction in the allowance for credit losses, compared with an expense of $2.7 billion in the prior year.

[[GREPCENT_TABLE]]
[["68","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31, (in millions, except headcount)"],["2021","","2020","","2019"],["Selected balance sheet data (period-end)"],["Total assets(a)","$","1,259,896","","","$","1,095,926","","","$","913,803"],["Loans:"],["Loans retained(b)","159,786","","","133,296","","","121,733"],["Loans held-for-sale and loans at fair value(c)","50,386","","","39,588","","","34,317"],["Total loans","210,172","","","172,884","","","156,050"],["Equity","83,000","","","80,000","","","80,000"],["Selected balance sheet data (average)"],["Total assets(a)","$","1,334,518","","","$","1,121,942","","","$","992,770"],["Trading assets-debt and equity instruments","448,099","","","425,060","","(e)","376,182"],["Trading assets-derivative receivables","68,203","","","69,243","","(e)","48,196"],["Loans:"],["Loans retained(b)","145,137","","","135,676","","","122,371"],["Loans held-for-sale and loans at fair value(c)","51,072","","","33,792","","","32,884"],["Total loans","196,209","","","169,468","","","155,255"],["Equity","83,000","","","80,000","","","80,000"],["Headcount(d)","67,546","","","61,733","","","60,013"]]
[[/GREPCENT_TABLE]]

(a)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 25 for further information.

(b)Includes secured lending-related positions, credit portfolio loans, loans held by consolidated Firm-administered multi-seller conduits, trade finance loans, other held-for-investment loans and overdrafts.

(c)Primarily reflects lending-related positions originated and purchased in CIB Markets, including loans held for securitization.

(d)During the six months ended June 30, 2021, 1,155 technology and risk management employees were transferred from Corporate to CIB.

(e)Prior-period amounts have been revised to conform with the current presentation.

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31, (in millions, except ratios)"],["2021","","2020","","2019"],["Credit data and quality statistics"],["Net charge-offs/(recoveries)","$","6","","","$","370","","","$","183"],["Nonperforming assets:"],["Nonaccrual loans:"],["Nonaccrual loans retained(a)","584","","","1,008","","","308"],["Nonaccrual loans held-for-sale and loans at fair value(b)","844","","","1,662","","","644"],["Total nonaccrual loans","1,428","","","2,670","","","952"],["Derivative receivables","316","","","56","","","30"],["Assets acquired in loan satisfactions","91","","","85","","","70"],["Total nonperforming assets","1,835","","","2,811","","","1,052"],["Allowance for credit losses:"],["Allowance for loan losses","1,348","","","2,366","","","1,202"],["Allowance for lending-related commitments","1,372","","","1,534","","","848"],["Total allowance for credit losses","2,720","","","3,900","","","2,050"],["Net charge-off/(recovery) rate(c)","\u2014","%","","0.27","%","","0.15","%"],["Allowance for loan losses to period-end loans retained","0.84","","","1.77","","","0.99"],["Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(d)","1.12","","","2.54","","","1.31"],["Allowance for loan losses to nonaccrual loans retained(a)","231","","","235","","","390"],["Nonaccrual loans to total period-end loans","0.68","","","1.54","","","0.61"]]
[[/GREPCENT_TABLE]]

(a)Allowance for loan losses of $58 million, $278 million and $110 million were held against these nonaccrual loans at December 31, 2021, 2020 and 2019, respectively.

(b)At December 31, 2021, 2020 and 2019, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $281 million, $316 million and $127 million, respectively. These amounts have been excluded based upon the government guarantee.

(c)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.

(d)Management uses allowance for loan losses to period-end loans retained, excluding trade finance and conduits, a non-GAAP financial measure, to provide a more meaningful assessment of CIB’s allowance coverage ratio.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","69"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

[[GREPCENT_TABLE]]
[["Investment banking fees"],["","Year ended December 31,"],["(in millions)","2021","","2020","","2019"],["Advisory","$","4,381","","","$","2,368","","","$","2,377"],["Equity underwriting","3,953","","","2,758","","","1,666"],["Debt underwriting(a)","5,025","","","4,351","","","3,532"],["Total investment banking fees","$","13,359","","","$","9,477","","","$","7,575"]]
[[/GREPCENT_TABLE]]

(a)Represents long-term debt and loan syndications.

[[GREPCENT_TABLE]]
[["League table results \u2013 wallet share"],["","2021","","2020","","2019"],["Year ended December 31,","Rank","Share","","Rank","Share","","Rank","Share"],["Based on fees(a)"],["M&A(b)"],["Global","#","2","","10.2","%","","#","2","","9.0","%","","#","2","","9.0","%"],["U.S.","2","","11.3","","","2","","9.5","","","2","","9.3"],["Equity and equity-related(c)"],["Global","2","","8.9","","","2","","8.9","","","1","","9.4"],["U.S.","2","","11.8","","","2","","12.0","","","1","","13.5"],["Long-term debt(d)"],["Global","1","","8.4","","","1","","8.8","","","1","","7.8"],["U.S.","1","","12.1","","","1","","12.8","","","1","","12.0"],["Loan syndications"],["Global","1","","10.9","","","1","","11.1","","","1","","10.1"],["U.S.","1","","12.6","","","1","","12.3","","","1","","12.4"],["Global investment banking fees(e)","#","1","","9.5","%","","#","1","","9.2","%","","#","1","","8.9","%"]]
[[/GREPCENT_TABLE]]

(a)Source: Dealogic as of January 3, 2022. Reflects the ranking of revenue wallet and market share.

(b)Global M&A excludes any withdrawn transactions. U.S. M&A revenue wallet represents wallet from client parents based in the U.S.

(c)Global equity and equity-related ranking includes rights offerings and Chinese A-Shares.

(d)Long-term debt rankings include investment-grade, high-yield, supranationals, sovereigns, agencies, covered bonds, asset-backed securities ("ABS") and mortgage-backed securities ("MBS"); and exclude money market, short-term debt, and U.S. municipal securities.

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

Markets revenue

The following table summarizes selected income statement data for the Markets businesses. Markets includes both Fixed Income Markets and Equity Markets. Markets revenue consists of principal transactions, fees, commissions and other income, as well as net interest income. The Firm assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate net interest income may be risk-managed by derivatives that are reflected at fair value in principal transactions revenue. Refer to Notes 6 and 7 for a description of the composition of these income statement line items.

Principal transactions reflects revenue on financial instruments and commodities transactions that arise from client-driven market-making activity. Principal transactions revenue includes amounts recognized upon executing new transactions with market participants, as well as “inventory-related revenue”, which is revenue recognized from gains and losses on derivatives and other instruments that the Firm has been holding in anticipation of, or in response to, client demand, and changes in the fair value of instruments used by the Firm to actively manage the risk exposure arising from such inventory. Principal transactions revenue recognized upon executing new transactions with market participants is affected by many factors including the level of client activity, the bid-offer spread (which is the

difference between the price at which a market participant is willing and able to sell an instrument to the Firm and the price at which another market participant is willing and able to buy it from the Firm, and vice versa), market liquidity and volatility. These factors are interrelated and sensitive to the same factors that drive inventory-related revenue, which include general market conditions, such as interest rates, foreign exchange rates, credit spreads, and equity and commodity prices, as well as other macroeconomic conditions. 

[[GREPCENT_TABLE]]
[["70","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

For the periods presented below, the predominant source of principal transactions revenue was the amount recognized upon executing new transactions.

[[GREPCENT_TABLE]]
[["","2021","","2020","","2019"],["Year ended December 31, (in millions, except where otherwise noted)","Fixed Income Markets","Equity Markets","Total Markets","","Fixed Income Markets","Equity Markets","Total Markets","","Fixed Income Markets","Equity Markets","Total Markets"],["Principal transactions","$","7,911","","$","7,519","","$","15,430","","","$","11,857","","$","6,087","","$","17,944","","","$","8,786","","$","5,739","","$","14,525"],["Lending- and deposit-related fees","321","","17","","338","","","226","","10","","236","","","198","","7","","205"],["Asset management, administration and commissions","545","","1,967","","2,512","","","411","","2,087","","2,498","","","407","","1,775","","2,182"],["All other income","972","","(101)","","871","","","493","","(62)","","431","","","872","","8","","880"],["Noninterest revenue","9,749","","9,402","","19,151","","","12,987","","8,122","","21,109","","","10,263","","7,529","","17,792"],["Net interest income","7,116","","1,127","","8,243","","","7,891","","483","","8,374","","","4,155","","(1,035)","","3,120"],["Total net revenue","$","16,865","","$","10,529","","$","27,394","","","$","20,878","","$","8,605","","$","29,483","","","$","14,418","","$","6,494","","$","20,912"],["Loss days(a)","4","","4","","1"]]
[[/GREPCENT_TABLE]]

(a)Loss days represent the number of days for which CIB Markets, which consists of Fixed Income Markets and Equity Markets, posted losses to total net revenue. The loss days determined under this measure differ from the measure used to determine backtesting gains and losses. Daily backtesting gains and losses include positions in the Firm’s Risk Management value-at-risk ("VaR") measure and exclude select components of total net revenue, which may more than offset backtesting gains or losses on a particular day. For more information on daily backtesting gains and losses, refer to the VaR discussion on pages 135-137.

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31, (in millions, except where otherwise noted)","2021","","2020","","2019"],["Assets under custody (\"AUC\") by asset class (period-end) (in billions):"],["Fixed Income","$","16,098","","","$","15,840","","","$","13,498"],["Equity","12,962","","","11,489","","","10,100"],["Other(a)","4,161","","","3,651","","","3,233"],["Total AUC","$","33,221","","","$","30,980","","","$","26,831"],["Merchant processing volume (in billions)(b)","$","1,886.7","","","$","1,597.3","","","$","1,511.5"],["Client deposits and other third party liabilities (average)(c)","$","714,910","","","$","610,555","","","$","464,795"]]
[[/GREPCENT_TABLE]]

(a)Consists of mutual funds, unit investment trusts, currencies, annuities, insurance contracts, options and other contracts.

(b)Represents total merchant processing volume across CIB, CCB and CB.

(c)Client deposits and other third-party liabilities pertain to the Payments and Securities Services businesses.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","71"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

[[GREPCENT_TABLE]]
[["International metrics"],["As of or for the year ended December 31, (in millions, except where otherwise noted)","2021","","2020","","2019"],["Total net revenue(a)"],["Europe/Middle East/Africa","$","13,954","","","$","13,872","","","$","11,905"],["Asia-Pacific","7,555","","","7,524","","","5,319"],["Latin America/Caribbean","1,833","","","1,931","","","1,543"],["Total international net revenue","23,342","","","23,327","","","18,767"],["North America","28,407","","","25,957","","","20,498"],["Total net revenue","$","51,749","","","$","49,284","","","$","39,265"],["Loans retained (period-end)(a)"],["Europe/Middle East/Africa","$","33,084","","","$","27,659","","","$","26,067"],["Asia-Pacific","14,471","","","12,802","","","14,759"],["Latin America/Caribbean","7,006","","","5,425","","","6,173"],["Total international loans","54,561","","","45,886","","","46,999"],["North America","105,225","","","87,410","","","74,734"],["Total loans retained","$","159,786","","","$","133,296","","","$","121,733"],["Client deposits and other third-party liabilities (average)(b)"],["Europe/Middle East/Africa","$","243,867","","","$","211,592","","","$","174,477"],["Asia-Pacific","132,241","","","124,145","","","90,364"],["Latin America/Caribbean","46,045","","","37,664","","","29,024"],["Total international","$","422,153","","","$","373,401","","","$","293,865"],["North America","292,757","","","237,154","","","170,930"],["Total client deposits and other third-party liabilities","$","714,910","","","$","610,555","","","$","464,795"],["AUC (period-end)(b) (in billions)"],["North America","$","21,655","","","$","20,028","","","$","16,855"],["All other regions","11,566","","","10,952","","","9,976"],["Total AUC","$","33,221","","","$","30,980","","","$","26,831"]]
[[/GREPCENT_TABLE]]

(a)Total net revenue and loans retained (excluding loans held-for-sale and loans at fair value) are based on the location of the trading desk, booking location, or domicile of the client, as applicable.

(b)Client deposits and other third-party liabilities pertaining to the Payments and Securities Services businesses, and AUC, are based on the domicile of the client.

[[GREPCENT_TABLE]]
[["72","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

COMMERCIAL BANKING

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

[[GREPCENT_TABLE]]
[["Selected income statement data"],["Year ended December 31, (in millions)","2021","","2020","","2019"],["Revenue"],["Lending- and deposit-related fees","$","1,392","","","$","1,187","","","$","941"],["All other income","2,537","","","1,880","","","1,769"],["Noninterest revenue","3,929","","","3,067","","","2,710"],["Net interest income","6,079","","","6,246","","","6,554"],["Total net revenue(a)","10,008","","","9,313","","","9,264"],["Provision for credit losses","(947)","","","2,113","","","296"],["Noninterest expense"],["Compensation expense","1,973","","","1,854","","","1,785"],["Noncompensation expense","2,068","","","1,944","","","1,950"],["Total noninterest expense","4,041","","","3,798","","","3,735"],["Income before income tax expense","6,914","","","3,402","","","5,233"],["Income tax expense","1,668","","","824","","","1,275"],["Net income","$","5,246","","","$","2,578","","","$","3,958"]]
[[/GREPCENT_TABLE]]

(a)Total net revenue included tax-equivalent adjustments from income tax credits related to equity investments in designated community development entities and in entities established for rehabilitation of historic properties, as well as tax-exempt income related to municipal financing activities, of $330 million, $350 million and $460 million for the years ended December 31, 2021, 2020 and 2019, respectively. Prior-period tax-equivalent adjustment amounts have been revised to conform with the current presentation. Refer to Note 25 for further information.

2021 compared with 2020

Net income was $5.2 billion, up $2.7 billion, predominantly driven by a net benefit in the provision for credit losses, compared to an expense in the prior year.

Net revenue was $10.0 billion, up 7%. Net interest income was $6.0 billion, down 3%, driven by the net impact of margin compression on higher deposits and a decrease in loans, largely offset by lower funding costs. Noninterest revenue was $3.9 billion, up 28%, predominantly driven by higher investment banking and payments revenue.

Noninterest expense was $4.0 billion, up 6%, predominantly driven by investments in the business, including higher compensation expense, and higher volume- and revenue-related expense.

The provision for credit losses was a net benefit of $947 million, driven by a net reduction in the allowance for credit losses, compared with an expense of $2.1 billion in the prior year.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","73"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

CB product revenue consists of the following:Lending includes a variety of financing alternatives, which are primarily provided on a secured basis; collateral includes receivables, inventory, equipment, real estate or other assets. Products include term loans, revolving lines of credit, bridge financing, asset-based structures, leases, and standby letters of credit.Payments includes revenue from a broad range of products and services that enable CB clients to manage payments and receipts, as well as invest and manage funds.Investment banking includes revenue from a range of products providing CB clients with sophisticated capital-raising alternatives, as well as balance sheet and risk management tools through advisory, equity underwriting, and loan syndications. Revenue from Fixed Income and Equity Markets products used by CB clients is also included. Other revenue primarily includes tax-equivalent adjustments generated from Community Development Banking and activity derived from principal transactions.

[[GREPCENT_TABLE]]
[["Selected income statement data (continued)"],["Year ended December 31, (in millions, except ratios)","2021","","2020","","2019"],["Revenue by product"],["Lending","$","4,629","","","$","4,396","","$","4,057"],["Payments","3,653","","","3,715","","4,200"],["Investment banking(a)","1,611","","","1,069","","919"],["Other","115","","","133","","88"],["Total Commercial Banking net revenue","$","10,008","","","$","9,313","","$","9,264"],["Investment banking revenue, gross(b)","$","5,092","","","$","3,348","","$","2,744"],["Revenue by client segment"],["Middle Market Banking","$","4,004","","","$","3,640","","$","3,805"],["Corporate Client Banking","3,508","","","3,203","","3,119"],["Commercial Real Estate Banking","2,419","","","2,313","","2,169"],["Other","77","","","157","","171"],["Total Commercial Banking net revenue","$","10,008","","","$","9,313","","$","9,264"],["Financial ratios"],["Return on equity","21","%","","11","%","","17","%"],["Overhead ratio","40","","","41","","","40"]]
[[/GREPCENT_TABLE]]

(a)Includes CB’s share of revenue from investment banking products sold to CB clients through the CIB.

(b)Refer to Business Segment Results page 61 for a discussion of revenue sharing.

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31, (in millions, except headcount)","2021","","2020","","2019"],["Selected balance sheet data (period-end)"],["Total assets","$","230,776","","","$","228,911","","(b)","$","220,514"],["Loans:"],["Loans retained","206,220","","","207,880","","","207,287"],["Loans held-for-sale and loans at fair value","2,223","","","2,245","","","1,009"],["Total loans","$","208,443","","","$","210,125","","","$","208,296"],["Equity","24,000","","","22,000","","","22,000"],["Period-end loans by client segment"],["Middle Market Banking(a)","$","61,159","","","$","61,115","","","$","54,188"],["Corporate Client Banking","45,315","","","47,420","","","51,165"],["Commercial Real Estate Banking","101,751","","","101,146","","","101,951"],["Other","218","","","444","","","992"],["Total Commercial Banking loans(a)","$","208,443","","","$","210,125","","","$","208,296"],["Selected balance sheet data (average)"],["Total assets","$","225,548","","","$","233,156","","(b)","$","218,896"],["Loans:"],["Loans retained","201,920","","","217,767","","","206,837"],["Loans held-for-sale and loans at fair value","3,122","","","1,129","","","1,082"],["Total loans","$","205,042","","","$","218,896","","","$","207,919"],["Client deposits and other third-party liabilities","301,502","","","237,825","","","172,734"],["Equity","24,000","","","22,000","","","22,000"],["Average loans by client segment"],["Middle Market Banking","$","60,128","","","$","61,558","","","$","55,690"],["Corporate Client Banking","44,361","","","54,172","","","50,360"],["Commercial Real Estate Banking","100,331","","","102,479","","","100,884"],["Other","222","","","687","","","985"],["Total Commercial Banking loans","$","205,042","","","$","218,896","","","$","207,919"],["Headcount","12,902","","","11,675","","","11,629"]]
[[/GREPCENT_TABLE]]

(a)At December 31, 2021 and 2020, total loans included $1.2 billion and $6.6 billion of loans under the PPP, of which $1.1 billion and $6.4 billion were in Middle Market Banking, respectively. Refer to Credit Portfolio on pages 108-109 for a further discussion of the PPP.

(b)Prior-period amounts have been revised to conform with the current presentation. Refer to Note 25 for further information.

[[GREPCENT_TABLE]]
[["74","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31, (in millions, except ratios)","2021","","2020","","2019"],["Credit data and quality statistics"],["Net charge-offs/(recoveries)","$","71","","","$","401","","","$","160"],["Nonperforming assets"],["Nonaccrual loans:"],["Nonaccrual loans retained(a)","740","","(c)","1,286","","","498"],["Nonaccrual loans held-for-sale and loans at fair value","\u2014","","","120","","","\u2014"],["Total nonaccrual loans","740","","","1,406","","","498"],["Assets acquired in loan satisfactions","17","","","24","","","25"],["Total nonperforming assets","757","","","1,430","","","523"],["Allowance for credit losses:"],["Allowance for loan losses","2,219","","","3,335","","","2,780"],["Allowance for lending-related commitments","749","","","651","","","293"],["Total allowance for credit losses","2,968","","","3,986","","","3,073"],["Net charge-off/(recovery) rate(b)","0.04","%","","0.18","%","","0.08","%"],["Allowance for loan losses to period-end loans retained","1.08","","","1.60","","","1.34"],["Allowance for loan losses to nonaccrual loans retained(a)","300","","","259","","","558"],["Nonaccrual loans to period-end total loans","0.36","","","0.67","","","0.24"]]
[[/GREPCENT_TABLE]]

(a)Allowance for loan losses of $124 million, $273 million and $114 million was held against nonaccrual loans retained at December 31, 2021, 2020 and 2019, respectively.

(b)Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.

(c)At December 31, 2021, nonaccrual loans excluded $114 million of PPP loans 90 or more days past due and guaranteed by the SBA.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","75"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

ASSET & WEALTH MANAGEMENT

Asset & Wealth Management, with client assets of $4.3 trillion, is a global leader in investment and wealth management. Asset Management Offers multi-asset investment management solutions across equities, fixed income, alternatives and money market funds to institutional and retail investors providing for a broad range of clients’ investment needs. Global Private BankProvides retirement products and services, brokerage, custody, trusts and estates, loans, mortgages, deposits and investment management to high net worth clients. The majority of AWM’s client assets are in actively managed portfolios.

[[GREPCENT_TABLE]]
[["Selected income statement data"],["Year ended December 31, (in millions, except ratios)","2021","2020","2019"],["Revenue"],["Asset management, administration and commissions","$","12,333","","$","10,610","","$","9,818"],["All other income","738","","212","","418"],["Noninterest revenue","13,071","","10,822","","10,236"],["Net interest income","3,886","","3,418","","3,355"],["Total net revenue","16,957","","14,240","","13,591"],["Provision for credit losses","(227)","","263","","59"],["Noninterest expense"],["Compensation expense","5,692","","4,959","","5,028"],["Noncompensation expense","5,227","","4,998","","4,719"],["Total noninterest expense","10,919","","9,957","","9,747"],["Income before income tax expense","6,265","","4,020","","3,785"],["Income tax expense","1,528","","1,028","","918"],["Net income","$","4,737","","$","2,992","","$","2,867"],["Revenue by line of business"],["Asset Management","$","9,246","","$","7,654","","$","7,254"],["Global Private Bank(a)","7,711","","6,586","","6,337"],["Total net revenue","$","16,957","","$","14,240","","$","13,591"],["Financial ratios"],["Return on equity","33","%","28","%","26","%"],["Overhead ratio","64","","70","","72"],["Pre-tax margin ratio:"],["Asset Management","35","","29","","26"],["Global Private Bank(a)","39","","27","","30"],["Asset & Wealth Management","37","","28","","28"]]
[[/GREPCENT_TABLE]]

(a)In the first quarter of 2021, the Wealth Management business was renamed Global Private Bank.

2021 compared with 2020

Net income was $4.7 billion, an increase of 58%.

Net revenue was $17.0 billion, an increase of 19%. Net interest income was $3.9 billion, up 14%. Noninterest revenue was $13.1 billion, up 21%.

Revenue from Asset Management was $9.2 billion, up 21%, predominantly driven by:

•higher asset management fees, net of liquidity fee waivers, on higher average market levels and strong cumulative net inflows into long-term and liquidity products,

•higher performance fees, and

•higher net investment valuation gains.

Revenue from Global Private Bank was $7.7 billion, up 17%, predominantly driven by:

•higher loans including the impact of lower funding costs, and higher asset management fees,

partially offset by

•the net impact of margin compression on higher deposits.

The provision for credit losses was a net benefit of $227 million, driven by a reduction in the allowance for credit losses, compared with an expense of $263 million in the prior year.

Noninterest expense was $10.9 billion, up 10%, driven by higher volume- and revenue-related compensation expense and distribution fees, higher structural expense, and higher investments in the business, partially offset by lower legal expense.

[[GREPCENT_TABLE]]
[["76","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Asset Management has two high-level measures of its overall fund performance."],["Effective September 2021, AWM changed the source for the peer group quartile rankings of its funds from Lipper to Morningstar for U.S.-domiciled funds (except for \u201cMunicipals\u201d and \u201cInvestor\u201d funds, for which the source remains Lipper) and Taiwan domiciled funds. AWM evaluates fund performance utilizing this peer group ranking and believes that it provides investors with comparability across the industry. This change resulted in both positive and negative impacts on the quartile rankings for prior periods, as compared to how they would have been ranked by Lipper. In addition, AWM has changed its selection of the \u201cprimary share class\u201d for certain non- U.S. funds, as set forth below, in order to establish a more consistent approach across these products. Prior periods in the following table have been revised to conform to the current presentation."],["\u2022 Percentage of mutual fund assets under management in funds rated 4- or 5-star: Mutual fund rating services rank funds based on their risk adjusted performance over various periods. A 5-star rating is the best rating and represents the top 10% of industry-wide ranked funds. A 4-star rating represents the next 22.5% of industry-wide ranked funds. A 3-star rating represents the next 35% of industry-wide ranked funds. A 2-star rating represents the next 22.5% of industry-wide ranked funds. A 1-star rating is the worst rating and represents the bottom 10% of industrywide ranked funds. An overall Morningstar rating is derived from a weighted average of the performance associated with a fund\u2019s three-, five and ten- year (if applicable) Morningstar Rating metrics. For U.S.-domiciled funds, separate star ratings are provided at the individual shareclass level. The Nomura \u201cstar rating\u201d is based on three-year risk-adjusted performance only. Funds with fewer than three years of history are not rated and hence excluded from these rankings. All ratings, the assigned peer categories and the asset values used to derive these rankings are sourced from the applicable fund rating provider. Where applicable, the fund rating providers redenominate asset values into U.S. dollars. The percentage of AUM is based on star ratings at the share class level for U.S.-domiciled funds, and at a \u201cprimary share class\u201d level to represent the star rating of all other funds, except for Japan, for which Nomura provides ratings at the fund level. The performance data may have been different if all share classes had been included. Past performance is not indicative of future results."],["\u2022 Percentage of mutual fund assets under management in funds ranked in the 1st or 2nd quartile (one, three and five years):All quartile rankings, the assigned peer categories and the asset values used to derive these rankings are sourced from the fund rating providers. Quartile rankings are based on the net-of-fee absolute return of each fund. Where applicable, the fund rating providers redenominate asset values into U.S. dollars. The percentage of AUM is based on fund performance and associated peer rankings at the share class level for U.S.-domiciled funds, at a \u201cprimary share class\u201d level to represent the quartile ranking for U.K., Luxembourg and Hong Kong SAR funds and at the fund level for all other funds. The performance data may have been different if all share classes had been included. Past performance is not indicative of future results."],["\u201cPrimary share class\u201d means the C share class for European funds and Acc share class for Hong Kong SAR and Taiwan funds. If these share classes are not available, the oldest share class is used as the primary share class."]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Selected metrics"],["As of or for the year ended December 31, (in millions, except ranking data, ratios and headcount)","2021","2020","","2019"],["% of JPM mutual fund assets rated as 4- or 5-star(a)","69","%","63","%","","66","%"],["% of JPM mutual fund assets ranked in 1st or 2nd quartile:(b)"],["1 year","53","","63","","","59"],["3 years","72","","69","","","74"],["5 years","80","","72","","","75"],["Selected balance sheet data (period-end)(c)"],["Total assets","$","234,425","","$","203,384","","","$","173,175"],["Loans","218,271","","186,608","","","158,149"],["Deposits","282,052","","198,755","","","142,740"],["Equity","14,000","","10,500","","","10,500"],["Selected balance sheet data (average)(c)"],["Total assets","$","217,187","","$","181,432","","","$","161,863"],["Loans","198,487","","166,311","","","147,404"],["Deposits","230,296","","161,955","","","135,265"],["Equity","14,000","","10,500","","","10,500"],["Headcount","22,762","20,683","","21,550"],["Number of Global Private Bank client advisors","2,738","2,462","","2,419"],["Credit data and quality statistics(c)"],["Net charge-offs/(recoveries)","$","26","","$","(14)","","","$","29"],["Nonaccrual loans","708","","964","","(d)","115"],["Allowance for credit losses:"],["Allowance for loan losses","$","365","","$","598","","","$","350"],["Allowance for lending-related commitments","18","","38","","","19"],["Total allowance for credit losses","$","383","","$","636","","","$","369"],["Net charge-off/(recovery) rate","0.01","%","(0.01)","%","","0.02","%"],["Allowance for loan losses to period-end loans","0.17","","0.32","","","0.22"],["Allowance for loan losses to nonaccrual loans","52","","62","","(d)","304"],["Nonaccrual loans to period-end loans","0.32","","0.52","","(d)","0.07"]]
[[/GREPCENT_TABLE]]

(a)Represents the Morningstar Rating for all domiciled funds except for Japan domiciled funds which use Nomura. Includes only Asset Management retail open-ended mutual funds that have a rating. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds. Prior-period amounts were revised to conform with the current period presentation.

(b)Quartile ranking sourced from Morningstar, Lipper and Nomura based on country of domicile. Includes only Asset Management retail open-ended mutual funds that are ranked by the aforementioned sources. Excludes money market funds, Undiscovered Managers Fund, and Brazil domiciled funds. Prior-period amounts were revised to conform with the current period presentation.

(c)Loans, deposits and related credit data and quality statistics relate to the Global Private Bank business.

(d)Prior-period amount has been revised to conform with the current presentation.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","77"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Client assets

2021 compared with 2020

Client assets were $4.3 trillion, an increase of 18%. Assets under management were $3.1 trillion, an increase of 15% driven by cumulative net inflows and the impact of higher market levels.

[[GREPCENT_TABLE]]
[["Client assets"],["December 31, (in billions)","2021","2020","2019"],["Assets by asset class"],["Liquidity","$","708","","$","641","","$","539"],["Fixed income","693","","671","","591"],["Equity","779","","595","","463"],["Multi-asset","732","","656","","596"],["Alternatives","201","","153","","139"],["Total assets under management","3,113","","2,716","","2,328"],["Custody/brokerage/administration/deposits","1,182","","936","","761"],["Total client assets(a)","$","4,295","","$","3,652","","$","3,089"],["Assets by client segment"],["Private Banking","$","805","","$","689","","$","628"],["Global Institutional(b)","1,430","","1,273","","1,081"],["Global Funds(b)","878","","754","","619"],["Total assets under management","$","3,113","","$","2,716","","$","2,328"],["Private Banking","$","1,931","","$","1,581","","$","1,359"],["Global Institutional(b)","1,479","","1,311","","1,106"],["Global Funds(b)","885","","760","","624"],["Total client assets(a)","$","4,295","","$","3,652","","$","3,089"]]
[[/GREPCENT_TABLE]]

(a)Includes CCB client investment assets invested in managed accounts and J.P. Morgan mutual funds where AWM is the investment manager.

(b)In the first quarter of 2021, Institutional and Retail client segments were renamed to Global Institutional and Global Funds, respectively. This did not result in a change to the clients within either client segment.

[[GREPCENT_TABLE]]
[["Client assets (continued)"],["Year ended December 31, (in billions)","2021","2020","2019"],["Assets under management rollforward"],["Beginning balance","$","2,716","","$","2,328","","$","1,958"],["Net asset flows:"],["Liquidity","68","","104","","61"],["Fixed income","36","","48","","104"],["Equity","85","","33","","(11)"],["Multi-asset","17","","5","","2"],["Alternatives","26","","6","","2"],["Market/performance/other impacts","165","","192","","212"],["Ending balance, December 31","$","3,113","","$","2,716","","$","2,328"],["Client assets rollforward"],["Beginning balance","$","3,652","","$","3,089","","$","2,619"],["Net asset flows","389","","276","","176"],["Market/performance/other impacts","254","","287","","294"],["Ending balance, December 31","$","4,295","","$","3,652","","$","3,089"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["International metrics"],["Year ended December 31, (in billions, except where otherwise noted)","2021","2020","2019"],["Total net revenue (in millions)(a)"],["Europe/Middle East/Africa","$","3,571","","$","2,956","","$","2,869"],["Asia-Pacific","2,017","","1,665","","1,509"],["Latin America/Caribbean","886","","782","","724"],["Total international net revenue","6,474","","5,403","","5,102"],["North America","10,483","","8,837","","8,489"],["Total net revenue","$","16,957","","$","14,240","","$","13,591"],["Assets under management"],["Europe/Middle East/Africa","$","561","","$","517","","$","428"],["Asia-Pacific","254","","224","","192"],["Latin America/Caribbean","79","","70","","62"],["Total international assets under management","894","","811","","682"],["North America","2,219","","1,905","","1,646"],["Total assets under management","$","3,113","","$","2,716","","$","2,328"],["Client assets"],["Europe/Middle East/Africa","$","687","","$","622","","$","520"],["Asia-Pacific","381","","330","","272"],["Latin America/Caribbean","195","","166","","147"],["Total international client assets","1,263","","1,118","","939"],["North America","3,032","","2,534","","2,150"],["Total client assets","$","4,295","","$","3,652","","$","3,089"]]
[[/GREPCENT_TABLE]]

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

[[GREPCENT_TABLE]]
[["78","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

CORPORATE

The Corporate segment consists of Treasury and Chief Investment Office and Other Corporate, which includes corporate staff functions and expense that is centrally managed. Treasury and CIO is predominantly responsible for measuring, monitoring, reporting and managing the Firm’s liquidity, funding, capital, structural interest rate and foreign exchange risks. The major Other Corporate functions include Real Estate, Technology, Legal, Corporate Finance, Human Resources, Internal Audit, Risk Management, Compliance, Control Management, Corporate Responsibility and various Other Corporate groups.

[[GREPCENT_TABLE]]
[["Selected income statement and balance sheet data"],["Year ended December 31, (in millions, except headcount)","2021","","2020","","2019"],["Revenue"],["Principal transactions","$","187","","","$","245","","","$","(461)"],["Investment securities gains/(losses)","(345)","","","795","","","258"],["All other income","226","","","159","","","89"],["Noninterest revenue","68","","","1,199","","","(114)"],["Net interest income","(3,551)","","","(2,375)","","","1,325"],["Total net revenue(a)","(3,483)","","","(1,176)","","","1,211"],["Provision for credit losses","81","","","66","","","(1)"],["Noninterest expense","1,802","","","1,373","","","1,067"],["Income/(loss) before income tax expense/(benefit)","(5,366)","","","(2,615)","","","145"],["Income tax expense/(benefit)","(1,653)","","","(865)","","","(966)"],["Net income/(loss)","$","(3,713)","","","$","(1,750)","","","$","1,111"],["Total net revenue"],["Treasury and CIO","(3,464)","","","(1,368)","","","2,032"],["Other Corporate","(19)","","","192","","","(821)"],["Total net revenue","$","(3,483)","","","$","(1,176)","","","$","1,211"],["Net income/(loss)"],["Treasury and CIO","(3,057)","","","(1,403)","","","1,394"],["Other Corporate","(656)","","","(347)","","","(283)"],["Total net income/(loss)","$","(3,713)","","","$","(1,750)","","","$","1,111"],["Total assets (period-end)","$","1,518,100","","","$","1,359,831","","","$","837,618"],["Loans (period-end)","1,770","","","1,657","","","1,649"],["Headcount(b)","38,952","","","38,366","","","38,033"]]
[[/GREPCENT_TABLE]]

(a)Included tax-equivalent adjustments, driven by tax-exempt income from municipal bonds, of $257 million, $241 million and $314 million for the years ended December 31, 2021, 2020 and 2019, respectively.

(b)During the six months ended June 30, 2021, 1,155 technology and risk management employees were transferred from Corporate to CIB.

2021 compared with 2020

Net income was a loss of $3.7 billion compared with a loss of $1.8 billion in the prior year.

Net revenue was a loss of $3.5 billion, compared with a loss of $1.2 billion in the prior year.

Net interest income decreased primarily driven by:

•limited opportunities to deploy funds in response to significant deposit growth across the LOBs, and

•the impact of faster prepayments on mortgage-backed securities in the first half of 2021,

partially offset by

•higher net interest income on growth in investment securities.

Noninterest revenue decreased primarily due to:

•net investment securities losses related to repositioning the investment securities portfolio, compared with net gains in the prior year from sales of U.S. GSE and government agency MBS,

•lower net valuation gains on several legacy equity investments

partially offset by

•the absence of losses recorded in the prior year in Treasury and CIO related to cash deployment transactions, which were more than offset by the related net interest income earned on these transactions, also in the prior year, and

•the absence of losses recorded in the prior year related to the early termination of certain of the Firm's long-term debt in Treasury and CIO

Noninterest expense of $1.8 billion was up $429 million primarily due to a higher contribution to the Firm’s Foundation, investments related to the Firm’s international consumer expansion, technology initiatives, and higher legal expense, largely offset by the absence of an impairment on a legacy investment recorded in the prior year.

Refer to Note 10 and Note 13 for additional information on the investment securities portfolio and the allowance for credit losses.

The current period income tax benefit was driven by changes in the level and mix of income and expenses subject to U.S. federal and state and local taxes as well as other tax adjustments, partially offset by the resolutions of certain tax audits.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","79"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Treasury and CIO overview

Treasury and CIO is predominantly responsible for measuring, monitoring, reporting and managing the Firm’s liquidity, funding, capital, structural interest rate and foreign exchange risks. The risks managed by Treasury and CIO arise from the activities undertaken by the Firm’s four major reportable business segments to serve their respective client bases, which generate both on- and off-balance sheet assets and liabilities.

Treasury and CIO seek to achieve the Firm’s asset-liability management objectives generally by investing in high-quality securities that are managed for the longer-term as part of the Firm’s investment securities portfolio. Treasury and CIO also use derivatives to meet the Firm’s asset-liability management objectives. Refer to Note 5 for further information on derivatives. In addition, Treasury and CIO manage the Firm’s cash position primarily through deposits at central banks and investments in short-term instruments. Refer to Liquidity Risk Management on pages 97-104 for further information on liquidity and funding risk. Refer to Market Risk Management on pages 133-140 for information on interest rate, foreign exchange and other risks.

The investment securities portfolio predominantly consists of U.S. GSE and government agency and nonagency mortgage-backed securities, U.S. and non-U.S. government securities, obligations of U.S. states and municipalities, other ABS and corporate debt securities. At December 31, 2021, the Treasury and CIO investment securities portfolio, net of allowance for credit losses, was $670.1 billion, and the average credit rating of the securities comprising the portfolio was AA+ (based upon external ratings where available and, where not available, based primarily upon internal risk ratings). Refer to Note 10 for further information on the Firm’s investment securities portfolio and internal risk ratings.

[[GREPCENT_TABLE]]
[["Selected income statement and balance sheet data"],["As of or for the year ended December 31, (in millions)","2021","","2020","","2019"],["Investment securities gains/(losses)","$","(345)","","","$","795","","","$","258"],["Available-for-sale securities (average)","$","306,827","","","$","413,367","","","$","283,205"],["Held-to-maturity securities (average)(a)","285,086","","","94,569","","","34,939"],["Investment securities portfolio (average)","$","591,913","","","$","507,936","","","$","318,144"],["Available-for-sale securities (period-end)","$","306,352","","","$","386,065","","","$","348,876"],["Held-to-maturity securities, net of allowance for credit losses (period\u2013end)(a)","363,707","","","201,821","","","47,540"],["Investment securities portfolio, net of allowance for credit losses (period\u2013end)(b)","$","670,059","","","$","587,886","","","$","396,416"]]
[[/GREPCENT_TABLE]]

(a)During 2021 and 2020, the Firm transferred $104.5 billion and $164.2 billion of investment securities, respectively, from AFS to HTM for capital management purposes.

(b)At December 31, 2021, and 2020, the allowance for credit losses on investment securities was $42 million and $78 million, respectively.

Refer to Note 10 for further information.

[[GREPCENT_TABLE]]
[["80","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

FIRMWIDE RISK MANAGEMENT

Risk is an inherent part of JPMorgan Chase’s business activities. When the Firm extends a consumer or wholesale loan, advises customers and clients on their investment decisions, makes markets in securities, or offers other products or services, the Firm takes on some degree of risk. The Firm’s overall objective is to manage its businesses, and the associated risks, in a manner that balances serving the interests of its clients, customers and investors and protects the safety and soundness of the Firm.

The Firm believes that effective risk management requires, among other things:

•Acceptance of responsibility, including identification and escalation of risks by all individuals within the Firm;

•Ownership of risk identification, assessment, data and management within each of the LOBs and Corporate; and

•Firmwide structures for risk governance.

The Firm follows a disciplined and balanced compensation framework with strong internal governance and independent oversight by the Board of Directors (the “Board”). The impact of risk and control issues is carefully considered in the Firm’s performance evaluation and incentive compensation processes.

Risk governance and oversight framework

The Firm’s risk management governance and oversight framework involves understanding drivers of risks, types of risks, and impacts of risks.

Drivers of Risks are factors that cause a risk to exist. Drivers of risks include the economic environment, regulatory and government policy, competitor and market evolution, business decisions, process and judgment error, deliberate wrongdoing, dysfunctional markets, and natural disasters.

Types of Risks are categories by which risks manifest themselves. Risks are generally categorized in the following four risk types:

•Strategic risk is the risk to earnings, capital, liquidity or reputation associated with poorly designed or failed business plans or inadequate response to changes in the operating environment.

•Credit and investment risk is the risk associated with the default or change in credit profile of a client, counterparty or customer; or loss of principal or a reduction in expected returns on investments, including

consumer credit risk, wholesale credit risk, and investment portfolio risk.

•Market risk is the risk associated with the effect of changes in market factors, such as interest and foreign exchange rates, equity and commodity prices, credit spreads or implied volatilities, on the value of assets and liabilities held for both the short and long term.

•Operational risk is the risk associated with an adverse outcome resulting from inadequate or failed internal processes or systems; human factors; or external events impacting the Firm’s processes or systems. It includes compliance, conduct, legal, and estimations and model risk.

Impacts of Risks are consequences of risks, both quantitative and qualitative. There may be many consequences of risks manifesting, including quantitative impacts such as a reduction in earnings and capital, liquidity outflows, and fines or penalties, or qualitative impacts such as reputation damage, loss of clients and customers, and regulatory and enforcement actions.

The Firm’s risk governance and oversight framework is managed on a Firmwide basis. The Firm has an Independent Risk Management (“IRM”) function, which consists of the Risk Management and Compliance organizations. The Chief Executive Officer (“CEO”) appoints, subject to approval by the Risk Committee of the Board (“Board Risk Committee”), the Firm’s Chief Risk Officer (“CRO”) to lead the IRM organization and manage the risk governance structure of the Firm. The framework is subject to approval by the Board Risk Committee in the form of the Risk Governance and Oversight Policy. The Firm’s CRO oversees and delegates authorities to LOB CROs, Firmwide Risk Executives (“FREs”), and the Firm’s Chief Compliance Officer (“CCO”), who each establish Risk Management and Compliance organizations, set the Firm’s risk governance policies and standards, and define and oversee the implementation of the Firm’s risk governance. The LOB CROs are responsible for risks that arise in their LOBs, while FREs oversee risk areas that span across the individual LOBs, functions and regions.

Three lines of defense

The Firm relies upon each area of the Firm giving rise to risk to operate within the parameters identified by the IRM function, and within its own management-identified risk and control standards.

Each LOB and Treasury & CIO, including their aligned Operations, Technology and Control Management, are the Firm’s “first line of defense” and own the identification of risks, as well as the design and execution of controls to manage those risks. The first line of defense is responsible for adherence to applicable laws, rules and regulations and for the implementation of the risk management structure (which may include policy, standards, limits, thresholds and controls) established by IRM.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","81"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

The IRM function is independent of the businesses and is the Firm’s “second line of defense.” The IRM function independently assesses and challenges the first line of defense risk management practices. IRM is also responsible for its own adherence to applicable laws, rules and regulations and for the implementation of policies and standards established by IRM with respect to its own processes.

Internal Audit is an independent function that provides objective assessment on the adequacy and effectiveness of Firmwide processes, controls, governance and risk management as the “third line of defense.” The Internal Audit Function is headed by the General Auditor, who reports to the Audit Committee and administratively to the CEO.

In addition, there are other functions that contribute to the Firmwide control environment but are not considered part of a particular line of defense, including Finance, Human Resources and Legal, and are responsible for adherence to applicable laws, rules and regulations and policies and standards established by IRM with respect to their own processes.

Risk identification and ownership

Each LOB and Corporate owns the ongoing identification of risks, as well as the design and execution of controls, including IRM-specified controls, to manage those risks. To support this activity, the Firm has a formal Risk Identification framework designed to facilitate each LOB and Corporate’s responsibility to identify material risks inherent to the Firm, catalog them in a central repository and review the most material risks on a regular basis. The IRM function reviews and challenges the LOB and Corporate’s identified risks, maintains the central repository and provides the consolidated Firmwide results to the Firmwide Risk Committee (“FRC”) and Board Risk Committee.

Risk appetite

The Firm’s overall appetite for risk is governed by “Risk Appetite” frameworks for quantitative and qualitative risks. Periodically the Firm’s risk appetite is set and approved by senior management (including the CEO and CRO) and approved by the Board Risk Committee. Quantitative and qualitative risks are assessed to monitor and measure the Firm’s capacity to take risk consistent with its stated risk appetite. Risk appetite results are reported to the Board Risk Committee.

[[GREPCENT_TABLE]]
[["82","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Risk governance and oversight structure

The independent status of the IRM function is supported by a governance structure that provides for escalation of risk issues to senior management, the FRC, and the Board of Directors, as appropriate.

The chart below illustrates the committees of the Board of Directors and key senior management-level committees in the Firm’s risk governance structure. In addition, there are other committees, forums and paths of escalation that support the oversight of risk which are not shown in the chart below or described in this Form 10-K.

The Firm’s Operating Committee, which consists of the Firm’s CEO, CRO, CFO, General Counsel, CEOs of the LOBs and other senior executives, is accountable to and may refer matters to the Firm’s Board of Directors. The Operating Committee is responsible for escalating to the Board the information necessary to facilitate the Board’s exercise of its duties.

Board oversight

The Firm’s Board of Directors actively oversees the business and affairs of the Firm. This includes monitoring the Firm’s financial performance and condition and reviewing the strategic objectives and plans of the Firm. The Board carries out a significant portion of its oversight responsibilities through its independent, principal standing committees. The Board Risk Committee is the principal committee that oversees risk matters. The Audit Committee oversees the control environment, and the Compensation & Management Development Committee oversees compensation and other management-related matters. Each committee of the Board oversees reputational risks and conduct risks within its scope of responsibility.

The JPMorgan Chase Bank, N.A. Board of Directors is responsible for the oversight of management of the bank. The JPMorgan Chase Bank, N.A. Board accomplishes this function acting directly and through the principal standing committees of the Firm’s Board of Directors. Risk and control oversight on behalf of JPMorgan Chase Bank N.A. is primarily the responsibility of the Risk Committee and the

Audit Committee, respectively, and, with respect to compensation and other management-related matters, the Compensation & Management Development Committee.

The Board Risk Committee assists the Board in its oversight of management’s responsibility to implement a global risk management framework reasonably designed to identify, assess and manage the Firm’s risks. The Board Risk Committee’s responsibilities include approval of applicable primary risk policies and review of certain associated frameworks, analysis and reporting established by management. Breaches in risk appetite and parameters, issues that may have a material adverse impact on the Firm, including capital and liquidity issues, and other significant risk-related matters are escalated to the Board Risk Committee, as appropriate.

The Audit Committee assists the Board in its oversight of management’s responsibility to ensure that there is an effective system of controls reasonably designed to safeguard the Firm’s assets and income, ensure the integrity of the Firm’s financial statements, and maintain compliance with the Firm’s ethical standards, policies, plans and procedures, and with laws and regulations. It also assists the Board in its oversight of the Firm’s independent registered public accounting firm’s qualifications, independence and performance, and of the performance of the Firm’s Internal Audit function.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","83"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

The Compensation & Management Development Committee (“CMDC”) assists the Board in its oversight of the Firm’s compensation principles and practices. The CMDC reviews and approves the Firm’s compensation and qualified benefits programs. The Committee reviews the performance of Operating Committee members against their goals, and approves their compensation awards. In addition, the CEO’s award is subject to ratification by the independent directors of the Board. The CMDC also reviews the development of and succession for key executives. As part of the Board’s role of reinforcing, demonstrating and communicating the “tone at the top”, the CMDC provides oversight of the Firm’s culture, including reviewing updates from management regarding significant conduct issues and any related actions with respect to employees, including compensation actions.

The Public Responsibility Committee provides oversight and review of the Firm's positions and practices on public responsibility matters such as community investment, fair lending, sustainability, consumer practices and other public policy issues that reflect the Firm's values and character and could impact the Firm's reputation among its stakeholders. The Committee also provides guidance on these matters to management and the Board, as appropriate.

The Corporate Governance & Nominating Committee exercises general oversight with respect to the governance of the Board of Directors. It reviews the qualifications of and recommends to the Board of Directors proposed nominees for election to the Board. The Committee evaluates and recommends to the Board corporate governance practices applicable to the Firm. It also appraises the framework for assessing the Board’s performance and self-evaluation.

Management oversight

The Firm’s senior management-level committees that are primarily responsible for key risk-related functions include:

The Firmwide Risk Committee (“FRC”) is the Firm’s highest management-level risk committee. It provides oversight of the risks inherent in the Firm’s businesses and serves as an escalation point for risk topics and issues raised by underlying committees and/or FRC members.

The Firmwide Control Committee (“FCC”) is an escalation committee for senior management to review and discuss the Firmwide operational risk environment including identified issues, operational risk metrics and significant events that have been escalated.

Line of Business and Regional Risk Committees are responsible for providing oversight of the governance, limits, and controls that are in place within the scope of their respective activities. These committees review the ways in which the particular LOB or the business operating in a particular region could be exposed to adverse outcomes with a focus on identifying, accepting, escalating and/or requiring remediation of matters brought to these committees.

Line of Business and Corporate Function Control Committees oversee the operational risk and control environment of their respective business or function, inclusive of Operational Risk, Compliance and Conduct Risks. As part of that mandate, they are responsible for reviewing indicators of elevated or emerging risks and other data that may impact the level of operating risk in a business or function, addressing key operational risk issues, with an emphasis on processes with control concerns and overseeing control remediation.

The Asset and Liability Committee (“ALCO”) is responsible for overseeing the Firm’s asset and liability management (“ALM”), including the activities and frameworks supporting the management of liquidity risk, balance sheet, interest rate risk, and capital risk.

The Firmwide Valuation Governance Forum (“VGF”) is composed of senior finance and risk executives and is responsible for overseeing the management of risks arising from valuation activities conducted across the Firm.

Risk governance and oversight functions

The Firm manages its risk through risk governance and oversight functions. The scope of a particular function may include one or more drivers, types and/or impacts of risk. For example, Country Risk Management oversees country risk which may be a driver of risk or an aggregation of exposures that could give rise to multiple risk types such as credit or market risk.

The following sections discuss the risk governance and oversight functions in place to manage the risks inherent in the Firm’s business activities.

[[GREPCENT_TABLE]]
[["Risk governance and oversight functions","Page"],["Strategic Risk","85"],["Capital risk","86-96"],["Liquidity risk","97-104"],["Reputation risk","105"],["Consumer Credit Risk","110-116"],["Wholesale credit risk","117-128"],["Investment portfolio risk","132"],["Market risk","133-140"],["Country risk","141-142"],["Operational risk","143-149"],["Compliance Risk","146"],["Conduct risk","147"],["Legal risk","148"],["Estimations and Model risk","149"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["84","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

STRATEGIC RISK MANAGEMENT

Strategic risk is the risk to earnings, capital, liquidity or reputation associated with poorly designed or failed business plans or inadequate response to changes in the operating environment.

Management and oversight

The Operating Committee and the senior leadership of each LOB and Corporate are responsible for managing the Firm’s most significant strategic risks. Strategic risks are overseen by IRM through participation in relevant business reviews, LOB and Corporate senior management meetings, risk and control committees and other relevant governance forums and ongoing discussions. The Board of Directors oversees management’s strategic decisions, and the Board Risk Committee oversees IRM and the Firm’s risk management framework.

In the process of developing business plans and strategic initiatives, LOB and Corporate senior management identify the associated risks that are incorporated into the Firmwide Risk Identification process and their impact on risk appetite.

In addition, IRM conducts a qualitative assessment of the LOB and Corporate strategic initiatives to assess their impact on the risk profile of the Firm.

The Firm’s strategic planning process, which includes the development and execution of strategic initiatives, is one component of managing the Firm’s strategic risk. Guided by the Firm’s How We Do Business Principles (the “Principles”), the Operating Committee and senior management teams in each LOB and Corporate review and update the strategic plan periodically. The process includes evaluating the high-level strategic framework and performance against prior-year initiatives, assessing the operating environment, refining existing strategies and developing new strategies.

These strategic initiatives, along with IRM’s assessment, are incorporated in the Firm’s budget and provided to the Board as part of its review and approval of the Firm’s strategic plan. 

The Firm’s balance sheet strategy, which focuses on risk-adjusted returns, strong capital and robust liquidity, is also a component in the management of strategic risk. Refer to Capital Risk Management on pages 86-96 for further information on capital risk. Refer to Liquidity Risk Management on pages 97-104 for further information on liquidity risk. Refer to Reputation Risk Management on page 105 for further information on reputation risk.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","85"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

CAPITAL RISK MANAGEMENT

Capital risk is the risk the Firm has an insufficient level or composition of capital to support the Firm’s business activities and associated risks during normal economic environments and under stressed conditions.

A strong capital position is essential to the Firm’s business strategy and competitive position. Maintaining a strong balance sheet to manage through economic volatility is considered a strategic imperative of the Firm’s Board of Directors, CEO and Operating Committee. The Firm’s fortress balance sheet philosophy focuses on risk-adjusted returns, strong capital and robust liquidity. The Firm’s capital risk management strategy focuses on maintaining long-term stability to enable the Firm to build and invest in market-leading businesses, including in highly stressed environments. Senior management considers the implications on the Firm’s capital prior to making significant decisions that could impact future business activities. In addition to considering the Firm’s earnings outlook, senior management evaluates all sources and uses of capital with a view to ensuring the Firm’s capital strength.

Capital management oversight

The Firm has a Capital Management Oversight function whose primary objective is to provide independent oversight of capital risk across the Firm.

Capital Management Oversight’s responsibilities include:

•Defining, monitoring and reporting capital risk metrics;

•Establishing, calibrating and monitoring capital risk limits and indicators, including capital risk appetite;

•Developing a process to classify, monitor and report capital limit breaches;

•Performing an assessment of the Firm’s capital management activities, including changes made to the Contingency Capital Plan described below; and

•Conducting assessments of the Firm's regulatory capital framework intended to ensure compliance with applicable regulatory capital rules.

Capital management

Treasury & CIO is responsible for capital management.

The primary objectives of the Firm’s capital management are to:

•Maintain sufficient capital in order to continue to build and invest in the Firm’s businesses through the cycle and in stressed environments;

•Retain flexibility to take advantage of future investment opportunities;

•Promote the Firm’s ability to serve as a source of strength to its subsidiaries;

•Ensure the Firm operates above the minimum regulatory capital ratios as well as maintain “well-capitalized” status for the Firm and its insured depository institution (“IDI”) subsidiaries at all times under applicable regulatory capital requirements;

•Meet capital distribution objectives; and

•Maintain sufficient capital resources to operate throughout a resolution period in accordance with the Firm’s preferred resolution strategy.

The Firm addresses these objectives through:

•Establishing internal minimum capital requirements and maintaining a strong capital governance framework. The internal minimum capital levels consider the Firm’s regulatory capital requirements as well as an internal assessment of capital adequacy, in normal economic cycles and in stress events;

•Retaining flexibility in order to react to a range of potential events; and

•Regular monitoring of the Firm’s capital position and following prescribed escalation protocols, both at the Firm and material legal entity levels.

Governance

Committees responsible for overseeing the Firm’s capital management include the Capital Governance Committee, the ALCO as well as LOB and regional ALCOs, and the CIO, Treasury and Corporate (“CTC”) Risk Committee. In addition, the Board Risk Committee periodically reviews the Firm’s capital risk tolerance. Refer to Firmwide Risk Management on pages 81-84 for additional discussion on the ALCO and other risk-related committees.

Capital planning and stress testing

Comprehensive Capital Analysis and Review

The Federal Reserve requires large Bank Holding Companies (“BHCs”), including the Firm, to submit at least annually a capital plan that has been reviewed and approved by the Board of Directors. The Federal Reserve uses CCAR and other stress testing processes to ensure that large BHCs have sufficient capital during periods of economic and financial stress, and have robust, forward-looking capital assessment and planning processes in place that address each BHC’s unique risks to enable it to absorb losses under certain stress scenarios. Through CCAR, the Federal Reserve evaluates each BHC’s capital adequacy and internal capital adequacy assessment processes (“ICAAP”), as well as its plans to make capital distributions, such as dividend payments or stock repurchases. The Federal Reserve uses results under the severely adverse scenario from its supervisory stress test to determine each firm’s Stress Capital Buffer (“SCB”) requirement for the coming year.

On June 28, 2021, JPMorgan Chase announced that it had completed the 2021 CCAR stress test process. On August 5, 2021, the Federal Reserve affirmed the Firm's 2021 SCB requirement of 3.2% (down from 3.3%) and the Firm's Standardized CET1 capital ratio requirement including regulatory buffers, of 11.2% (down from 11.3%). The 2021 SCB requirement became effective on October 1, 2021 and will remain in effect until September 30, 2022.

[[GREPCENT_TABLE]]
[["86","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Refer to Capital actions on page 94 for information on actions taken by the Firm’s Board of Directors following the 2021 CCAR results.

Internal Capital Adequacy Assessment Process

Annually, the Firm prepares the ICAAP, which informs the Board of Directors of the ongoing assessment of the Firm’s processes for managing the sources and uses of capital as well as compliance with supervisory expectations for capital planning and capital adequacy. The Firm’s ICAAP integrates stress testing protocols with capital planning. The Firm’s Audit Committee is responsible for reviewing and approving the capital stress testing control framework.

Stress testing assesses the potential impact of alternative economic and business scenarios on the Firm’s earnings and capital. Economic scenarios, and the parameters underlying those scenarios, are defined centrally and applied uniformly across the businesses. These scenarios are articulated in terms of macroeconomic factors, which are key drivers of business results; global market shocks, which generate short-term but severe trading losses; and idiosyncratic operational risk events. The scenarios are intended to capture and stress key vulnerabilities and idiosyncratic risks facing the Firm. In addition to CCAR and other periodic stress testing, management also considers tailored stress scenarios and sensitivity analyses, as necessary.

Contingency Capital Plan

The Firm’s Contingency Capital Plan establishes the capital management framework for the Firm and specifies the principles underlying the Firm’s approach towards capital management in normal economic conditions and during stress. The Contingency Capital Plan defines how the Firm calibrates its targeted capital levels and meets minimum capital requirements, monitors the ongoing appropriateness of planned capital distributions, and sets out the capital contingency actions that are expected to be taken or considered at various levels of capital depletion during a period of stress.

Regulatory capital

The Federal Reserve establishes capital requirements, including well-capitalized standards, for the consolidated financial holding company. The OCC establishes similar minimum capital requirements and standards for the Firm’s IDI subsidiaries, including JPMorgan Chase Bank, N.A. The U.S. capital requirements generally follow the Capital Accord of the Basel Committee, as amended from time to time.

Basel III Overview

The capital rules under Basel III establish minimum capital ratios and overall capital adequacy standards for large and internationally active U.S. BHCs and banks, including the Firm and its IDI subsidiaries, including JPMorgan Chase Bank, N.A. The minimum amount of regulatory capital that must be held by BHCs and banks is determined by calculating risk-weighted assets (“RWA”), which are on-balance sheet assets and off-balance sheet exposures,

weighted according to risk. Two comprehensive approaches are prescribed for calculating RWA: a standardized approach (“Basel III Standardized”), and an advanced approach (“Basel III Advanced”). For each of the risk-based capital ratios, the capital adequacy of the Firm is evaluated against the lower of the Standardized or Advanced approaches compared to their respective regulatory capital ratio requirements. The Firm’s Basel III Standardized risk-based ratios are currently more binding than the Basel III Advanced risk-based ratios.

Basel III establishes 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 which largely rely on the use of internal credit models and parameters, whereas for Basel III Standardized, credit risk RWA is generally based on supervisory risk-weightings which vary primarily by counterparty type and asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III Advanced. In addition to the RWA calculated under these approaches, the Firm may supplement such amounts to incorporate management judgment and feedback from its regulators.

Basel III also includes a requirement for Advanced Approaches banking organizations, including the Firm, to calculate the SLR. The Firm’s SLR is currently more binding than the Basel III Standardized-risk-based ratios. Refer to SLR on page 93 for additional information.

COVID-19 Pandemic

The Firm has been impacted by market events as a result of the COVID-19 pandemic, but has remained well-capitalized.

Key Regulatory Developments

CECL regulatory capital transition. The Firm elected to apply the CECL capital transition provisions as permitted by the federal banking agencies which delayed the effects of CECL on regulatory capital for two years until January 1, 2022, followed by a three-year transition period (“CECL capital transition provisions”).

As of December 31, 2021, the capital metrics of the Firm reflected the benefit of the CECL capital transition provisions of $2.9 billion, which will be phased in at 25% per year beginning January 1, 2022.

The CECL capital transition provisions have also been incorporated into Tier 2 capital, adjusted average assets, and total leverage exposure and are also subject to the three-year transition period beginning January 1, 2022.

Refer to Note 1 for further information on the CECL accounting guidance.

Paycheck Protection Program. The federal banking agencies issued a final rule in September 2020 to neutralize the regulatory capital effects of participating in the PPP on risk-based capital ratios by applying a zero percent risk weight to loans originated under the program. The Firm does not

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","87"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

expect to realize material credit losses on PPP loans because the loans are guaranteed by the SBA. As of December 31, 2021, the Firm had $6.7 billion of loans remaining under the program.

Total leverage exposure for purposes of calculating the SLR includes PPP loans as the Firm did not participate in the Federal Reserve’s Paycheck Protection Program Lending Facility, which would have allowed the Firm to exclude them under the final rule.

TLAC Holdings rule. On October 20, 2020, the federal banking agencies issued a final rule prescribing the regulatory capital treatment for holdings of Total Loss-Absorbing Capacity (“TLAC”) debt instruments by certain large banking organizations, such as the Firm and JPMorgan Chase Bank, N.A. This rule expanded the scope of the prior capital deductions rule relating to the holdings of capital instruments of financial institutions to also include TLAC debt instruments issued by systemically important banking organizations. The final rule became effective April 1, 2021 and did not have a material impact on the Firm’s risk-based capital metrics.

Standardized Approach for Counterparty Credit Risk. In November 2019, the U.S. banking regulators adopted a rule implementing “Standardized Approach for Counterparty Credit Risk” (“SA-CCR”), which replaced the current exposure method used to measure derivatives counterparty exposure under Standardized approach RWA, as well as leverage exposure used to calculate the SLR in the regulatory capital framework. The rule applies to Basel III Advanced Approaches banking organizations, such as the Firm and JPMorgan Chase Bank, N.A., with a mandatory compliance date of January 1, 2022.

Based on the derivatives exposure as of December 31, 2021, the adoption of SA-CCR is estimated to increase the Firm’s Standardized RWA by approximately $40 billion and result in a modest decrease in its total leverage exposure. These estimates may differ from the actual impact based on the composition of the Firm’s derivatives exposure as of March 31, 2022.

[[GREPCENT_TABLE]]
[["88","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Risk-based Capital Regulatory Requirements

The following chart presents the Firm’s Basel III CET1 capital ratio requirements under the Basel III rules currently in effect.

All banking institutions are currently required to have a minimum CET1 capital ratio of 4.5% of risk-weighted assets.

Certain banking organizations, including the Firm, are required to hold additional levels of capital to serve as a “capital conservation buffer”. The capital conservation buffer incorporates a global systemically important bank (“GSIB”) surcharge, a discretionary countercyclical capital buffer and a fixed capital conservation buffer of 2.5% for Advanced regulatory capital requirements and a variable SCB requirement, floored at 2.5%, for Standardized regulatory capital requirements.

Under the Federal Reserve’s GSIB rule, the Firm is required to assess its GSIB surcharge on an annual basis under two separately prescribed methods based on data for the previous fiscal year-end, and is subject to the higher of the two. “Method 1”, reflects the GSIB surcharge as prescribed by the Basel Committee’s assessment methodology, and is calculated by the Financial Stability Board (“FSB”) across five criteria: size, cross-jurisdictional activity, interconnectedness, complexity and substitutability. “Method 2”, calculated by the Firm, modifies the Method 1 requirements to include a measure of short-term wholesale funding in place of substitutability, and introduces a GSIB score “multiplication factor”.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","89"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

The following table presents the Firm’s effective GSIB surcharge for the years ended December 31, 2021 and 2020. For 2022, the Firm’s effective GSIB surcharge under both Method 1 and Method 2 remains unchanged at 2.0% and 3.5%, respectively.

[[GREPCENT_TABLE]]
[["","2022","2021","2020"],["Method 1","2.0","%","2.0","%","2.5","%"],["Method 2","3.5","%","3.5","%","3.5","%"]]
[[/GREPCENT_TABLE]]

On November 23, 2021, the FSB released its annual GSIB list based upon data as of December 31, 2020, which announced the Firm’s Method 1 GSIB surcharge of 2.5% (up from 2.0%) effective January 1, 2023, unless the Firm’s Method 1 GSIB surcharge, as determined by the FSB, is lower based upon data as of December 31, 2021.

The Firm’s Method 2 surcharge calculated using data as of December 31, 2020 is 4.0%, which will be effective January 1, 2023. The Firm’s estimated Method 2 surcharge calculated using data as of December 31, 2021 is 4.5%. Accordingly, based on the GSIB rule currently in effect, the Firm’s effective GSIB surcharge is expected to increase to 4.5% on January 1, 2024 unless the Firm’s Method 2 GSIB surcharge calculation based upon data as of December 31, 2022 is lower.

The U.S. federal regulatory capital standards include a framework 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, 2021, the U.S. countercyclical capital buffer remained at 0%. The Federal Reserve will continue to review the buffer at least annually. The buffer can be increased if the Federal Reserve, FDIC and OCC determine that systemic risks are meaningfully above normal and can be calibrated up to an additional 2.5% of RWA subject to a 12-month implementation period.

Failure to maintain regulatory capital equal to or in excess of the risk-based regulatory capital minimum plus the capital conservation buffer (inclusive of the GSIB surcharge) and any countercyclical buffer will result in limitations to the amount of capital that the Firm may distribute, such as through dividends and common share repurchases, as well as certain executive discretionary bonus payments.

The Firm believes that it will operate with a Basel III Standardized CET1 capital ratio between 12.0% and 13.0% in the near term, based on the Basel III capital rules currently in effect, and with consideration for an increase in the GSIB surcharge in 2023.

Total Loss-Absorbing Capacity

The Federal Reserve’s TLAC rule requires the U.S. GSIB top-tier holding companies, including the Firm, to maintain minimum levels of external TLAC and eligible long-term debt (“eligible LTD”). Refer to TLAC on page 95 for additional information.

Leverage-based Capital Regulatory Requirements

Supplementary leverage ratio

Banking organizations subject to the Basel III Advanced approach are currently required to have a minimum SLR of 3.0%. Certain banking organizations, including the Firm, are also required to hold an additional 2.0% leverage buffer.

The SLR is defined as Tier 1 capital under Basel III divided by the Firm’s total leverage exposure. Total leverage exposure is calculated by taking the Firm’s total average on-balance sheet assets, less amounts permitted to be deducted for Tier 1 capital, and adding certain off-balance sheet exposures, such as undrawn commitments and derivatives potential future exposure.

Failure to maintain an SLR equal to or greater than the regulatory requirement will result in limitations on the amount of capital that the Firm may distribute such as through dividends and common share repurchases, as well as on certain executive discretionary bonus payments.

Other regulatory capital

In addition to meeting the capital ratio requirements of Basel III, the Firm and its IDI subsidiaries must also maintain minimum capital and leverage ratios in order to be “well-capitalized” under the regulations issued by the Federal Reserve and the Prompt Corrective Action (“PCA”) requirements of the FDIC Improvement Act (“FDICIA”), respectively. Refer to Note 27 for additional information.

Additional information regarding the Firm’s capital ratios, as well as the U.S. federal regulatory capital standards to which the Firm is subject, is presented in Note 27. Refer to the Firm’s Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for further information on the Firm’s Basel III measures.

[[GREPCENT_TABLE]]
[["90","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

The following tables present the Firm’s risk-based capital metrics under both the Basel III Standardized and Advanced approaches and leverage-based capital metrics.

[[GREPCENT_TABLE]]
[["","Standardized","","Advanced"],["(in millions, except ratios)","December 31, 2021(a)","","December 31, 2020(a)","","Capital ratio requirements(b)","","December 31, 2021(a)","","December 31, 2020(a)","","Capital ratio requirements(b)"],["Risk-based capital metrics:"],["CET1 capital","$","213,942","","","$","205,078","","","","","$","213,942","","","$","205,078"],["Tier 1 capital","246,162","","","234,844","","","","","246,162","","","234,844"],["Total capital","274,900","","","269,923","","","","","265,796","","","257,228"],["Risk-weighted assets","1,638,900","","","1,560,609","","","","","1,547,920","","","1,484,431"],["CET1 capital ratio","13.1","%","","13.1","%","","11.2","%","","13.8","%","","13.8","%","","10.5","%"],["Tier 1 capital ratio","15.0","","","15.0","","","12.7","","","15.9","","","15.8","","","12.0"],["Total capital ratio","16.8","","","17.3","","","14.7","","","17.2","","","17.3","","","14.0"]]
[[/GREPCENT_TABLE]]

(a)The capital metrics reflect the CECL capital transition provisions. Additionally, loans originated under the PPP receive a zero percent risk weight.

(b)Represents minimum requirements and regulatory buffers applicable to the Firm. For the period ended December 31, 2020, the Basel III Standardized CET1, Tier 1, and Total capital ratio requirements applicable to the Firm were 11.3%, 12.8%, and 14.8%, respectively. Refer to Note 27 for additional information.

[[GREPCENT_TABLE]]
[["Three months ended (in millions, except ratios)","December 31, 2021(b)","December 31, 2020(b)(c)","","Capital ratio requirements(d)"],["Leverage-based capital metrics:"],["Adjusted average assets(a)","$","3,782,035","","$","3,353,319"],["Tier 1 leverage ratio","6.5","%","7.0","%","","4.0","%"],["Total leverage exposure","$","4,571,789","","$","3,401,542"],["SLR","5.4","%","6.9","%","","5.0","%"]]
[[/GREPCENT_TABLE]]

(a)Adjusted average assets, for purposes of calculating the leverage ratios, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets.

(b)The capital metrics reflect the CECL capital transition provisions.

(c)Total leverage exposure for purposes of calculating the SLR excludes U.S. Treasury securities and deposits at Federal Reserve Banks, as provided by the rule issued by the Federal Reserve which became effective April 1, 2020 and remained in effect through March 31, 2021. The SLR excluding the relief was 5.8% for the period ended December 31, 2020.

(d)Represents minimum requirements and regulatory buffers applicable to the Firm. Refer to Note 27 for additional information.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","91"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Capital components

The following table presents reconciliations of total stockholders’ equity to Basel III CET1 capital, Tier 1 capital and Total capital as of December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["(in millions)","December 31, 2021","","December 31, 2020"],["Total stockholders\u2019 equity","$","294,127","","","$","279,354"],["Less: Preferred stock","34,838","","","30,063"],["Common stockholders\u2019 equity","259,289","","","249,291"],["Add:"],["Certain deferred tax liabilities(a)","2,499","","","2,453"],["Other CET1 capital adjustments(b)","3,351","","","3,486"],["Less:"],["Goodwill","50,315","","","49,248"],["Other intangible assets","882","","","904"],["Standardized/Advanced CET1 capital","213,942","","","205,078"],["Preferred stock","34,838","","","30,063"],["Less: Other Tier 1 adjustments","2,618","","(e)","297"],["Standardized/Advanced Tier 1 capital","$","246,162","","","$","234,844"],["Long-term debt and other instruments qualifying as Tier 2 capital","$","14,106","","","$","16,645"],["Qualifying allowance for credit losses(c)","15,012","","","18,372"],["Other","(380)","","","62"],["Standardized Tier 2 capital","$","28,738","","","$","35,079"],["Standardized Total capital","$","274,900","","","$","269,923"],["Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital(d)","(9,104)","","","(12,695)"],["Advanced Tier 2 capital","$","19,634","","","$","22,384"],["Advanced Total capital","$","265,796","","","$","257,228"]]
[[/GREPCENT_TABLE]]

(a)Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating CET1 capital.

(b)As of December 31, 2021 and 2020, the impact of the CECL capital transition provision was an increase in CET1 capital of $2.9 billion and $5.7 billion, respectively.

(c)Represents the allowance for credit losses eligible for inclusion in Tier 2 capital up to 1.25% of credit risk RWA, including the impact of the CECL capital transition provision with any excess deducted from RWA.

(d)Represents an adjustment to qualifying allowance for credit losses for the excess of eligible credit reserves over expected credit losses up to 0.6% of credit risk RWA, including the impact of the CECL capital transition provision with any excess deducted from RWA.

(e)Other Tier 1 Capital adjustments included $2.0 billion of Series Z preferred stock called for redemption on December 31, 2021 and subsequently redeemed on February 1, 2022.

Capital rollforward

The following table presents the changes in Basel III CET1 capital, Tier 1 capital and Tier 2 capital for the year ended December 31, 2021.

[[GREPCENT_TABLE]]
[["Year Ended December 31, (in millions)","2021"],["Standardized/Advanced CET1 capital at December 31, 2020","$","205,078"],["Net income applicable to common equity","46,734"],["Dividends declared on common stock","(11,456)"],["Net purchase of treasury stock","(17,231)"],["Changes in additional paid-in capital","21"],["Changes related to AOCI","(8,070)"],["Adjustment related to AOCI(a)","2,972"],["Changes related to other CET1 capital adjustments(b)","(4,106)"],["Change in Standardized/Advanced CET1 capital","8,864"],["Standardized/Advanced CET1 capital at December 31, 2021","$","213,942"],["Standardized/Advanced Tier 1 capital at December 31, 2020","$","234,844"],["Change in CET1 capital(b)","8,864"],["Net issuance of noncumulative perpetual preferred stock","2,775","","(c)"],["Other","(321)"],["Change in Standardized/Advanced Tier 1 capital","11,318"],["Standardized/Advanced Tier 1 capital at December 31, 2021","$","246,162"],["Standardized Tier 2 capital at December 31, 2020","$","35,079"],["Change in long-term debt and other instruments qualifying as Tier 2","(2,539)"],["Change in qualifying allowance for credit losses(b)","(3,360)"],["Other","(442)"],["Change in Standardized Tier 2 capital","(6,341)"],["Standardized Tier 2 capital at December 31, 2021","$","28,738"],["Standardized Total capital at December 31, 2021","$","274,900"],["Advanced Tier 2 capital at December 31, 2020","$","22,384"],["Change in long-term debt and other instruments qualifying as Tier 2","(2,539)"],["Change in qualifying allowance for credit losses(b)","231"],["Other","(442)"],["Change in Advanced Tier 2 capital","(2,750)"],["Advanced Tier 2 capital at December 31, 2021","$","19,634"],["Advanced Total capital at December 31, 2021","$","265,796"]]
[[/GREPCENT_TABLE]]

(a)Includes cash flow hedges and debit valuation adjustment (“DVA”) related to structured notes recorded in AOCI.

(b)Includes the impact of the CECL capital transition provisions.

(c)Net issuance of noncumulative perpetual preferred stock included $2.0 billion of Series Z preferred stock called for redemption on December 31, 2021 and subsequently redeemed on February 1, 2022.

[[GREPCENT_TABLE]]
[["92","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

RWA rollforward

The following table presents changes in the components of RWA under Basel III Standardized and Advanced approaches for the year ended December 31, 2021. The amounts in the rollforward categories are estimates, based on the predominant driver of the change.

[[GREPCENT_TABLE]]
[["","Standardized","","Advanced"],["Year ended December 31, 2021 (in millions)","Credit risk RWA(d)","Market risk RWA","Total RWA","","Credit risk RWA(d)","Market risk RWA","Operational risk RWA","Total RWA"],["December 31, 2020","$","1,464,219","","$","96,390","","$","1,560,609","","","$","1,002,330","","$","96,910","","$","385,191","","$","1,484,431"],["Model & data changes(a)","(2,586)","","(8,309)","","(10,895)","","","(7,675)","","(8,309)","","\u2014","","(15,984)"],["Portfolio runoff(b)","(5,300)","","\u2014","","(5,300)","","","(3,640)","","\u2014","","\u2014","","(3,640)"],["Movement in portfolio levels(c)","87,119","","7,367","","94,486","","","56,027","","6,905","","20,181","","83,113"],["Changes in RWA","79,233","","(942)","","78,291","","","44,712","","(1,404)","","20,181","","63,489"],["December 31, 2021","$","1,543,452","","$","95,448","","$","1,638,900","","","$","1,047,042","","$","95,506","","$","405,372","","$","1,547,920"]]
[[/GREPCENT_TABLE]]

(a)Model & data changes refer to material movements in levels of RWA as a result of revised methodologies and/or treatment per regulatory guidance (exclusive of rule changes).

(b)Portfolio runoff for Credit risk RWA primarily reflects reduced risk from position rolloffs in legacy portfolios in Home Lending.

(c)Movement in portfolio levels (inclusive of rule changes) refers to: for Credit risk RWA, changes in book size, composition and credit quality, market movements, and deductions for excess eligible credit reserves not eligible for inclusion in Tier 2 capital; for Market risk RWA, changes in position, market movements, and changes in the Firm’s regulatory multiplier from Regulatory VaR backtesting exceptions; and for Operational risk RWA, updates to cumulative losses and macroeconomic model inputs.

(d)As of December 31, 2021 and 2020, the Basel III Standardized Credit risk RWA included wholesale and retail off balance-sheet RWA of $218.5 billion and $204.3 billion, respectively; and the Basel III Advanced Credit risk RWA included wholesale and retail off balance-sheet RWA of $188.5 billion and $158.9 billion, respectively.

Refer to the Firm’s Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for further information on Credit risk RWA, Market risk RWA and Operational risk RWA.

Supplementary leverage ratio

The following table presents the components of the Firm’s SLR.

[[GREPCENT_TABLE]]
[["Three months ended(in millions, except ratio)","December 31, 2021","December 31, 2020"],["Tier 1 capital","$","246,162","","$","234,844"],["Total average assets","3,831,655","","3,399,818"],["Less: Regulatory capital adjustments(a)","49,620","","46,499"],["Total adjusted average assets(b)","3,782,035","","3,353,319"],["Add: Off-balance sheet exposures(c)","789,754","","729,978"],["Less: Exclusion for U.S. Treasuries and Federal Reserve Bank deposits","\u2014","","681,755"],["Total leverage exposure","$","4,571,789","","$","3,401,542"],["SLR","5.4","%","6.9","%","(d)"]]
[[/GREPCENT_TABLE]]

(a)For purposes of calculating the SLR, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill, other intangible assets and adjustments for the CECL capital transition provisions.

(b)Adjusted average assets used for the calculation of Tier 1 leverage ratio.

(c)Off-balance sheet exposures are calculated as the average of the three month-end spot balances on applicable regulatory exposures during the reporting quarter. Refer to the Firm’s Pillar 3 Regulatory Capital Disclosures reports for additional information.

(d)The SLR excluding the relief was 5.8% for the period ended December 31, 2020.

Refer to Note 27 for JPMorgan Chase Bank, N.A.’s SLR.

Line of business equity

Each business segment is allocated capital by taking into consideration a variety of factors including capital levels of similarly rated peers and applicable regulatory capital requirements. ROE is measured and internal targets for expected returns are established as key measures of a business segment’s performance.

The Firm’s allocation methodology incorporates Basel III Standardized RWA, Basel III Advanced RWA, the GSIB surcharge, and a simulation of capital in a severe stress environment. As of January 1, 2022, the Firm has changed its line of business capital allocations primarily as a result of changes in RWA for each LOB and to reflect an increase in the Firm’s GSIB surcharge to 4.0% that will be effective January 1, 2023. The assumptions and methodologies used to allocate capital are periodically reassessed and as a result, the capital allocated to the LOBs may change from time to time. 

The following table presents the capital allocated to each business segment.

[[GREPCENT_TABLE]]
[["Line of business equity (Allocated capital)"],["","","","December 31,"],["(in billions)","January 1, 2022","","2021","2020"],["Consumer & Community Banking","$","50.0","","","$","50.0","","$","52.0"],["Corporate & Investment Bank","103.0","","","83.0","","80.0"],["Commercial Banking","25.0","","","24.0","","22.0"],["Asset & Wealth Management","17.0","","","14.0","","10.5"],["Corporate","64.3","","","88.3","","84.8"],["Total common stockholders\u2019 equity","$","259.3","","","$","259.3","","$","249.3"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","93"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Capital actions

Common stock dividends

The Firm’s common stock dividends are planned as part of the Capital Management governance framework in line with the Firm’s capital management objectives.

The Firm’s quarterly common stock dividend is currently $1.00 per share. The Firm’s dividends are subject to approval by the Board of Directors on a quarterly basis.

Refer to Note 21 and Note 26 for information regarding dividend restrictions.

The following table shows the common dividend payout ratio based on net income applicable to common equity.

[[GREPCENT_TABLE]]
[["Year ended December 31,","2021","","2020","","2019"],["Common dividend payout ratio","25","%","","40","%","","31","%"]]
[[/GREPCENT_TABLE]]

Common stock

On December 18, 2020, the Federal Reserve announced that all large banks, including the Firm, could resume share repurchases commencing in the first quarter of 2021. Subsequently, the Firm announced that its Board of Directors authorized a new common share repurchase program for up to $30 billion. As directed by the Federal Reserve, total net repurchases and common stock dividends in the first and second quarters of 2021 were restricted and could not exceed the average of the Firm’s net income for the four preceding calendar quarters.

On June 24, 2021, the Federal Reserve announced that the temporary restrictions on capital distributions would expire on June 30, 2021 as a result of the Firm remaining above its minimum risk-based capital requirements under the 2021 CCAR stress test. Effective July 1, 2021, the Firm became subject to the normal capital distribution restrictions provided under the regulatory capital framework. The Firm continues to be authorized to repurchase common shares under its existing common share repurchase program previously approved by the Board of Directors.

Refer to capital planning and stress testing on pages 86-87 for additional information.

The following table sets forth the Firm’s repurchases of common stock for the years ended December 31, 2021, 2020 and 2019.

[[GREPCENT_TABLE]]
[["Year ended December 31, (in millions)","","2021","","2020(a)","","2019"],["Total number of shares of common stock repurchased","","119.7","","","50.0","","","213.0"],["Aggregate purchase price of common stock repurchases","","$","18,448","","","$","6,397","","","$","24,121"]]
[[/GREPCENT_TABLE]]

(a)On March 15, 2020, in response to the economic disruptions caused by the COVID-19 pandemic, the Firm temporarily suspended repurchases of its common stock. Subsequently, the Federal Reserve directed all large banks, including the Firm, to discontinue net share repurchases through the end of 2020.

The Board of Director’s authorization to repurchase common shares is utilized at management’s discretion, and the timing of purchases and the exact amount of common shares that may be repurchased is subject to various factors, including market conditions; legal and regulatory considerations affecting the amount and timing of repurchase activity; the Firm’s capital position (taking into account goodwill and intangibles); internal capital generation; and alternative investment opportunities. The repurchase program does not include specific price targets or timetables; may be suspended by management at any time; and may be executed through open market purchases or privately negotiated transactions, or utilizing Rule 10b5-1 plans, which are written trading plans that the Firm may enter into from time to time under Rule 10b5-1 of the Securities Exchange Act of 1934 and which allow the Firm to repurchase its common shares during periods when it may otherwise not be repurchasing common shares — for example, during internal trading blackout periods.

Refer to Part II, Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities on page 35 of the 2021 Form 10-K for additional information regarding repurchases of the Firm’s equity securities.

Preferred stock

Preferred stock dividends declared were $1.6 billion for the year ended December 31, 2021.

During the year ended December 31, 2021, the Firm issued and redeemed several series of non-cumulative preferred stock. Additionally, on December 31, 2021, the Firm announced the redemption of $2.0 billion of its fixed-to-floating rate non-cumulative preferred stock, Series Z and subsequently redeemed those securities on February 1, 2022. Refer to Note 21 for additional information on the Firm’s preferred stock, including the issuance and redemption of preferred stock.

[[GREPCENT_TABLE]]
[["94","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Other capital requirements

Total Loss-Absorbing Capacity

The Federal Reserve’s TLAC rule requires the U.S. GSIB top-tier holding companies, including the Firm, to maintain minimum levels of external TLAC and eligible long-term debt.

The external TLAC requirements and the minimum level of eligible long-term debt requirements are shown below:

(a)RWA is the greater of Standardized and Advanced compared to their respective regulatory capital ratio requirements.

Failure to maintain TLAC equal to or in excess of the regulatory minimum plus applicable buffers will result in limitations on the amount of capital that the Firm may distribute, such as through dividends and common share repurchases, as well as on certain executive discretionary bonus payments.

The following table presents the eligible external TLAC and eligible LTD amounts, as well as a representation of the amounts as a percentage of the Firm’s total RWA and total leverage exposure applying the impact of the CECL capital transition provisions as of December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["","December 31, 2021","December 31, 2020(a)"],["(in billions, except ratio)","External TLAC","LTD","External TLAC","LTD"],["Total eligible amount","$","464.6","","$","210.4","","$","421.0","","$","181.4"],["% of RWA","28.4","%","12.8","%","27.0","%","11.6","%"],["Regulatory requirements","22.5","","9.5","","23.0","","9.5"],["Surplus/(shortfall)","$","95.9","","$","54.7","","$","62.1","","$","33.1"],["% of total leverage exposure","10.2","%","4.6","%","12.4","%","5.3","%"],["Regulatory requirements","9.5","","4.5","","9.5","","4.5"],["Surplus/(shortfall)","$","30.3","","$","4.6","","$","97.9","","$","28.3"]]
[[/GREPCENT_TABLE]]

(a)Total leverage exposure excludes U.S. Treasury securities and deposits at Federal Reserve Banks, as provided by the rule issued by the Federal Reserve which became effective April 1, 2020 and remained in effect through March 31, 2021.

Refer to Risk-based Capital Regulatory Requirements on pages 89-90 for further information on the GSIB surcharge.

Refer to Liquidity Risk Management on pages 97-104 for further information on long-term debt issued by the Parent Company.

Refer to Part I, Item 1A: Risk Factors on pages 9-33 of the 2021 Form 10-K for information on the financial consequences to holders of the Firm’s debt and equity securities in a resolution scenario.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","95"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Broker-dealer regulatory capital

J.P. Morgan Securities

JPMorgan Chase’s principal U.S. broker-dealer subsidiary is J.P. Morgan Securities. J.P. Morgan Securities is subject to Rule 15c3-1 under the Securities Exchange Act of 1934 (the “Net Capital Rule”). J.P. Morgan Securities is also registered as a futures commission merchant and is subject to regulatory capital requirements, including those imposed by the SEC, Commodity Futures Trading Commission (“CFTC”), Financial Industry Regulatory Authority (“FINRA”) and the National Futures Association (“NFA”).

J.P. Morgan Securities has elected to compute its minimum net capital requirements in accordance with the “Alternative Net Capital Requirements” of the Net Capital Rule.

The following table presents J.P. Morgan Securities’ net capital:

[[GREPCENT_TABLE]]
[["December 31, 2021"],["(in millions)","Actual","Minimum"],["Net Capital","$","24,581","","$","5,968"]]
[[/GREPCENT_TABLE]]

J.P. Morgan Securities registered with the SEC as a security-based swap dealer effective November 1, 2021 and continues to be registered with the CFTC as a swap dealer. As a result of additional SEC and CFTC capital and financial reporting requirements for security-based swap dealers and swap dealers, J.P. Morgan Securities is subject to alternative minimum net capital requirements and required to hold “tentative net capital” in excess of $5.0 billion (up from $1.0 billion). J.P. Morgan Securities is also required to notify the SEC and CFTC in the event that its tentative net capital is less than $6.0 billion (up from $5.0 billion). Tentative net capital is net capital before deducting market and credit risk charges as defined by the Net Capital Rule. As of December 31, 2021, J.P. Morgan Securities maintained tentative net capital in excess of the minimum

and notification requirements.

J.P. Morgan Securities plc

J.P. Morgan Securities plc is a wholly-owned subsidiary of JPMorgan Chase Bank, N.A. and has authority to engage in banking, investment banking and broker-dealer activities. J.P. Morgan Securities plc is jointly regulated by the U.K. Prudential Regulation Authority (“PRA”) and the Financial Conduct Authority (“FCA”). J.P. Morgan Securities plc is subject to the European Union Capital Requirements Regulation, as adopted in the U.K., and the PRA capital rules, each of which have implemented Basel III and thereby subject J.P. Morgan Securities plc to its requirements.

The Bank of England requires that U.K. banks, including U.K. regulated subsidiaries of overseas groups, maintain a minimum requirement for own funds and eligible liabilities (“MREL”). The MREL requirements were subject to a phased implementation and became fully-phased in on January 1, 2022. As of December 31, 2021, J.P. Morgan Securities plc was compliant with the fully-phased in requirements of the MREL rule.

The following table presents J.P. Morgan Securities plc’s capital metrics:

[[GREPCENT_TABLE]]
[["December 31, 2021"],["(in millions, except ratios)","Estimated","Regulatory Minimum ratios(a)"],["Total capital","$","54,818"],["CET1 ratio","18.5","%","4.5","%"],["Total capital ratio","23.7","%","8.0","%"]]
[[/GREPCENT_TABLE]]

(a)Represents minimum requirements excluding additional capital requirements (i.e. capital buffers) specified by the PRA. J.P. Morgan Securities plc's capital ratios as of December 31, 2021 exceeded the minimum requirements, including the additional capital requirements specified by the PRA.

[[GREPCENT_TABLE]]
[["96","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

LIQUIDITY RISK MANAGEMENT

Liquidity risk is the risk that the Firm will be unable to meet its contractual and contingent financial obligations as they arise or that it does not have the appropriate amount, composition and tenor of funding and liquidity to support its assets and liabilities.

Liquidity risk oversight

The Firm has a Liquidity Risk Oversight function whose primary objective is to provide oversight of liquidity risk across the Firm. Liquidity Risk Oversight’s responsibilities include:

•Defining, monitoring and reporting liquidity risk metrics;

•Independently establishing and monitoring limits and indicators, including liquidity risk appetite;

•Developing a process to classify, monitor and report limit breaches;

•Performing an independent review of liquidity risk management processes;

•Monitoring and reporting internal Firmwide and legal entity liquidity stress tests, regulatory defined metrics, as well as liquidity positions, balance sheet variances and funding activities; and

•Approving or escalating for review new or updated liquidity stress assumptions.

Liquidity management

Treasury & CIO is responsible for liquidity management.

The primary objectives of the Firm’s liquidity management are to:

•Ensure that the Firm’s core businesses and material legal entities are able to operate in support of client needs and meet contractual and contingent financial obligations through normal economic cycles as well as during stress events, and

•Manage an optimal funding mix and availability of liquidity sources.

The Firm addresses these objectives through:

•Analyzing and understanding the liquidity characteristics of the assets and liabilities of the Firm, LOBs and legal entities, taking into account legal, regulatory, and operational restrictions;

•Developing internal liquidity stress testing assumptions;

•Defining and monitoring Firmwide and legal entity-specific liquidity strategies, policies, reporting and contingency funding plans;

•Managing liquidity within the Firm’s approved liquidity risk appetite tolerances and limits;

•Managing compliance with regulatory requirements related to funding and liquidity risk; and

•Setting FTP in accordance with underlying liquidity characteristics of balance sheet assets and liabilities as well as certain off-balance sheet items.

As part of the Firm’s overall liquidity management strategy, the Firm manages liquidity and funding using a centralized, global approach designed to:

•Optimize liquidity sources and uses;

•Monitor exposures;

•Identify constraints on the transfer of liquidity between the Firm’s legal entities; and

•Maintain the appropriate amount of surplus liquidity at a Firmwide and legal entity level, where relevant.

Governance

Committees responsible for liquidity governance include the Firmwide ALCO as well as LOB and regional ALCOs, the Treasurer Committee, and the CTC Risk Committee. In addition, the Board Risk Committee reviews and recommends to the Board of Directors, for formal approval, the Firm’s liquidity risk tolerances, liquidity strategy, and liquidity policy. Refer to Firmwide Risk Management on pages 81-84 for further discussion of ALCO and other risk-related committees.

Internal stress testing

Liquidity stress tests are intended to ensure that the Firm has sufficient liquidity under a variety of adverse scenarios, including scenarios analyzed as part of the Firm’s resolution and recovery planning. Stress scenarios are produced for JPMorgan Chase & Co. (“Parent Company”) and the Firm’s material legal entities on a regular basis, and other stress tests are performed in response to specific market events or concerns. Liquidity stress tests assume all of the Firm’s contractual financial obligations are met and take into consideration:

•Varying levels of access to unsecured and secured funding markets;

•Estimated non-contractual and contingent cash outflows; and

•Potential impediments to the availability and transferability of liquidity between jurisdictions and material legal entities such as regulatory, legal or other restrictions.

Liquidity outflow assumptions are modeled across a range of time horizons and currency dimensions and contemplate both market and idiosyncratic stresses.

Results of stress tests are considered in the formulation of the Firm’s funding plan and assessment of its liquidity position. The Parent Company acts as a source of funding for the Firm through equity and long-term debt issuances, and its intermediate holding company, JPMorgan Chase Holdings LLC (the “IHC”) provides funding support to the ongoing operations of the Parent Company and its subsidiaries. The Firm maintains liquidity at the Parent Company, IHC, and operating subsidiaries at levels sufficient to comply with liquidity risk tolerances and minimum liquidity requirements, and to manage through periods of

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","97"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

stress when access to normal funding sources may be disrupted.

Contingency funding plan

The Firm’s Contingency Funding Plan (“CFP”) sets out the strategies for addressing and managing liquidity resource needs during a liquidity stress event and incorporates liquidity risk limits, indicators and risk appetite tolerances. The CFP also identifies the alternative contingent funding and liquidity resources available to the Firm and its legal entities in a period of stress.

Liquidity Coverage Ratio and HQLA

The LCR rule requires that the Firm and JPMorgan Chase Bank, N.A. maintain an amount of eligible HQLA that is sufficient to meet its estimated total net cash outflows over a prospective 30 calendar-day period of significant stress. Eligible HQLA, for purposes of calculating the LCR, is the amount of unencumbered HQLA that satisfy certain operational considerations as defined in the LCR rule. HQLA primarily consist of cash and certain high-quality liquid securities as defined in the LCR rule.

Under the LCR rule, the amount of eligible HQLA held by JPMorgan Chase Bank, N.A. that is in excess of its stand-alone 100% minimum LCR requirement, and that is not transferable to non-bank affiliates, must be excluded from the Firm’s reported eligible HQLA.

Estimated net cash outflows are based on standardized stress outflow and inflow rates prescribed in the LCR rule, which are applied to the balances of the Firm’s assets, sources of funds, and obligations. The LCR for both the Firm and JPMorgan Chase Bank, N.A. is required to be a minimum of 100%.

The following table summarizes the Firm and JPMorgan Chase Bank, N.A.’s average LCR for the three months ended December 31, 2021, September 30, 2021 and December 31, 2020 based on the Firm’s interpretation of the LCR framework.

[[GREPCENT_TABLE]]
[["","Three months ended"],["Average amount (in millions)","December 31, 2021","September 30, 2021","December 31, 2020"],["JPMorgan Chase & Co.:"],["HQLA"],["Eligible cash(a)","$","703,384","","$","690,013","","$","455,612"],["Eligible securities(b)(c)","34,738","","34,049","","241,447"],["Total HQLA(d)","$","738,122","","$","724,062","","$","697,059"],["Net cash outflows","$","664,801","","$","645,557","","$","634,037"],["LCR","111","%","112","%","110","%"],["Net excess eligible HQLA(d)","$","73,321","","$","78,505","","$","63,022"],["JPMorgan Chase Bank, N.A.:"],["LCR","178","%","174","%","160","%"],["Net excess eligible HQLA","$","555,300","","$","516,374","","$","401,903"]]
[[/GREPCENT_TABLE]]

(a)Represents cash on deposit at central banks, primarily the Federal Reserve Banks.

(b)Predominantly U.S. Treasuries, U.S. GSE and government agency MBS, and sovereign bonds net of applicable haircuts under the LCR rule.

(c)Eligible HQLA securities may be reported in securities borrowed or purchased under resale agreements, trading assets, or investment securities on the Firm’s Consolidated balance sheets.

(d)Excludes average excess eligible HQLA at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates.

The Firm’s average LCR increased during the three months ended December 31, 2021, compared with the prior year period primarily due to long-term debt issuances.

JPMorgan Chase Bank, N.A.’s average LCR increased during the three months ended December 31, 2021, compared with both the three month periods ended September 30, 2021 and December 31, 2020 primarily due to growth in deposits. The increase in excess liquidity in JPMorgan Chase Bank, N.A. is excluded from the Firm’s reported LCR under the LCR rule.

The Firm and JPMorgan Chase Bank, N.A.'s average LCR fluctuates from period to period, due to changes in its eligible HQLA and estimated net cash outflows as a result of ongoing business activity. Refer to the Firm’s U.S. LCR Disclosure reports, which are available on the Firm’s website, for a further discussion of the Firm’s LCR.

[[GREPCENT_TABLE]]
[["98","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Other liquidity sources

In addition to the assets reported in the Firm’s eligible HQLA discussed above, the Firm had unencumbered marketable securities, such as equity and debt securities, that the Firm believes would be available to raise liquidity. This includes excess eligible HQLA securities at JPMorgan Chase Bank, N.A. that are not transferable to non-bank affiliates. The fair value of these securities was approximately $914 billion and $740 billion as of December 31, 2021 and 2020, respectively, although the amount of liquidity that could be raised at any particular time would be dependent on prevailing market conditions. The fair value increased compared to December 31, 2020, due to an increase in excess eligible HQLA at JPMorgan Chase Bank, N.A. which was primarily a result of increased deposits.

The Firm also had available borrowing capacity at FHLBs and the discount window at the Federal Reserve Bank as a result of collateral pledged by the Firm to such banks of approximately $308 billion and $307 billion as of December 31, 2021 and 2020, respectively. This borrowing capacity excludes the benefit of cash and securities reported in the Firm’s eligible HQLA or other unencumbered securities that are currently pledged at the Federal Reserve Bank discount window and other central banks. Although available, the Firm does not view this borrowing capacity at the Federal Reserve Bank discount window and the other central banks as a primary source of liquidity.

NSFR

The net stable funding ratio (“NSFR”) is a liquidity requirement for large banking organizations that is intended to measure the adequacy of “available” and “required” amounts of stable funding over a one-year horizon. On October 20, 2020, the federal banking agencies issued a final NSFR rule under which large banking organizations such as the Firm and JPMorgan Chase Bank, N.A. are required to maintain an NSFR of at least 100% on an ongoing basis. The final NSFR rule became effective on July 1, 2021, and the Firm will be required to publicly disclose its quarterly average NSFR semi-annually beginning in 2023.

As of December 31, 2021, the Firm and JPMorgan Chase Bank, N.A. were compliant with the 100% minimum NSFR, based on the Firm’s current understanding of the final rule.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","99"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Funding

Sources of funds

Management believes that the Firm’s unsecured and secured funding capacity is sufficient to meet its on- and off-balance sheet obligations, which includes both short- and long-term cash requirements.

The Firm funds its global balance sheet through diverse sources of funding including stable deposits, secured and unsecured funding in the capital markets and stockholders’ equity. Deposits are the primary funding source for JPMorgan Chase Bank, N.A. Additionally, JPMorgan Chase Bank, N.A. may access funding through short- or long-term secured borrowings, through the issuance of unsecured

long-term debt, or from borrowings from the IHC. The Firm’s non-bank subsidiaries are primarily funded from long-term unsecured borrowings and short-term secured borrowings, primarily securities loaned or sold under repurchase agreements. Excess funding is invested by Treasury and CIO in the Firm’s investment securities portfolio or deployed in cash or other short-term liquid investments based on their interest rate and liquidity risk characteristics.

Refer to Note 28 for additional information on off–balance sheet obligations.

Deposits

The table below summarizes, by LOB and Corporate, the period-end and average deposit balances as of and for the years ended December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["As of or for the year ended December 31,","","","","Average"],["(in millions)","2021","2020","","2021","2020"],["Consumer & Community Banking","$","1,148,110","","$","958,706","","","$","1,054,956","","$","851,390"],["Corporate & Investment Bank","707,791","","702,215","","","760,048","","655,095"],["Commercial Banking","323,954","","284,263","","","301,343","","237,645"],["Asset & Wealth Management","282,052","","198,755","","","230,296","","161,955"],["Corporate","396","","318","","","511","","666"],["Total Firm","$","2,462,303","","$","2,144,257","","","$","2,347,154","","$","1,906,751"]]
[[/GREPCENT_TABLE]]

Deposits provide a stable source of funding and reduce the Firm’s reliance on the wholesale funding markets. A significant portion of the Firm’s deposits are consumer deposits and wholesale operating deposits, which are both considered to be stable sources of liquidity. Wholesale operating deposits are considered to be stable sources of liquidity because they are generated from customers that maintain operating service relationships with the Firm. Furthermore, certain deposits are covered by insurance protection that provides additional funding stability and results in a benefit to the LCR. Deposit insurance protection may be available to depositors in the countries in which the deposits are placed. For example, the Federal Deposit Insurance Corporation (“FDIC”) provides deposit insurance protection for deposits placed in a U.S. Depository Institution. At December 31, 2021 and 2020, the Firmwide estimated uninsured deposits were $1,489.6 billion and $1,275.9 billion, respectively, primarily reflecting wholesale operating deposits.

Total uninsured deposits include time deposits. The table below presents an estimate of uninsured U.S. and non-U.S. time deposits, and their remaining maturities. The Firm’s estimates of its uninsured U.S. time deposits are based on data that the Firm calculates periodically under applicable FDIC regulations. For purposes of this presentation, all non-U.S. time deposits are deemed to be uninsured.

[[GREPCENT_TABLE]]
[["(in millions)","","December 31, 2021","","December 31, 2020"],["","U.S.","Non-U.S.","","U.S.","Non-U.S."],["Three months or less","","$","29,359","","$","49,342","","","$","23,468","","$","45,648"],["Over three months but within 6 months","","6,235","","2,172","","","4,115","","1,887"],["Over six months but within 12 months","","913","","459","","","3,158","","675"],["Over 12 months","","526","","2,562","","","738","","2,566"],["Total","","$","37,033","","$","54,535","","","$","31,479","","$","50,776"]]
[[/GREPCENT_TABLE]]

The table below shows the loan and deposit balances, the loans-to-deposits ratios, and deposits as a percentage of total liabilities, as of December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["As of December 31, (in billions except ratios)"],["2021","2020"],["Deposits","$","2,462.3","","$","2,144.3"],["Deposits as a % of total liabilities","71","%","69","%"],["Loans","1,077.7","","1,012.9"],["Loans-to-deposits ratio","44","%","47","%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["100","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

The Firm believes that average deposit balances are generally more representative of deposit trends than period-end deposit balances, over time. However, during periods of market disruption those trends could be affected.

Average deposits increased for the year ended December 31, 2021, reflecting significant inflows across the LOBs primarily driven by the effect of certain government actions in response to the COVID-19 pandemic.

In CCB, the increase was also driven by growth from existing and new accounts across both consumer and small business customers.

Refer to the discussion of the Firm’s Business Segment Results and the Consolidated Balance Sheets Analysis on pages 61-80 and pages 55-56, respectively, for further information on deposit and liability balance trends.

The following table provides a summary of the average balances and average interest rates of JPMorgan Chase’s deposits for the years ended December 31, 2021, 2020, and 2019.

[[GREPCENT_TABLE]]
[["(Unaudited) Year ended December 31,","Average balances","","Average interest rates"],["(in millions, except interest rates)","2021","","2020","","2019","","2021","","2020","","2019"],["U.S. offices"],["Noninterest-bearing","$","625,974","","","$","495,722","","","$","386,116","","","NA","","NA","","NA"],["Interest-bearing"],["Demand(a)","324,917","","","269,888","","","195,350","","","0.06","%","","0.25","%","","1.42","%"],["Savings(b)","950,267","","","739,916","","","602,728","","","0.06","","","0.13","","","0.46"],["Time","48,628","","","59,053","","","52,415","","","0.26","","","1.10","","","2.56"],["Total interest-bearing deposits","1,323,812","","","1,068,857","","","850,493","","","0.07","","","0.21","","","0.81"],["Total deposits in U.S. offices","1,949,786","","","1,564,579","","","1,236,609","","","0.05","","","0.15","","","0.56"],["Non-U.S. offices"],["Noninterest-bearing","26,315","","","21,805","","","21,103","","","NA","","NA","","NA"],["Interest-bearing"],["Demand","313,304","","","267,545","","","217,979","","","(0.10)","","","\u2014","","","0.59"],["Savings","\u2014","","","\u2014","","","\u2014","","","\u2014","","","\u2014","","","\u2014"],["Time","57,749","","","52,822","","","47,376","","","(0.09)","","","0.13","","","1.64"],["Total interest-bearing deposits","371,053","","","320,367","","","265,355","","","(0.10)","","","0.02","","","0.78"],["Total deposits in non-U.S. offices","397,368","","","342,172","","","286,458","","","(0.09)","","","0.02","","","0.72"],["Total deposits","$","2,347,154","","","$","1,906,751","","","$","1,523,067","","","0.02","%","","0.12","%","","0.59","%"]]
[[/GREPCENT_TABLE]]

(a)Includes Negotiable Order of Withdrawal (“NOW”) accounts, and certain trust accounts.

(b)Includes Money Market Deposit Accounts (“MMDAs”).

Refer to Note 17 for additional information on deposits.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","101"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

The following table summarizes short-term and long-term funding, excluding deposits, as of December 31, 2021 and 2020, and average balances for the years ended December 31, 2021 and 2020. Refer to the Consolidated Balance Sheets Analysis on pages 55-56 and Note 11 for additional information.

[[GREPCENT_TABLE]]
[["Sources of funds (excluding deposits)"],["As of or for the year ended December 31,","","","","Average"],["(in millions)","2021","2020","","2021","","2020"],["Commercial paper","$","15,108","","$","12,031","","","$","12,285","","","$","12,129"],["Other borrowed funds","9,999","","8,510","","","12,903","","","9,198"],["Federal funds purchased","1,769","","2,446","","","$","2,197","","","2,531"],["Total short-term unsecured funding","$","26,876","","$","22,987","","","$","27,385","","","$","23,858"],["Securities sold under agreements to repurchase(a)","$","189,806","","$","207,877","","","$","250,229","","","$","246,354"],["Securities loaned(a)","2,765","","4,886","","","6,876","","","6,536"],["Other borrowed funds","28,487","","24,667","","(f)","28,138","","(f)","23,812","","(f)"],["Obligations of Firm-administered multi-seller conduits(b)","6,198","","10,523","","","9,283","","","11,430"],["Total short-term secured funding","$","227,256","","$","247,953","","","$","294,526","","","$","288,132"],["Senior notes","$","191,488","","$","166,089","","","$","181,290","","","$","171,509"],["Subordinated debt","20,531","","21,608","","","20,877","","","20,789"],["Structured notes(c)","73,956","","75,325","","","75,152","","","73,056"],["Total long-term unsecured funding","$","285,975","","$","263,022","","","$","277,319","","","$","265,354"],["Credit card securitization(b)","$","2,397","","$","4,943","","","$","3,156","","","$","5,520"],["FHLB advances","11,110","","14,123","","","12,174","","","27,076"],["Other long-term secured funding(d)","3,920","","4,540","","","4,384","","","4,460"],["Total long-term secured funding","$","17,427","","$","23,606","","","$","19,714","","","$","37,056"],["Preferred stock(e)","$","34,838","","$","30,063","","","$","33,027","","","$","29,899"],["Common stockholders\u2019 equity(e)","$","259,289","","$","249,291","","","$","250,968","","","$","236,865"]]
[[/GREPCENT_TABLE]]

(a)Primarily consists of short-term securities loaned or sold under agreements to repurchase.

(b)Included in beneficial interests issued by consolidated variable interest entities on the Firm’s Consolidated balance sheets.

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

(d)Includes long-term structured notes which are secured.

(e)Refer to Capital Risk Management on pages 86-96, Consolidated statements of changes in stockholders’ equity on page 163, Note 21 and Note 22 for additional information on preferred stock and common stockholders’ equity.

(f)Includes nonrecourse advances provided under the Money Market Mutual Fund Liquidity Facility.

Short-term funding

The Firm’s sources of short-term secured funding primarily consist of securities loaned or sold under agreements to repurchase. These instruments are secured predominantly by high-quality securities collateral, including government-issued debt and U.S. GSE and government agency MBS. Securities sold under agreements to repurchase decreased at December 31, 2021, compared with December 31, 2020, due to lower secured financing of AFS investment securities in Treasury and CIO, and trading assets in CIB Markets.

The balances associated with securities loaned or sold under agreements to repurchase fluctuate over time due to investment and financing activities of clients, the Firm’s demand for financing, the ongoing management of the mix of the Firm’s liabilities, including its secured and unsecured financing (for both the investment securities and market-making portfolios), and other market and portfolio factors.

The Firm’s sources of short-term unsecured funding primarily consist of issuances of wholesale commercial paper and other borrowed funds. The increase in commercial paper at December 31, 2021, from December 31, 2020 was due to higher net issuance primarily for short-term liquidity management.

The increase in unsecured other borrowed funds at December 31, 2021 from December 31, 2020, and for the average year ended December 31, 2021 compared to the prior year period, was primarily due to net issuances of structured notes.

[[GREPCENT_TABLE]]
[["102","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Long-term funding and issuance

Long-term funding provides an additional source of stable funding and liquidity for the Firm. The Firm’s long-term funding plan is driven primarily by expected client activity, liquidity considerations, and regulatory requirements, including TLAC. Long-term funding objectives include maintaining diversification, maximizing market access and optimizing funding costs. The Firm evaluates various funding markets, tenors and currencies in creating its optimal long-term funding plan.

The significant majority of the Firm’s long-term unsecured funding is issued by the Parent Company to provide flexibility in support of both bank and non-bank subsidiary funding needs. The Parent Company advances substantially all net funding proceeds to its subsidiary, the IHC. The IHC does not issue debt to external counterparties. The following table summarizes long-term unsecured issuance and maturities or redemptions for the years ended December 31, 2021 and 2020. Refer to Note 20 for additional information on the IHC and long-term debt.

[[GREPCENT_TABLE]]
[["Long-term unsecured funding"],["Year ended December 31,","2021","2020","","2021","2020"],["(Notional in millions)","Parent Company","","Subsidiaries"],["Issuance"],["Senior notes issued in the U.S. market","$","39,500","","$","25,500","","","$","\u2014","","$","60"],["Senior notes issued in non-U.S. markets","5,581","","1,355","","","\u2014","","\u2014"],["Total senior notes","45,081","","26,855","","","\u2014","","60"],["Subordinated debt","\u2014","","3,000","","","\u2014","","\u2014"],["Structured notes(a)","4,113","","7,596","","","32,714","","24,185"],["Total long-term unsecured funding \u2013 issuance","$","49,194","","$","37,451","","","$","32,714","","$","24,245"],["Maturities/redemptions"],["Senior notes","$","10,840","","$","28,719","","","$","65","","$","7,701"],["Subordinated debt","9","","135","","","\u2014","","\u2014"],["Structured notes","4,694","","5,340","","","33,023","","30,002"],["Total long-term unsecured funding \u2013 maturities/redemptions","$","15,543","","$","34,194","","","$","33,088","","$","37,703"]]
[[/GREPCENT_TABLE]]

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

The Firm can also raise secured long-term funding through securitization of consumer credit card loans and FHLB advances. The following table summarizes the securitization issuance and FHLB advances and their respective maturities or redemptions for the years ended December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["Long-term secured funding"],["Year ended December 31,","Issuance","","Maturities/Redemptions"],["(in millions)","2021","2020","","2021","2020"],["Credit card securitization","$","\u2014","","$","1,000","","","$","2,550","","$","2,525"],["FHLB advances","\u2014","","15,000","","","3,011","","29,509"],["Other long-term secured funding(a)","525","","1,130","","","741","","1,048"],["Total long-term secured funding","$","525","","$","17,130","","","$","6,302","","$","33,082"]]
[[/GREPCENT_TABLE]]

(a)Includes long-term structured notes which are secured.

The Firm’s wholesale businesses also securitize loans for client-driven transactions; those client-driven loan securitizations are not considered to be a source of funding for the Firm and are not included in the table above. Refer to Note 14 for a further description of client-driven loan securitizations.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","103"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Credit ratings

The cost and availability of financing are influenced by credit ratings. Reductions in these ratings could have an adverse effect on the Firm’s access to liquidity sources, increase the cost of funds, trigger additional collateral or funding requirements and decrease the number of investors and counterparties willing to lend to the Firm. The nature and magnitude of the impact of ratings downgrades depends on numerous contractual and behavioral factors,

which the Firm believes are incorporated in its liquidity risk and stress testing metrics. The Firm believes that it

maintains sufficient liquidity to withstand a potential decrease in funding capacity due to ratings downgrades.

Additionally, the Firm’s funding requirements for VIEs and other third-party commitments may be adversely affected by a decline in credit ratings. Refer to liquidity risk and credit-related contingent features in Note 5 for additional information on the impact of a credit ratings downgrade on the funding requirements for VIEs, and on derivatives and collateral agreements.

The credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries as of December 31, 2021 were as follows:

[[GREPCENT_TABLE]]
[["","JPMorgan Chase & Co.","","JPMorgan Chase Bank, N.A.","","J.P. Morgan Securities LLC J.P. Morgan Securities plc"],["December 31, 2021","Long-term issuer","Short-term issuer","Outlook","","Long-term issuer","Short-term issuer","Outlook","","Long-term issuer","Short-term issuer","Outlook"],["Moody\u2019s Investors Service(a)","A2","P-1","Positive/Stable","","Aa2","P-1","Stable","","Aa3","P-1","Stable"],["Standard & Poor\u2019s(b)","A-","A-2","Positive","","A+","A-1","Positive","","A+","A-1","Positive"],["Fitch Ratings(c)","AA-","F1+","Stable","","AA","F1+","Stable","","AA","F1+","Stable"]]
[[/GREPCENT_TABLE]]

(a) On July 12, 2021, Moody’s revised the outlook of the Parent Company’s long-term issuer rating from stable to positive. The outlook for the Parent Company’s short-term issuer rating and the Firm's principal bank and non-bank subsidiaries remained unchanged at stable.

(b) On May 24, 2021, Standard & Poor's affirmed the credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries, and revised the outlook from stable to positive.

(c) On April 23, 2021, Fitch affirmed the credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries, and revised the outlook from negative to stable.

JPMorgan Chase’s unsecured debt does not contain requirements that 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 Firm’s credit ratings, financial ratios, earnings, or stock price.

Critical factors in maintaining high credit ratings include a stable and diverse earnings stream, strong capital and liquidity ratios, strong credit quality and risk management controls, and diverse funding sources. Rating agencies continue to evaluate economic and geopolitical trends, regulatory developments, future profitability, risk management practices, and litigation matters, as well as their broader ratings methodologies. Changes in any of these factors could lead to changes in the Firm’s credit ratings.

[[GREPCENT_TABLE]]
[["104","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

REPUTATION RISK MANAGEMENT

Reputation risk is the risk that an action or inaction may negatively impact perception of the Firm’s integrity and reduce confidence in the Firm’s competence by various constituents, including clients, counterparties, customers, investors, regulators, employees, communities or the broader public.

Organization and management

Reputation Risk Management establishes the governance framework for managing reputation risk across the Firm’s LOBs and Corporate. As reputation risk is inherently challenging to identify, manage, and quantify, a reputation risk management function is particularly important.

The Firm’s reputation risk management function includes the following activities:

•Maintaining a Firmwide Reputation Risk Governance policy and standard consistent with the reputation risk framework

•Overseeing the governance execution through processes and infrastructure that support consistent identification, escalation, management and monitoring of reputation risk issues Firmwide

The types of events that result in reputation risk are wide-ranging and may be introduced by the Firm’s employees and the clients, customers and counterparties with which the Firm does business. These events could result in financial losses, litigation and regulatory fines, as well as other harm to the Firm.

Governance and oversight

The Reputation Risk Governance policy establishes the principles for managing reputation risk for the Firm. It is the responsibility of employees in each LOB and Corporate to consider the reputation of the Firm when deciding whether to offer a new product, engage in a transaction or client relationship, enter a new jurisdiction, initiate a business process or consider any other activity. Sustainability, social responsibility and environmental impacts are important considerations in assessing the Firm’s reputation risk, and are a component of the Firm’s reputation risk governance.

Reputation risk issues deemed material are escalated as appropriate.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","105"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

CREDIT AND INVESTMENT RISK MANAGEMENT

Credit and investment risk is the risk associated with the default or change in credit profile of a client, counterparty or customer; or loss of principal or a reduction in expected returns on investments, including consumer credit risk, wholesale credit risk, and investment portfolio risk.

Credit risk management

Credit risk is the risk associated with the default or change in credit profile of a client, counterparty or customer. The Firm provides credit to a variety of customers, ranging from large corporate and institutional clients to individual consumers and small businesses. In its consumer businesses, the Firm is exposed to credit risk primarily through its home lending, credit card, auto, and business banking businesses. In its wholesale businesses, the Firm is exposed to credit risk through its underwriting, lending, market-making, and hedging activities with and for clients and counterparties, as well as through its operating services activities (such as cash management and clearing activities), and securities financing activities. The Firm is also exposed to credit risk through its investment securities portfolio and cash placed with banks.

Credit Risk Management monitors, measures and manages credit risk throughout the Firm and defines credit risk policies and procedures. The Firm’s credit risk management governance includes the following activities:

•Maintaining a credit risk policy framework

•Monitoring, measuring and managing credit risk across all portfolio segments, including transaction and exposure approval

•Setting industry and geographic concentration limits, as appropriate, and establishing underwriting guidelines

•Assigning and managing credit authorities in connection with the approval of credit exposure

•Managing criticized exposures and delinquent loans, and

•Estimating credit losses and supporting appropriate credit risk-based capital management

Risk identification and measurement

To measure credit risk, the Firm employs several methodologies for estimating the likelihood of obligor or counterparty default. Methodologies for measuring credit risk vary depending on several factors, including type of asset (e.g., consumer versus wholesale), risk measurement parameters (e.g., delinquency status and borrower’s credit score versus wholesale risk-rating) and risk management and collection processes (e.g., retail collection center versus centrally managed workout groups). Credit risk measurement is based on the probability of default of an obligor or counterparty, the loss severity given a default event and the exposure at default.

Based on these factors and the methodology and estimates described in Note 13 and Note 10, the Firm estimates credit losses for its exposures. The allowance for loan losses reflects estimated credit losses related to the consumer and wholesale held-for-investment loan portfolios, the allowance for lending-related commitments reflects estimated credit losses related to the Firm’s lending-related commitments and the allowance for investment securities reflects estimated credit losses related to the investment securities portfolio. Refer to Note 13, Note 10 and Critical Accounting Estimates used by the Firm on pages 150-153 for further information.

In addition, potential and unexpected credit losses are reflected in the allocation of credit risk capital and represent the potential volatility of actual losses relative to the established allowances for loan losses and lending-related commitments. The analyses for these losses include stress testing that considers alternative economic scenarios as described below.

Stress testing

Stress testing is important in measuring and managing credit risk in the Firm’s credit portfolio. The stress testing process assesses the potential impact of alternative economic and business scenarios on estimated credit losses for the Firm. Economic scenarios and the underlying parameters are defined centrally, articulated in terms of macroeconomic factors and applied across the businesses. The stress test results may indicate credit migration, changes in delinquency trends and potential losses in the credit portfolio. In addition to the periodic stress testing processes, management also considers additional stresses outside these scenarios, including industry and country- specific stress scenarios, as necessary. The Firm uses stress testing to inform decisions on setting risk appetite both at a Firm and LOB level, as well as to assess the impact of stress on individual counterparties.

[[GREPCENT_TABLE]]
[["106","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Risk monitoring and management

The Firm has developed policies and practices that are designed to preserve the independence and integrity of the approval and decision-making process for extending credit to ensure credit risks are assessed accurately, approved properly, monitored regularly and managed actively at both the transaction and portfolio levels. The policy framework establishes credit approval authorities, concentration limits, risk-rating methodologies, portfolio review parameters and guidelines for management of distressed exposures. In addition, certain models, assumptions and inputs used in evaluating and monitoring credit risk are independently validated by groups that are separate from the LOBs.

Consumer credit risk is monitored for delinquency and other trends, including any concentrations at the portfolio level, as certain of these trends can be addressed through changes in underwriting policies and portfolio guidelines. Consumer Risk Management evaluates delinquency and other trends against business expectations, current and forecasted economic conditions, and industry benchmarks. Historical and forecasted economic performance and trends are incorporated into the modeling of estimated consumer credit losses and are part of the monitoring of the credit risk profile of the portfolio.

Wholesale credit risk is monitored regularly at an aggregate portfolio, industry, and individual client and counterparty level with established concentration limits that are reviewed and revised periodically as deemed appropriate by management. Industry and counterparty limits, as measured in terms of exposure and economic risk appetite, are subject to stress-based loss constraints. Wrong-way risk is the risk that exposure to a counterparty is positively correlated with the impact of a default by the same counterparty, which could cause exposure to increase at the same time as the counterparty’s capacity to meet its obligations is decreasing.

Management of the Firm’s wholesale credit risk exposure is accomplished through a number of means, including:

•Loan underwriting and credit approval processes

•Loan syndications and participations

•Loan sales and securitizations

•Credit derivatives

•Master netting agreements, and

•Collateral and other risk-reduction techniques

In addition to Credit Risk Management, an independent Credit Review function is responsible for:

•Independently validating or changing the risk grades assigned to exposures in the Firm’s wholesale credit     portfolio, and assessing the timeliness of risk grade changes initiated by responsible business units; and

•Evaluating the effectiveness of the credit management processes of the LOBs and Corporate, including the adequacy of credit analyses and risk grading/loss given default (“LGD”) rationales, proper monitoring and management of credit exposures, and compliance with applicable grading policies and underwriting guidelines.

Refer to Note 12 for further discussion of consumer and wholesale loans.

Risk reporting

To enable monitoring of credit risk and effective decision-making, aggregate credit exposure, credit quality forecasts, concentration levels and risk profile changes are reported regularly to senior members of Credit Risk Management. Detailed portfolio reporting of industry, clients, counterparties and customers, product and geography are prepared, and the appropriateness of the allowance for credit losses is reviewed by senior management at least on a quarterly basis. Through the risk reporting and governance structure, credit risk trends and limit exceptions are provided regularly to, and discussed with, risk committees, senior management and the Board of Directors.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","107"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

CREDIT PORTFOLIO

Credit risk is the risk associated with the default or change in credit profile of a client, counterparty or customer.

In the following tables, total loans include loans retained (i.e., held-for-investment); loans held-for-sale; and certain loans accounted for at fair value. The following tables do not include loans which the Firm accounts for at fair value and classifies as trading assets; refer to Notes 2 and 3 for further information regarding these loans. Refer to Notes 12, 28, and 5 for additional information on the Firm’s loans, lending-related commitments and derivative receivables, including the Firm’s related accounting policies.

Refer to Note 10 for information regarding the credit risk inherent in the Firm’s investment securities portfolio; and refer to Note 11 for information regarding credit risk inherent in the securities financing portfolio. Refer to Consumer Credit Portfolio on pages 110-116 and Note 12 for further discussions of the consumer credit environment and consumer loans. Refer to Wholesale Credit Portfolio on pages 117-128 and Note 12 for further discussions of the wholesale credit environment and wholesale loans.

[[GREPCENT_TABLE]]
[["Total credit portfolio"],["December 31, (in millions)","Credit exposure","","Nonperforming(d)(e)"],["2021","2020","","2021","2020"],["Loans retained","$","1,010,206","","$","960,506","","","$","6,932","","$","8,782"],["Loans held-for-sale","8,688","","7,873","","","48","","284"],["Loans at fair value","58,820","","44,474","","","815","","1,507"],["Total loans","1,077,714","","1,012,853","","","7,795","","10,573"],["Derivative receivables","57,081","","75,444","","(c)","316","","56"],["Receivables from customers(a)","59,645","","47,710","","","\u2014","","\u2014"],["Total credit-related assets","1,194,440","","1,136,007","","","8,111","","10,629"],["Assets acquired in loan satisfactions"],["Real estate owned","NA","NA","","213","","256"],["Other","NA","NA","","22","","21"],["Total assets acquired in loan satisfactions","NA","NA","","235","","277"],["Lending-related commitments","1,262,313","","1,165,688","","","764","","577"],["Total credit portfolio","$","2,456,753","","$","2,301,695","","","$","9,110","","$","11,483"],["Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)","$","(22,218)","","$","(23,965)","","","$","\u2014","","$","\u2014"],["Liquid securities and other cash collateral held against derivatives","(10,102)","","(14,806)","","","NA","NA"]]
[[/GREPCENT_TABLE]]

(a)    Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM; these are reported within accrued interest and accounts receivable on the Consolidated balance sheets.

(b)    Represents the net notional amount of protection purchased and sold through credit derivatives and credit-related notes used to manage credit exposures.

(c) Prior-period amount has been revised to conform with the current presentation.

(d)    At December 31, 2021 and 2020, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $623 million and $874 million, respectively, and real estate owned (“REO”) insured by U.S. government agencies of $5 million and $9 million, respectively. These amounts have been excluded based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance.

(e) At December 31, 2021, nonaccrual loans excluded $633 million of PPP loans 90 or more days past due and guaranteed by the SBA.

The following table provides information on Firmwide nonaccrual loans to total loans.

[[GREPCENT_TABLE]]
[["December 31, (in millions, except ratios)","2021","","2020"],["Total nonaccrual loans","$","7,795","","","$","10,573"],["Total loans","1,077,714","","","1,012,853"],["Firmwide nonaccrual loans to total loans outstanding","0.72","%","","1.04","%"]]
[[/GREPCENT_TABLE]]

The following table provides information about the Firm’s net charge-offs and recoveries.

[[GREPCENT_TABLE]]
[["Year ended December 31, (in millions, except ratios)","","2021","2020"],["Net charge-offs","","$","2,865","","$","5,259"],["Average retained loans","","965,271","","958,303"],["Net charge-off rates","","0.30","%","0.55","%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["108","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Customer and client assistance

The Firm provided various forms of assistance to customers and clients impacted by the COVID-19 pandemic, including payment deferrals and covenant modifications. The majority of the Firm’s COVID-19 related loan modifications have not been considered troubled debt restructurings (“TDRs”). Assistance provided in response to the COVID-19 pandemic could delay the recognition of delinquencies, nonaccrual status, and net charge-offs for those customers and clients who would have otherwise moved into past due or nonaccrual status. Refer to Consumer Credit Portfolio on pages 110-116 and Wholesale Credit Portfolio on pages 117-128 for information on loan modifications as of December 31, 2021. Refer to Notes 12 and 13 for further information on the Firm’s accounting policies for loan modifications and the allowance for credit losses.

Paycheck Protection Program

The PPP, established by the CARES Act and implemented by the SBA, provided the Firm with delegated authority to process and originate PPP loans. When certain criteria are met, PPP loans are subject to forgiveness and the Firm will receive payment of the forgiveness amount from the SBA. PPP loans have a contractual term of two or five years and provide borrowers with an automatic payment deferral of principal and interest. The SBA will pay accrued interest through the payment deferral period and additional interest up to a maximum of 120 days past due. Based upon these servicing guidelines, the Firm continues to accrue interest for PPP loans 90 or more days past due until delinquency reaches 120 days past due. PPP processing fees are deferred and accreted into interest income over the contractual life of the loans, but may be accelerated upon forgiveness or prepayment.

At December 31, 2021 and 2020, the Firm had $6.7 billion and $27.2 billion, respectively, of PPP loans, including $5.4 billion and $19.2 billion, respectively, in consumer, and $1.3 billion and $8.0 billion, respectively, in wholesale. The PPP ended for new applications on May 31, 2021.

As of December 31, 2021, approximately $34 billion of PPP loans have been repaid through payments of forgiveness amounts to the Firm from the SBA. During the year ended December 31, 2021, this resulted in accelerated recognition in interest income of the associated deferred processing fees, primarily in CCB.

At December 31, 2021, $633 million of PPP loans 90 or more days past due have been excluded from the Firm’s nonaccrual loans as they are guaranteed by the SBA.

Refer to CCB segment results on pages 63-66 and Note 12 for a further discussion of the PPP.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","109"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

CONSUMER CREDIT PORTFOLIO

The Firm’s retained consumer portfolio consists primarily of residential real estate loans, credit card loans, scored auto and business banking loans, as well as associated lending-related commitments. The Firm’s focus is on serving primarily the prime segment of the consumer credit market. Originated mortgage loans are retained in the residential real estate portfolio, securitized or sold to U.S. government agencies and U.S. government-sponsored enterprises; other types of consumer loans are typically retained on the balance sheet. The credit performance of the consumer portfolio, including net charge-offs continued to benefit from the improvement in the macroeconomic environment during 2021. Refer to Note 12 for further information on the consumer loan portfolio. Refer to Note 28 for further information on lending-related commitments.

[[GREPCENT_TABLE]]
[["110","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

The following tables present consumer credit-related information with respect to the scored credit portfolio held in CCB, AWM, CIB and Corporate.

[[GREPCENT_TABLE]]
[["Consumer credit portfolio"],["December 31, (in millions)","Credit exposure","","Nonaccrual loans(j)(k)(l)"],["2021","2020","","2021","2020"],["Consumer, excluding credit card"],["Residential real estate(a)","$","224,795","","$","225,302","","","$","4,759","","$","5,313"],["Auto and other(b)(c)(d)","70,761","","76,825","","","119","","151"],["Total loans - retained","295,556","","302,127","","","4,878","","5,464"],["Loans held-for-sale","1,287","","1,305","","","\u2014","","\u2014"],["Loans at fair value(e)","26,463","","15,147","","","472","","1,003"],["Total consumer, excluding credit card loans","323,306","","318,579","","","5,350","","6,467"],["Lending-related commitments(f)","45,334","","57,319"],["Total consumer exposure, excluding credit card","368,640","","375,898"],["Credit Card"],["Loans retained(g)","154,296","","143,432","","","NA","NA"],["Loans held-for-sale","\u2014","","784","","","NA","NA"],["Total credit card loans","154,296","","144,216","","","NA","NA"],["Lending-related commitments(f)(h)","730,534","","658,506"],["Total credit card exposure(h)","884,830","","802,722"],["Total consumer credit portfolio(h)","$","1,253,470","","$","1,178,620","","","$","5,350","","$","6,467"],["Credit-related notes used in credit portfolio management activities(i)","$","(2,028)","","$","(747)"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["","Year ended December 31,"],["(in millions, except ratios)","Net charge-offs/(recoveries)","","Average loans - retained","","Net charge-off/(recovery) rate(m)"],["2021","2020","","2021","2020","","2021","2020"],["Consumer, excluding credit card"],["Residential real estate","$","(275)","","$","(164)","","","$","220,914","","$","235,300","","","(0.12)","%","(0.07)","%"],["Auto and other","286","","338","","","77,900","","66,705","","","0.37","","0.51"],["Total consumer, excluding credit card - retained","11","","174","","","298,814","","302,005","","","\u2014","","0.06"],["Credit card - retained","2,712","","4,286","","","139,900","","146,391","","","1.94","","2.93"],["Total consumer - retained","$","2,723","","$","4,460","","","$","438,714","","$","448,396","","","0.62","%","0.99","%"]]
[[/GREPCENT_TABLE]]

(a)Includes scored mortgage and home equity loans held in CCB and AWM, and scored mortgage loans held in Corporate.

(b)At December 31, 2021 and 2020, excluded operating lease assets of $17.1 billion and $20.6 billion, respectively. These operating lease assets are included in other assets on the Firm’s Consolidated balance sheets. Refer to Note 18 for further information.

(c)Includes scored auto and business banking loans and overdrafts.

(d)At December 31, 2021 and 2020, included $5.4 billion and $19.2 billion of loans, respectively, in Business Banking under the PPP. The Firm does not expect to realize material credit losses on PPP loans because the loans are guaranteed by the SBA. Refer to Credit Portfolio on pages 108-109 for a further discussion of the PPP.

(e)Includes scored mortgage loans held in CCB and CIB.

(f)Credit card, home equity and certain business banking lending-related commitments represent the total available lines of credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit would be used at the same time. For credit card commitments, and if certain conditions are met, home equity commitments and certain business banking commitments, the Firm can reduce or cancel these lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice. Refer to Note 28 for further information.

(g)Includes billed interest and fees.

(h)Also includes commercial card lending-related commitments primarily in CB and CIB.

(i)Represents the notional amount of protection obtained through the issuance of credit-related notes that reference certain pools of residential real estate and auto loans in the retained consumer portfolio.

(j)At December 31, 2021 and 2020, nonaccrual loans excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $623 million and $874 million, respectively. These amounts have been excluded from nonaccrual loans based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status, as permitted by regulatory guidance.

(k)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent at time of exit.

(l)At December 31, 2021, nonaccrual loans excluded $506 million of PPP loans 90 or more days past due and guaranteed by the SBA.

(m)Average consumer loans held-for-sale and loans at fair value were $29.1 billion and $18.3 billion for the years ended December 31, 2021 and 2020, respectively. These amounts were excluded when calculating net charge-off/(recovery) rates.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","111"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Maturities and sensitivity to changes in interest rates

The table below sets forth loan maturities and the distribution between fixed and floating interest rates based on the stated terms of the loan agreements.

[[GREPCENT_TABLE]]
[["December 31, 2021 (in millions)","Within 1 year","","1-5 years","","5-15 years","","After 15 years","","Total"],["Consumer, excluding credit card"],["Residential real estate","$","132","","","$","615","","","$","21,481","","","$","230,078","","","$","252,306"],["Auto and other","3,819","","(b)","42,370","","","24,771","","","40","","","71,000"],["Total consumer, excluding credit card loans","3,951","","","42,985","","","46,252","","","230,118","","","323,306"],["Total credit card loans","153,354","","","942","","(a)","\u2014","","","\u2014","","","154,296"],["Total consumer loans","$","157,305","","","$","43,927","","","$","46,252","","","$","230,118","","","$","477,602"],["Loans due after one year at fixed interest rates"],["Residential real estate","","","$","388","","","$","10,991","","","$","155,510"],["Auto and other","","","42,275","","","24,376","","","36"],["Credit card","","","942","","","\u2014","","","\u2014"],["Loans due after one year at variable interest rates(a)"],["Residential real estate","","","227","","","10,490","","","74,568"],["Auto and other","","","95","","","395","","","4"],["Total consumer loans","","","$","43,927","","","$","46,252","","","$","230,118"]]
[[/GREPCENT_TABLE]]

(a)Credit card loans with maturities greater than one year represent TDRs and are at fixed interest rates. There are no credit card loans due after one year at variable interest rates.

(b)Includes overdrafts.

Consumer assistance

In March 2020, the Firm began providing assistance to customers in response to the COVID-19 pandemic, predominantly in the form of payment deferrals.

As of December 31, 2021 and 2020, the Firm had approximately $1.3 billion and $10.7 billion, respectively, of retained consumer loans under payment deferral programs, predominantly in residential real estate, compared to approximately $28.3 billion at June 30, 2020. During the fourth quarter of 2021, there were approximately $386 million of new enrollments in consumer payment deferral programs. Predominantly all borrowers that exited payment deferral programs are current. The Firm continues to monitor the credit risk associated with loans subject to payment deferrals throughout the deferral period and on an ongoing basis after the borrowers are required to resume making regularly scheduled payments, and considers expected losses of principal and accrued interest on these loans in its allowance for credit losses.

Of the $1.3 billion of retained loans under payment deferral programs as of December 31, 2021, approximately $611 million were accounted for as TDRs prior to payment deferral and approximately $40 million were accounted for as TDRs because they did not qualify for or the Firm did not elect to suspend TDR accounting guidance under the option provided by the CARES Act, as extended by the Consolidated Appropriations Act and which expired on January 1, 2022. Borrowers that are unable to resume or continue making payments in accordance with the original or modified contractual terms of their agreements upon exit from deferral programs will be placed on nonaccrual status in line with the Firm’s nonaccrual policy, except for credit cards as permitted by regulatory guidance, and the loans charged off or down in accordance with the Firm’s charge-off policies. Refer to Note 12 for additional information on the Firm’s nonaccrual and charge-off policies.

[[GREPCENT_TABLE]]
[["112","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Consumer, excluding credit card

Portfolio analysis

Loans increased from December 31, 2020 driven by higher residential real estate loans at fair value, largely offset by lower auto and other loans.

The following discussions provide information concerning individual loan products. Refer to Note 12 for further information about this portfolio, including information about delinquencies, loan modifications and other credit quality indicators.

Residential real estate: The residential real estate portfolio, including loans held-for-sale and loans at fair value, predominantly consists of prime mortgage loans and home equity lines of credit.

Retained loans were relatively flat compared to December 31, 2020 as the decline in Home Lending driven by paydowns outpacing originations of prime mortgage loans was predominantly offset by growth in AWM. Retained nonaccrual loans decreased from December 31, 2020 reflecting improved credit performance. Net recoveries for the year ended December 31, 2021 were higher when compared with the prior year as the current year benefited from further improvement in HPI and higher reversals of prior write-downs due to prepayments as a result of the low rate environment.

Loans at fair value increased from December 31, 2020, reflecting loan purchase activity in CIB driven by higher client demand, as well as increased originations in Home Lending due to the continued low rate environment. Nonaccrual loans at fair value decreased from December 31, 2020 due to sales in CIB.

The carrying value of home equity lines of credit outstanding was $18.7 billion at December 31, 2021. This amount included $6.2 billion of HELOCs that have recast from interest-only to fully amortizing payments or have been modified and $6.0 billion of interest-only balloon HELOCs, which primarily mature after 2030. The Firm manages the risk of HELOCs during their revolving period by closing or reducing the undrawn line to the extent permitted by law when borrowers are exhibiting a material deterioration in their credit risk profile.

At December 31, 2021 and 2020, the carrying value of interest-only residential mortgage loans were $30.0 billion and $25.6 billion, respectively. These loans have an interest-only payment period generally followed by an adjustable-rate or fixed-rate fully amortizing payment period to maturity and are typically originated as higher-balance loans to higher-income borrowers, predominantly in AWM. The interest-only residential mortgage loan portfolio reflected net recoveries for the year ended December 31, 2021, in line with the performance of the broader prime mortgage portfolio.

The following table provides a summary of the Firm’s

residential mortgage portfolio insured and/or guaranteed

by U.S. government agencies, predominantly loans held-for-sale and loans at fair value. The Firm monitors its exposure to certain potential unrecoverable claim payments related to government-insured loans and considers this exposure in estimating the allowance for loan losses.

[[GREPCENT_TABLE]]
[["(in millions)","December 31, 2021","December 31, 2020"],["Current","$","689","","$","669"],["30-89 days past due","135","","235"],["90 or more days past due","623","","874"],["Total government guaranteed loans","$","1,447","","$","1,778"]]
[[/GREPCENT_TABLE]]

Geographic composition and current estimated loan-to-value ratio of residential real estate loans

At December 31, 2021, $145.5 billion, or 65% of the total retained residential real estate loan portfolio, excluding mortgage loans insured by U.S. government agencies, were concentrated in California, New York, Florida, Texas and Illinois, compared with $146.6 billion, or 65% at December 31, 2020.

Average current estimated loan-to-value (“LTV”) ratios have declined consistent with recent improvements in home prices and customer pay-downs.

Refer to Note 12 for information on the geographic composition and current estimated LTVs of the Firm’s residential real estate loans.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","113"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Modified residential real estate loans

The following table presents information relating to modified retained residential real estate loans for which concessions have been granted to borrowers experiencing financial difficulty, which include both TDRs and modified PCD loans not accounted for as TDRs. The following table does not include loans with short-term or other insignificant modifications that are not considered concessions and, therefore, are not TDRs, or loans for which the Firm has elected to suspend TDR accounting guidance under the option provided by the CARES Act. Refer to Note 12 for further information on modifications for the years ended December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["(in millions)","December 31, 2021","December 31, 2020"],["Retained loans","$","13,251","","$","15,406"],["Nonaccrual retained loans(a)","3,938","","3,899"]]
[[/GREPCENT_TABLE]]

(a)At December 31, 2021 and 2020, nonaccrual loans included $2.7 billion and $3.0 billion, respectively, of TDRs for which the borrowers were less than 90 days past due. Refer to Note 12 for additional information about loans modified in a TDR that are on nonaccrual status.

Auto and other: The auto and other loan portfolio, including loans at fair value, predominantly consists of prime-quality scored auto and business banking loans, as well as overdrafts. The portfolio decreased when compared with December 31, 2020 due to a decrease in business banking loans largely offset by growth in the scored auto portfolio. Business Banking loans declined predominantly due to PPP loan forgiveness, partially offset by originations. The increase in the scored auto portfolio was driven by loan originations predominantly offset by paydowns. Net charge-offs for the year ended December 31, 2021 decreased when compared to the prior year driven by lower scored auto charge-offs as the current year benefited from higher vehicle collateral values and elevated consumer cash balances, partially offset by higher overdraft charge-offs. The scored auto portfolio net charge-off rates were 0.04% and 0.25% for the years ended December 31, 2021 and 2020, respectively.

Nonperforming assets

The following table presents information as of December 31, 2021 and 2020, about consumer, excluding credit card, nonperforming assets.

[[GREPCENT_TABLE]]
[["Nonperforming assets(a)"],["December 31, (in millions)","2021","","2020"],["Nonaccrual loans"],["Residential real estate(b)","$","5,231","","","$","6,316"],["Auto and other","119","","(c)","151"],["Total nonaccrual loans","5,350","","","6,467"],["Assets acquired in loan satisfactions"],["Real estate owned","112","","","131"],["Other","22","","","21"],["Total assets acquired in loan satisfactions","134","","","152"],["Total nonperforming assets","$","5,484","","","$","6,619"]]
[[/GREPCENT_TABLE]]

(a)At December 31, 2021 and 2020, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $623 million and $874 million, respectively, and REO insured by U.S. government agencies of $5 million and $9 million, respectively. These amounts have been excluded based upon the government guarantee.

(b)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic. Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent at time of exit.

(c)At December 31, 2021, nonaccrual loans excluded $506 million of PPP loans 90 or more days past due and guaranteed by the SBA.

[[GREPCENT_TABLE]]
[["114","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Nonaccrual loans

The following table presents changes in consumer, excluding credit card, nonaccrual loans for the years ended December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["Nonaccrual loan activity"],["Year ended December 31,"],["(in millions)","2021","2020"],["Beginning balance","$","6,467","","$","3,366"],["Additions:"],["PCD loans, upon adoption of CECL","NA","708"],["Other additions","2,956","","5,184","","(b)"],["Total additions","2,956","","5,892"],["Reductions:"],["Principal payments and other(a)","2,018","","983"],["Charge-offs","229","","390"],["Returned to performing status","1,716","","1,024"],["Foreclosures and other liquidations","110","","394"],["Total reductions","4,073","","2,791"],["Net changes","(1,117)","","3,101"],["Ending balance","$","5,350","","$","6,467"]]
[[/GREPCENT_TABLE]]

(a)Other reductions includes loan sales.

(b)Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent at time of exit.

Refer to Note 12 for further information about the consumer credit portfolio, including information about delinquencies, other credit quality indicators, loan modifications and loans that were in the process of active or suspended foreclosure.

Purchased credit deteriorated (“PCD”) loans

The following tables provide credit-related information for PCD loans which are reported in residential real estate.

[[GREPCENT_TABLE]]
[["(in millions, except ratios)","December 31, 2021","December 31, 2020"],["Loan delinquency(a)"],["Current","$","12,746","","$","16,036"],["30-149 days past due","331","","432"],["150 or more days past due","664","","573"],["Total PCD loans","$","13,741","","$","17,041"],["% of 30+ days past due to total retained PCD loans","7.24","%","5.90","%"],["Nonaccrual loans(b)","$","1,616","","$","1,609"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Year ended December 31, (in millions, except ratios)","2021","2020"],["Net charge-offs","$","15","","$","74"],["Net charge-off rate","0.10","%","0.39","%"]]
[[/GREPCENT_TABLE]]

(a)At December 31, 2021 and 2020, loans under payment deferral programs offered in response to the COVID-19 pandemic which are still within their deferral period and performing according to their modified terms are generally not considered delinquent.

(b)Includes loans to customers that have exited COVID-19 related payment deferral programs and are 90 or more days past due, predominantly all of which were considered collateral-dependent at time of exit.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","115"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Credit card

Total credit card loans increased from December 31, 2020 reflecting strong sales volume predominantly offset by higher payments. The December 31, 2021 30+ and 90+ day delinquency rates of 1.04% and 0.50%, respectively, decreased compared to the December 31, 2020 30+ and 90+ day delinquency rates of 1.68% and 0.92%, respectively. The delinquency rates continue to benefit from the ongoing impact of government stimulus and support provided to borrowers who participated in payment assistance programs. Net charge-offs decreased for the year ended December 31, 2021 compared with the prior year reflecting lower charge-offs and higher recoveries as consumer cash balances remained elevated.

Consistent with the Firm’s policy, all credit card loans typically remain on accrual status until charged off. However, the Firm’s allowance for loan losses includes the estimated uncollectible portion of accrued and billed interest and fee income. Refer to Note 12 for further information about this portfolio, including information about delinquencies.

Geographic and FICO composition of credit card loans

At December 31, 2021, $70.5 billion, or 46% of the total retained credit card loan portfolio, was concentrated in California, Texas, New York, Florida and Illinois, compared with $65.0 billion, or 45%, at December 31, 2020. Refer to Note 12 for additional information on the geographic and FICO composition of the Firm’s credit card loans.

Modifications of credit card loans

At December 31, 2021, the Firm had $1.0 billion of credit card loans outstanding that have been modified in TDRs, which does not include loans with short-term or other insignificant modifications that are not considered TDRs, compared to $1.4 billion at December 31, 2020. Refer to Note 12 for additional information about loan modification programs to borrowers.

[[GREPCENT_TABLE]]
[["116","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

WHOLESALE CREDIT PORTFOLIO

In its wholesale businesses, the Firm is exposed to credit risk primarily through its underwriting, lending, market-making, and hedging activities with and for clients and counterparties, as well as through various operating services (such as cash management and clearing activities), securities financing activities and cash placed with banks. A portion of the loans originated or acquired by the Firm’s wholesale businesses is generally retained on the balance sheet. The Firm distributes a significant percentage of the loans that it originates into the market as part of its syndicated loan business and to manage portfolio concentrations and credit risk. The wholesale portfolio is actively managed, in part by conducting ongoing, in-depth reviews of client credit quality and transaction structure inclusive of collateral where applicable, and of industry, product and client concentrations. Refer to the industry discussion on pages 119-123 for further information.

The Firm’s wholesale credit portfolio includes exposure held in CIB, CB, AWM and Corporate, as well as risk-rated exposures held in CCB, including business banking and auto dealer exposure for which the wholesale methodology is applied when determining the allowance for credit losses.

In 2021 the credit environment continued to improve following the broad-based deterioration during the earlier stages of the COVID-19 pandemic.

As of December 31, 2021, retained loans increased $45.4 billion driven by CIB and AWM, partially offset by decreases in CCB. Lending-related commitments increased $36.6 billion, predominantly driven by net portfolio activity in CB and CIB, including an increase in held for sale commitments intended to be syndicated.

As of December 31, 2021, the investment-grade percentage of the portfolio remained relatively flat at 71%, while criticized exposure decreased $3.4 billion from $41.6 billion to $38.2 billion. The decrease in criticized exposure was driven by net portfolio activity and client-specific upgrades, primarily in Oil & Gas and Automotive, largely offset by client-specific downgrades. Nonperforming exposure decreased $1.2 billion driven by lower nonperforming loans, primarily in Oil & Gas and Individuals and Individual Entities, with net portfolio activity and client-specific upgrades partially offset by client-specific downgrades. The decrease in nonperforming loans was partially offset by increases in derivatives and lending-related commitments.

[[GREPCENT_TABLE]]
[["Wholesale credit portfolio"],["December 31, (in millions)","Credit exposure","","Nonperforming(d)"],["2021","2020","","2021","2020"],["Loans retained","$","560,354","","$","514,947","","","$","2,054","","$","3,318"],["Loans held-for-sale","7,401","","5,784","","","48","","284"],["Loans at fair value","32,357","","29,327","","","343","","504"],["Loans","600,112","","550,058","","","2,445","","4,106"],["Derivative receivables","57,081","","75,444","","(c)","316","","56"],["Receivables from customers(a)","59,645","","47,710","","","\u2014","","\u2014"],["Total wholesale credit-related assets","716,838","","673,212","","","2,761","","4,162"],["Assets acquired in loan satisfactions"],["Real estate owned","NA","NA","","101","","125"],["Other","NA","NA","","\u2014","","\u2014"],["Total assets acquired in loan satisfactions","NA","NA","","101","","125"],["Lending-related commitments","486,445","","449,863","","","764","","577"],["Total wholesale credit portfolio","$","1,203,283","","$","1,123,075","","","$","3,626","","$","4,864"],["Credit derivatives and credit-related notes used in credit portfolio management activities(b)","$","(20,190)","","$","(23,218)","","(c)","$","\u2014","","$","\u2014"],["Liquid securities and other cash collateral held against derivatives","(10,102)","","(14,806)","","","NA","NA"]]
[[/GREPCENT_TABLE]]

(a)Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM; these are reported within accrued interest and accounts receivable on the Consolidated balance sheets.

(b)Represents the net notional amount of protection purchased and sold through credit derivatives and credit-related notes used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. Refer to Credit derivatives on page 128 and Note 5 for additional information.

(c)Prior-period amounts have been revised to conform with the current presentation.

(d)Loans that were modified in response to the COVID-19 pandemic continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of December 31, 2021, predominantly all of these loans were considered performing.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","117"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Wholesale assistance

In March 2020, the Firm began providing assistance to clients in response to the COVID-19 pandemic, predominantly in the form of payment deferrals and covenant modifications.

As of December 31, 2021 and 2020, the Firm had approximately $107 million and $1.6 billion, respectively, of retained loans under payment deferral programs, compared to $16.8 billion at June 30, 2020. Predominantly all clients that exited deferral are current or have paid down their loans. The Firm continues to monitor the credit risk associated with loans subject to deferrals throughout the deferral period and on an ongoing basis after the borrowers are required to resume making regularly scheduled payments, and considers expected losses of

principal and accrued interest on these loans in its allowance for credit losses.

In addition, the Firm granted assistance in the form of covenant modifications. These types of assistance, both payment deferrals and covenant modifications, are generally not reported as TDRs, either because the modifications were insignificant or they qualified to suspend TDR accounting guidance under the option provided by the CARES Act, as extended by the Consolidated Appropriations Act and which expired on January 1, 2022. Loans under assistance continue to be risk-rated in accordance with the Firm’s overall credit risk management framework. As of December 31, 2021, substantially all of these loans were considered performing.

Wholesale credit exposure – maturity and ratings profile

The following tables present the maturity and internal risk ratings profiles of the wholesale credit portfolio as of December 31, 2021 and 2020. The Firm generally considers internal ratings with qualitative characteristics equivalent to BBB-/Baa3 or higher as investment grade, and takes into consideration collateral and structural support when determining the internal risk rating for each credit facility. Refer to Note 12 for further information on internal risk ratings.

[[GREPCENT_TABLE]]
[["","Maturity profile(e)","","Ratings profile"],["","1 year or less","After 1 year through 5 years","After 5 years","Total","","","","","","Total","Total % of IG"],["December 31, 2021(in millions, except ratios)","","Investment-grade","","Noninvestment-grade"],["Loans retained","$","214,064","","$","218,176","","$","128,114","","$","560,354","","","$","410,011","","","$","150,343","","","$","560,354","","73","%"],["Derivative receivables","","","","57,081","","","","","","","57,081"],["Less: Liquid securities and other cash collateral held against derivatives","","","","(10,102)","","","","","","","(10,102)"],["Total derivative receivables, net of collateral","13,648","","12,814","","20,517","","46,979","","","31,934","","","15,045","","","46,979","","68"],["Lending-related commitments","120,929","","340,308","","25,208","","486,445","","","331,116","","","155,329","","","486,445","","68"],["Subtotal","348,641","","571,298","","173,839","","1,093,778","","","773,061","","","320,717","","","1,093,778","","71"],["Loans held-for-sale and loans at fair value(a)","","","","39,758","","","","","","","39,758"],["Receivables from customers","","","","59,645","","","","","","","59,645"],["Total exposure \u2013 net of liquid securities and other cash collateral held against derivatives","","","","$","1,193,181","","","","","","","$","1,193,181"],["Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)(d)","$","(7,509)","","$","(10,414)","","$","(2,267)","","$","(20,190)","","","$","(15,559)","","","$","(4,631)","","","$","(20,190)","","77","%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["","Maturity profile(e)","","Ratings profile"],["","1 year or less","After 1 year through 5 years","After 5 years","Total","","","","","","Total","","Total % of IG"],["December 31, 2020 (in millions, except ratios)","","Investment-grade","","Noninvestment-grade"],["Loans retained","$","183,969","","$","197,905","","$","133,073","","$","514,947","","","$","379,273","","","$","135,674","","","$","514,947","","","74","%"],["Derivative receivables","","","","75,444","","(d)","","","","","75,444","","(d)"],["Less: Liquid securities and other cash collateral held against derivatives","","","","(14,806)","","","","","","","(14,806)"],["Total derivative receivables, net of collateral","17,750","","14,478","","28,410","","60,638","","","38,941","","","21,697","","","60,638","","","64"],["Lending-related commitments","116,950","","315,179","","17,734","","449,863","","","312,694","","","137,169","","","449,863","","","70"],["Subtotal","318,669","","527,562","","179,217","","1,025,448","","","730,908","","","294,540","","","1,025,448","","","71"],["Loans held-for-sale and loans at fair value(a)","","","","35,111","","","","","","","35,111"],["Receivables from customers","","","","47,710","","","","","","","47,710"],["Total exposure \u2013 net of liquid securities and other cash collateral held against derivatives","","","","$","1,108,269","","","","","","","$","1,108,269"],["Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)(d)","$","(6,765)","","$","(13,627)","","$","(2,826)","","$","(23,218)","","","$","(18,164)","","","$","(5,054)","","","$","(23,218)","","","78","%"]]
[[/GREPCENT_TABLE]]

(a)Loans held-for-sale are primarily related to syndicated loans and loans transferred from the retained portfolio.

(b)These derivatives do not qualify for hedge accounting under U.S. GAAP.

[[GREPCENT_TABLE]]
[["118","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

(c)The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which protection has been purchased. Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection used in credit portfolio management activities are executed with investment-grade counterparties. In addition, the Firm obtains credit protection against certain loans in the retained loan portfolio through the issuance of credit-related notes.

(d)Prior-period amounts have been revised to conform with the current presentation.

(e)The maturity profile of retained loans, lending-related commitments and derivative receivables is generally based on remaining contractual maturity. Derivative contracts that are in a receivable position at December 31, 2021, may become payable prior to maturity based on their cash flow profile or changes in market conditions.

Wholesale credit exposure – industry exposures

The Firm focuses on the management and diversification of its industry exposures, and pays particular attention to industries with actual or potential credit concerns.

Exposures deemed criticized align with the U.S. banking regulators’ definition of criticized exposures, which consist of the special mention, substandard and doubtful

categories. Total criticized exposure, excluding loans held-for-sale and loans at fair value, was $38.2 billion at December 31, 2021 and $41.6 billion at December 31, 2020, representing approximately 3.5% and 4.0% of total wholesale credit exposure, respectively. The decrease in criticized exposure was driven by net portfolio activity and client-specific upgrades, primarily in Oil & Gas and Automotive, largely offset by client-specific downgrades. The $38.2 billion of criticized exposure at December 31, 2021 was largely undrawn and $35.0 billion was performing.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","119"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

The table below summarizes by industry the Firm’s exposures as of December 31, 2021 and 2020. The industry of risk category is generally based on the client or counterparty’s primary business activity. Refer to Note 4 for additional information on industry concentrations.

[[GREPCENT_TABLE]]
[["Wholesale credit exposure \u2013 industries(a)"],["","","Selected metrics"],["","","","","","","30 days or more past due and accruingloans(i)","Net charge-offs/ (recoveries)","Credit derivative hedges and credit-related notes(i)","Liquid securities and other cash collateral held against derivative receivables"],["","","","Noninvestment-grade"],["","Creditexposure(f)(g)","Investment- grade","Noncriticized","Criticized performing","Criticized nonperforming"],["As of or for the year ended December 31, 2021(in millions)"],["Real Estate","$","155,069","","$","120,174","","$","29,642","","$","4,636","","$","617","","$","394","","$","6","","$","(190)","","$","\u2014"],["Individuals and Individual Entities(b)","141,973","","122,606","","18,797","","99","","471","","1,450","","32","","\u2014","","(1)"],["Consumer & Retail","122,789","","59,622","","53,317","","9,445","","405","","288","","2","","(357)","","\u2014"],["Technology, Media & Telecommunications","84,070","","49,610","","25,540","","8,595","","325","","58","","(1)","","(935)","","(12)"],["Asset Managers","81,228","","68,593","","12,630","","\u2014","","5","","8","","\u2014","","\u2014","","(3,900)"],["Industrials","66,974","","36,953","","26,957","","2,895","","169","","428","","13","","(608)","","(1)"],["Healthcare","59,014","","42,133","","15,136","","1,686","","59","","204","","(4)","","(490)","","(174)"],["Banks & Finance Cos","54,684","","29,732","","23,809","","1,138","","5","","9","","9","","(553)","","(810)"],["Oil & Gas","42,606","","20,698","","20,222","","1,558","","128","","4","","60","","(582)","","\u2014"],["Automotive","34,573","","24,606","","9,446","","399","","122","","95","","(3)","","(463)","","\u2014"],["State & Municipal Govt(c)","33,216","","32,522","","586","","101","","7","","74","","\u2014","","\u2014","","(14)"],["Utilities","33,203","","25,069","","7,011","","914","","209","","11","","6","","(382)","","(4)"],["Chemicals & Plastics","17,660","","11,319","","5,817","","518","","6","","7","","\u2014","","(67)","","\u2014"],["Metals & Mining","16,696","","7,848","","8,491","","294","","63","","27","","7","","(15)","","(4)"],["Transportation","14,635","","6,010","","5,983","","2,470","","172","","21","","20","","(110)","","(24)"],["Insurance","13,926","","9,943","","3,887","","96","","\u2014","","\u2014","","\u2014","","(25)","","(2,366)"],["Central Govt","11,317","","11,067","","250","","\u2014","","\u2014","","\u2014","","\u2014","","(7,053)","","(72)"],["Financial Markets Infrastructure","4,377","","3,987","","390","","\u2014","","\u2014","","\u2014","","\u2014","","\u2014","","\u2014"],["Securities Firms","4,180","","2,599","","1,578","","\u2014","","3","","\u2014","","\u2014","","(47)","","(217)"],["All other(d)","111,690","","97,537","","13,580","","205","","368","","242","","(5)","","(8,313)","","(2,503)"],["Subtotal","$","1,103,880","","$","782,628","","$","283,069","","$","35,049","","$","3,134","","$","3,320","","$","142","","$","(20,190)","","$","(10,102)"],["Loans held-for-sale and loans at fair value","39,758"],["Receivables from customers","59,645"],["Total(e)","$","1,203,283"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["120","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["","","","","","","","","Selected metrics"],["","","","","","","","","30 days or more past due and accruingloans(i)","Net charge-offs/ (recoveries)","Credit derivative hedges and credit-related notes (h)(j)","Liquid securities and other cash collateral held against derivative receivables"],["","","","","Noninvestment-grade"],["","Creditexposure(f)(g)","","Investment- grade","Noncriticized","","Criticized performing","Criticized nonperforming"],["As of or for the year ended December 31, 2020 (in millions)"],["Real Estate","$","148,498","","","$","116,124","","$","27,576","","","$","4,294","","$","504","","$","374","","$","94","","$","(190)","","$","\u2014"],["Individuals and Individual Entities(b)","122,870","","","107,266","","14,688","","","227","","689","","1,570","","(17)","","\u2014","","\u2014"],["Consumer & Retail","108,437","","","57,580","","41,624","","","8,852","","381","","203","","55","","(381)","","(5)"],["Technology, Media & Telecommunications","72,150","","","36,435","","27,770","","","7,738","","207","","10","","73","","(984)","","(56)"],["Asset Managers","66,573","","","57,582","","8,885","","","85","","21","","19","","1","","\u2014","","(4,685)"],["Industrials","66,470","","","37,512","","26,881","","","1,852","","225","","278","","70","","(658)","","(61)"],["Healthcare","60,118","","","44,901","","13,356","","","1,684","","177","","96","","104","","(378)","","(191)"],["Banks & Finance Cos","54,032","","","35,115","","17,820","","","1,045","","52","","20","","13","","(659)","","(1,648)"],["Oil & Gas","39,159","","","18,456","","14,969","","","4,952","","782","","11","","249","","(488)","","(4)"],["Automotive","43,331","","","25,548","","15,575","","","2,149","","59","","152","","22","","(434)","","\u2014"],["State & Municipal Govt(c)","38,286","","","37,705","","574","","","2","","5","","41","","\u2014","","\u2014","","(41)"],["Utilities","30,124","","","22,451","","7,048","","","571","","54","","14","","(7)","","(402)","","(1)"],["Chemicals & Plastics","17,176","","","10,622","","5,703","","","822","","29","","6","","\u2014","","(83)","","\u2014"],["Metals & Mining","15,542","","","5,958","","8,699","","","704","","181","","8","","16","","(141)","","(13)"],["Transportation","16,232","","","7,549","","6,340","","","2,137","","206","","30","","117","","(83)","","(26)"],["Insurance","13,141","","","10,177","","2,960","","","3","","1","","7","","\u2014","","\u2014","","(1,771)"],["Central Govt","17,025","","","16,652","","373","","","\u2014","","\u2014","","\u2014","","\u2014","","(8,364)","","(982)"],["Financial Markets Infrastructure","6,515","","","6,449","","66","","","\u2014","","\u2014","","\u2014","","\u2014","","\u2014","","(10)"],["Securities Firms","8,048","","","6,116","","1,927","","","1","","4","","\u2014","","18","","(49)","","(3,423)"],["All other(d)","96,527","","(h)","84,650","","10,999","","(h)","504","","374","","83","","(9)","","(9,924)","","(1,889)"],["Subtotal","$","1,040,254","","","$","744,848","","$","253,833","","","$","37,622","","$","3,951","","$","2,922","","$","799","","$","(23,218)","","$","(14,806)"],["Loans held-for-sale and loans at fair value","35,111"],["Receivables from customers","47,710"],["Total(e)","$","1,123,075"]]
[[/GREPCENT_TABLE]]

(a)The industry rankings presented in the table as of December 31, 2020, are based on the industry rankings of the corresponding exposures at December 31, 2021, not actual rankings of such exposures at December 31, 2020.

(b)Individuals and Individual Entities predominantly consists of Global Private Bank clients within AWM and includes exposure to personal investment companies and personal and testamentary trusts.

(c)In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at December 31, 2021 and 2020, noted above, the Firm held: $7.1 billion and $7.2 billion, respectively, of trading assets; $15.9 billion and $20.4 billion, respectively, of AFS securities; and $14.0 billion and $12.8 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 10 for further information.

(d)All other includes: SPEs and Private education and civic organizations, representing approximately 94% and 6%, respectively, at December 31, 2021 and 92% and 8%, respectively, at December 31, 2020 .

(e)Excludes cash placed with banks of $729.6 billion and $516.9 billion, at December 31, 2021 and 2020, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks.

(f)Credit exposure is net of risk participations and excludes the benefit of credit derivatives and credit-related notes used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables.

(g)Credit exposure includes held-for-sale and fair value option elected lending-related commitments.

(h)Prior-period amounts have been revised to conform with the current presentation.

(i)Generally excludes loans under payment deferral programs offered in response to the COVID-19 pandemic.

(j)Represents the net notional amounts of protection purchased and sold through credit derivatives and credit-related notes used to manage the credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. The All other category includes purchased credit protection on certain credit indices.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","121"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Presented below is additional detail on certain of the Firm’s industry exposures.

Real Estate

Real Estate exposure was $155.1 billion as of December 31, 2021, of which $89.2 billion was multifamily lending as shown in the table below. Criticized exposure increased by $455 million from $4.8 billion at December 31, 2020 to $5.3 billion at December 31, 2021, driven by client-specific downgrades predominantly offset by client-specific upgrades and net portfolio activity.

[[GREPCENT_TABLE]]
[["","December 31, 2021"],["(in millions, except ratios)","Loans and Lending-related Commitments","","Derivative Receivables","","Credit exposure","","% Investment-grade","% Drawn(d)"],["Multifamily(a)","$","89,032","","","$","122","","","$","89,154","","","84","%","","89","%"],["Office","16,409","","","234","","","16,643","","","75","","","71"],["Other Income Producing Properties(b)","13,018","","","498","","","13,516","","","77","","","55"],["Industrial","11,546","","","66","","","11,612","","","75","","","64"],["Services and Non Income Producing","11,512","","","24","","","11,536","","","63","","","50"],["Retail","9,580","","","106","","","9,686","","","61","","","69"],["Lodging","2,859","","","63","","","2,922","","","5","","","33"],["Total Real Estate Exposure(c)","$","153,956","","","$","1,113","","","$","155,069","","","77","%","","77","%"],["","December 31, 2020"],["(in millions, except ratios)","Loans and Lending-related Commitments","","Derivative Receivables","","Credit exposure","","% Investment- grade","% Drawn(d)"],["Multifamily(a)","$","85,368","","","$","183","","","$","85,551","","","85","%","","92","%"],["Office","16,372","","","475","","","16,847","","","76","","","70"],["Other Income Producing Properties(b)","13,435","","","421","","","13,856","","","76","","","55"],["Industrial","9,039","","","69","","","9,108","","","76","","","73"],["Services and Non Income Producing","9,242","","","22","","","9,264","","","62","","","47"],["Retail","10,573","","","199","","","10,772","","","60","","","69"],["Lodging","3,084","","","16","","","3,100","","","24","","","57"],["Total Real Estate Exposure","$","147,113","","","$","1,385","","","$","148,498","","","78","%","","80","%"]]
[[/GREPCENT_TABLE]]

(a)Multifamily exposure is largely in California.

(b)Other Income Producing Properties consists of clients with diversified property types or other property types outside of categories listed in the table above

(c)Real Estate exposure is approximately 78% secured; unsecured exposure is approximately 75% investment-grade.

(d)Represents drawn exposure as a percentage of credit exposure.

[[GREPCENT_TABLE]]
[["122","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Consumer & Retail

Consumer & Retail exposure was $122.8 billion as of December 31, 2021, and predominantly included Retail, Business and Consumer Services, and Food and Beverage as shown in the table below. Criticized exposure increased by $617 million from $9.2 billion at December 31, 2020 to $9.9 billion at December 31, 2021, driven by client-specific downgrades and net portfolio activity largely offset by client-specific upgrades.

[[GREPCENT_TABLE]]
[["","December 31, 2021"],["(in millions, except ratios)","Loans and Lending-related Commitments","","Derivative Receivables","","Credit exposure","","% Investment-grade","% Drawn(d)"],["Retail(a)","$","32,872","","","$","1,152","","","$","34,024","","","50","%","","31","%"],["Business and Consumer Services","32,159","","","347","","","32,506","","","46","","","33"],["Food and Beverage","30,434","","","957","","","31,391","","","59","","","33"],["Consumer Hard Goods","17,035","","","111","","","17,146","","","46","","","30"],["Leisure(b)","7,620","","","102","","","7,722","","","17","","","34"],["Total Consumer & Retail(c)","$","120,120","","","$","2,669","","","$","122,789","","","49","%","","32","%"],["","December 31, 2020"],["(in millions, except ratios)","Loans and Lending-related Commitments","","Derivative Receivables","","Credit exposure","","% Investment- grade","% Drawn(d)"],["Retail(a)","$","32,486","","","$","887","","","$","33,373","","","52","%","","33","%"],["Business and Consumer Services","24,760","","","599","","","25,359","","","52","","","41"],["Food and Beverage","28,012","","","897","","","28,909","","","62","","","33"],["Consumer Hard Goods","12,937","","","178","","","13,115","","","59","","","36"],["Leisure(b)","7,440","","","241","","","7,681","","","18","","","43"],["Total Consumer & Retail","$","105,635","","","$","2,802","","","$","108,437","","","53","%","","36","%"]]
[[/GREPCENT_TABLE]]

(a)Retail consists of Home Improvement & Specialty Retailers, Restaurants, Supermarkets, Discount & Drug Stores, Specialty Apparel and Department Stores.

(b)Leisure consists of Gaming, Arts & Culture, Travel Services and Sports & Recreation. As of December 31, 2021, approximately 81% of the noninvestment-grade Leisure portfolio is secured.

(c)Approximately 80% of the noninvestment-grade portfolio is secured.

(d)Represents drawn exposure as a percent of credit exposure.

Oil & Gas

Oil & Gas exposure was $42.6 billion as of December 31, 2021, including $23.1 billion of Exploration & Production and Oil field Services as shown in the table below. The increase in derivative receivables resulted from market movements related to Oil & Gas prices. Criticized exposure decreased by $4.0 billion from $5.7 billion at December 31, 2020 to $1.7 billion at December 31, 2021, driven by net portfolio activity and client-specific upgrades partially offset by client-specific downgrades.

[[GREPCENT_TABLE]]
[["","December 31, 2021"],["(in millions, except ratios)","Loans and Lending-related Commitments","","Derivative Receivables","","Credit exposure","","% Investment-grade","% Drawn(c)"],["Exploration & Production (\"E&P\") and Oil field Services","$","17,631","","","$","5,452","","","$","23,083","","","39","%","","26","%"],["Other Oil & Gas(a)","18,941","","","582","","","19,523","","","60","","","26"],["Total Oil & Gas(b)","$","36,572","","","$","6,034","","","$","42,606","","","49","%","","26","%"],["","December 31, 2020"],["(in millions, except ratios)","Loans and Lending-related Commitments","","Derivative Receivables","","Credit exposure","","% Investment- grade","% Drawn(c)"],["Exploration & Production (\"E&P\") and Oil field Services","$","18,228","","","$","1,048","","","$","19,276","","","32","%","","37","%"],["Other Oil & Gas(a)","19,288","","","595","","","19,883","","","62","","","21"],["Total Oil & Gas(b)","$","37,516","","","$","1,643","","","$","39,159","","","47","%","","29","%"]]
[[/GREPCENT_TABLE]]

(a)Other Oil & Gas includes Integrated Oil & Gas companies, Midstream/Oil Pipeline companies and refineries.

(b)Secured exposure was $18.0 billion and $13.2 billion at December 31, 2021 and 2020, respectively, over half of which is reserve-based lending to the Exploration & Production sub-sector; unsecured exposure is largely investment-grade.

(c)Represents drawn exposure as a percent of credit exposure.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","123"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Loans

In its wholesale businesses, the Firm provides loans to a variety of clients, ranging from large corporate and institutional clients to high-net-worth individuals. Refer to Note 12 for a further discussion on loans, including information about delinquencies, loan modifications and other credit quality indicators.

The following table presents the change in the nonaccrual loan portfolio for the years ended December 31, 2021 and 2020. Since December 31, 2020, nonaccrual loan exposure decreased $1.7 billion, largely in Oil & Gas and Individuals and Individual Entities, with net portfolio activity and client-specific upgrades partially offset by client-specific downgrades.

[[GREPCENT_TABLE]]
[["Wholesale nonaccrual loan activity"],["Year ended December 31, (in millions)","","2021","2020"],["Beginning balance","","$","4,106","","$","1,271"],["Additions","","2,909","","6,753"],["Reductions:"],["Paydowns and other","","2,676","","2,290"],["Gross charge-offs","","268","","922"],["Returned to performing status","","1,106","","569"],["Sales","","520","","137"],["Total reductions","","4,570","","3,918"],["Net changes","","(1,661)","","2,835"],["Ending balance","","$","2,445","","$","4,106"]]
[[/GREPCENT_TABLE]]

The following table presents net charge-offs/recoveries, which are defined as gross charge-offs less recoveries, for the years ended December 31, 2021 and 2020. The amounts in the table below do not include gains or losses from sales of nonaccrual loans recognized in noninterest revenue.

[[GREPCENT_TABLE]]
[["Wholesale net charge-offs/(recoveries)"],["Year ended December 31, (in millions, except ratios)","2021","2020"],["Loans"],["Average loans retained","$","526,557","","$","509,907"],["Gross charge-offs","283","","954"],["Gross recoveries collected","(141)","","(155)"],["Net charge-offs/(recoveries)","142","","799"],["Net charge-off/(recovery) rate","0.03","%","0.16","%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["124","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Maturities and sensitivity to changes in interest rates

The table below sets forth wholesale loan maturities and the distribution between fixed and floating interest rates based on the stated terms of the loan agreements by loan class. Refer to Note 12 for further information on loan classes.

[[GREPCENT_TABLE]]
[["December 31, 2021(in millions, except ratios)","1 year or less(a)","","After 1 year through 5 years","","After 5 years through 15 years","","After 15 years","","Total"],["Wholesale loans:"],["Secured by real estate","$","6,587","","","$","27,559","","","$","28,624","","","$","65,542","","","$","128,312"],["Commercial and industrial","52,132","","","95,685","","","10,523","","","1,105","","","159,445"],["Other","162,600","","","117,886","","","27,427","","","4,442","","","312,355"],["Total wholesale loans","$","221,319","","","$","241,130","","","$","66,574","","","$","71,089","","","$","600,112"],["Loans due after one year at fixed interest rates"],["Secured by real estate","","","$","3,762","","","$","9,454","","","$","2,258"],["Commercial and industrial","","","9,129","","","1,025","","","19"],["Other","","","18,206","","","16,778","","","3,311"],["Loans due after one year at variable interest rates"],["Secured by real estate","","","$","23,797","","","$","19,170","","","$","63,285"],["Commercial and industrial","","","86,557","","","9,498","","","1,087"],["Other","","","99,679","","","10,649","","","1,129"],["Total wholesale loans","","","$","241,130","","","$","66,574","","","$","71,089"]]
[[/GREPCENT_TABLE]]

(a)Includes demand loans and overdrafts.

The following table presents net charge-offs/recoveries, average retained loans and net charge-off/recovery rate by loan class for the year ended December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["","Year ended December 31,"],["","Secured by real estate","","Commercial and industrial","","Other","","Total"],["(in millions, except ratios)","2021","2020","","2021","2020","","2021","2020","","2021","2020"],["Net charge-offs/(recoveries)","$","13","","$","10","","","$","105","","$","737","","","$","24","","$","52","","","$","142","","$","799"],["Average retained loans","118,417","","122,435","","","138,015","","162,554","","","270,125","","224,918","","","526,557","","509,907"],["Net charge-off/(recovery) rate","0.01","%","0.01","%","","0.08","%","0.45","%","","0.01","%","0.02","%","","0.03","%","0.16","%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","125"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Lending-related commitments

The Firm uses lending-related financial instruments, such as commitments (including revolving credit facilities) and guarantees, to address the financing needs of its clients. The contractual amounts of these financial instruments represent the maximum possible credit risk should the clients draw down on these commitments or when the Firm fulfills its obligations under these guarantees, and the clients subsequently fail to perform according to the terms of these contracts. Most of these commitments and guarantees have historically been refinanced, extended, cancelled, or expired without being drawn upon or a default occurring. As a result, the Firm does not believe that the total contractual amount of these wholesale lending-related commitments is representative of the Firm’s expected future credit exposure or funding requirements. Refer to Note 28 for further information on wholesale lending-related commitments.

Receivables from customers

Receivables from customers reflect held-for-investment margin loans to brokerage clients in CIB, CCB and AWM that are collateralized by assets maintained in the clients’ brokerage accounts (e.g., cash on deposit, and liquid and readily marketable debt or equity securities). Because of this collateralization, no allowance for credit losses is generally held against these receivables. To manage its credit risk the Firm establishes margin requirements and monitors the required margin levels on an ongoing basis, and requires clients to deposit additional cash or other collateral, or to reduce positions, when appropriate. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets.

Derivative contracts

Derivatives enable clients and counterparties to manage risk including credit risk and risks arising from fluctuations in interest rates, foreign exchange and equities and commodities prices. The Firm makes markets in derivatives in order to meet these needs and uses derivatives to manage certain risks associated with net open risk positions from its market-making activities, including the counterparty credit risk arising from derivative receivables. The Firm also uses derivative instruments to manage its own credit risk and other market risk exposure. The nature of the counterparty and the settlement mechanism of the derivative affect the credit risk to which the Firm is exposed. For OTC derivatives the Firm is exposed to the credit risk of the derivative counterparty. For exchange-traded derivatives (“ETD”), such as futures and options, and cleared over-the-counter (“OTC-cleared”) derivatives, the Firm can also be exposed to the credit risk of the relevant CCP. Where possible, the Firm seeks to mitigate its credit risk exposures arising from derivative contracts through the use of legally enforceable master netting arrangements and collateral agreements. The percentage of the Firm’s OTC derivative transactions subject to collateral agreements — excluding foreign exchange spot trades, which are not typically covered by collateral agreements due to their short

maturity and centrally cleared trades that are settled daily — was approximately 88% at both December 31, 2021 and 2020. Refer to Note 5 for additional information on the Firm’s use of collateral agreements. Refer to Note 5 for a further discussion of derivative contracts, counterparties and settlement types.

The fair value of derivative receivables reported on the Consolidated balance sheets were $57.1 billion and $75.4 billion at December 31, 2021 and 2020, respectively. The decrease was primarily driven by market movements and maturities of certain trades in CIB, partially offset by an increase in commodity derivatives. Derivative receivables represent the fair value of the derivative contracts after giving effect to legally enforceable master netting agreements and the related cash collateral held by the Firm.

In addition, the Firm held liquid securities and other cash collateral that the Firm believes is legally enforceable and may be used as security when the fair value of the client’s exposure is in the Firm’s favor. For these purposes, the definition of liquid securities is consistent with the definition of high quality liquid assets as defined in the LCR rule.

In management’s view, the appropriate measure of current credit risk should also take into consideration other collateral, which generally represents securities that do not qualify as high quality liquid assets under the LCR rule, but that the Firm believes is legally enforceable. The collateral amounts for each counterparty are limited to the net derivative receivables for the counterparty.

The Firm also holds additional collateral (primarily cash, G7 government securities, other liquid government agency and guaranteed securities, and corporate debt and equity securities) delivered by clients at the initiation of transactions, as well as collateral related to contracts that have a non-daily call frequency and collateral that the Firm has agreed to return but has not yet settled as of the reporting date. Although this collateral does not reduce the balances and is not included in the tables below, it is available as security against potential exposure that could arise should the fair value of the client’s derivative contracts move in the Firm’s favor. Refer to Note 5 for additional information on the Firm’s use of collateral agreements.

The following tables summarize the net derivative receivables and the internal ratings profile for the periods presented.

[[GREPCENT_TABLE]]
[["Derivative receivables"],["December 31, (in millions)","2021","2020"],["Total, net of cash collateral","$","57,081","","$","75,444","","(a)"],["Liquid securities and other cash collateral held against derivative receivables","(10,102)","","(14,806)"],["Total, net of liquid securities and other cash collateral","$","46,979","","$","60,638"],["Other collateralheld against derivative receivables","(1,544)","","(1,836)","","(a)"],["Total, net of collateral","$","45,435","","$","58,802"]]
[[/GREPCENT_TABLE]]

(a)Prior-period amounts have been revised to conform with the current presentation.

[[GREPCENT_TABLE]]
[["126","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["Ratings profile of derivative receivables"],["","2021","","2020"],["December 31, (in millions, except ratios)","Exposure net of collateral","% of exposure net of collateral","","Exposure net of collateral","% of exposure net of collateral"],["Investment-grade","$","30,278","","67","%","","$","37,013","","63","%"],["Noninvestment-grade","15,157","","33","","","21,789","","37"],["Total","$","45,435","","100","%","","$","58,802","","100","%"]]
[[/GREPCENT_TABLE]]

While useful as a current view of credit exposure, the net fair value of the derivative receivables does not capture the potential future variability of that credit exposure. To capture the potential future variability of credit exposure, the Firm calculates, on a client-by-client basis, three measures of potential derivatives-related credit loss: Peak, Derivative Risk Equivalent (“DRE”), and Average exposure (“AVG”). These measures all incorporate netting and collateral benefits, where applicable.

Peak represents a conservative measure of potential derivative exposure, including the benefit of collateral, to a counterparty calculated in a manner that is broadly equivalent to a 97.5% confidence level over the life of the transaction. Peak is the primary measure used by the Firm for setting credit limits for derivative contracts, senior management reporting and derivatives exposure management.

DRE exposure is a measure that expresses the risk of derivative exposure, including the benefit of collateral, on a basis intended to be equivalent to the risk of loan exposures. DRE is a less extreme measure of potential credit loss than Peak and is used as an input for aggregating derivative credit risk exposures with loans and other credit risk.

Finally, AVG is a measure of the expected fair value of the Firm’s derivative exposure, including the benefit of collateral, at future time periods. AVG over the total life of the derivative contract is used as the primary metric for pricing purposes and is used to calculate credit risk capital and CVA, as further described below.

The fair value of the Firm’s derivative receivables incorporates CVA to reflect the credit quality of counterparties. CVA is based on the Firm’s AVG to a counterparty and the counterparty’s credit spread in the credit derivatives market. The Firm believes that active risk management is essential to controlling the dynamic credit risk in the derivatives portfolio. In addition, the Firm’s risk

management process for derivatives exposures takes into consideration the potential impact of wrong-way risk, which is broadly defined as the risk that exposure to a counterparty is positively correlated with the impact of a default by the same counterparty, which could cause exposure to increase at the same time as the counterparty’s capacity to meet its obligations is decreasing. Many factors may influence the nature and magnitude of these correlations over time. To the extent that these correlations are identified, the Firm may adjust the CVA associated with a particular counterparty’s AVG. The Firm risk manages exposure to changes in CVA by entering into credit derivative contracts, as well as interest rate, foreign exchange, equity and commodity derivative contracts.

The below graph shows exposure profiles to the Firm’s current derivatives portfolio over the next 10 years as calculated by the Peak, DRE and AVG metrics. The three measures generally show that exposure will decline after the first year, if no new trades are added to the portfolio.

Exposure profile of derivatives measures

December 31, 2021

(in billions)

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","127"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Credit derivatives

The Firm uses credit derivatives for two primary purposes: first, in its capacity as a market-maker, and second, as an end-user, to manage the Firm’s own credit risk associated with various exposures.

Credit portfolio management activities

Included in the Firm’s end-user activities are credit derivatives used to mitigate the credit risk associated with traditional lending activities (loans and lending-related commitments) and derivatives counterparty exposure in the Firm’s wholesale businesses (collectively, “credit portfolio management activities”). Information on credit portfolio management activities is provided in the table below.

The Firm also uses credit derivatives as an end-user to manage other exposures, including credit risk arising from certain securities held in the Firm’s market-making businesses. These credit derivatives are not included in credit portfolio management activities.

[[GREPCENT_TABLE]]
[["Credit derivatives and credit-related notes used in credit portfolio management activities"],["","Notional amount of protection purchased and sold(a)"],["December 31, (in millions)","2021","2020"],["Credit derivatives and credit-related notes used to manage:"],["Loans and lending-related commitments","$","4,138","","","$","4,856"],["Derivative receivables","16,052","","","18,362"],["Credit derivatives and credit-related notes used in credit portfolio management activities","$","20,190","","","$","23,218"]]
[[/GREPCENT_TABLE]]

(a)Amounts are presented net, considering the Firm’s net protection purchased or sold with respect to each underlying reference entity or index. Prior-period amounts have been revised to conform with the current presentation.

The credit derivatives used in credit portfolio management activities do not qualify for hedge accounting under U.S. GAAP; these derivatives are reported at fair value, with gains and losses recognized in principal transactions revenue. In contrast, the loans and lending-related commitments being risk-managed are accounted for on an accrual basis. This asymmetry in accounting treatment, between loans and lending-related commitments and the credit derivatives used in credit portfolio management activities, causes earnings volatility that is not representative, in the Firm’s view, of the true changes in value of the Firm’s overall credit exposure.

The effectiveness of credit default swaps (“CDS”) as a hedge against the Firm’s exposures may vary depending on a number of factors, including the named reference entity (i.e., the Firm may experience losses on specific exposures that are different than the named reference entities in the purchased CDS); the contractual terms of the CDS (which may have a defined credit event that does not align with an actual loss realized by the Firm); and the maturity of the Firm’s CDS protection (which in some cases may be shorter than the Firm’s exposures). However, the Firm generally seeks to purchase credit protection with a maturity date that is the same or similar to the maturity date of the exposure for which the protection was purchased, and remaining differences in maturity are actively monitored and managed by the Firm. Refer to Credit derivatives in Note 5 for further information on credit derivatives and derivatives used in credit portfolio management activities.

[[GREPCENT_TABLE]]
[["128","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

ALLOWANCE FOR CREDIT LOSSES

The Firm’s allowance for credit losses represents management's estimate of expected credit losses over the remaining expected life of the Firm's financial assets measured at amortized cost and certain off-balance sheet lending-related commitments. The Firm’s allowance for credit losses comprises:

•the allowance for loan losses, which covers the Firm’s retained loan portfolios (scored and risk-rated) and is presented separately on the Consolidated balance sheets,

•the allowance for lending-related commitments, which is presented on the Consolidated balance sheets in accounts payable and other liabilities, and

•the allowance for credit losses on investment securities, which is recognized within Investment Securities on the Consolidated balance sheets.

Discussion of changes in the allowance

The allowance for credit losses as of December 31, 2021 was $18.7 billion, a decrease from $30.8 billion at December 31, 2020. The decrease in the allowance for credit losses was primarily driven by improvements in the macroeconomic environment, consisting of:

•a $9.5 billion reduction in consumer, predominantly in the credit card portfolio; and    

•a $2.6 billion net reduction in wholesale, across the LOBs.

The Firm’s allowance for credit losses is estimated using a weighted average of five internally developed macroeconomic scenarios. As of December 31, 2021, the Firm assigned more balanced weightings to both its adverse and upside scenarios compared to the significant weighting that the Firm placed on its adverse scenarios as of December 31, 2020, reflecting the sustained improvement and resilience of the macroeconomic environment, despite the ongoing impact of the COVID-19 pandemic. In addition, because the impact of the COVID-19 pandemic and governmental actions taken in response to the pandemic caused a dislocation in certain historical relationships used for modeling credit loss estimates, the Firm continues to place reliance on management judgment and make adjustments specific to that dislocation, although to a lesser extent than in 2020. The allowance for credit losses of $18.7 billion reflects remaining uncertainties, including the potential impact that additional waves or variants of COVID-19 may have on the pace of economic growth and near-term supply chain disruptions.

The Firm’s central case assumptions reflected U.S. unemployment rates and year over year growth in U.S. real GDP as follows:

[[GREPCENT_TABLE]]
[["","Assumptions at December 31, 2021"],["","2Q22","4Q22","2Q23"],["U.S. unemployment rate(a)","4.2","%","4.0","%","3.9","%"],["YoY growth in U.S. real GDP(b)","3.1","%","2.8","%","2.1","%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["","Assumptions at December 31, 2020"],["","2Q21","4Q21","2Q22"],["U.S. unemployment rate(a)","6.8","%","5.7","%","5.1","%"],["YoY growth in U.S. real GDP(b)","9.2","%","3.5","%","3.9","%"]]
[[/GREPCENT_TABLE]]

(a)Reflects quarterly average of forecasted U.S. unemployment rate.

(b)As of December 31, 2021, the year over year growth in U.S. real GDP in the forecast horizon of the central scenario is calculated as the percent change in U.S. real GDP levels from the prior year. This year over year growth rate replaces the previously disclosed pandemic-focused measure of the cumulative change in U.S. real GDP from pre-pandemic conditions at December 31, 2019. Prior periods have been revised to conform with the current presentation.

Subsequent changes to this forecast and related estimates

will be reflected in the provision for credit losses in future

periods.

Refer to Critical Accounting Estimates Used by the Firm on pages 150-153 for further information on the allowance for credit losses and related management judgments.

Refer to Consumer Credit Portfolio on pages 110-116 , Wholesale Credit Portfolio on pages 117-128 for additional information on the consumer and wholesale credit portfolios.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","129"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

[[GREPCENT_TABLE]]
[["Allowance for credit losses and related information"],["","2021","","2020"],["Year ended December 31,","Consumer, excluding credit card","Credit card","Wholesale","Total","","Consumer, excluding credit card","Credit card","Wholesale","Total"],["(in millions, except ratios)"],["Allowance for loan losses"],["Beginning balance at January 1,","$","3,636","","$","17,800","","$","6,892","","$","28,328","","","$","2,538","","$","5,683","","$","4,902","","$","13,123"],["Cumulative effect of a change in accounting principle(a)","NA","NA","NA","NA","","297","","5,517","","(1,642)","","4,172"],["Gross charge-offs","630","","3,651","","283","","4,564","","","805","","5,077","","954","","6,836"],["Gross recoveries collected","(619)","","(939)","","(141)","","(1,699)","","","(631)","","(791)","","(155)","","(1,577)"],["Net charge-offs","11","","2,712","","142","","2,865","","","174","","4,286","","799","","5,259"],["Provision for loan losses","(1,858)","","(4,838)","","(2,375)","","(9,071)","","","974","","10,886","","4,431","","16,291"],["Other","(2)","","\u2014","","(4)","","(6)","","","1","","\u2014","","\u2014","","1"],["Ending balance at December 31,","$","1,765","","$","10,250","","$","4,371","","$","16,386","","","$","3,636","","$","17,800","","$","6,892","","$","28,328"],["Allowance for lending-related commitments"],["Beginning balance at January 1,","$","187","","$","\u2014","","$","2,222","","$","2,409","","","$","12","","$","\u2014","","$","1,179","","$","1,191"],["Cumulative effect of a change in accounting principle(a)","NA","NA","NA","NA","","133","","\u2014","","(35)","","98"],["Provision for lending-related commitments","(75)","","\u2014","","(74)","","(149)","","","42","","\u2014","","1,079","","1,121"],["Other","1","","\u2014","","\u2014","","1","","","\u2014","","\u2014","","(1)","","(1)"],["Ending balance at December 31,","$","113","","$","\u2014","","$","2,148","","$","2,261","","","$","187","","$","\u2014","","$","2,222","","$","2,409"],["Impairment methodology"],["Asset-specific(b)","$","(665)","","$","313","","$","263","","$","(89)","","","$","(7)","","$","633","","$","682","","$","1,308"],["Portfolio-based","2,430","","9,937","","4,108","","16,475","","","3,643","","17,167","","6,210","","27,020"],["Total allowance for loan losses","$","1,765","","$","10,250","","$","4,371","","$","16,386","","","$","3,636","","$","17,800","","$","6,892","","$","28,328"],["Impairment methodology"],["Asset-specific","$","\u2014","","$","\u2014","","$","167","","$","167","","","$","\u2014","","$","\u2014","","$","114","","$","114"],["Portfolio-based","113","","\u2014","","1,981","","2,094","","","187","","\u2014","","2,108","","2,295"],["Total allowance for lending-related commitments","$","113","","$","\u2014","","$","2,148","","$","2,261","","","$","187","","$","\u2014","","$","2,222","","$","2,409"],["Total allowance for investment securities","NA","NA","NA","$","42","","","NA","NA","NA","$","78"],["Total allowance for credit losses","$","1,878","","$","10,250","","$","6,519","","$","18,689","","","$","3,823","","$","17,800","","$","9,114","","$","30,815"],["Memo:"],["Retained loans, end of period","$","295,556","","$","154,296","","$","560,354","","$","1,010,206","","","$","302,127","","$","143,432","","$","514,947","","$","960,506"],["Retained loans, average","298,814","","139,900","","526,557","","965,271","","","302,005","","146,391","","509,907","","958,303"],["Credit ratios"],["Allowance for loan losses to retained loans","0.60","%","6.64","%","0.78","%","1.62","%","","1.20","%","12.41","%","1.34","%","2.95","%"],["Allowance for loan losses to retained nonaccrual loans(c)","36","","NM","213","","236","","","67","","NM","208","","323"],["Allowance for loan losses to retained nonaccrual loans excluding credit card","36","","NM","213","","89","","","67","","NM","208","","120"],["Net charge-off rates","\u2014","","1.94","","0.03","","0.30","","","0.06","","2.93","","0.16","","0.55"]]
[[/GREPCENT_TABLE]]

(a)Represents the impact to allowance for credit losses upon the adoption of CECL on January 1, 2020. Refer to Note 1 for further information.

(b)Includes collateral dependent loans, including those considered TDRs and those for which foreclosure is deemed probable, modified PCD loans, and non-collateral dependent loans that have been modified or are reasonably expected to be modified in a TDR. Also includes risk-rated loans that have been placed on nonaccrual status for the wholesale portfolio segment. The asset-specific credit card allowance for loan losses modified or reasonably expected to be modified in a TDR is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.

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

[[GREPCENT_TABLE]]
[["130","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Allocation of allowance for loan losses

The table below presents a breakdown of the allowance for loan losses by loan class. Refer to Note 12 for further information on loan classes.

[[GREPCENT_TABLE]]
[["","2021","","2020"],["December 31, (in millions, except ratios)","Allowance for loan losses","Percent of retained loans to total retained loans","","Allowance for loan losses","Percent of retained loans to total retained loans"],["Residential real estate","$","817","","22","%","","$","2,047","","23","%"],["Auto and other","948","","7","","","1,589","","8"],["Consumer, excluding credit card","1,765","","29","","","3,636","","31"],["Credit card","10,250","","15","","","17,800","","15"],["Total consumer","12,015","","45","","","21,436","","46"],["Secured by real estate","1,495","","12","","","2,115","","12"],["Commercial and industrial","1,881","","14","","","3,643","","15"],["Other","995","","29","","","1,134","","26"],["Total wholesale","4,371","","55","","","6,892","","54"],["Total","$","16,386","","100","%","","$","28,328","","100","%"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","131"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

INVESTMENT PORTFOLIO RISK MANAGEMENT

Investment portfolio risk is the risk associated with the loss of principal or a reduction in expected returns on investments arising from the investment securities portfolio or from principal investments. The investment securities portfolio is predominantly held by Treasury and CIO in connection with the Firm's balance sheet and asset-liability management objectives. Principal investments are predominantly privately-held financial instruments and are managed in the LOBs and Corporate. Investments are typically intended to be held over extended periods and, accordingly, the Firm has no expectation for short-term realized gains with respect to these investments.

Investment securities risk

Investment securities risk includes the exposure associated with a default in the payment of principal and interest. This risk is mitigated given that the investment securities portfolio held by Treasury and CIO predominantly consists of high-quality securities. At December 31, 2021, the Treasury and CIO investment securities portfolio, net of allowance for credit losses, was $670.1 billion, and the average credit rating of the securities comprising the portfolio was AA+ (based upon external ratings where available, and where not available, based primarily upon internal risk ratings). Refer to Corporate segment results on pages 79-80 and Note 10 for further information on the investment securities portfolio and internal risk ratings. Refer to Market Risk Management on pages 133-140 for further information on the market risk inherent in the portfolio. Refer to Liquidity Risk Management on pages 97-104 for further information on related liquidity risk.

Governance and oversight

Investment securities risks are governed by the Firm’s Risk Appetite framework, and reviewed at the CTC Risk Committee with regular updates to the Board Risk Committee.

The Firm’s independent control functions are responsible for reviewing the appropriateness of the carrying value of investment securities in accordance with relevant policies. Approved levels for investment securities are established for each risk category, including capital and credit risks.

Principal investment risk

Principal investments are typically privately-held financial instruments representing ownership interests or other forms of junior capital. In general, principal investments include tax-oriented investments and investments made to enhance or accelerate the Firm’s business strategies and exclude those that are consolidated on the Firm's balance sheets. These investments are made by dedicated investing businesses or as part of a broader business strategy. The Firm’s principal investments are managed by the LOBs and Corporate and are reflected within their respective financial results. The Firm’s investments will continue to evolve in line with its strategies, including the Firm’s commitment to support underserved communities and minority-owned businesses. The aggregate carrying values of the principal investment portfolios have not been significantly affected by the impact of the COVID-19 pandemic.

The table below presents the aggregate carrying values of the principal investment portfolios as of December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["(in billions)","December 31, 2021","","December 31, 2020"],["Tax-oriented investments, primarily in alternative energy and affordable housing(a)","$","23.2","","","$","20.0"],["Private equity, various debt and equity instruments, and real assets","7.3","","","6.2"],["Total carrying value","$","30.5","","","$","26.2"]]
[[/GREPCENT_TABLE]]

(a)Prior-period amount has been revised to conform with the current presentation. Refer to Note 25 for further information.

Governance and oversight

The Firm’s approach to managing principal risk is consistent with the Firm’s risk governance structure. A Firmwide risk policy framework exists for all principal investing activities and includes approval by executives who are independent from the investing businesses, as appropriate.

The Firm’s independent control functions are responsible for reviewing the appropriateness of the carrying value of investments in accordance with relevant policies. As part of the risk governance structure, approved levels for investments are established and monitored for each relevant business or segment in order to manage the overall size of the portfolios. The Firm also conducts stress testing on these portfolios using specific scenarios that estimate losses based on significant market moves and/or other risk events.

[[GREPCENT_TABLE]]
[["132","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

MARKET RISK MANAGEMENT

Market risk is the risk associated with the effect of changes in market factors such as interest and foreign exchange rates, equity and commodity prices, credit spreads or implied volatilities, on the value of assets and liabilities held for both the short and long term.

Market Risk Management

Market Risk Management monitors market risks throughout the Firm and defines market risk policies and procedures.

Market Risk Management seeks to manage risk, facilitate efficient risk/return decisions, reduce volatility in operating performance and provide transparency into the Firm’s market risk profile for senior management, the Board of Directors and regulators. Market Risk Management is responsible for the following functions:

•Maintaining a market risk policy framework

•Independently measuring, monitoring and controlling LOB, Corporate, and Firmwide market risk

•Defining, approving and monitoring of limits

•Performing stress testing and qualitative risk assessments

Risk measurement

Measures used to capture market risk

There is no single measure to capture market risk and therefore Market Risk Management uses various metrics, both statistical and nonstatistical, to assess risk including:

•Value-at-risk (VaR)

•Stress testing

•Profit and loss drawdowns

•Earnings-at-risk

•Other sensitivity-based measures

Risk monitoring and control

Market risk exposure is managed primarily through a series of limits set in the context of the market environment and business strategy. In setting limits, Market Risk Management takes into consideration factors such as market volatility, product liquidity, accommodation of client business, and management judgment. Market Risk Management maintains different levels of limits. Firm level limits include VaR and stress limits. Similarly, LOB and Corporate limits include VaR and stress limits and may be supplemented by certain nonstatistical risk measures such as profit and loss drawdowns. Limits may also be set within the LOBs and Corporate, as well as at the legal entity level.

Market Risk Management sets limits and regularly reviews and updates them as appropriate. Senior management is responsible for reviewing and approving certain of these risk limits on an ongoing basis. Limits that have not been reviewed within specified time periods by Market Risk Management are reported to senior management. The LOBs and Corporate are responsible for adhering to established limits against which exposures are monitored and reported.

Limit breaches are required to be reported in a timely manner to limit approvers, which include Market Risk Management and senior management. In the event of a breach, Market Risk Management consults with senior members of appropriate groups within the Firm to determine the suitable course of action required to return the applicable positions to compliance, which may include a reduction in risk in order to remedy the breach or granting a temporary increase in limits to accommodate an expected increase in client activity and/or market volatility. Certain Firm, Corporate or LOB-level limit breaches are escalated as appropriate.

Market Risk Management continues to actively monitor the impact of the COVID-19 pandemic on market risk exposures by leveraging existing risk measures and controls.

Models used to measure market risk are inherently imprecise and are limited in their ability to measure certain risks or to predict losses. This imprecision may be heightened when sudden or severe shifts in market conditions occur. For additional discussion on model uncertainty refer to Estimations and Model Risk Management on page 149.

Market Risk Management periodically reviews the Firm’s existing market risk measures to identify opportunities for enhancement, and to the extent appropriate, will calibrate those measures accordingly over time.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","133"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

The following table summarizes the predominant business activities and related market risks, as well as positions which give rise to market risk and certain measures used to capture those risks, for each LOB and Corporate.

In addition to the predominant business activities, each LOB and Corporate may engage in principal investing activities. To the extent principal investments are deemed market risk sensitive, they are reflected in relevant risk measures and captured in the table below. Refer to Investment Portfolio Risk Management on page 132 for additional discussion on principal investments.

[[GREPCENT_TABLE]]
[["LOBs and Corporate","Predominant business activities","Related market risks","Positions included in Risk Management VaR","Positions included in earnings-at-risk","Positions included in other sensitivity-based measures"],["CCB","\u2022Originates and services mortgage loans \u2022Originates loans and takes deposits","\u2022Risk from changes in the probability of newly originated mortgage commitments closing\u2022Interest rate risk and prepayment risk","\u2022Mortgage commitments, classified as derivatives\u2022Warehouse loans that are fair value option elected, classified as loans \u2013 debt instruments\u2022MSRs\u2022Hedges of mortgage commitments, warehouse loans and MSRs, classified as derivatives\u2022Interest-only and mortgage-backed securities, classified as trading assets debt instruments, and related hedges, classified as derivatives\u2022Fair value option elected liabilities(a)","\u2022Retained loan portfolio\u2022Deposits","\u2022Fair value option elected liabilities DVA(a)"],["CIB","\u2022Makes markets and services clients across fixed income, foreign exchange, equities and commodities\u2022Originates loans and takes deposits","\u2022Risk of loss from adverse movements in market prices and implied volatilities across interest rate, foreign exchange, credit, commodity and equity instruments\u2022Basis and correlation risk from changes in the way asset values move relative to one another \u2022Interest rate risk and prepayment risk","\u2022Trading assets/liabilities \u2013 debt and marketable equity instruments, and derivatives, including hedges of the retained loan portfolio\u2022Certain securities purchased, loaned or sold under resale agreements and securities borrowed\u2022Fair value option elected liabilities(a)\u2022Certain fair value option elected loans\u2022Derivative CVA and associated hedges\u2022Marketable equity investments","\u2022Retained loan portfolio\u2022Deposits","\u2022Privately held equity and other investments measured at fair value; and certain real estate-related fair value option elected loans\u2022Derivatives FVA and fair value option elected liabilities DVA(a)"],["CB","\u2022Originates loans and takes deposits","\u2022Interest rate risk and prepayment risk","\u2022Marketable equity investments(b)","\u2022Retained loan portfolio\u2022Deposits"],["AWM","\u2022Provides initial capital investments in products such as mutual funds and capital invested alongside third-party investors\u2022Originates loans and takes deposits","\u2022Risk from adverse movements in market factors (e.g., market prices, rates and credit spreads)\u2022Interest rate risk and prepayment risk","\u2022Debt securities held in advance of distribution to clients, classified as trading assets - debt instruments(b)","\u2022Retained loan portfolio\u2022Deposits","\u2022Initial seed capital investments and related hedges, classified as derivatives\u2022Certain deferred compensation and related hedges, classified as derivatives\u2022Capital invested alongside third-party investors, typically in privately distributed collective vehicles managed by AWM (i.e., co-investments)"],["Corporate","\u2022Manages the Firm\u2019s liquidity, funding, capital, structural interest rate and foreign exchange risks","\u2022Structural interest rate risk from the Firm\u2019s traditional banking activities\u2022Structural non-USD foreign exchange risks","\u2022Derivative positions measured through noninterest revenue in earnings\u2022Marketable equity investments","\u2022Deposits with banks\u2022Investment securities portfolio and related interest rate hedges\u2022Long-term debt and related interest rate hedges","\u2022Privately held equity and other investments measured at fair value\u2022Foreign exchange exposure related to Firm-issued non-USD long-term debt (\u201cLTD\u201d) and related hedges"]]
[[/GREPCENT_TABLE]]

(a)Reflects structured notes in Risk Management VaR and the DVA on structured notes in other sensitivity-based measures.

(b)The AWM and CB contributions to Firmwide average VaR were not material for the years ended December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["134","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

Value-at-risk

JPMorgan Chase utilizes value-at-risk (“VaR”), a statistical risk measure, to estimate the potential loss from adverse market moves in the current market environment. The Firm has a single VaR framework used as a basis for calculating Risk Management VaR and Regulatory VaR.

The framework is employed across the Firm using historical simulation based on data for the previous 12 months. The framework’s approach assumes that historical changes in market values are representative of the distribution of potential outcomes in the immediate future. The Firm believes the use of Risk Management VaR provides a daily measure of risk that is closely aligned to risk management decisions made by the LOBs and Corporate and, along with other market risk measures, provides the appropriate information needed to respond to risk events.

The Firm’s Risk Management VaR is calculated assuming a one-day holding period and an expected tail-loss methodology which approximates a 95% confidence level. Risk Management VaR provides a consistent framework to measure risk profiles and levels of diversification across product types and is used for aggregating risks and monitoring limits across businesses. VaR results are reported to senior management, the Board of Directors and regulators.

Underlying the overall VaR model framework are individual VaR models that simulate historical market returns for individual risk factors and/or product types. To capture material market risks as part of the Firm’s risk management framework, comprehensive VaR model calculations are performed daily for businesses whose activities give rise to market risk. These VaR models are granular and incorporate numerous risk factors and inputs to simulate daily changes in market values over the historical period; inputs are selected based on the risk profile of each portfolio, as sensitivities and historical time series used to generate daily market values may be different across product types or risk management systems. The VaR model results across all portfolios are aggregated at the Firm level.

As VaR is based on historical data, it is an imperfect measure of market risk exposure and potential future losses. In addition, based on their reliance on available historical data, limited time horizons, and other factors, VaR measures are inherently limited in their ability to measure certain risks and to predict losses, particularly those associated with market illiquidity and sudden or severe shifts in market conditions.

For certain products, specific risk parameters are not captured in VaR due to the lack of liquidity and availability of appropriate historical data. The Firm uses proxies to estimate the VaR for these and other products when daily time series are not available. It is likely that using an actual price-based time series for these products, if available, would affect the VaR results presented. The Firm therefore considers other nonstatistical measures such as stress

testing, in addition to VaR, to capture and manage its market risk positions.

The daily market data used in VaR models may be different than the independent third-party data collected for VCG price testing in its monthly valuation process. For example, in cases where market prices are not observable, or where proxies are used in VaR historical time series, the data sources may differ. Refer to Valuation process in Note 2 for further information on the Firm’s valuation process. As VaR model calculations require daily data and a consistent source for valuation, it may not be practical to use the data collected in the VCG monthly valuation process for VaR model calculations.

The Firm’s VaR model calculations are periodically evaluated and enhanced in response to changes in the composition of the Firm’s portfolios, changes in market conditions, improvements in the Firm’s modeling techniques and measurements, and other factors. Such changes may affect historical comparisons of VaR results. Refer to Estimations and Model Risk Management on page 149 for information regarding model reviews and approvals.

The Firm calculates separately a daily aggregated VaR in accordance with regulatory rules (“Regulatory VaR”), which is used to derive the Firm’s regulatory VaR-based capital requirements under Basel III capital rules. This Regulatory VaR model framework currently assumes a ten business-day holding period and an expected tail loss methodology which approximates a 99% confidence level. Regulatory VaR is applied to “covered” positions as defined by Basel III capital rules, which may be different than the positions included in the Firm’s Risk Management VaR. For example, credit derivative hedges of accrual loans are included in the Firm’s Risk Management VaR, while Regulatory VaR excludes these credit derivative hedges. In addition, in contrast to the Firm’s Risk Management VaR, Regulatory VaR currently excludes the diversification benefit for certain VaR models.

Refer to JPMorgan Chase’s Basel III Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for additional information on Regulatory VaR and the other components of market risk regulatory capital for the Firm (e.g., VaR-based measure, stressed VaR-based measure and the respective backtesting).

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","135"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

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

[[GREPCENT_TABLE]]
[["Total VaR"],["As of or for the year ended December 31,","2021","","2020"],["(in millions)","Avg.","Min","Max","","Avg.","Min","Max"],["CIB trading VaR by risk type"],["Fixed income","$","60","","","$","30","","","$","153","","","","$","98","","","$","35","","","$","156"],["Foreign exchange","6","","","2","","","27","","","","10","","","4","","","18"],["Equities","16","","","8","","","38","","","","24","","","13","","","41"],["Commodities and other","19","","","9","","","43","","","","28","","","7","","","47"],["Diversification benefit to CIB trading VaR","(49)","","(a)","NM","(c)","NM","(c)","","(67)","","(a)","NM","(c)","NM","(c)"],["CIB trading VaR","52","","","22","","","134","","","","93","","","32","","","160"],["Credit portfolio VaR","6","","","4","","","12","","","","16","","","3","","","28"],["Diversification benefit to CIB VaR","(6)","","(a)","NM","(c)","NM","(c)","","(17)","","(a)","NM","(c)","NM","(c)"],["CIB VaR","52","","","22","","","133","","","","92","","","31","","","162"],["CCB VaR","5","","","3","","","11","","","","5","","","1","","","12"],["Corporate and other LOB VaR","24","","(b)","14","","","94","","(b)","","19","","(b)","9","","","82","","(b)"],["Diversification benefit to other VaR","(4)","","(a)","NM","(c)","NM","(c)","","(4)","","(a)","NM","(c)","NM","(c)"],["Other VaR","25","","","14","","","94","","","","20","","","10","","","82"],["Diversification benefit to CIB and other VaR","(22)","","(a)","NM","(c)","NM","(c)","","(17)","","(a)","NM","(c)","NM","(c)"],["Total VaR","$","55","","","$","24","","","$","153","","","","$","95","","","$","32","","","$","164"]]
[[/GREPCENT_TABLE]]

(a)Diversification benefit represents the difference between the portfolio VaR and the sum of its individual components. This reflects the non-additive nature of VaR due to imperfect correlation across LOBs, Corporate, and risk types.

(b)Average and maximum Corporate and other LOB VaR were primarily driven by a private equity position that became publicly traded at the end of the third quarter of 2020. As of March 31, 2021 the Firm no longer held this position.

(c)The maximum and minimum VaR for each portfolio may have occurred on different trading days than the components and consequently diversification benefit is not meaningful.

Generally, average VaR across risk types and LOBs was lower due to volatility which occurred at the onset of the COVID-19 pandemic rolling out of the one-year historical look-back period, predominantly impacting exposures in fixed income and commodities. As a result, average Total VaR decreased by $40 million for the year ended December 31, 2021 when compared with the prior year.

In the current year, maximum VaR remained elevated relative to average VaR as the aforementioned volatility was still included in the historical look-back period in the first quarter of 2021.

Effective July 1, 2020, the Firm refined the scope of VaR to exclude certain real estate-related fair value option elected loans, and included them in other sensitivity-based measures to more effectively measure the risk from these loans. In the absence of this refinement, the average Total VaR and each of the components would have been higher by the amounts reported in the following table:

[[GREPCENT_TABLE]]
[["For the year ended December 31,","Amount by which reported average VaR would have been higher"],["(in millions)","2021","2020"],["CIB fixed income VaR","$","5","$","11"],["CIB trading VaR","5","9"],["CIB VaR","5","9"],["Total VaR","4","9"]]
[[/GREPCENT_TABLE]]

The following graph presents daily Risk Management VaR for the four trailing quarters. As noted previously, average Total VaR decreased by $40 million for the year ended December 31, 2021, when compared with the prior year. Daily Risk Management VaR has also declined, returning to pre-pandemic levels, as the volatility which occurred in late March of 2020 at the onset of the COVID-19 pandemic has rolled out of the one-year historical look-back period.

Daily Risk Management VaR

[[GREPCENT_TABLE]]
[["","First Quarter 2021","Second Quarter 2021","Third Quarter 2021","Fourth Quarter 2021"]]
[[/GREPCENT_TABLE]]

[[GREPCENT_TABLE]]
[["136","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

VaR backtesting

The Firm performs daily VaR model backtesting, which compares the daily Risk Management VaR results with the daily gains and losses that are utilized for VaR backtesting purposes. The gains and losses depicted in the chart below do not reflect the Firm’s reported revenue as they exclude select components of total net revenue, such as those associated with the execution of new transactions (i.e., intraday client-driven trading and intraday risk management activities), fees, commissions, certain valuation adjustments and net interest income. These excluded components of total net revenue may more than offset the backtesting gain or loss on a particular day. The definition of backtesting gains and losses above is consistent with the requirements for backtesting under Basel III capital rules.

A backtesting exception occurs when the daily backtesting loss exceeds the daily Risk Management VaR for the prior day. Under the Firm’s Risk Management VaR methodology, assuming current changes in market values are consistent with the historical changes used in the simulation, the Firm would expect to incur VaR backtesting exceptions on

average five times every 100 trading days. The number of VaR backtesting exceptions observed can differ from the statistically expected number of backtesting exceptions if the current level of market volatility is materially different from the level of market volatility during the 12 months of historical data used in the VaR calculation.

For the 12 months ended December 31, 2021, the Firm posted backtesting gains on 145 of the 260 days, and observed 20 VaR backtesting exceptions. Twelve of the backtesting exceptions were in the three months ended December 31, 2021 as market volatility, particularly related to interest rates, was materially higher than the market volatility in the 12 months of historical data used for the VaR calculation. Firmwide backtesting loss days can differ from the loss days for which Fixed Income Markets and Equity Markets posted losses, as disclosed in CIB Markets revenue, as the population of positions which compose each metric are different and due to the exclusion of select components of total net revenue in backtesting gains and losses as described above. For more information on CIB Markets revenue, refer to pages 70-71.

The following chart presents the distribution of Firmwide daily backtesting gains and losses for the trailing 12 months and three months ended December 31, 2021. The daily backtesting losses are displayed as a percentage of the corresponding daily Risk Management VaR. The count of days with backtesting losses are shown in aggregate, in fifty percentage point intervals. Backtesting exceptions are displayed within the intervals that are greater than one hundred percent. The results in the chart below differ from the results of backtesting disclosed in the Market Risk section of the Firm’s Basel III Pillar 3 Regulatory Capital Disclosures reports, which are based on Regulatory VaR applied to the Firm’s covered positions.

Distribution of Daily Backtesting Gains and Losses

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","137"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Other risk measures

Stress testing

Along with VaR, stress testing is an important tool used to assess risk. While VaR reflects the risk of loss due to adverse changes in markets using recent historical market behavior, stress testing reflects the risk of loss from hypothetical changes in the value of market risk sensitive positions applied simultaneously. Stress testing measures the Firm’s vulnerability to losses under a range of stressed but possible economic and market scenarios. The results are used to understand the exposures responsible for those potential losses and are measured against limits.

The Firm’s stress framework covers market risk sensitive positions in the LOBs and Corporate. The framework is used to calculate multiple magnitudes of potential stress for both market rallies and market sell-offs, assuming significant changes in market factors such as credit spreads, equity prices, interest rates, currency rates and commodity prices, and combines them in multiple ways to capture an array of hypothetical economic and market scenarios.

The Firm generates a number of scenarios that focus on tail events in specific asset classes and geographies, including how the event may impact multiple market factors simultaneously. Scenarios also incorporate specific idiosyncratic risks and stress basis risk between different products. The flexibility in the stress framework allows the Firm to construct new scenarios that can test the outcomes against possible future stress events. Stress testing results are reported periodically to senior management of the Firm, as appropriate.

Stress scenarios are governed by the overall stress framework, under the oversight of Market Risk Management, and the models to calculate the stress results are subject to the Firm’s Estimations and Model Risk Management Policy. The Firmwide Market Risk Stress Methodology Committee reviews and approves changes to stress testing methodology and scenarios across the Firm. Significant changes to the framework are escalated to senior management, as appropriate.

The Firm’s stress testing framework is utilized in calculating the Firm’s CCAR and other stress test results, which are reported periodically to the Board of Directors. In addition, stress testing results are incorporated into the Firm’s Risk Appetite framework, and are reported periodically to the Board Risk Committee.

Profit and loss drawdowns

Profit and loss drawdowns are used to highlight trading losses above certain levels of risk tolerance. A profit and loss drawdown is a decline in revenue from its year-to-date peak level.

Earnings-at-risk

The effect of interest rate exposure on the Firm’s reported net income is important as interest rate risk represents one of the Firm’s significant market risks. Interest rate risk arises not only from trading activities but also from the

Firm’s traditional banking activities, which include extension of loans and credit facilities, taking deposits, issuing debt and the investment securities portfolio. Refer to the table on page 134 for a summary by LOB and Corporate, identifying positions included in earnings-at-risk.

The CTC Risk Committee establishes the Firm’s structural interest rate risk policy and related limits, which are subject to approval by the Board Risk Committee. Treasury and CIO, working in partnership with the LOBs, calculates the Firm’s structural interest rate risk profile and reviews it with senior management, including the CTC Risk Committee. In addition, oversight of structural interest rate risk is managed through a dedicated risk function reporting to the CTC CRO. This risk function is responsible for providing independent oversight and governance around assumptions and establishing and monitoring limits for structural interest rate risk. The Firm manages structural interest rate risk generally through its investment securities portfolio and interest rate derivatives.

Structural interest rate risk can occur due to a variety of factors, including:

•Differences in timing among the maturity or repricing of assets, liabilities and off-balance sheet instruments

•Differences in the amounts of assets, liabilities and off-balance sheet instruments that are maturing or repricing at the same time

•Differences in the amounts by which short-term and long-term market interest rates change (for example, changes in the slope of the yield curve)

•The impact of changes in the maturity of various assets, liabilities or off-balance sheet instruments as interest rates change

The Firm manages interest rate exposure related to its assets and liabilities on a consolidated, Firmwide basis. Business units transfer their interest rate risk to Treasury and CIO through funds transfer pricing, which takes into account the elements of interest rate exposure that can be risk-managed in financial markets. These elements include asset and liability balances and contractual rates of interest, contractual principal payment schedules, expected prepayment experience, interest rate reset dates and maturities, rate indices used for repricing, and any interest rate ceilings or floors for adjustable rate products.

One way the Firm evaluates its structural interest rate risk is through earnings-at-risk. Earnings-at-risk estimates the Firm’s interest rate exposure for a given interest rate scenario. It is presented as a sensitivity to a baseline, which includes net interest income and certain interest rate sensitive fees. The baseline uses market interest rates and in the case of deposits, pricing assumptions. The Firm conducts simulations of changes to this baseline for interest rate-sensitive assets and liabilities denominated in U.S. dollars and other currencies (“non-U.S. dollar” currencies). These simulations primarily include retained loans, deposits, deposits with banks, investment securities, long-

[[GREPCENT_TABLE]]
[["138","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

term debt and any related interest rate hedges, and funds transfer pricing of other positions in risk management VaR and other sensitivity-based measures as described on page 134.

Earnings-at-risk scenarios estimate the potential change to a net interest income baseline, over the following 12 months utilizing multiple assumptions. These scenarios include a parallel shift involving changes to both short-term and long-term rates by an equal amount; a steeper yield curve involving holding short-term rates constant and increasing long-term rates; and a flatter yield curve involving increasing short-term rates and holding long-term rates constant. These scenarios consider many different factors, including:

•The impact on exposures as a result of instantaneous changes in interest rates from baseline rates.

•Forecasted balance sheet, as well as modeled prepayment and reinvestment behavior, but exclude assumptions about actions that could be taken by the Firm or its clients and customers in response to any such instantaneous rate changes. Mortgage prepayment assumptions are based on the interest rates used in the scenarios compared with underlying contractual rates, the time since origination, and other factors which are updated periodically based on historical experience. Deposit forecasts used in the baseline and scenarios do not include assumptions to account for the reversal of Quantitative Easing.

•The pricing sensitivity of deposits, known as deposit betas, represent the amount by which deposit rates paid could change upon a given change in market interest rates. The deposit rates paid in these scenarios differ from actual deposit rates paid, due to repricing lags and other factors.

The Firm’s earnings-at-risk scenarios are periodically evaluated and enhanced in response to changes in the composition of the Firm’s balance sheet, changes in market conditions, improvements in the Firm’s simulation and other factors. While a relevant measure of the Firm’s interest rate exposure, the earnings-at-risk analysis does not represent a forecast of the Firm’s net interest income (Refer to Outlook on page 49 for additional information).

The Firm’s U.S. dollar sensitivities are presented in the table below.

[[GREPCENT_TABLE]]
[["December 31, (in billions)","2021","","2020"],["Parallel shift:"],["+100 bps shift in rates","$","5.0","","","$","6.9"],["Steeper yield curve:"],["+100 bps shift in long-term rates","1.8","","","2.4"],["Flatter yield curve:"],["+100 bps shift in short-term rates","3.2","","","4.5"]]
[[/GREPCENT_TABLE]]

The change in the Firm’s U.S. dollar sensitivities as of December 31, 2021 compared to December 31, 2020 reflected updates to the Firm’s baseline for higher rates as well as the impact of changes in the Firm’s balance sheet.

The Firm’s sensitivity to rates is primarily a result of assets repricing at a faster pace than deposits.

The Firm’s non-U.S. dollar sensitivities are presented in the table below.

[[GREPCENT_TABLE]]
[["December 31, (in billions)","2021","","2020"],["Parallel shift:"],["+100 bps shift in rates","$","0.8","","","$","0.9"],["Flatter yield curve:"],["+100 bps shift in short-term rates","0.8","","","0.8"]]
[[/GREPCENT_TABLE]]

The results of the non-U.S. dollar interest rate scenario involving a steeper yield curve with long-term rates rising by 100 basis points and short-term rates staying at current levels were not material to the Firm’s earnings-at-risk at December 31, 2021 and 2020.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","139"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Non-U.S. dollar foreign exchange risk

Non-U.S. dollar FX risk is the risk that changes in foreign exchange rates affect the value of the Firm’s assets or liabilities or future results. The Firm has structural non-U.S. dollar FX exposures arising from capital investments, forecasted expense and revenue, the investment securities portfolio and non-U.S. dollar-denominated debt issuance. Treasury and CIO, working in partnership with the LOBs, primarily manage these risks on behalf of the Firm. Treasury and CIO may hedge certain of these risks using derivatives.

Other sensitivity-based measures

The Firm quantifies the market risk of certain debt and equity and funding activities by assessing the potential impact on net revenue, other comprehensive income (“OCI”) and noninterest expense due to changes in relevant market variables. Refer to the predominant business activities that give rise to market risk on page 134 for additional information on the positions captured in other sensitivity-based measures.

The table below represents the potential impact to net revenue, OCI or noninterest expense for market risk sensitive instruments that are not included in VaR or earnings-at-risk. Where appropriate, instruments used for hedging purposes are reported net of the positions being hedged. The sensitivities disclosed in the table below may not be representative of the actual gain or loss that would have been realized at December 31, 2021 and 2020, as the movement in market parameters across maturities may vary and are not intended to imply management’s expectation of future changes in these sensitivities.

[[GREPCENT_TABLE]]
[["Year ended December 31,Gain/(loss) (in millions)"],["Activity","","Description","","Sensitivity measure","","2021","2020"],["Debt and equity(a)"],["Asset Management activities","","Consists of seed capital and related hedges; fund co-investments(c); and certain deferred compensation and related hedges(d)","","10% decline in market value","","$","(69)","","$","(48)"],["Other debt and equity","","Consists of certain real estate-related fair value option elected loans, privately held equity and other investments held at fair value(c)","","10% decline in market value","","(971)","","(919)"],["Funding activities"],["Non-USD LTD cross-currency basis","","Represents the basis risk on derivatives used to hedge the foreign exchange risk on the non-USD LTD(e)","","1 basis point parallel tightening of cross currency basis","","(16)","","(16)"],["Non-USD LTD hedges foreign currency (\u201cFX\u201d) exposure","","Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges(e)","","10% depreciation of currency","","15","","13"],["Derivatives \u2013 funding spread risk(b)","","Impact of changes in the spread related to derivatives FVA(c)","","1 basis point parallel increase in spread","","(7)","","(9)"],["Fair value option elected liabilities \u2013funding spread risk(b)","","Impact of changes in the spread related to fair value option elected liabilities DVA(e)","","1 basis point parallel increase in spread","","41","","40"],["Fair value option elected liabilities \u2013interest rate sensitivity","","Interest rate sensitivity on fair value option elected liabilities resulting from a change in the Firm\u2019s own credit spread(e)","","1 basis point parallel increase in spread","","(3)","","(3)"],["","Interest rate sensitivity related to risk management of changes in the Firm\u2019s own credit spread on the fair value option elected liabilities noted above(c)","","1 basis point parallel increase in spread","","3","","3"]]
[[/GREPCENT_TABLE]]

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

(b)Effective September 30, 2021, the Firm’s funding spread risk measure for both derivatives and fair value option elected liabilities represents the sensitivity to the Firm's FVA spread. Previously, these measures represented the sensitivity to the Firm’s credit spread observed in the market. The Firm believes the updated measure is more reflective of the Firm’s funding spread risk. Prior-period amounts have been revised to conform with the current presentation.

(c)Impact recognized through net revenue.

(d)Impact recognized through noninterest expense.

(e)Impact recognized through OCI.

[[GREPCENT_TABLE]]
[["140","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

COUNTRY RISK MANAGEMENT

The Firm, through its LOBs and Corporate, may be exposed to country risk resulting from financial, economic, political or other significant developments which adversely affect the value of the Firm’s exposures related to a particular country or set of countries. The Country Risk Management group actively monitors the various portfolios which may be impacted by these developments and measures the extent to which the Firm’s exposures are diversified given the Firm’s strategy and risk tolerance relative to a country.

Organization and management

Country Risk Management is an independent risk management function that assesses, manages and monitors exposure to country risk across the Firm.

The Firm’s country risk management function includes the following activities:

•Maintaining policies, procedures and standards consistent with a comprehensive country risk framework

•Assigning sovereign ratings, assessing country risks and establishing risk tolerance relative to a country

•Measuring and monitoring country risk exposure and stress across the Firm

•Managing and approving country limits and reporting trends and limit breaches to senior management

•Developing surveillance tools, such as signaling models and ratings indicators, for early identification of potential country risk concerns

•Providing country risk scenario analysis

Sources and measurement

The Firm is exposed to country risk through its lending and deposits, investing, and market-making activities, whether cross-border or locally funded. Country exposure includes activity with both government and private-sector entities in a country.

Under the Firm’s internal country risk management approach, attribution of exposure to an individual country is based on the country where the largest proportion of the assets of the counterparty, issuer, obligor or guarantor are located or where the largest proportion of its revenue is derived, which may be different than the domicile (i.e. legal residence) or country of incorporation.

Individual country exposures reflect an aggregation of the Firm’s risk to an immediate default, with zero recovery, of the counterparties, issuers, obligors or guarantors attributed to that country. Activities which result in contingent or indirect exposure to a country are not included in the country exposure measure (for example, providing clearing services or secondary exposure to collateral on securities financing receivables).

Assumptions are sometimes required in determining the measurement and allocation of country exposure, particularly in the case of certain non-linear or index products, or where the nature of the counterparty, issuer, obligor or guarantor is not suitable for attribution to an

individual country. The use of different measurement approaches or assumptions could affect the amount of reported country exposure.

Under the Firm’s internal country risk measurement framework:

•Lending exposures are measured at the total committed amount (funded and unfunded), net of the allowance for credit losses and eligible cash and marketable securities collateral received

•Deposits are measured as the cash balances placed with central and commercial banks

•Securities financing exposures are measured at their receivable balance, net of eligible collateral received

•Debt and equity securities are measured at the fair value of all positions, including both long and short positions

•Counterparty exposure on derivative receivables is measured at the derivative’s fair value, net of the fair value of the eligible collateral received

•Credit derivatives protection purchased and sold is reported based on the underlying reference entity and is measured at the notional amount of protection purchased or sold, net of the fair value of the recognized derivative receivable or payable. Credit derivatives protection purchased and sold in the Firm’s market-making activities is measured on a net basis, as such activities often result in selling and purchasing protection related to the same underlying reference entity; this reflects the manner in which the Firm manages these exposures

The Firm’s internal country risk reporting differs from the reporting provided under the FFIEC bank regulatory requirements.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","141"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Stress testing

Stress testing is an important component of the Firm’s country risk management framework, which aims to estimate and limit losses arising from a country crisis by measuring the impact of adverse asset price movements to a country based on market shocks combined with counterparty specific assumptions. Country Risk Management periodically designs and runs tailored stress scenarios to test vulnerabilities to individual countries or sets of countries in response to specific or potential market events, sector performance concerns, sovereign actions and geopolitical risks. These tailored stress results are used to inform potential risk reduction across the Firm, as necessary.

COVID-19 Pandemic

Country Risk Management continues to monitor the impact of the COVID-19 pandemic on individual countries.

Risk reporting

Country exposure and stress are measured and reported regularly, and used by Country Risk Management to identify trends, and monitor high usages and breaches against limits.

For country risk management purposes, the Firm may report exposure to jurisdictions that are not fully autonomous, including Special Administrative Regions (“SAR”) and dependent territories, separately from the independent sovereign states with which they are associated.

The following table presents the Firm’s top 20 exposures by country (excluding the U.S.) as of December 31, 2021, and their comparative exposures as of December 31, 2020. The selection of countries represents the Firm’s largest total exposures by individual country, based on the Firm’s internal country risk management approach, and does not represent the Firm’s view of any existing or potentially adverse credit conditions. Country exposures may fluctuate from period to period due to client activity and market flows.

The decrease in exposure to Germany and the increase in exposure to the United Kingdom were primarily due to changes in cash placements with the central banks of those countries driven by balance sheet and liquidity management activities in the fourth quarter of 2021.

The increase in exposure to Australia was due to increased cash placements with the central bank of Australia, largely driven by client activity following monetary policy decisions in the country and growth in client deposits.

[[GREPCENT_TABLE]]
[["Top 20 country exposures (excluding the U.S.)(a)"],["December 31, (in billions)","2021","","2020(e)"],["","","Lending and deposits(b)","Trading and investing(c)","Other(d)","Total exposure","","Total exposure"],["United Kingdom","","$","81.7","","$","12.7","","$","2.0","","$","96.4","","","$","68.4"],["Germany","","65.3","","(4.2)","","0.6","","61.7","","","127.2"],["Japan","","38.8","","6.4","","0.3","","45.5","","","45.6"],["Australia","","29.2","","9.9","","\u2014","","39.1","","","15.9"],["Switzerland","","14.7","","1.4","","4.8","","20.9","","","18.7"],["China","","10.1","","7.1","","1.4","","18.6","","","21.2"],["Canada","","14.7","","2.0","","0.2","","16.9","","","14.5"],["India","","5.8","","7.1","","1.8","","14.7","","","10.5"],["France","","11.0","","2.0","","1.0","","14.0","","","18.8"],["Singapore","","6.8","","4.6","","0.9","","12.3","","","8.7"],["Brazil","","5.3","","6.7","","\u2014","","12.0","","","10.8"],["Luxembourg","","10.1","","1.4","","\u2014","","11.5","","","12.4"],["Spain","","9.2","","0.9","","\u2014","","10.1","","","5.8"],["Saudi Arabia","","6.9","","2.2","","\u2014","","9.1","","","5.8"],["South Korea","","3.9","","4.5","","0.3","","8.7","","","10.1"],["Italy","","6.2","","1.8","","0.4","","8.4","","","9.7"],["Netherlands","","5.5","","0.7","","0.6","","6.8","","","7.7"],["Belgium","","5.0","","1.8","","\u2014","","6.8","","","4.0"],["Hong Kong SAR","","3.6","","2.0","","0.3","","5.9","","","6.2"],["Mexico","","4.3","","0.6","","\u2014","","4.9","","","4.9"]]
[[/GREPCENT_TABLE]]

(a)Country exposures presented in the table reflect 89% and 90% of total Firmwide non-U.S. exposure, where exposure is attributed to an individual country, at December 31, 2021 and 2020, respectively.

(b)Lending and deposits includes loans and accrued interest receivable, lending-related commitments (net of eligible collateral and the allowance for credit losses), deposits with banks (including central banks), acceptances, other monetary assets, and issued letters of credit net of risk participations. Excludes intra-day and operating exposures, such as those from settlement and clearing activities.

(c)Includes market-making inventory, Investment securities, and counterparty exposure on derivative and securities financings net of eligible collateral and hedging. Includes exposure from single reference entity (“single-name”), index and other multiple reference entity transactions for which one or more of the underlying reference entities is in a country listed in the above table.

(d)Predominantly includes physical commodity inventory.

(e)The country rankings presented in the table as of December 31, 2020, are based on the country rankings of the corresponding exposures at December 31, 2021, not actual rankings of such exposures at December 31, 2020.

[[GREPCENT_TABLE]]
[["142","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

OPERATIONAL RISK MANAGEMENT

Operational risk is the risk of an adverse outcome resulting from inadequate or failed internal processes or systems; human factors; or external events impacting the Firm’s processes or systems. Operational Risk includes compliance, conduct, legal, and estimations and model risk. Operational risk is inherent in the Firm’s activities and can manifest itself in various ways, including fraudulent acts, business disruptions (including those caused by extraordinary events beyond the Firm's control) cyber attacks, inappropriate employee behavior, failure to comply with applicable laws, rules and regulations or failure of vendors or other third party providers to perform in accordance with their agreements. Operational Risk Management attempts to manage operational risk at appropriate levels in light of the Firm’s financial position, the characteristics of its businesses, and the markets and regulatory environments in which it operates.

Operational Risk Management Framework

The Firm’s Compliance, Conduct, and Operational Risk (“CCOR”) Management Framework is designed to enable the Firm to govern, identify, measure, monitor and test, manage and report on the Firm’s operational risk.

Operational Risk Governance

The LOBs and Corporate are responsible for the management of operational risk. The Control Management Organization, which consists of control managers within each LOB and Corporate, is responsible for the day-to-day execution of the CCOR Framework and the evaluation of the effectiveness of their control environments to determine where targeted remediation efforts may be required.

The Firm’s Global Chief Compliance Officer (“CCO”) and FRE for Operational Risk and Qualitative Risk Appetite is responsible for defining the CCOR Management Framework and establishing minimum standards for its execution. The LOB and Corporate aligned CCOR Lead Officers report to the Global CCO and FRE for Operational Risk and Qualitative Risk Appetite and are independent of the respective businesses or functions they oversee. The CCOR Management Framework is included in the Risk Governance and Oversight Policy that is reviewed and approved by the Board Risk Committee periodically.

Operational Risk Identification

The Firm utilizes a structured risk and control self-assessment process that is executed by the LOBs and Corporate. As part of this process, the LOBs and Corporate evaluate the effectiveness of their control environment to assess where controls have failed, and to determine where remediation efforts may be required. The Firm’s Operational Risk and Compliance organization (“Operational Risk and Compliance”) provides oversight of and challenge to these evaluations and may also perform independent assessments of significant operational risk events and areas of concentrated or emerging risk.

Operational Risk Measurement

Operational Risk and Compliance performs an independent assessment of the operational risks inherent within the LOBs and Corporate, which includes evaluating the effectiveness of the control environments and reporting the results to senior management.

In addition, Operational Risk and Compliance assesses operational risks through quantitative means, including operational risk-based capital and estimation of operational risk losses under both baseline and stressed conditions.

The primary component of the operational risk capital estimate is the Loss Distribution Approach (“LDA”) statistical model, which simulates the frequency and severity of future operational risk loss projections based on historical data. The LDA model is used to estimate an aggregate operational risk loss over a one-year time horizon, at a 99.9% confidence level. The LDA model incorporates actual internal operational risk losses in the quarter following the period in which those losses were realized, and the calculation generally continues to reflect such losses even after the issues or business activities giving rise to the losses have been remediated or reduced.

As required under the Basel III capital framework, the Firm’s operational risk-based capital methodology, which uses the Advanced Measurement Approach (“AMA”), incorporates internal and external losses as well as management’s view of tail risk captured through operational risk scenario analysis, and evaluation of key business environment and internal control metrics. The Firm does not reflect the impact of insurance in its AMA estimate of operational risk capital.

The Firm considers the impact of stressed economic conditions on operational risk losses and develops a forward looking view of material operational risk events that may occur in a stressed environment. The Firm’s operational risk stress testing framework is utilized in calculating results for the Firm’s CCAR and other stress testing processes.

Refer to Capital Risk Management on pages 86-96 for information related to operational risk RWA, and CCAR.

Operational Risk Monitoring and testing

The results of risk assessments performed by Operational Risk and Compliance are leveraged as one of the key criteria in the independent monitoring and testing of the LOBs and Corporate’s compliance with laws, rules and regulation. Through monitoring and testing, Operational Risk and Compliance independently identify areas of heightened operational risk and tests the effectiveness of controls within the LOBs and Corporate.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","143"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

Management of Operational Risk

The operational risk areas or issues identified through monitoring and testing are escalated to the LOBs and Corporate to be remediated through action plans, as needed, to mitigate operational risk. Operational Risk and Compliance may advise the LOBs and Corporate in the development and implementation of action plans.

Operational Risk Reporting

Escalation of risks is a fundamental expectation for employees at the Firm. Risks identified by Operational Risk and Compliance are escalated to the appropriate LOB and Corporate Control Committees, as needed. Operational Risk and Compliance has established standards to ensure that consistent operational risk reporting and operational risk reports are produced on a Firmwide basis as well as by the LOBs and Corporate. Reporting includes the evaluation of key risk and performance indicators against established thresholds as well as the assessment of different types of operational risk against stated risk appetite. The standards reinforce escalation protocols to senior management and to the Board of Directors.

Subcategories and examples of operational risks

Operational risk can manifest itself in various ways. Operational risk subcategories such as Compliance risk, Conduct risk, Legal risk, and Estimations and Model risk as well as other operational risks, can lead to losses which are captured through the Firm’s operational risk measurement processes. Refer to pages 146, 147, 148 and 149, respectively for more information on Compliance, Conduct, Legal, and Estimations and Model risk. Details on other select examples of operational risks are provided below.

Cybersecurity risk

Cybersecurity risk is the risk of the Firm’s exposure to harm or loss resulting from misuse or abuse of technology by malicious actors. Cybersecurity risk is an important and continuously evolving focus for the Firm. Significant resources are devoted to protecting and enhancing the security of computer systems, software, networks, storage devices, and other technology assets. The Firm’s security efforts are designed to protect against, among other things, cybersecurity attacks by unauthorized parties attempting to obtain access to confidential information, destroy data, disrupt or degrade service, sabotage systems or cause other damage.

Ongoing business expansions may expose the Firm to potential new threats as well as expanded regulatory scrutiny including the introduction of new cybersecurity requirements. The Firm continues to make significant investments in enhancing its cyber defense capabilities and to strengthen its partnerships with the appropriate government and law enforcement agencies and other businesses in order to understand the full spectrum of cybersecurity risks in the operating environment, enhance defenses and improve resiliency against cybersecurity threats. The Firm actively participates in discussions and simulations of cybersecurity risks both internally and with

law enforcement, government officials, peer and industry groups, and has significantly increased efforts to educate employees and certain clients on the topic of cybersecurity risks.

Third parties with which the Firm does business or that facilitate the Firm’s business activities (e.g., vendors, supply chain, exchanges, clearing houses, central depositories, and financial intermediaries) are also sources of cybersecurity risk to the Firm. Third party cybersecurity incidents such as system breakdowns or failures, misconduct by the employees of such parties, or cyberattacks, including ransomware and supply-chain compromises could affect their ability to deliver a product or service to the Firm or result in lost or compromised information of the Firm or its clients. Clients are also sources of cybersecurity risk to the Firm and its information assets, particularly when their activities and systems are beyond the Firm’s own security and control systems. As a result, the Firm engages in regular and ongoing discussions with certain vendors and clients regarding cybersecurity risks and opportunities to improve security. However, where cybersecurity incidents occur as a result of client failures to maintain the security of their own systems and processes, clients are responsible for losses incurred.

To protect the confidentiality, integrity and availability of the Firm’s infrastructure, resources and information, the Firm maintains a cybersecurity program designed to prevent, detect, and respond to cyberattacks. The Audit Committee is periodically provided with updates on the Firm’s Information Security Program, recommended changes, cybersecurity policies and practices, ongoing efforts to improve security, as well as its efforts regarding significant cybersecurity events. In addition, the Firm has a cybersecurity incident response plan (“IRP”) designed to enable the Firm to respond to attempted cybersecurity incidents, coordinate such responses with law enforcement and other government agencies, and notify clients and customers, as applicable. Among other key focus areas, the IRP is designed to mitigate the risk of insider trading connected to a cybersecurity incident, and includes various escalation points.

Due to the impact of the COVID-19 pandemic, the Firm increased the use of remote access and video conferencing solutions provided by third parties to facilitate remote work. As a result the Firm deployed additional precautionary measures and controls to mitigate cybersecurity risks and those measures and controls remain in place.

The Cybersecurity and Technology Control functions are responsible for governance and oversight of the Firm’s Information Security Program. In partnership with the Firm’s LOBs and Corporate, the Cybersecurity and Technology Control organization identifies information security risk issues and oversees programs for the technological protection of the Firm’s information resources including applications, infrastructure as well as confidential

[[GREPCENT_TABLE]]
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and personal information related to the Firm’s employees and customers. The Cybersecurity and Technology Controls organization consists of business aligned information security managers that are supported within the organization by the following products that execute the Information Security Program for the Firm:

•Cyber Operations

•Identity & Access Management

•Governance, Risk & Controls

•Global Technology Product Security

The Global Cybersecurity and Technology Control governance structure is designed to identify, escalate, and mitigate information security risks. This structure uses key governance forums to disseminate information and monitor technology efforts. These forums are established at multiple levels throughout the Firm and include representatives from each LOB and Corporate. The forums are used to escalate information security risks or other matters as appropriate.

The IRM function provides oversight of the activities designed to identify, assess, measure, and mitigate cybersecurity risk.

The Firm’s Security Awareness Program includes training that reinforces the Firm's Information Technology Risk and Security Management policies, standards and practices, as well as the expectation that employees comply with these policies. The Security Awareness Program engages personnel through training on how to identify potential cybersecurity risks and protect the Firm’s resources and information. This training is mandatory for all employees globally on a periodic basis, and it is supplemented by Firmwide testing initiatives, including periodic phishing tests. The Firm provides specialized security training for certain employee roles such as application developers. Finally, the Firm’s Global Privacy Program requires all employees to take periodic awareness training on data privacy. This privacy-focused training includes information about confidentiality and security, as well as responding to unauthorized access to or use of information.

Business and technology resiliency risk

Disruptions can occur due to forces beyond the Firm’s control such as the spread of infectious diseases or pandemics, severe weather, power or telecommunications loss, failure of a third party to provide expected services, cyberattacks and, terrorism. The Firmwide Business Resiliency Program is designed to enable the Firm to prepare for, adapt to, withstand and recover from business disruptions including occurrence of an extraordinary event beyond its control that may impact critical business functions and supporting assets (i.e., staff, technology, facilities and third parties). The program includes governance, awareness training, planning and testing of recovery strategies, as well as strategic and tactical initiatives to identify, assess, and manage business interruption and public safety risks.

Payment fraud risk

Payment fraud risk is the risk of external and internal parties unlawfully obtaining personal monetary benefit through misdirected or otherwise improper payment. The risk of payment fraud normalized in 2021 since the heightened levels experienced during earlier stages of the COVID-19 pandemic. The Firm continues to employ various controls for managing payment fraud risk as well as providing employee and client education and awareness trainings.

Third-party outsourcing risk

The Firm‘s Third-Party Oversight (“TPO”) and Inter-affiliates Oversight (“IAO”) frameworks assist the LOBs and Corporate in selecting, documenting, onboarding, monitoring and managing their supplier relationships including services provided by affiliates. The objectives of the TPO framework are to hold suppliers and other third parties to a high level of operational performance and to mitigate key risks, including data loss and business disruptions. The Corporate Third-Party Oversight group is responsible for Firmwide training, monitoring, reporting and standards.

Insurance

One of the ways in which operational risk may be mitigated is through insurance maintained by the Firm. The Firm purchases insurance from commercial insurers and maintains a wholly-owned captive insurer, Park Assurance Company. Insurance may also be required by third parties with whom the Firm does business.

[[GREPCENT_TABLE]]
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[[/GREPCENT_TABLE]]

Management’s discussion and analysis

COMPLIANCE RISK MANAGEMENT

Compliance risk, a subcategory of operational risk, is the risk of failing to comply with laws, rules, regulations or codes of conduct and standards of self-regulatory organizations.

Overview

Each of the LOBs and Corporate hold primary ownership of and accountability for managing their compliance risk. The Firm’s Operational Risk and Compliance Organization (“Operational Risk and Compliance”), which is independent of the LOBs and Corporate, provides independent review, monitoring and oversight of business operations with a focus on compliance with the laws, rules, and regulations applicable to the delivery of the Firm’s products and services to clients and customers.

These compliance risks relate to a wide variety of laws, rules and regulations varying across the LOBs and Corporate, and jurisdictions, and include risks related to financial products and services, relationships and interactions with clients and customers, and employee activities. For example, compliance risks include those associated with anti-money laundering compliance, trading activities, market conduct, and complying with the laws, rules, and regulations related to the offering of products and services across jurisdictional borders. Compliance risk is also inherent in the Firm’s fiduciary activities, including the failure to exercise the applicable standard of care (such as the duties of loyalty or care), to act in the best interest of clients and customers or to treat clients and customers fairly.

Other functions provide oversight of significant regulatory obligations that are specific to their respective areas of responsibility.

Operational Risk and Compliance implements policies and standards designed to govern, identify, measure, monitor and test, manage, and report on compliance risk.

Governance and oversight

Operational Risk and Compliance is led by the Firm’s Global CCO and FRE for Operational Risk and Qualitative Risk Appetite.

The Firm maintains oversight and coordination of its compliance risk through the implementation of the CCOR Risk Management Framework. The Firm’s Global CCO and FRE for Operational Risk and Qualitative Risk Appetite also provides regular updates to the Board Risk Committee and the Audit Committee. In certain cases, Special Purpose Committees of the Board may be established to oversee the Firm’s compliance with regulatory Consent Orders.

Code of Conduct

The Firm has a Code of Conduct (the “Code”) that sets forth the Firm’s expectation that employees will conduct themselves with integrity at all times and provides the principles that govern employee conduct with clients, customers, shareholders and one another, as well as with the markets and communities in which the Firm does business. The Code requires employees to promptly report any potential or actual violation of the Code, any internal Firm policy, or any law or regulation applicable to the Firm’s business. It also requires employees to report any illegal conduct, or conduct that violates the underlying principles of the Code, by any of the Firm’s employees, clients, customers, suppliers, contract workers, business partners, or agents. Code training is assigned to newly hired employees upon joining the Firm, and to current employees periodically on an ongoing basis. Employees are required to affirm their compliance with the Code at least annually.

Employees can report any potential or actual violations of the Code through the Firm’s Conduct Hotline by phone or the internet. The Hotline is anonymous, except in certain non-U.S. jurisdictions where laws prohibit anonymous reporting, and is available at all times globally, with translation services. It is administered by an outside service provider. The Code prohibits retaliation against anyone who raises an issue or concern in good faith. Periodically, the Audit Committee receives reports on the Code of Conduct program.

[[GREPCENT_TABLE]]
[["146","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

CONDUCT RISK MANAGEMENT

Conduct risk, a subcategory of operational risk, is the risk that any action or inaction by an employee or employees could lead to unfair client or customer outcomes, impact the integrity of the markets in which the Firm operates, or compromise the Firm’s reputation.

Overview

Each LOB and Corporate is accountable for identifying and managing its conduct risk to provide appropriate engagement, ownership and sustainability of a culture consistent with the Firm’s How We Do Business Principles (the “Principles”). The Principles serve as a guide for how employees are expected to conduct themselves. With the Principles serving as a guide, the Firm’s Code sets out the Firm’s expectations for each employee and provides information and resources to help employees conduct business ethically and in compliance with the laws everywhere the Firm operates. Refer to Compliance Risk Management on page 146 for further discussion of the Code.

Governance and oversight

The Conduct Risk Program is governed by the CCOR Management policy, which establishes the framework for governance, identification, measurement, monitoring and testing, management and reporting conduct risk in the Firm.

The Firm has a senior forum that provides oversight of the Firm’s conduct initiatives to develop a more holistic view of conduct risks and to connect key programs across the Firm in order to identify opportunities and emerging areas of focus. This forum is responsible for setting overall program direction for strategic enhancements to the Firm's employee conduct framework and reviewing the consolidated Firmwide Conduct Risk Appetite Assessment.

Conduct risk management encompasses various aspects of people management practices throughout the employee life cycle, including recruiting, onboarding, training and development, performance management, promotion and compensation processes. Each LOB, Treasury and CIO, and each designated corporate function completes an assessment of conduct risk periodically, reviews metrics and issues which may involve conduct risk, and provides conduct education as appropriate.

[[GREPCENT_TABLE]]
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[[/GREPCENT_TABLE]]

Management’s discussion and analysis

LEGAL RISK MANAGEMENT

Legal risk, a subcategory of operational risk, is the risk of loss primarily caused by the actual or alleged failure to meet legal obligations that arise from the rule of law in jurisdictions in which the Firm operates, agreements with clients and customers, and products and services offered by the Firm.

Overview

The global Legal function (“Legal”) provides legal services and advice to the Firm. Legal is responsible for managing the Firm’s exposure to legal risk by:

•managing actual and potential litigation and enforcement matters, including internal reviews and investigations related to such matters

•advising on products and services, including contract negotiation and documentation

•advising on offering and marketing documents and new business initiatives

•managing dispute resolution

•interpreting existing laws, rules and regulations, and advising on changes to them

•advising on advocacy in connection with contemplated and proposed laws, rules and regulations, and

•providing legal advice to the LOBs, Corporate and the Board.

Legal selects, engages and manages outside counsel for the Firm on all matters in which outside counsel is engaged. In addition, Legal advises the Firm’s Conflicts Office which reviews the Firm’s wholesale transactions that may have the potential to create conflicts of interest for the Firm.

Governance and oversight

The Firm’s General Counsel reports to the CEO and is a member of the Operating Committee, the Firmwide Risk Committee and the Firmwide Control Committee. The Firm’s General Counsel and other members of Legal report on significant legal matters to the Firm’s Board of Directors and to the Audit Committee. 

Legal serves on and advises various committees and advises the Firm’s LOBs and Corporate on potential reputation risk issues.

[[GREPCENT_TABLE]]
[["148","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

ESTIMATIONS AND MODEL RISK MANAGEMENT

Estimations and Model risk, a subcategory of operational risk, is the potential for adverse consequences from decisions based on incorrect or misused estimation outputs.

The Firm uses models and other analytical and judgment-based estimations across various businesses and functions. The estimation methods are of varying levels of sophistication and are used for many purposes, such as the valuation of positions and measurement of risk, assessing regulatory capital requirements, conducting stress testing, evaluating the allowance for credit losses and making business decisions. A dedicated independent function, Model Risk Governance and Review (“MRGR”), defines and governs the Firm’s policies relating to the management of model risk and risks associated with certain analytical and judgment-based estimations, such as those used in risk management, budget forecasting and capital planning and analysis.

The governance of analytical and judgment-based estimations within MRGR’s scope follows a consistent approach which is used for models, as described in detail below.

Model risks are owned by the users of the models within the Firm based on the specific purposes of such models. Users and developers of models are responsible for developing, implementing and testing their models, as well as referring models to the MRGR for review and approval. Once models have been approved, model users and developers are responsible for maintaining a robust operating environment, and must monitor and evaluate the performance of the models on an ongoing basis. Model users and developers may seek to enhance models in response to changes in the portfolios and in product and market developments, as well as to capture improvements in available modeling techniques and systems capabilities.

Models are tiered based on an internal standard according to their complexity, the exposure associated with the model and the Firm’s reliance on the model. This tiering is subject to the approval of the MRGR. In its review of a model, the MRGR considers whether the model is suitable for the specific purposes for which it will be used. When reviewing a model, the MRGR analyzes and challenges the model methodology and the reasonableness of model assumptions, and may perform or require additional testing, including back-testing of model outcomes. Model reviews are approved by the appropriate level of management within the MRGR based on the relevant model tier.

Under the Firm’s Estimations and Model Risk Management Policy, the MRGR reviews and approves new models, as well as material changes to existing models, prior to their use. In certain circumstances exceptions may be granted to the Firm’s policy to allow a model to be used prior to review or approval. The 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.

While models are inherently imprecise, the degree of imprecision or uncertainty can be heightened by the market or economic environment. This is particularly true when the current and forecasted environment is significantly different from the historical macroeconomic environments upon which the models were trained, as the Firm experienced during the early stages of the COVID-19 pandemic. This uncertainty may necessitate a greater degree of judgment and analytics to inform adjustments to model outputs than in typical periods.

Refer to Critical Accounting Estimates Used by the Firm on pages 150-153 and Note 2 for a summary of model-based valuations and other valuation techniques.

[[GREPCENT_TABLE]]
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Management’s discussion and analysis

CRITICAL ACCOUNTING ESTIMATES USED BY THE FIRM

JPMorgan Chase’s accounting policies and use of estimates are integral to understanding its reported results. The Firm’s most complex accounting estimates require management’s judgment to ascertain the appropriate carrying value of assets and liabilities. The Firm has established policies and control procedures intended to ensure that estimation methods, including any judgments made as part of such methods, are well-controlled, independently reviewed and applied consistently from period to period. The methods used and judgments made reflect, among other factors, the nature of the assets or liabilities and the related business and risk management strategies, which may vary across the Firm’s businesses and portfolios. In addition, the policies and procedures are intended to ensure that the process for changing methodologies occurs in an appropriate manner. The Firm believes its estimates for determining the carrying value of its assets and liabilities are appropriate. The following is a brief description of the Firm’s critical accounting estimates involving significant judgments.

Allowance for credit losses

The Firm’s allowance for credit losses represents management’s estimate of expected credit losses over the remaining expected life of the Firm’s financial assets measured at amortized cost and certain off-balance sheet lending-related commitments. The allowance for credit losses comprises:

•The allowance for loan losses, which covers the Firm’s retained loan portfolios (scored and risk-rated),

•The allowance for lending-related commitments, and

•The allowance for credit losses on investment securities.

The allowance for credit losses involves significant judgment on a number of matters including development and weighting of macroeconomic forecasts, incorporation of historical loss experience, assessment of risk characteristics, assignment of risk ratings, valuation of collateral, and the determination of remaining expected life. Refer to Note 10 and Note 13 for further information on these judgments as well as the Firm’s policies and methodologies used to determine the Firm’s allowance for credit losses.

One of the most significant judgments involved in estimating the Firm’s allowance for credit losses relates to the macroeconomic forecasts used to estimate credit losses over the eight-quarter forecast period within the Firm’s methodology. The eight-quarter forecast incorporates hundreds of MEVs that are relevant for exposures across the Firm, with modeled credit losses being driven primarily by a subset of less than twenty variables. The specific variables that have the greatest effect on the modeled losses of each portfolio vary by portfolio and geography.

•Key MEVs for the consumer portfolio include U.S. unemployment, HPI and U.S. real GDP.

•Key MEVs for the wholesale portfolio include U.S. real GDP, U.S. unemployment, U.S. equity prices, corporate credit spreads, oil prices, commercial real estate prices and HPI.

Changes in the Firm’s assumptions and forecasts of economic conditions could significantly affect its estimate of expected credit losses in the portfolio at the balance sheet date or lead to significant changes in the estimate from one reporting period to the next.

The Firm’s allowance for credit losses is estimated using a weighted average of five internally developed macroeconomic scenarios. As of December 31, 2021, the Firm assigned more balanced weightings to both its adverse and upside scenarios compared to the significant weighting that the Firm placed on its adverse scenarios as of December 31, 2020, reflecting the sustained improvement and resilience of the macroeconomic environment, despite the ongoing impact of the COVID-19 pandemic. In addition, because the impact of the COVID-19 pandemic and governmental actions taken in response to the pandemic caused a dislocation in certain historical relationships used for modeling credit loss estimates, the Firm continues to place reliance on management judgment and make adjustments specific to that dislocation, although to a lesser extent than in 2020. The allowance for credit losses of $18.7 billion reflects remaining uncertainties, including the potential impact that additional waves or variants of COVID-19 may have on the pace of economic growth and near-term supply chain disruptions.

It is difficult to estimate how potential changes in any one factor or input might affect the overall allowance for credit losses because management considers a wide variety of factors and inputs in estimating the allowance for credit losses. Changes in the factors and inputs considered may not occur at the same rate and may not be consistent across all geographies or product types, and changes in factors and inputs may be directionally inconsistent, such that improvement in one factor or input may offset deterioration in others.

To consider the impact of a hypothetical alternate macroeconomic forecast, the Firm compared the modeled credit losses determined using its central and relative adverse macroeconomic scenarios, which are two of the five scenarios considered in estimating the allowances for loan losses and lending-related commitments. The central and relative adverse scenarios each included a full suite of MEVs, but differed in the levels, paths and peaks/troughs of those variables over the eight-quarter forecast period.

For example, compared to the Firm’s central scenario shown on page 129 and in Note 13, the Firm’s relative adverse scenario assumes a significantly elevated U.S. unemployment rate, averaging approximately 2.8% higher over the eight-quarter forecast, with a peak difference of approximately 4.4% in the second quarter of 2022; lower U.S. real GDP with a slower recovery, remaining nearly

[[GREPCENT_TABLE]]
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3.2% lower at the end of the eight-quarter forecast, with a peak difference of approximately 6.5% in the second quarter of 2022; and lower national HPI with a peak difference of nearly 15.8% in the second quarter of 2023.

This analysis is not intended to estimate expected future changes in the allowance for credit losses as the impacts of changes in many MEVs are both interrelated and nonlinear, so the results of this analysis cannot be simply extrapolated for more severe changes in macroeconomic variables. Additionally, expectations of future changes in portfolio composition and borrower behavior can significantly affect the allowance for credit losses.

To demonstrate the sensitivity of credit loss estimates to macroeconomic forecasts as of December 31, 2021, the Firm compared the modeled estimates under its relative adverse scenario to its central scenario. Without considering offsetting or correlated effects in other qualitative components of the Firm’s allowance for credit losses, the comparison between these two scenarios for the lending exposures below reflect the following differences:

•An increase of approximately $550 million for residential real estate loans and lending-related commitments

•An increase of approximately $2.6 billion for credit card loans

•An increase of approximately $3.0 billion for wholesale loans and lending-related commitments

This analysis relates only to the modeled credit loss estimates and is not intended to estimate changes in the overall allowance for credit losses as it does not reflect any potential changes in other adjustments to the quantitative calculation, which would also be influenced by the judgment management applies to the modeled lifetime loss estimates to reflect the uncertainty and imprecision of these modeled lifetime loss estimates based on then-current circumstances and conditions.

Recognizing that forecasts of macroeconomic conditions are inherently uncertain, particularly in light of the recent economic conditions, the Firm believes that its process to consider the available information and associated risks and uncertainties is appropriately governed and that its estimates of expected credit losses were reasonable and appropriate for the period ended December 31, 2021.

Fair value

JPMorgan Chase carries a portion of its assets and liabilities at fair value. The majority of such assets and liabilities are measured at fair value on a recurring basis, including, derivatives and structured note products. Certain assets and liabilities are measured at fair value on a nonrecurring basis, including certain mortgage, home equity and other loans, where the carrying value is based on the fair value of the underlying collateral.

Assets measured at fair value

The following table includes the Firm’s assets measured at fair value and the portion of such assets that are classified

within level 3 of the fair value hierarchy. Refer to Note 2 for further information.

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[[/GREPCENT_TABLE]]

(a)For purposes of the table above, the derivative receivables total reflects the impact of netting adjustments; however, the $7.3 billion of derivative receivables classified as level 3 does not reflect the netting adjustment as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.

Valuation

Details of the Firm’s processes for determining fair value are set out in Note 2. Estimating fair value requires the application of judgment. The type and level of judgment required is largely dependent on the amount of observable market information available to the Firm. For instruments valued using internally developed valuation models and other valuation techniques that use significant unobservable inputs and are therefore classified within level 3 of the fair value hierarchy, judgments used to estimate fair value are more significant than those required when estimating the fair value of instruments classified within levels 1 and 2.

In arriving at an estimate of fair value for an instrument within level 3, management must first determine the appropriate valuation model or other valuation technique to use. Second, the lack of observability of certain significant inputs requires management to assess relevant empirical data in deriving valuation inputs including, for example, transaction details, yield curves, interest rates, prepayment speed, default rates, volatilities, correlations, prices (such as commodity, equity or debt prices), valuations of comparable instruments, foreign exchange rates and credit curves. Refer to Note 2 for a further discussion of the valuation of level 3 instruments, including unobservable inputs used.

[[GREPCENT_TABLE]]
[["JPMorgan Chase & Co./2021 Form 10-K","","151"]]
[[/GREPCENT_TABLE]]

Management’s discussion and analysis

For instruments classified in levels 2 and 3, management judgment must be applied to assess the appropriate level of valuation adjustments to reflect counterparty credit quality, the Firm’s creditworthiness, market funding rates, liquidity considerations, unobservable parameters, and for portfolios that meet specified criteria, the size of the net open risk position. The judgments made are typically affected by the type of product and its specific contractual terms, and the level of liquidity for the product or within the market as a whole. In periods of heightened market volatility and uncertainty judgments are further affected by the wider variation of reasonable valuation estimates, particularly for positions that are less liquid. Refer to Note 2 for a further discussion of valuation adjustments applied by the Firm.

Imprecision in estimating unobservable market inputs or other factors can affect the amount of gain or loss recorded for a particular position. Furthermore, while the Firm believes its valuation methods are appropriate and consistent with those of other market participants, the methods and assumptions used reflect management judgment and may vary across the Firm’s businesses and portfolios.

The Firm uses various methodologies and assumptions in the determination of fair value. The use of methodologies or assumptions different than those used by the Firm could result in a different estimate of fair value at the reporting date. Refer to Note 2 for a detailed discussion of the Firm’s valuation process and hierarchy, and its determination of fair value for individual financial instruments.

Goodwill impairment

Under U.S. GAAP, goodwill must be allocated to reporting units and tested for impairment at least annually. The Firm’s process and methodology used to conduct goodwill impairment testing is described in Note 15.

Management applies significant judgment when testing goodwill for impairment. The goodwill associated with each business combination is allocated to the related reporting units for goodwill impairment testing.

For the year ended December 31, 2021, the Firm reviewed current economic conditions, including the potential impacts of the COVID-19 pandemic on business performance, estimated market cost of equity, as well as actual business results and projections of business performance for its reporting units. The Firm has concluded that the goodwill allocated to its reporting units was not impaired as of December 31, 2021. For each of the reporting units, fair value exceeded carrying value by at least 10% and there was no indication of a significant risk of goodwill impairment based on current projections and valuations.

The projections for the Firm’s reporting units are consistent with management’s current business outlook assumptions in the short term, and the Firm’s best estimates of long-term growth and return on equity in the longer term. Where possible, the Firm uses third-party and peer data to benchmark its assumptions and estimates.

Refer to Note 15 for additional information on goodwill, including the goodwill impairment assessment as of December 31, 2021.

Credit card rewards liability

JPMorgan Chase offers credit cards with various rewards programs which allow cardholders to earn rewards points based on their account activity and the terms and conditions of the rewards program. Generally, there are no limits on the points that an eligible cardholder can earn, nor do the points expire, and the points can be redeemed for a variety of rewards, including cash (predominantly in the form of account credits), gift cards and travel. The Firm maintains a rewards liability which represents the estimated cost of rewards points earned and expected to be redeemed by cardholders. The liability is accrued as the cardholder earns the benefit and is reduced when the cardholder redeems points. This liability was $9.8 billion and $7.7 billion at December 31, 2021 and 2020, respectively, and is recorded in accounts payable and other liabilities on the Consolidated balance sheets. The increase in the liability was driven by continued growth in rewards points earned on increased spend and promotional offers outpacing redemptions throughout 2021, and to a lesser extent adjustments to redemption rate assumptions.

The rewards liability is sensitive to redemption rate (“RR”) and cost per point (“CPP”) assumptions. The RR assumption is used to estimate the number of points earned by customers that will be redeemed over the life of the account. The CPP assumption is used to estimate the cost of future point redemptions. These assumptions are evaluated periodically considering historical actuals, cardholder redemption behavior and management judgment. Updates to these assumptions will impact the rewards liability. As of December 31, 2021, a combined increase of 25 basis points in RR and 1 basis point in CPP would increase the rewards liability by approximately $265 million.

Income taxes

JPMorgan Chase is subject to the income tax laws of the various jurisdictions in which it operates, including U.S. federal, state and local, and non-U.S. jurisdictions. These laws are often complex and may be subject to different interpretations. To determine the financial statement impact of accounting for income taxes, including the provision for income tax expense and unrecognized tax benefits, JPMorgan Chase must make assumptions and judgments about how to interpret and apply these complex tax laws to numerous transactions and business events, as well as make judgments regarding the timing of when certain items may affect taxable income in the U.S. and non-U.S. tax jurisdictions.

JPMorgan Chase’s interpretations of tax laws around the world are subject to review and examination by the various taxing authorities in the jurisdictions where the Firm operates, and disputes may occur regarding its view on a tax position. These disputes over interpretations with the various taxing authorities may be settled by audit, administrative appeals or adjudication in the court systems

[[GREPCENT_TABLE]]
[["152","","JPMorgan Chase & Co./2021 Form 10-K"]]
[[/GREPCENT_TABLE]]

of the tax jurisdictions in which the Firm operates. JPMorgan Chase regularly reviews whether it may be assessed additional income taxes as a result of the resolution of these matters, and the Firm records additional unrecognized tax benefits, as appropriate. In addition, the Firm may revise its estimate of income taxes due to changes in income tax laws, legal interpretations, and business strategies. It is possible that revisions in the Firm’s estimate of income taxes may materially affect the Firm’s results of operations in any reporting period.

Deferred taxes arise from differences between assets and liabilities measured for financial reporting versus income tax return purposes. Deferred tax assets are recognized if, in management’s judgment, their realizability is determined to be more likely than not. Deferred taxes are measured using enacted tax rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred taxes of a change in tax rates is recognized within the provision for income taxes in the period enacted.

The Firm has also recognized deferred tax assets in connection with certain tax attributes, including net operating loss (“NOL”) carryforwards and foreign tax credit (“FTC”) carryforwards. The Firm performs regular reviews to ascertain whether its deferred tax assets are realizable. These reviews include management’s estimates and assumptions regarding future taxable income, including foreign source income, and may incorporate various tax planning strategies, including strategies that may be available to utilize NOLs and FTCs before they expire. In connection with these reviews, if it is determined that a deferred tax asset is not realizable, a valuation allowance is established. The valuation allowance may be reversed in a subsequent reporting period if the Firm determines that, based on revised estimates of future taxable income or changes in tax planning strategies, it is more likely than not that all or part of the deferred tax asset will become realizable. As of December 31, 2021, management has determined it is more likely than not that the Firm will realize its deferred tax assets, net of the existing valuation allowance.

The Firm adjusts its unrecognized tax benefits as necessary when new information becomes available, including changes in tax law and regulations, and interactions with taxing authorities. Uncertain tax positions that meet the more-likely-than-not recognition threshold are measured to determine the amount of benefit to recognize. An uncertain tax position is measured at the largest amount of benefit that management believes is more likely than not to be realized upon settlement. It is possible that the reassessment of JPMorgan Chase’s unrecognized tax benefits may have a material impact on its effective income tax rate in the period in which the reassessment occurs. Although the Firm believes that its estimates are reasonable, the final tax amount could be different from the amounts reflected in the Firm’s income tax provisions and accruals. To the extent that the final outcome of these

amounts is different than the amounts recorded, such differences will generally impact the Firm’s provision for income taxes in the period in which such a determination is made.

The Firm’s provision for income taxes is composed of current and deferred taxes. The current and deferred tax provisions are calculated based on estimates and assumptions that could differ from the actual results reflected in income tax returns filed during the subsequent year. Adjustments based on filed returns are generally recorded in the period when the tax returns are filed and the global tax implications are known, which could impact the Firm’s effective tax rate.

Refer to Note 25 for additional information on income taxes.

Litigation reserves

Refer to Note 30 for a description of the significant estimates and judgments associated with establishing litigation reserves.

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[["JPMorgan Chase & Co./2021 Form 10-K","","153"]]
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Management’s discussion and analysis

ACCOUNTING AND REPORTING DEVELOPMENTS

[[GREPCENT_TABLE]]
[["Financial Accounting Standards Board (\u201cFASB\u201d) Standards Adopted since January 1, 2021"],["Standard","","Summary of guidance","","Effects on financial statements"],["Reference RateReform Issued March2020 and updated January 2021","","\u2022Provides optional expedients and exceptions to current accounting guidance when financial instruments, hedge accounting relationships, and other transactions are amended due to reference rate reform.\u2022Provides an election to account for certain contract amendments related to reference rate reform as modifications rather than extinguishments without the requirement to assess the significance of the amendments. \u2022Allows for changes in critical terms of a hedge accounting relationship without automatic termination of that relationship. Provides various practical expedients and elections designed to allow hedge accounting to continue uninterrupted during the transition period. \u2022Provides a one-time election to transfer securities out of the held-to-maturity classification if certain criteria are met.\u2022The January 2021 update provides an election to account for derivatives modified to change the rate used for discounting, margining, or contract price alignment (collectively \u201cdiscounting transition\u201d) as modifications.","","\u2022Issued and effective March 12, 2020. The January 7, 2021 update was effective when issued. \u2022The Firm elected to apply certain of the practical expedients related to contract modifications and hedge accounting relationships, and discounting transition beginning in the third quarter of 2020. The discounting transition election was applied retrospectively. The main purpose of the practical expedients is to ease the administrative burden of accounting for contracts impacted by reference rate reform. These elections did not have a material impact on the Consolidated Financial Statements."]]
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[["154","","JPMorgan Chase & Co./2021 Form 10-K"]]
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FORWARD-LOOKING STATEMENTS

From time to time, the Firm has made and will make forward-looking statements. These statements can be identified by the fact that they do not relate strictly to historical or current facts. Forward-looking statements often use words such as “anticipate,” “target,” “expect,” “estimate,” “intend,” “plan,” “goal,” “believe,” or other words of similar meaning. Forward-looking statements provide JPMorgan Chase’s current expectations or forecasts of future events, circumstances, results or aspirations. JPMorgan Chase’s disclosures in this 2021 Form 10-K contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. The Firm also may make forward-looking statements in its other documents filed or furnished with the SEC. In addition, the Firm’s senior management may make forward-looking statements orally to investors, analysts, representatives of the media and others.

All forward-looking statements are, by their nature, subject to risks and uncertainties, many of which are beyond the Firm’s control. JPMorgan Chase’s actual future results may differ materially from those set forth in its forward-looking statements. While there is no assurance that any list of risks and uncertainties or risk factors is complete, below are certain factors which could cause actual results to differ from those in the forward-looking statements:

•Economic, financial, reputational and other impacts of the COVID-19 pandemic;

•Local, regional and global business, economic and political conditions and geopolitical events;

•Changes in laws, rules, and regulatory requirements, including capital and liquidity requirements affecting the Firm’s businesses, and the ability of the Firm to address those requirements;

•Heightened regulatory and governmental oversight and scrutiny of JPMorgan Chase’s business practices, including dealings with retail customers;

•Changes in trade, monetary and fiscal policies and laws;

•Changes in the level of inflation;

•Changes in income tax laws, rules, and regulations;

•Securities and capital markets behavior, including changes in market liquidity and volatility;

•Changes in investor sentiment or consumer spending or savings behavior;

•Ability of the Firm to manage effectively its capital and liquidity;

•Changes in credit ratings assigned to the Firm or its subsidiaries;

•Damage to the Firm’s reputation;

•Ability of the Firm to appropriately address social, environmental and sustainability concerns that may arise, including from its business activities;

•Ability of the Firm to deal effectively with an economic slowdown or other economic or market disruption, including, but not limited to, in the interest rate environment;

•Technology changes instituted by the Firm, its counterparties or competitors;

•The effectiveness of the Firm’s control agenda;

•Ability of the Firm to develop or discontinue products and services, and the extent to which products or services previously sold by the Firm require the Firm to incur liabilities or absorb losses not contemplated at their initiation or origination;

•Acceptance of the Firm’s new and existing products and services by the marketplace and the ability of the Firm to innovate and to increase market share;

•Ability of the Firm to attract and retain qualified and diverse employees;

•Ability of the Firm to control expenses;

•Competitive pressures;

•Changes in the credit quality of the Firm’s clients, customers and counterparties;

•Adequacy of the Firm’s risk management framework, disclosure controls and procedures and internal control over financial reporting;

•Adverse judicial or regulatory proceedings;

•Changes in applicable accounting policies, including the introduction of new accounting standards;

•Ability of the Firm to determine accurate values of certain assets and liabilities;

•Occurrence of natural or man-made disasters or calamities, including health emergencies, the spread of infectious diseases, epidemics or pandemics, an outbreak or escalation of hostilities or other geopolitical instabilities, the effects of climate change or extraordinary events beyond the Firm’s control, and the Firm’s ability to deal effectively with disruptions caused by the foregoing;

•Ability of the Firm to maintain the security of its financial, accounting, technology, data processing and other operational systems and facilities;

•Ability of the Firm to withstand disruptions that may be caused by any failure of its operational systems or those of third parties;

•Ability of the Firm to effectively defend itself against cyber attacks and other attempts by unauthorized parties to access information of the Firm or its customers or to disrupt the Firm’s systems; and

•The other risks and uncertainties detailed in Part I, Item 1A: Risk Factors in JPMorgan Chase’s 2021 Form 10-K.

Any forward-looking statements made by or on behalf of the Firm speak only as of the date they are made, and JPMorgan Chase does not undertake to update any forward-looking statements. The reader should, however, consult any further disclosures of a forward-looking nature the Firm may make in any subsequent Form 10-Ks, Quarterly Reports on Form 10-Qs, or Current Reports on Form 8-K.

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[["JPMorgan Chase & Co./2021 Form 10-K","","155"]]
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