JPMORGAN CHASE & CO

Capital risk is the risk that 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.

Refer to pages 91-101 of JPMorgan Chase’s 2023 Form 10-K, Note 21 of this Form 10-Q and the Firm’s Pillar 3 Regulatory Capital Disclosures reports, which are available on the Firm’s website, for a further discussion of the Firm’s capital risk.

Basel III Overview

The capital rules under Basel III establish minimum capital ratios and overall capital adequacy standards for large and internationally active U.S. Bank Holding Companies (“BHCs”) and banks, including the Firm and 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. Under the rules currently in effect, two comprehensive approaches are prescribed for calculating RWA: a standardized approach (“Basel III Standardized”), and an advanced approach (“Basel III Advanced”).

For each of these 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.

In July 2023, the Board of Governors of the Federal Reserve System (the "Federal Reserve"), the Office of the Comptroller of the Currency ("OCC"), and the FDIC released a proposal to amend the risk-based capital framework, entitled "Regulatory capital rule: Amendments applicable to large banking organizations and to banking organizations with significant trading activity", which is referred to in this Form 10-Q as the "U.S. Basel III proposal". Under the proposal, changes to the framework would include replacement of the Advanced approach with an expanded risk-based approach, which would not permit the use of internal models for the calculation of RWA, other than for market risk. In addition, the stress capital buffer requirement would be applicable to both the expanded risk-based approach and the Standardized approach. The proposal would significantly revise risk-based capital requirements for all banks with assets of $100 billion or more, including the Firm and other U.S. global systemically important banks ("GSIBs"). The proposed effective date is July 1, 2025, with a three-year transition period applicable to the expanded risk-based approach.

Under the requirements of the U.S. Basel III proposal, the new expanded risk-based approach, when fully phased-in, would be the Firm's binding constraint. The Firm is managing its CET1 capital in anticipation of the finalization of the U.S. Basel III proposal.

Refer to page 92 of JPMorgan Chase’s 2023 Form 10-K for additional information on the U.S. Basel III proposal.

As of March 31, 2024, the Advanced Total Capital ratio is the most binding constraint of the Firm's Basel III risk-based ratios. However, as of March 31, 2024, with respect to the CET1 and Tier 1 risk-based ratios, the Standardized ratios are more binding than the Advanced ratios.

Basel III also includes a requirement for Advanced Approaches banking organizations, including the Firm, to calculate its SLR.

Refer to page 41 of this Form 10-Q and page 98 of JPMorgan Chase's 2023 Form 10-K for additional information on SLR.

Refer to page 93 of JPMorgan Chase's 2023 Form 10-K for information on Other Key Regulatory Developments.

Selected capital and RWA data

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. Refer to Capital Risk Management on pages 91-101 of JPMorgan Chase’s 2023 Form 10-K for a further discussion of these capital metrics. Refer to Note 21 for JPMorgan Chase Bank, N.A.’s risk-based and leverage-based capital metrics.

(a)The capital metrics reflect the CECL capital transition provisions. As of March 31, 2024, CET1 capital reflected the remaining $720 million CECL benefit and will be fully phased in as of January 1, 2025; as of December 31, 2023, CET1 capital reflected a $1.4 billion benefit. Refer to Note 21 for additional information.

(b)Represents minimum requirements and regulatory buffers applicable to the Firm for the period ended March 31, 2024. For the period ended December 31, 2023, the Basel III Standardized CET1, Tier 1, and Total capital ratio requirements applicable to the Firm were 11.4%, 12.9%, and 14.9%, respectively; the Basel III Advanced CET1, Tier 1, and Total capital ratio requirements applicable to the Firm were 11.0%, 12.5%, and 14.5%, respectively. Refer to Note 21 for additional information.

(c)Includes the impacts of certain assets associated with First Republic to which the Standardized approach has been applied as permitted by the transition provisions in the U.S. capital rules. Refer to Note 26 of this Form 10-Q and page 96 of JPMorgan Chase’s 2023 Form 10-K for additional information on First Republic acquisition.

(a)The capital metrics reflect the CECL capital transition provisions. Refer to Note 21 for additional information.

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

(c)Represents minimum requirements and regulatory buffers applicable to the Firm. Refer to Note 21 for additional information.

Capital components

The following table presents reconciliations of total stockholders’ equity to Basel III CET1 capital, Tier 1 capital and Total capital as of March 31, 2024 and December 31, 2023.

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

(b)As of March 31, 2024 and December 31, 2023, included a net benefit associated with cash flow hedges and debit valuation adjustments ("DVA") related to structured notes recorded in AOCI of $5.4 billion and $4.3 billion and the benefit from the CECL capital transition provisions of $720 million and $1.4 billion, respectively.

(c)Goodwill deducted from capital includes goodwill associated with equity method investments in nonconsolidated financial institutions based on regulatory requirements. Refer to page 70 for additional information on principal investment risk.

(d)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. Refer to Note 21 for additional information on the CECL capital transition.

(e)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.

(f)As of March 31, 2024 and December 31, 2023, included an incremental $634 million and $655 million allowance for credit losses, respectively, on certain assets associated with First Republic to which the Standardized approach has been applied, as permitted by the transition provisions in the U.S. capital rules.

(g)As of March 31, 2024, for capital purposes, included $6.0 billion of preferred stock for which notices of redemption were issued during the first quarter and which were redeemed in the second quarter. Refer to Note 17 for additional information.

Capital rollforward

The following table presents the changes in Basel III CET1 capital, Tier 1 capital and Tier 2 capital for the three months ended March 31, 2024.

(a)Includes foreign currency translation adjustments and the impact of related derivatives.

(b)Includes the impact of the CECL capital transition provisions and the cumulative effect of changes in accounting principles. Refer to Note 1 for additional information on changes in accounting principles and Note 21 for additional information on the CECL capital transition.

(c)As of March 31, 2024, for capital purposes, included $6.0 billion of preferred stock for which notices of redemption were issued during the first quarter and which were redeemed in the second quarter. Refer to Note 17 for additional information.

(d)As of March 31, 2024 and December 31, 2023, included an incremental $634 million and $655 million allowance for credit losses, respectively, on certain assets associated with First Republic to which the Standardized approach has been applied, as permitted by the transition provisions in the U.S. capital rules.

RWA rollforward

The following table presents changes in the components of RWA under Basel III Standardized and Advanced approaches for the three months ended March 31, 2024. The amounts in the rollforward categories are estimates, based on the predominant driver of the change.

(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)Movement in portfolio levels (inclusive of rule changes) refers to: for Credit risk RWA, changes in book size, impacts associated with the First Republic acquisition, including the benefit of the shared-loss agreements entered into with the FDIC, changes in composition and credit quality, market movements, and deductions for excess eligible allowances for credit losses 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.

(c)As of March 31, 2024 and December 31, 2023, the Basel III Standardized Credit risk RWA included wholesale and retail off balance-sheet RWA of $205.9 billion and $208.5 billion, respectively; and the Basel III Advanced Credit risk RWA included wholesale and retail off balance-sheet RWA of $187.8 billion and $188.5 billion, respectively.

(d)As of March 31, 2024 and December 31, 2023, Credit risk RWA reflected approximately $50.7 billion and $52.4 billion, respectively, of RWA calculated under the Standardized approach for certain assets associated with First Republic as permitted by the transition provisions in the U.S. capital rules.

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

Refer to Supplementary Leverage Ratio on page 98 of JPMorgan Chase’s 2023 Form 10-K for additional information.

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

(a)For purposes of calculating the SLR, includes quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill, inclusive of estimated equity method goodwill, other intangible assets and adjustments for the CECL capital transition provisions. Refer to Note 21 for additional information on the CECL capital transition.

(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.

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. The capital that the Firm has accumulated to meet the increased requirements of the U.S. Basel III proposal has generally been retained in Corporate. Refer to line of business equity on page 98 of JPMorgan Chase’s 2023 Form 10-K for additional information on capital allocation.

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

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.

On March 19, 2024, the Firm announced that its Board of Directors had declared a quarterly common stock dividend of $1.15 per share, payable on April 30, 2024, an increase from the prior dividend of $1.05 per share. The Firm’s dividends are subject to approval by the Board of Directors on a quarterly basis.

Common stock

The Firm is authorized to purchase up to $30 billion under its common share repurchase program previously approved by the Board of Directors.

The following table sets forth the Firm’s repurchases of common stock for the three months ended March 31, 2024 and 2023.

(a)Excludes excise tax and commissions. As part of the Inflation Reduction Act of 2022, a 1% excise tax was imposed on net share repurchases effective January 1, 2023.

The Board of Directors’ authorization to repurchase common shares is utilized at management’s discretion. The $30 billion common share repurchase program approved by the Board does not establish specific price targets or timetables. Management determines the amount and timing of common share repurchases based on 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; current and proposed future capital requirements; and other investment opportunities. The amount of common shares that the Firm repurchases in any period may be substantially more or less than the amounts estimated or actually repurchased in prior periods, reflecting the dynamic nature of the decision-making process.

Refer to Capital actions on page 99 of JPMorgan Chase’s 2023 Form 10-K for additional information.

Refer to Part II, Item 2: Unregistered Sales of Equity Securities and Use of Proceeds and Part II, Item 5: Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities on pages 185-186 of this Form 10-Q and page 35 of JPMorgan Chase’s 2023 Form 10-K, respectively, for additional information regarding repurchases of the Firm’s equity securities.

Preferred stock

Preferred stock dividends declared were $397 million and $356 million for the three months ended March 31, 2024 and 2023, respectively.

Refer to Note 17 of this Form 10-Q and Note 21 of JPMorgan Chase’s 2023 Form 10-K for additional information on the Firm’s preferred stock, including the issuance and redemption of preferred stock.

Subordinated Debt

Refer to Long-term funding on page 50 of this Form 10-Q and Note 20 of JPMorgan Chase’s 2023 Form 10-K for additional information on the Firm’s subordinated debt.

Capital planning and stress testing

Comprehensive Capital Analysis and Review

On April 5, 2024, the Firm submitted its 2024 Capital Plan to the Federal Reserve under the Federal Reserve's Comprehensive Capital Analysis and Review ("CCAR") process. The Firm anticipates that the Federal Reserve will disclose summary information regarding the Firm's stress test results by June 30, 2024. Following the Federal Reserve's disclosure, the Firm expects to disclose its indicative SCB requirement, which will become effective October 1, 2024. The Firm's SCB is currently 2.9%.

Refer to Capital planning and stress testing on pages 91-92 of JPMorgan Chase’s 2023 Form 10-K for additional information on CCAR.

Other capital requirements

Total Loss-Absorbing Capacity

The Federal Reserve’s total loss-absorbing capacity ("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").

The following table presents the eligible external TLAC and eligible LTD amounts, as well as a representation of these amounts as a percentage of the Firm’s total RWA and total leverage exposure applying the impact of the CECL capital transition provisions as of March 31, 2024 and December 31, 2023.

Effective January 1, 2024, the Firm's regulatory requirement for its eligible LTD to RWA ratio increased by 50 bps to 10.5%, due to the increase in the Firm’s GSIB Method 2 requirements. The Firm's regulatory requirement for its TLAC to RWA ratio remained at 23.0%. Refer to Risk-based Capital Regulatory Requirements on pages 94-95 of JPMorgan Chase’s 2023 Form 10-K for further information on the GSIB surcharge.

Refer to Liquidity Risk Management on pages 44-51 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 JPMorgan Chase’s 2023 Form 10-K for information on the financial consequences to holders of the Firm’s debt and equity securities in a resolution scenario.

Refer to other capital requirements on page 100 of JPMorgan Chase’s 2023 Form 10-K for additional information on TLAC.

U.S. 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 the regulatory capital requirements of 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, the Commodity Futures Trading Commission (“CFTC”), the Financial Industry Regulatory Authority (“FINRA”) and the National Futures Association (“NFA”).

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

Non-U.S. subsidiary regulatory capital

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 in the U.K. by the Prudential Regulation Authority (“PRA”) and the Financial Conduct Authority (“FCA”). J.P. Morgan Securities plc is subject to the European Union (“EU”) Capital Requirements Regulation (“CRR”), 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 minimum requirements for own funds and eligible liabilities (“MREL”). As of March 31, 2024, J.P. Morgan Securities plc was compliant with its MREL requirements.

The following table presents J.P. Morgan Securities plc’s risk-based and leverage-based capital metrics:

(a)Represents minimum Pillar 1 requirements specified by the PRA. J.P. Morgan Securities plc's capital ratios as of March 31, 2024 exceeded the minimum requirements, including the additional capital requirements specified by the PRA.

(b)At least 75% of the Tier 1 leverage ratio minimum must be met with CET1 capital.

J.P. Morgan SE

JPMSE is a wholly-owned subsidiary of JPMorgan Chase Bank, N.A. and has authority to engage in banking, investment banking and markets activities. JPMSE is regulated by the European Central Bank as well as the local regulators in each of the countries in which it operates, and it is subject to EU capital requirements under Basel III.

JPMSE is required by the EU Single Resolution Board to maintain MREL. As of March 31, 2024, JPMSE was compliant with its MREL requirements.

The following table presents JPMSE’s risk-based and leverage-based capital metrics.

(a)Represents minimum Pillar 1 requirements specified by the EU CRR. J.P. Morgan SE’s capital and leverage ratios as of March 31, 2024 exceeded the minimum requirements, including the additional capital requirements specified by EU regulators.

Refer to U.S. broker-dealer and Non-U.S. subsidiary regulatory capital on page 101 of JPMorgan Chase’s 2023 Form 10-K for further information.