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JPMORGAN CHASE & CO

For the period ended Mar 31, 2024. Filed May 1, 2024.

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About this filing

A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.

Mar 31, 2024 · Filed May 1, 2024

JPM$342.07-0.0%Stored close · as of Nov 10, 2026

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Contents

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 60-63 for further information.

The Firm’s wholesale credit portfolio includes exposure held in CIB, CB, AWM and Corporate, and risk-rated exposure held in CCB, for which the wholesale methodology is applied when determining the allowance for loan losses. The Firm continues to convert certain operations, and to integrate clients, products and services, associated with First Republic. Accordingly, reporting classifications and internal risk rating profiles in the wholesale portfolio may change in future periods. Refer to Business Developments onpage 9 for additional information.

As of March 31, 2024, retained loans decreased by $4.7 billion and lending-related commitments decreased by $4.3 billion.

As of March 31, 2024, nonperforming exposure increased by $702 million predominantly driven by Real Estate loans concentrated in Office, and Individuals, resulting from downgrades. For the three months ended March 31, 2024, wholesale net charge-offs were $86 million, largely in Real Estate, concentrated in Office.

Wholesale credit portfolio
Credit exposureNonperforming
(in millions)Mar 31,2024Dec 31,2023Mar 31,2024Dec 31,2023
Loans retained$667,761$672,472$2,927$2,346
Loans held-for-sale5,1463,49815989
Loans at fair value26,56526,520480279
Loans699,472702,4903,5662,714
Derivative receivables56,62154,864293364
Receivables from customers(a)52,03647,625——
Total wholesale credit-related assets808,129804,9793,8593,078
Assets acquired in loan satisfactions
Real estate ownedNANA149154
OtherNANA——
Total assets acquired in loan satisfactionsNANA149154
Lending-related commitments532,514536,786390464
Total wholesale credit portfolio$1,340,643$1,341,765$4,398$3,696
Credit derivatives and credit-related notes used in credit portfolio management activities(b)$(40,388)$(36,989)$—$—
Liquid securities and other cash collateral held against derivatives(23,012)(22,461)NANA

(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 66 and Note 4 for additional information.

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 March 31, 2024 and December 31, 2023. 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 of JPMorgan Chase's 2023 Form 10-K for further information on internal risk ratings.

Maturity profile(d) · Ratings profile
1 year or less · After 1 year through 5 years · After 5 years · Total · Investment-grade · Noninvestment-grade · Total · Total % of IG
March 31, 2024, (in millions, except ratios)
Loans retained$211,780$274,260$181,721$667,761$453,592$214,169$667,76168%
Derivative receivables56,62156,621
Less: Liquid securities and other cash collateral held against derivatives(23,012)(23,012)
Total derivative receivables, net of collateral8,7549,73515,12033,60926,2907,31933,60978
Lending-related commitments137,651370,41724,446532,514342,525189,989532,51464
Subtotal358,185654,412221,2871,233,884822,407411,4771,233,88467
Loans held-for-sale and loans at fair value(a)31,71131,711
Receivables from customers52,03652,036
Total exposure – net of liquid securities and other cash collateral held against derivatives$1,317,631$1,317,631
Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)$(5,448)$(27,991)$(6,949)$(40,388)$(32,157)$(8,231)$(40,388)80%
Maturity profile(d) · Ratings profile
1 year or less · After 1 year through 5 years · After 5 years · Total · Investment-grade · Noninvestment-grade · Total · Total % of IG
December 31, 2023(in millions, except ratios)
Loans retained$211,104$280,821$180,547$672,472$458,838$213,634$672,47268%
Derivative receivables54,86454,864
Less: Liquid securities and other cash collateral held against derivatives(22,461)(22,461)
Total derivative receivables, net of collateral8,0078,97015,42632,40324,9197,48432,40377
Lending-related commitments143,337368,64624,803536,786341,611195,175536,78664
Subtotal362,448658,437220,7761,241,661825,368416,2931,241,66166
Loans held-for-sale and loans at fair value(a)30,01830,018
Receivables from customers47,62547,625
Total exposure – net of liquid securities and other cash collateral held against derivatives$1,319,304$1,319,304
Credit derivatives and credit-related notes used in credit portfolio management activities(b)(c)$(3,311)$(28,353)$(5,325)$(36,989)$(28,869)$(8,120)$(36,989)78%

(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.

(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)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 March 31, 2024, 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 that are deemed to be 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 $45.8 billion and $41.4 billion as of March 31, 2024 and December 31, 2023, representing approximately 3.6% and 3.3% of total wholesale credit exposure, respectively; of the $45.8 billion, $42.2 billion was performing. The increase in criticized exposure was driven by Real Estate concentrated in Office, reflecting downgrades, and held-for-sale commitments in Technology and Consumer & Retail.

The table below summarizes by industry the Firm’s exposures as of March 31, 2024 and December 31, 2023. The industry of risk category is generally based on the client or counterparty’s primary business activity. Refer to Note 4 of JPMorgan Chase's 2023 Form 10-K for additional information on industry concentrations.

Wholesale credit exposure – industries(a)
Selected metrics
30 days or more past due and accruingloans · Net charge-offs/(recoveries) · Credit derivative and credit-related notes(h) · Liquid securities and other cash collateral held against derivativereceivables
Noninvestment-grade
As of or for the three months ended · Credit exposure(f)(g) · Investment- grade · Noncriticized · Criticized performing · Criticized nonperforming
March 31, 2024
(in millions)
Real Estate$205,763$144,431$50,213$10,229$890$649$44$(587)$—
Individuals and Individual Entities(b)141,717109,06831,6722956821,17214——
Asset Managers127,75785,02542,6041262781—(7,235)
Consumer & Retail125,50858,92557,6598,48344145627(4,322)—
Technology, Media & Telecommunications84,48645,39528,26410,46636184(17)(4,391)—
Industrials73,29139,24630,3213,5232011875(2,620)—
Healthcare64,72243,88517,1303,1995085814(3,218)(12)
Banks & Finance Companies54,77134,80819,47448271—(547)(567)
State & Municipal Govt(c)35,69833,4482,22126357—(3)—
Utilities35,44724,09510,4917311303—(2,623)—
Automotive33,91122,81910,279674139763(658)—
Oil & Gas33,29018,76114,2392345626(1)(1,959)(2)
Insurance22,54115,4366,827243351—(1,075)(7,602)
Chemicals & Plastics20,43211,1428,1341,077793—(1,065)—
Transportation16,5129,6955,5451,2512126(3)(589)—
Central Govt16,18915,76829312623—(3,333)(1,767)
Metals & Mining15,6788,4746,5965594924—(207)—
Securities Firms8,8474,5314,3124—1—(13)(2,484)
Financial Markets Infrastructure6,7996,402397————(2)—
All other(d)133,537113,42919,630474425(1)(13,176)(3,343)
Subtotal$1,256,896$844,783$366,301$42,202$3,610$2,930$86$(40,388)$(23,012)
Loans held-for-sale and loans at fair value31,711
Receivables from customers52,036
Total(e)$1,340,643
(continued from previous page)
Selected metrics
30 days or more past due and accruingloans · Net charge-offs/(recoveries) · Credit derivative and credit-related notes(h) · Liquid securities and other cash collateral held against derivativereceivables
Noninvestment-grade
As of or for the year ended · Credit exposure(f)(g) · Investment- grade · Noncriticized · Criticized performing · Criticized nonperforming
(in millions)
Real Estate$208,261$148,866$50,190$8,558$647$717$275$(574)$—
Individuals and Individual Entities(b)145,849110,67334,26133458186110——
Asset Managers129,57483,85745,6239042011—(7,209)
Consumer & Retail127,08660,16858,6067,863449318161(4,204)—
Technology, Media & Telecommunications77,29640,46827,0949,3883463681(4,287)—
Industrials75,09240,95130,5863,41913621331(2,949)—
Healthcare65,02543,16318,3963,00546113017(3,070)—
Banks & Finance Companies57,17733,88122,74454579277(511)(412)
State & Municipal Govt(c)35,98633,5612,39027831—(4)—
Utilities36,06125,2429,9297651251(3)(2,373)—
Automotive33,97723,15210,06064012559—(653)—
Oil & Gas34,47518,27616,076111124511(1,927)(5)
Insurance20,50114,5035,700298—2—(961)(6,898)
Chemicals & Plastics20,77311,3538,3529161521062(1,045)—
Transportation16,0608,8655,9431,1965623(26)(574)—
Central Govt17,70417,2643121271——(3,490)(2,085)
Metals & Mining15,5088,4036,514536551244(229)—
Securities Firms8,6894,5704,1181———(14)(2,765)
Financial Markets Infrastructure4,2514,052199——————
All other(d)134,777115,71118,618439921(2)(10,124)(3,087)
Subtotal$1,264,122$846,979$375,711$38,258$3,174$2,785$879$(36,989)$(22,461)
Loans held-for-sale and loans at fair value30,018
Receivables from customers47,625
Total(e)$1,341,765

(a)The industry rankings presented in the table as of December 31, 2023, are based on the industry rankings of the corresponding exposures as of March 31, 2024, not actual rankings of such exposures as of December 31, 2023.

(b)Individuals and Individual Entities predominantly consists of Global Private Bank clients within AWM and J.P. Morgan Wealth Management within CCB, 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 March 31, 2024 and December 31, 2023 noted above, the Firm held: $5.8 billion and $5.9 billion, respectively, of trading assets; $18.8 billion and $21.4 billion, respectively, of AFS securities; and $9.6 billion and $9.9 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. Refer to Note 2 and Note 9 for further information.

(d)All other includes: SPEs and Private education and civic organizations, representing approximately 94% and 6%, respectively, at both March 31, 2024 and December 31, 2023. Refer to Note 13 for more information on exposures to SPEs.

(e)Excludes cash placed with banks of $554.1 billion and $614.1 billion, at March 31, 2024 and December 31, 2023, 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)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.

Presented below is additional detail on certain of the Firm’s industry exposures.

Real Estate

Real Estate exposure was $205.8 billion as of March 31, 2024. Criticized exposure increased by $1.9 billion from $9.2 billion at December 31, 2023 to $11.1 billion at March 31, 2024, driven by downgrades concentrated in Office, partially offset by client-specific upgrades.

(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade% Drawn(d)
Multifamily(a)$122,804$7$122,81178%90%
Industrial20,052620,0586471
Office16,2693116,3004982
Services and Non Income Producing15,0466015,1066351
Other Income Producing Properties(b)14,63116214,7935165
Retail12,2063412,2407474
Lodging4,438174,4553154
Total Real Estate Exposure(c)$205,446$317$205,76370%81%
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade% Drawn(d)
Multifamily(a)$121,946$21$121,96779%90%
Industrial20,2541820,2727072
Office16,4623216,4945181
Services and Non Income Producing16,1457416,2196246
Other Income Producing Properties(b)15,54220815,7505563
Retail12,7634812,8117573
Lodging4,729194,7483048
Total Real Estate Exposure$207,841$420$208,26171%80%

(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 83% secured; unsecured exposure is predominantly investment-grade largely to Real Estate Investment Trusts (“REITs”) and Real Estate Operating Companies (“REOCs”) whose underlying assets are generally diversified.

(d)Represents drawn exposure as a percentage of credit exposure.

Consumer & Retail

Consumer & Retail exposure was $125.5 billion as of March 31, 2024. Criticized exposure increased by $612 million from $8.3 billion at December 31, 2023 to $8.9 billion at March 31, 2024, driven byclient-specific downgrades and net portfolio activity, largely offset by client-specific upgrades.

(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade% Drawn(d)
Retail(a)$35,996$284$36,28051%32%
Business and Consumer Services34,76832935,0974342
Food and Beverage30,61360531,2185639
Consumer Hard Goods13,16913413,3034433
Leisure(b)9,4611499,6102143
Total Consumer & Retail(c)$124,007$1,501$125,50847%38%
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade% Drawn(d)
Retail(a)$36,042$334$36,37651%30%
Business and Consumer Services34,82239235,2144242
Food and Beverage32,25693033,1865736
Consumer Hard Goods13,16919713,3664333
Leisure(b)8,7841608,9442547
Total Consumer & Retail$125,073$2,013$127,08647%36%

(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 March 31, 2024, approximately 91% of the noninvestment-grade Leisure portfolio is secured.

(c)Consumer & Retail exposure is approximately 60% secured; unsecured exposure is approximately 80% investment-grade.

(d)Represents drawn exposure as a percent of credit exposure.

Oil & Gas

Oil & Gas exposure was $33.3 billion as of March 31, 2024, of which $290 million was considered criticized.

(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade% Drawn(c)
Exploration & Production (“E&P”) and Oil field Services$16,392$847$17,23956%26%
Other Oil & Gas(a)15,83921216,0515724
Total Oil & Gas(b)$32,231$1,059$33,29056%25%
(in millions, except ratios)Loans and Lending-related CommitmentsDerivative ReceivablesCredit exposure% Investment-grade% Drawn(c)
Exploration & Production (“E&P”) and Oil field Services$18,121$536$18,65751%26%
Other Oil & Gas(a)15,64916915,8185522
Total Oil & Gas$33,770$705$34,47553%25%

(a)Other Oil & Gas includes Integrated Oil & Gas companies, Midstream/Oil Pipeline companies and refineries.

(b)Oil & Gas exposure is approximately 38% secured, approximately half of which is reserve-based lending to the Exploration & Production sub-sector; unsecured exposure is approximately 68% investment-grade.

(c)Represents drawn exposure as a percent of credit exposure.

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 11 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 thethree months ended March 31, 2024 and 2023. Since March 31, 2023, nonaccrual loan exposure increased by $966 million driven by retained loans in Real Estate concentrated in Office and in Healthcare, reflecting downgrades, and in Individuals, predominantly driven by the impact of First Republic, partially offset by a client-specific upgrade in civic organizations.

Wholesale nonaccrual loan activity
Three months ended March 31,(in millions)20242023
Beginning balance$2,714$2,395
Additions1,505672
Reductions:
Paydowns and other407267
Gross charge-offs13295
Returned to performing status8553
Sales2952
Total reductions653467
Net changes852205
Ending balance$3,566$2,600

The following table presents net charge-offs/recoveries, which are defined as gross charge-offs less recoveries, for the three months ended March 31, 2024 and 2023. The amounts in the table below do not include gains or losses from sales of nonaccrual loans recognized in noninterest revenue.

Wholesale net charge-offs/(recoveries)
(in millions, except ratios)Three months ended March 31,
20242023
Loans
Average loans retained$664,588$601,401
Gross charge-offs136105
Gross recoveries collected(50)(22)
Net charge-offs/(recoveries)8683
Net charge-off/(recovery) rate0.05%0.06%

Modified wholesale loans

The amortized cost of wholesale FDMs was $609 million and $437 million, of which $149 million and $220 million were nonaccrual loan exposure for the three months ended March 31, 2024 and 2023, respectively. Refer to Note 1 of JPMorgan Chase’s 2023 Form 10-Kand Note 11 of this Form 10-Qfor further information.

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 22 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 (including cash on deposit, and primarily liquid and readily marketable debt or equity securities). 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. Credit risk arising from lending activities subject to collateral maintenance requirements is generally mitigated by factors such as the short-term nature of the activity, the fair value of collateral held and the Firm’s right to call for, and the borrower’s obligation to provide, additional margin when the fair value of the collateral declines. Because of these mitigating factors, these receivables generally do not require an allowance for credit losses. However, if in management’s judgment, an allowance for credit losses is required, the Firm estimates expected credit losses based on the value of the collateral and probability of borrower default. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets.

Refer to Note 13 of JPMorgan Chase's 2023 Form 10-Kfor further information on the Firm’s accounting policies for the allowance for credit losses.

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 over-the-counter ("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 87% at both March 31, 2024 and December 31, 2023. Refer to Note 4 for additional information on the Firm’s use of collateral agreements and for a further discussion of derivative contracts, counterparties and settlement types.

The fair value of derivative receivables reported on the Consolidated balance sheets was $56.6 billion and $54.9 billion at March 31, 2024 and December 31, 2023, respectively. The increase was primarily as a result of market movements. 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 holds liquid securities and other cash collateral that 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. The benefits of these additional collateral amounts for each counterparty are subject to a legally enforceable master netting agreement and limited to the net amount of the derivative receivables for each 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 receivables 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 4 for additional information on the Firm’s use of collateral agreements for derivative transactions.

The following tables summarize the net derivative receivables and the internal ratings profile for the periods presented.

Derivative receivables
(in millions)March 31,2024December 31,2023
Total, net of cash collateral$56,621$54,864
Liquid securities and other cash collateral held against derivative receivables(23,012)(22,461)
Total, net of liquid securities and other cash collateral$33,609$32,403
Other collateral held against derivative receivables(1,159)(993)
Total, net of collateral$32,450$31,410
Ratings profile of derivative receivables
March 31, 2024December 31, 2023
(in millions, except ratios)Exposure net of collateral% of exposure net of collateralExposure net of collateral% of exposure net of collateral
Investment-grade$25,25178%$24,00476%
Noninvestment-grade7,199227,406(a)24
Total$32,450100%$31,410100%

Credit portfolio management activities

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 traditional lending activities (loans and lending-related commitments) and derivatives counterparty exposure in the Firm’s wholesale businesses. In addition, the Firm obtains credit protection against certain loans in the retained wholesale portfolio through the issuance of credit-related notes. Information on credit portfolio management activities is provided in the table below.

Credit derivatives and credit-related notes used in credit portfolio management activities
Notional amount of protection purchased and sold(a)
(in millions)March 31,2024December 31,2023
Credit derivatives and credit-related notes used to manage:
Loans and lending-related commitments$24,646$24,157
Derivative receivables15,74212,832
Credit derivatives and credit-related notes used in credit portfolio management activities$40,388$36,989

(a)Amounts are presented net, considering the Firm’s net protection purchased or sold with respect to each underlying reference entity or index.

Refer to Credit derivatives in Note 4 of this Form 10-Q and Note 5 of JPMorgan Chase’s 2023 Form 10-K for further information on credit derivatives and derivatives used in credit portfolio management activities.

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 generally consists of:

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 reflected in accounts payable and other liabilities on the Consolidated balance sheets, and

the allowance for credit losses on investment securities, which is reflected in investment securities on the Consolidated balance sheets.

Discussion of changes in the allowance

The allowance for credit losses as of March 31, 2024 was relatively flat when compared to December 31, 2023, reflecting:

a net reduction of $142 million inwholesale, which included a net addition associated with net downgrade activity, largely in Real Estate, primarily in CB, which was more than offset by the net impact of changes in the loan and lending-related commitment portfolios, as well as updates to certain macroeconomic variables, and

a net addition of $44 million inconsumer, consisting of:

–$153 million in Card Services, primarily due to seasoning of newer vintages, largely offset by reduced borrower uncertainty,

predominantly offset by:

–a $125 million net reduction in Home Lending, primarily driven by improvements in the outlook for home prices.

The Firm has maintained the additional weight placed on the adverse scenarios in the first quarter of 2023 to reflect downside risks as a result of persistent inflation and tightening financial conditions.

The Firm's allowance for credit losses is estimated using a weighted average of five internally developed macroeconomic scenarios. The adverse scenarios incorporate more punitive macroeconomic factors than the central case assumptions provided in the table below, resulting in a weighted average U.S. unemployment rate peaking at 5.4% in the first quarter of 2025, and a weighted average U.S. real GDP level that is 1.7% lower than the central case at the end of the second quarter of 2025.

The following table presents the Firm’s central case assumptions for the periods presented:

Central case assumptions at March 31, 2024
2Q244Q242Q25
U.S. unemployment rate(a)3.9%4.2%4.1%
YoY growth in U.S. real GDP(b)2.6%0.9%1.2%
Central case assumptions at December 31, 2023
2Q244Q242Q25
U.S. unemployment rate(a)4.1%4.4%4.1%
YoY growth in U.S. real GDP(b)1.8%0.7%1.0%

(a)Reflects quarterly average of forecasted U.S. unemployment rate.

(b)The year over year growth in U.S. real GDP in the forecast horizon of the central scenario is calculated as the percentage change in U.S. real GDP levels from the prior year.

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

Refer to Note 13 and Note 10 of JPMorgan Chase's 2023 Form 10-K for a description of the policies, methodologies and judgments used to determine the Firm’s allowance for credit losses on loans, lending-related commitments, and investment securities.

Refer to Consumer Credit Portfolio on pages 54-57, Wholesale Credit Portfolio on pages 58-66 and Note 11 for additional information on the consumer and wholesale credit portfolios.

Refer to Critical Accounting Estimates Used by the Firm on pages 78-80 for further information on the allowance for credit losses and related management judgments.

Allowance for credit losses and related information
20242023
Three months ended March 31,Consumer, excluding credit cardCredit cardWholesaleTotalConsumer, excluding credit cardCredit cardWholesaleTotal
(in millions, except ratios)
Allowance for loan losses
Beginning balance at January 1,$1,856$12,450$8,114$22,420$2,040$11,200$6,486$19,726
Cumulative effect of a change in accounting principle(a)NANANANA(489)(100)2(587)
Gross charge-offs3311,9141362,3812351,1111051,451
Gross recoveries collected(148)(227)(50)(425)(103)(189)(22)(314)
Net charge-offs1831,687861,956132922831,137
Provision for loan losses561,837(6)1,8872471,2225782,047
Other1—(1)———44
Ending balance at March 31,$1,730$12,600$8,021$22,351$1,666$11,400$6,987$20,053
Allowance for lending-related commitments
Beginning balance at January 1,$75$—$1,899$1,974$76$—$2,306$2,382
Provision for lending-related commitments21—(81)(60)1—(14)(13)
Other——22——11
Ending balance at March 31,$96$—$1,820$1,916$77$—$2,293$2,370
Impairment methodology
Asset-specific(b)$(873)$—$514$(359)$(1,030)$—$437$(593)
Portfolio-based2,60312,6007,50722,7102,69611,4006,55020,646
Total allowance for loan losses$1,730$12,600$8,021$22,351$1,666$11,400$6,987$20,053
Impairment methodology
Asset-specific$—$—$85$85$—$—$45$45
Portfolio-based96—1,7351,83177—2,2482,325
Total allowance for lending-related commitments$96$—$1,820$1,916$77$—$2,293$2,370
Total allowance for investment securitiesNANANA$154NANANA$90
Total allowance for credit losses(c)(d)$1,826$12,600$9,841$24,421$1,743$11,400$9,280$22,513
Memo:
Retained loans, end-of-period$389,592$206,740$667,761$1,264,093$300,447$180,079$604,324$1,084,850
Retained loans, average394,033204,637664,5881,263,258300,585180,451601,4011,082,437
Credit ratios
Allowance for loan losses to retained loans0.44%6.09%1.20%1.77%0.55%6.33%1.16%1.85%
Allowance for loan losses to retained nonaccrual loans(e)48NA27434143NA316331
Allowance for loan losses to retained nonaccrual loans excluding credit card48NA27414943NA316143
Net charge-off/(recovery) rates0.193.320.050.620.182.070.060.43

(a)Represents the impact to the allowance for loan losses upon the Firm's adoption of changes to the TDR accounting guidance on January 1, 2023. Refer to Note 1 of JPMorgan Chase’s 2023 Form 10-K for further information.

(b)Includes collateral-dependent loans, including those for which foreclosure is deemed probable, and nonaccrual risk-rated loans.

(c)At March 31, 2024 and 2023, in addition to the allowance for credit losses in the table above, the Firm also had an allowance for credit losses of $274 million and $20 million, respectively, associated with certain accounts receivable in CIB. At March 31, 2023, the Firm also had an allowance for credit losses of $241 million associated with Other assets in Corporate.

(d)As of March 31, 2024, included the allowance for credit losses associated with First Republic.

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

Allocation of allowance for loan losses

The table below presents a breakdown of the allowance for loan losses by loan class. Refer to Note 11 for further information on loan classes.

March 31, 2024December 31, 2023
(in millions, except ratios)Allowance for loan lossesPercent of retained loans to total retained loansAllowance for loan lossesPercent of retained loans to total retained loans
Residential real estate$65625%$81725%
Auto and other1,07461,0396
Consumer, excluding credit card1,730311,85631
Credit card12,6001612,45016
Total consumer14,3304714,30647
Secured by real estate2,938132,99713
Commercial and industrial3,508133,51913
Other1,575271,59827
Total wholesale8,021538,11453
Total$22,351100%$22,420100%
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