JPMORGAN CHASE & CO

Liquidity risk is the risk that the Firm will be unable to meet its cash and collateral needs as they arise or that it does not have the appropriate amount, composition and tenor of funding and liquidity to support its assets and liabilities. Refer to pages 102–109 of JPMorgan Chase’s 2023 Form 10-K and the Firm’s U.S. LCR Disclosure reports, which are available on the Firm’s website, for a further discussion of the Firm’s liquidity risk.

LCR 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 their respective estimated total net cash outflows over a prospective 30 calendar-day period of significant stress.

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. 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 June 30, 2024, March 31, 2024 and June 30, 2023 based on the Firm’s interpretation of the LCR framework.

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

(b)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. For purposes of calculating the LCR, HQLA securities are included at fair value, which may differ from the accounting treatment under U.S. GAAP.

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

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

JPMorgan Chase Bank, N.A.’s average LCR for the three months ended June 30, 2024 decreased compared with the three months ended March 31, 2024, due to a decrease in JPMorgan Chase Bank, N.A.'s HQLA, primarily from a reduction in cash due to a decline in deposits and the impact of CIB markets activities.

JPMorgan Chase Bank, N.A.’s average LCR for the three months ended June 30, 2024 decreased compared with the three months ended June 30, 2023, reflecting the timing impact associated with the First Republic acquisition.

Refer to Executive Overview on pages 5-8 and Note 26 for additional information on First Republic.

Each of the Firm and JPMorgan Chase Bank, N.A.'s average LCR may fluctuate from period to period due to changes in their respective eligible HQLA and estimated net cash outflows as a result of ongoing business activity and from the impacts of Federal Reserve actions as well as other factors.

Refer to page 103 of JPMorgan Chase’s 2023 Form 10-K and the Firm’s U.S. LCR Disclosure reports for additional information on HQLA and net cash outflows.

Internal stress testing

The Firm conducts internal liquidity stress testing to monitor liquidity positions at the Firm and its material legal entities under a variety of adverse scenarios, including scenarios analyzed as part of the Firm’s resolution and recovery planning. Internal stress tests are produced on a regular basis, and other stress tests are performed in response to specific market events or concerns. Results of stress tests are considered in the formulation of the Firm’s funding plan and assessment of its liquidity position.

The Firm maintains liquidity at the Parent Company, the Intermediate Holding Company (“IHC”), and operating subsidiaries at levels sufficient to comply with liquidity risk tolerances and minimum liquidity requirements, and to manage through periods of stress when access to normal funding sources may be disrupted.

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 $623 billion and $649 billion as of June 30, 2024 and December 31, 2023, respectively, although the amount of liquidity that could be raised at any particular time would be dependent on prevailing market conditions. The decrease compared to December 31, 2023, was driven by decreases in excess eligible HQLA securities at JPMorgan Chase Bank, N.A. and in unencumbered AFS securities, largely offset by an increase in CIB trading assets.

As of June 30, 2024 and December 31, 2023, the Firm had approximately $1.5 trillion and $1.4 trillion of available cash and securities, respectively, comprised of eligible end-of-period HQLA, excluding the impact of regulatory haircuts, of approximately $841 billion and $798 billion, respectively, and unencumbered marketable securities with a fair value of approximately $623 billion and $649 billion, respectively.

The Firm also had available borrowing capacity at the FHLB and the discount window at the Federal Reserve Banks as a result of collateral pledged by the Firm to such banks of approximately $366 billion and $340 billion as of June 30, 2024 and December 31, 2023, 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 Banks discount window and other central banks. Available borrowing capacity increased from December 31, 2023 predominantly due to a higher amount of commercial loans and mortgages pledged at the Federal Reserve Banks. Although available, the Firm does not view this borrowing capacity at the Federal Reserve Banks 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” stable funding that is sufficient to meet their “required” amounts of stable funding over a one-year horizon.

For the three months ended June 30, 2024, both the Firm and JPMorgan Chase Bank, N.A. were compliant with the 100% minimum NSFR requirement, based on the Firm's interpretation of the final rule. Refer to the Firm's U.S. NSFR Disclosure report on the Firm’s website for additional information.

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, 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 which are primarily securities loaned or sold under repurchase agreements. Excess funding is invested by Treasury and CIO in the Firm’s investment securities portfolio or deployed in cash or other short-term liquid investments based on their interest rate and liquidity risk characteristics.

Refer to Note 22 for additional information on off-balance sheet obligations.

Deposits

The table below summarizes, by LOB and Corporate, the period-end deposit balances as of June 30, 2024 and December 31, 2023, and the average deposit balances for the three and six months ended June 30, 2024 and 2023, respectively.

(a)In the fourth quarter of 2023, CCB transferred deposits associated with First Republic to AWM and CIB. Refer to page 67 of the Firm’s 2023 Form 10-K for additional information.

The Firm believes that 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 generally considered to be stable sources of liquidity because they are generated from customers that maintain operating service relationships with the Firm.

The Firm believes that average deposit balances are generally more representative of deposit trends than period-end deposit balances. However, during periods of market disruption, average deposit trends may be impacted.

Average deposits were lower for the three months ended June 30, 2024 compared to the three months ended June 30, 2023, reflecting:

•a decline in CCB in existing accounts primarily due to increased customer spending, partially offset by new accounts,

•net issuances of structured notes in CIB as a result of client demand in Markets; and net inflows in Payments, which included the retention of inflows associated with disruptions in the market in the first quarter of 2023, predominantly offset by deposit attrition, which included actions taken to reduce certain deposits,

•the timing impact of First Republic, and

•an increase in Corporate related to the Firm's international consumer initiatives, including new product offerings in the second quarter of 2024.

Excluding the impact of First Republic, AWM was relatively flat, reflecting an increase from new product offerings, offset by continued migration into higher-yielding investments.

Average deposits were higher for the six months ended June 30, 2024 compared to the six months ended June 30, 2023, reflecting:

•net issuances of structured notes in CIB as a result of client demand in Markets; and net inflows in Payments, which included the retention of inflows associated with disruptions in the market in the first quarter of 2023, largely offset by deposit attrition, which included actions taken to reduce certain deposits,

•the timing impact of First Republic, and

• an increase in Corporate related to the Firm's international consumer initiatives, including new product offerings in the second quarter of 2024,

•a decline in CCB in existing accounts primarily due to increased customer spending, partially offset by new accounts, and

•excluding the impact of First Republic, a decline in AWM, driven by continued migration into higher-yielding investments, predominantly offset by new product offerings.

Period-end deposits decreased from December 31, 2023, reflecting:

•a decline in CCB in existing accounts, primarily driven by seasonal tax outflows and migration into higher-yielding investments, largely offset by new accounts,

•higher deposits in CIB due to net inflows in Securities Services and Payments, partially offset by net maturities of structured notes in Markets,

•higher deposits in Corporate predominantly driven by new product offerings related to the Firm's international consumer initiatives, and

•higher balances in AWM driven by new product offerings, and an increase in deposits in existing accounts due to a change in product offerings associated with First Republic, predominantly offset by continued migration into higher-yielding investments.

Refer to the Firm’s Consolidated Balance Sheets Analysis and the Business Segment Results on pages 15-16 and pages 20-43, respectively, for further information on deposit and liability balance trends, as well as Note 26 for additional information on the First Republic acquisition. Refer to Note 3 for further information on structured notes.

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. Refer to pages 105–106 of JPMorgan Chase's 2023 Form 10-K for additional information on the Firm's total uninsured 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.

(a)At June 30, 2024, includes $10 billion of derivatives cash collateral reflecting a change in methodology for calculating uninsured deposits.

The table below shows the loan and deposit balances, the loans-to-deposits ratios, and deposits as a percentage of total liabilities, as of June 30, 2024 and December 31, 2023.

The following table provides a summary of the average balances and average interest rates of JPMorgan Chase’s deposits for the three and six months ended June 30, 2024 and 2023.

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

(b)Includes Money Market Deposit Accounts.

Refer to Note 15 for additional information on deposits.

The following table summarizes short-term and long-term funding, excluding deposits, as of June 30, 2024 and December 31, 2023, and average balances for the three and six months ended June 30, 2024 and 2023, respectively. Refer to the Consolidated Balance Sheets Analysis on pages 15-16 and Note 10 for additional information.

Sources of funds (excluding deposits)

(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)Reflects the Purchase Money Note associated with the First Republic acquisition on May 1, 2023. Refer to Note 26 for additional information.

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

(f)Refer to Capital Risk Management on pages 45-50 and Consolidated statements of changes in stockholders’ equity on page 94 of this Form 10-Q, and Note 21 and Note 22 of JPMorgan Chase’s 2023 Form 10-K for additional information on preferred stock and common stockholders’ equity.

(g)Includes the timing impact of First Republic. Refer to Executive Overview on pages 5-8 and Note 26 of this Form 10-Q, and pages 102-109 of JPMorgan Chase's 2023 Form 10-K for additional information.

Short-term funding

The Firm’s sources of short-term secured funding primarily consist of securities loaned or sold under agreements torepurchase. 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 increased at June 30, 2024, compared with December 31, 2023, driven by Markets, reflecting higher client-driven market-making activities and higher secured financing of trading assets, as well as when compared with seasonally lower levels at year-end.

The increase in secured other borrowed funds at June 30, 2024 from December 31, 2023 was predominantly due to higher financing requirements in Markets. For the average three months ended June 30, 2024, compared to the prior year period, the increase was due to higher financing requirements in Markets, partially offset by maturities in Treasury and CIO.

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 decrease in commercial paper at June 30, 2024 from December 31, 2023 was due to lower issuances primarily as a result of short-term liquidity management.

The increase in unsecured other borrowed funds at June 30, 2024 from December 31, 2023 was predominantly driven by higher net issuances of structured notes in CIB, due to client demand.

Long-term funding

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.

Unsecured funding and issuance

The significant majority of the Firm’s total outstanding long-term debt has been issued by the Parent Company to provide flexibility in support of the funding needs of both bank and non-bank subsidiaries. The Parent Company advances substantially all net funding proceeds to its subsidiary, the IHC. The IHC does not issue debt to external counterparties. For the three and six months ended June 30, 2024, the increase in average structured notes compared to the prior year periods was attributable to net issuances of structured notes in Markets due to client demand.

The following table summarizes long-term unsecured issuance and maturities or redemptionsfor the three and six months ended June 30, 2024 and 2023. Refer to Liquidity Risk Management on pages 102–109 and Note 20 of JPMorgan Chase’s 2023 Form 10-K for additional information on the IHC and long-term debt.

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

Secured funding and issuance

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, the FHLB advances, and their respective maturities or redemptions, as applicable for the three and six months ended June 30, 2024 and 2023, respectively.

(a)Reflects the Purchase Money Note associated with the First Republic acquisition. Refer to Note 26 for more information.

(b)Includes long-term structured notes that are secured.

(c)Includes FHLB advances associated with the First Republic acquisition on May 1, 2023. Refer to Note 26 for more information.

The Firm’s wholesale businesses also securitize loans for client-driven transactions; those client-driven loan securitizations are not considered to be a source of funding for the Firm and are not included in the table above. Refer to Note 14 of JPMorgan Chase’s 2023 Form 10-K for a further description of client-driven loan securitizations.

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 Notes 4 and 13 for additional information.

The credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries as of June 30, 2024, were as follows:

(a) On April 1, 2024, 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 for the entities listed above.

Refer to page 109 of JPMorgan Chase’s 2023 Form 10-K for a discussion of the factors that could affect the credit ratings of the Parent Company and the Firm’s principal bank and non-bank subsidiaries.

CREDIT AND INVESTMENT RISK MANAGEMENT

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

wholesale credit risk, and investment portfolio risk. Refer to Consumer Credit Portfolio, Wholesale Credit Portfolio and

Allowance for Credit Losses on pages 61-77 for a further discussion of Credit Risk.

Refer to page 78 for a further discussion of Investment Portfolio Risk. Refer to Credit and Investment Risk Management on pages 111–134 of JPMorgan Chase’s 2023 Form 10-K for a further discussion of the Firm’s Credit and Investment Risk Management framework.

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 11, 22 and 4 for additional information on the Firm’s loans, lending-related commitments and derivative receivables.

Refer to Note 9 for information regarding the credit risk inherent in the Firm’s investment securities portfolio; and refer to Note 10 for information regarding credit risk inherent in the securities financing portfolio. Refer to Consumer Credit Portfolio on pages 61-64 and Note 11 for further discussions of the consumer credit environment, consumer loans and nonperforming exposure. Refer to Wholesale Credit Portfolio on pages 65-74 and Note 11 for further discussions of the wholesale credit environment, wholesale loans and nonperforming exposure.

(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)At June 30, 2024 and December 31, 2023, nonperforming assets excluded mortgage loans 90 or more days past due and insured by U.S. government agencies of $138 million and $182 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.

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