JPMORGAN CHASE BANK, NATIONAL ASSOCIATION (a wholly-owned subsidiary of JPMorgan Chase & Co.)

CONSOLIDATED FINANCIAL STATEMENTS For the six months ended June 30, 2018 TABLE OF CONTENTS

For the six months ended June 30, 2018 Page(s)

Consolidated Financial Statements - JPMorgan Chase Bank, National Association Consolidated Statements of Income (unaudited) for the six months ended June 30, 2018 and 2017 3 Consolidated Statements of Comprehensive Income (unaudited) for the six months ended June 30, 2018 and 2017 4 Consolidated Balance Sheets (unaudited) at June 30, 2018, and December 31, 2017 5 Consolidated Statements of Changes in Stockholder’s Equity (unaudited) for the six months ended June 30, 2018 and 2017 6 Consolidated Statements of Cash Flows (unaudited) for the six months ended June 30, 2018 and 2017 7 Notes to Consolidated Financial Statements (unaudited) 8-82 Independent Auditor’s Report 83

Supplementary Information (unaudited) Glossary of Terms and Acronyms 84–87

2 JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) Consolidated statements of income (unaudited)

Six months ended June 30, (in millions) 2018 2017 Revenue Investment banking fees $ 1,679 $ 1,722 Principal transactions 7,135 5,619 Lending- and deposit-related fees 2,975 2,934 Asset management, administration and commissions 6,383 5,747 Investment securities losses (325) (37) Mortgage fees and related income 789 810 Card income 2,210 2,203 Other income 3,101 2,596 Noninterest revenue 23,947 21,594 Interest income 27,292 22,912 Interest expense 5,074 3,004 Net interest income 22,218 19,908 Total net revenue 46,165 41,502 Provision for credit losses 790 869 Noninterest expense Compensation expense 13,593 12,606 Occupancy expense 1,778 1,720 Technology, communications and equipment expense 4,000 3,472 Professional and outside services 2,723 2,328 Marketing 493 493 Other expense 5,466 5,097 Total noninterest expense 28,053 25,716 Income before income tax expense 17,322 14,917 Income tax expense 3,760 4,644 Net income $ 13,562 $ 10,273 Effective January 1, 2018, JPMorgan Chase Bank, N.A. adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, refer to Note 1.

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

3 JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) Consolidated statements of comprehensive income (unaudited)

Six months ended June 30, (in millions) 2018 2017 Net income $ 13,562 $ 10,273 Other comprehensive income/(loss), after–tax Unrealized gains/(losses) on investment securities (1,427) 708 Translation adjustments, net of hedges 117 (7) Fair value hedges 1 NA Cash flow hedges (239) 146 Defined benefit pension and OPEB plans (1,631) (41) Debit valuation adjustment (“DVA”) on fair value option elected liabilities 137 (14) Total other comprehensive income/(loss), after–tax (3,042) 792 Comprehensive income $ 10,520 $ 11,065 Effective January 1, 2018, JPMorgan Chase Bank, N.A. adopted several new accounting standards. For additional information, refer to Note 1.

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

4 JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) Consolidated balance sheets (unaudited)

(in millions, except share data) Jun 30, 2018 Dec 31, 2017 Assets Cash and due from banks $ 20,267 $ 21,943 Deposits with banks 414,993 440,710 Federal funds sold and securities purchased under resale agreements (included $3,534 and $2,894 at fair value) 168,347 155,214 Securities borrowed (included $4,052 and $3,049 at fair value) 37,198 39,009 Trading assets (included assets pledged of $54,623 and $49,765) 268,906 249,223 Investment securities (included $199,932 and $199,364 at fair value and assets pledged of $19,198 and $23,170) 230,938 247,097 Loans (included $3,076 and $2,508 at fair value) 852,723 826,213 Allowance for loan losses (9,861) (10,081) Loans, net of allowance for loan losses 842,862 816,132 Accrued interest and accounts receivable 52,967 48,063 Premises and equipment 13,487 13,481 Goodwill, MSRs and other intangible assets 33,729 33,570 Other assets (included $7,613 and $7,454 at fair value and assets pledged of $1,501 and $1,639) 84,006 76,336 Total assets(a) $ 2,167,700 $ 2,140,778 Liabilities Deposits (included $19,863 and $21,380 at fair value) $ 1,526,755 $ 1,534,907 Federal funds purchased and securities loaned or sold under repurchase agreements (included $4,650 and $3,405 at fair value) 101,073 94,692 Short-term borrowings (included $6,023 and $5,577 at fair value) 16,554 8,993 Trading liabilities 108,285 96,737 Accounts payable and other liabilities (included $7,650 and $7,454 at fair value) 97,431 91,200 Beneficial interests issued by consolidated variable interest entities 4,818 4,853 Long-term debt (included $22,861 and $21,401 at fair value) 97,304 97,711 Total liabilities(a) 1,952,220 1,929,093 Commitments and contingencies (refer to Notes 21, 22 and 23) Stockholder’s equity Preferred stock ($1 par value; authorized 15,000,000 shares; issued 0 shares) — — Common stock ($12 par value; authorized 200,000,000 shares; issued 148,761,243 shares) 1,785 1,785 Additional paid-in capital 99,132 94,283 Retained earnings 115,624 114,242 Accumulated other comprehensive income (1,061) 1,375 Total stockholder’s equity 215,480 211,685 Total liabilities and stockholder’s equity $ 2,167,700 $ 2,140,778 Effective January 1, 2018, JPMorgan Chase Bank, N.A. adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, refer to Note 1. (a) The following table presents information on assets and liabilities related to VIEs that are consolidated by JPMorgan Chase Bank, N.A. at June 30, 2018, and December 31, 2017. The assets of the consolidated VIEs are used to settle the liabilities of those entities. The holders of the beneficial interests generally do not have recourse to the general credit of JPMorgan Chase Bank, N.A. The assets and liabilities in the table below include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation. For a further discussion, refer to Note 14.

(in millions) Jun 30, 2018 Dec 31, 2017 Assets Trading assets $ 1,502 $ 1,380 Loans 26,588 27,072 All other assets 1,551 1,698 Total assets 29,641 $ 30,150 Liabilities Beneficial interests issued by consolidated VIEs 4,818 $ 4,853 All other liabilities 230 254 Total liabilities $ 5,048 $ 5,107

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

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

Six months ended June 30, (in millions) 2018 2017 Common stock Balance at January 1 and June 30 $ 1,785 $ 1,785 Additional paid-in capital Balance at January 1 94,283 94,125 Cash capital contribution from JPMorgan Chase & Co. 1,094 — Adjustments to capital due to transactions with JPMorgan Chase & Co. 3,755 — Balance at June 30 99,132 94,125 Retained earnings Balance at January 1 114,242 108,312 Cumulative effect of change in accounting principles (680) — Net income 13,562 10,273 Dividends declared to JPMorgan Chase & Co. (11,500) (6,000) Balance at June 30 115,624 112,585 Accumulated other comprehensive income Balance at January 1 1,375 865 Cumulative effect of change in accounting principles 606 — Adjustments to AOCI due to transactions with JPMorgan Chase & Co. (1,623) — Other comprehensive income/(loss) (1,419) 792 Balance at June 30 (1,061) 1,657 Total stockholder’s equity $ 215,480 $ 210,152

Effective January 1, 2018, JPMorgan Chase Bank, N.A. adopted several new accounting standards. For additional information, refer to Note 1.

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

6 JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) Consolidated statements of cash flows (unaudited)

Six months ended June 30, (in millions) 2018 2017 Operating activities Net income $ 13,562 $ 10,273 Adjustments to reconcile net income to net cash provided by operating activities: Provision for credit losses 790 869 Depreciation and amortization 3,555 2,813 Deferred tax expense/(benefit) (4) 111 Other 325 37 Originations and purchases of loans held-for-sale (43,141) (58,119) Proceeds from sales, securitizations and paydowns of loans held-for-sale 41,657 52,984 Net change in: Trading assets (23,308) (13,229) Securities borrowed 1,813 4,935 Accrued interest and accounts receivable (4,967) (9,944) Other assets (2,179) 3,940 Trading liabilities 7,752 (14,740) Accounts payable and other liabilities 6,924 (8,380) Other operating adjustments (1,642) 4,827 Net cash provided by/(used in) operating activities 1,137 (23,623) Investing activities Net change in: Federal funds sold and securities purchased under resale agreements (13,148) 16,426 Held-to-maturity securities: Proceeds from paydowns and maturities 1,458 2,289 Purchases (7,426) — Available-for-sale securities: Proceeds from paydowns and maturities 19,576 29,137 Proceeds from sales 25,138 42,920 Purchases (27,452) (45,567) Proceeds from sales and securitizations of loans held-for-investment 12,963 7,762 Other changes in loans, net (40,342) (25,439) All other investing activities, net (553) 193 Net cash provided by/(used in) investing activities (29,786) 27,721 Financing activities Net change in: Deposits (2,142) 48,409 Federal funds purchased and securities loaned or sold under repurchase agreements 6,388 18,119 Short-term borrowings 7,372 (744) Beneficial interests issued by consolidated variable interest entities (261) (805) Proceeds from long-term borrowings 21,667 10,753 Payments of long-term borrowings (20,164) (16,302) Cash capital contribution from JPMorgan Chase & Co. 1,094 — Dividends paid to JPMorgan Chase & Co. (11,500) (6,000) All other financing activities, net 262 1,263 Net cash provided by/(used in) financing activities 2,716 54,693 Effect of exchange rate changes on cash and due from banks and deposits with banks (1,460) 5,388 Net increase/(decrease) in cash and due from banks and deposits with banks (27,393) 64,179 Cash and due from banks and deposits with banks at the beginning of the period 462,653 410,813 Cash and due from banks and deposits with banks at the end of the period $ 435,260 $ 474,992 Cash interest paid $ 4,620 $ 2,903 Cash income taxes paid, net 2,897 986 Effective January 1, 2018, JPMorgan Chase Bank, N.A. adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, refer to Note 1.

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

7 Refer to the Glossary of Terms and Acronyms on pages 84-87 for definitions of terms and acronyms used throughout the Notes to Consolidated Financial Statements.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (unaudited) Note 1 – Overview and basis of presentation JPMorgan Chase Bank, National Association (“JPMorgan These unaudited Consolidated Financial Statements should Chase Bank, N.A.”), is a wholly-owned bank subsidiary of be read in conjunction with the audited Consolidated JPMorgan Chase & Co. (“JPMorgan Chase”), which is a Financial Statements, and related notes thereto, included in leading global financial services firm and one of the largest JPMorgan Chase Bank, N.A.’s 2017 Annual Financial banking institutions in the United States of America Statements. (“U.S.”), with operations worldwide. JPMorgan Chase Bank, Certain amounts reported in prior periods have been N.A. is a national banking association that is chartered by reclassified to conform with the current presentation. the Office of the Comptroller of the Currency (“OCC”), a bureau of the United States Department of the Treasury. Consolidation JPMorgan Chase Bank, N.A.’s main office is located in The Consolidated Financial Statements include the accounts Columbus, Ohio, and it has retail branches in 23 states. of JPMorgan Chase Bank, N.A. and other entities in which JPMorgan Chase Bank, N.A. operates nationally as well as JPMorgan Chase Bank, N.A. has a controlling financial through non-U.S. bank branches and subsidiaries, and interest. All material intercompany balances and representative offices. JPMorgan Chase Bank, N.A. either transactions have been eliminated. directly or through such offices, branches and subsidiaries Assets held for clients in an agency or fiduciary capacity by offers a wide range of banking services to its U.S. and non- JPMorgan Chase Bank, N.A. are not assets of JPMorgan U.S. customers including investment banking, financial Chase Bank, N.A. and are not included on the Consolidated services for consumers and small businesses, commercial balance sheets. banking, financial transaction processing and asset management. Under the J.P. Morgan and Chase brands, JPMorgan Chase Bank, N.A. determines whether it has a JPMorgan Chase Bank, N.A. serves millions of customers in controlling financial interest in an entity by first evaluating the U.S. and many of the world’s most prominent corporate, whether the entity is a voting interest entity or a VIE. institutional and government clients. For a further description of JPMorgan Chase Bank, N.A.’s The JPMorgan Chase Bank, N.A. Board of Directors is accounting policies regarding consolidation, refer to Notes 1 responsible for the oversight of the management of and 15 of JPMorgan Chase Bank, N.A.’s 2017 Annual JPMorgan Chase Bank, N.A. The JPMorgan Chase Bank, N.A. Financial Statements. Board accomplishes this function acting directly and through the principal standing committees of JPMorgan Offsetting assets and liabilities Chase’s Board of Directors. Risk and control oversight on U.S. GAAP permits entities to present derivative receivables behalf of JPMorgan Chase Bank N.A. is primarily the and derivative payables with the same counterparty and the responsibility of the Directors’ Risk Policy Committee related cash collateral receivables and payables on a net (“DRPC”) and Audit Committee of JPMorgan Chase’s Board basis on the Consolidated balance sheets when a legally of Directors, respectively, and, with respect to enforceable master netting agreement exists. U.S. GAAP compensation and other management-related matters, the also permits securities financing activities to be presented Compensation & Management Development Committee of on a net basis when specified conditions are met, including JPMorgan Chase’s Board of Directors. the existence of a legally enforceable master netting agreement. JPMorgan Chase Bank, N.A. has elected to net The accounting and financial reporting policies of JPMorgan such balances when the specified conditions are met. For Chase Bank, N.A. and its subsidiaries conform to accounting further information on offsetting assets and liabilities, refer principles generally accepted in the U.S. (“U.S. GAAP”). to Note 1 of JPMorgan Chase Bank, N.A.’s 2017 Annual Additionally, where applicable, the policies conform to the Financial Statements. accounting and reporting guidelines prescribed by regulatory authorities. Application of U.S. GAAP related to the Tax Cuts and Jobs Act (“TCJA”) SEC Staff Accounting Bulletin No. 118 The unaudited Consolidated Financial Statements prepared On December 22, 2017, the TCJA was signed into law and in conformity with U.S. GAAP require management to make JPMorgan Chase Bank, N.A. recorded the estimated impact estimates and assumptions that affect the reported of the deemed repatriation of JPMorgan Chase Bank, N.A.’s amounts of assets, liabilities, revenue and expense, and the unremitted non-U.S. earnings and the remeasurement of disclosures of contingent assets and liabilities. Actual deferred taxes under the TCJA. These provisional amounts results could be different from these estimates. In the represent estimates under SEC guidance, which provides a opinion of management, all normal, recurring adjustments one-year measurement period in which to refine the have been included such that this interim financial estimates based on new information or the issuance of information is fairly presented. 8 interpretative guidance. Based on legislative clarifications addition, for JPMorgan Chase Bank, N.A.’s Consolidated published during the first half of 2018, which were specific statements of cash flows, cash is defined as those amounts to the deemed repatriation tax on non-U.S. earnings, included in cash and due from banks and deposits with JPMorgan Chase Bank, N.A. recorded a tax benefit of $160 banks. This guidance was applied retrospectively and, million. JPMorgan Chase Bank, N.A. has made and continues accordingly, prior period amounts have been revised. to anticipate refinements to both calculations as a result of For additional information, refer to the table below, and the issuance of additional legislative and accounting Note 19. guidance as well as those in the normal course of business, Presentation of net periodic pension cost and net periodic including true-ups to the tax liability on the tax return as postretirement benefit cost filed and the resolution of tax audits. JPMorgan Chase Bank, The adoption of this guidance requires the service cost N.A. considers any legislative or accounting guidance issued component of net periodic pension cost to be reported as of the balance sheet date when evaluating potential separately in the Consolidated statements of income from refinements to these estimates. the other components of pension cost. This change was Accounting standards adopted January 1, 2018 adopted retrospectively and, accordingly, prior period Recognition and measurement of financial assets and amounts were revised, which resulted in an increase in financial liabilities compensation expense and a reduction in other expense of The adoption of this guidance requires that certain equity $35 million in the first half of 2017. For additional instruments be measured at fair value, with changes in fair information, refer to Note 8. value recognized in earnings. The guidance also provides an Reclassification of certain tax effects from AOCI alternative to measure equity securities without readily The adoption of this guidance permitted JPMorgan Chase determinable fair values at cost less impairment (if any), plus Bank, N.A. to reclassify the income tax effects of the TCJA on or minus observable price changes from an identical or items within AOCI to retained earnings so that the tax effects similar investment of the same issuer (the “measurement of items within AOCI reflect the appropriate tax rate. The alternative”). JPMorgan Chase Bank, N.A. elected the adoption of this guidance resulted in a cumulative-effect measurement alternative for its qualifying equity securities adjustment to retained earnings and AOCI. For additional and the adoption of the guidance resulted in fair value gains information, refer to the table below, and Note 18. of $456 million in other income in the first half of 2018. For additional information, refer to Notes 3 and 10. The following table presents the prior period impact to the Consolidated balance sheets from the retrospective Premium amortization on purchased callable debt securities adoption of the new accounting standards on January 1, The adoption of this guidance requires that premiums be 2018: amortized to the earliest call date on certain debt securities. The adoption of this guidance resulted in a Selected Consolidated balance sheets data cumulative-effect adjustment to retained earnings and December 31, 2017 accumulated other comprehensive income/(loss) (“AOCI”). (in millions) Reported Revisions(a) Revised For additional information, refer to the table below, and Assets Notes 10 and 18. Cash and due from banks $ 21,890 $ 53 $ 21,943 Hedge accounting Deposits with banks 439,989 721 440,710 The adoption of this guidance better aligns hedge Other assets 77,110 (774) 76,336 accounting with the economics of JPMorgan Chase Bank, Total assets $ 2,140,778 $ — $ 2,140,778 N.A.’s risk management activities. As permitted by the (a) Revisions relate to the reclassification of restricted cash. guidance, JPMorgan Chase Bank, N.A. also elected to transfer certain investment securities from Held-to-maturity The following table presents the adjustment to retained (“HTM”) to Available-for-sale (“AFS”). The adoption of this earnings and AOCI as a result of the new accounting standards adopted January 1, 2018: guidance resulted in a cumulative-effect adjustment to retained earnings and AOCI as a result of the investment Retained securities transfer and the revised guidance for excluded Increase/(decrease) (in millions) earnings AOCI components. For additional information, refer to the table Premium amortization on purchased callable $ (494) $ 252 below, and Notes 5, 10 and 18. debt securities Hedge accounting — 168 Treatment of restricted cash on the statement of cash flows Reclassification of certain tax effects from The adoption of this guidance requires restricted cash to be AOCI (186) 186 combined with unrestricted cash when reconciling the Total $ (680) $ 606 beginning and ending cash balances on the Consolidated statements of cash flows. To align the Consolidated balance sheets with the Consolidated statements of cash flows, JPMorgan Chase Bank, N.A. reclassified restricted cash into cash and due from banks or deposits with banks. In

9 Note 2 – Accounting and reporting developments

Financial Accounting Standards Board (“FASB”) Standards Adopted since January 1, 2018

Standard Summary of guidance Effects on financial statements

Revenue recognition – • Requires that revenue from contracts • Adopted January 1, 2018. revenue from with customers be recognized upon • JPMorgan Chase Bank, N.A. adopted the revenue recognition guidance using the full contracts with transfer of control of a good or service retrospective method of adoption. customers in the amount of consideration • The adoption of the guidance did not result in any material changes in the timing or expected to be received. Issued May 2014 presentation of JPMorgan Chase Bank, N.A.’s revenue recognition. • Changes the accounting for certain • JPMorgan Chase Bank, N.A.’s Note 7 qualitative disclosures are consistent with the contract costs, including whether they guidance. may be offset against revenue in the Consolidated statements of income, and requires additional disclosures about revenue and contract costs.

Recognition and • Requires that certain equity • Adopted January 1, 2018 measurement of instruments be measured at fair value, • For further information, refer to Note 1. financial assets and with changes in fair value recognized financial liabilities in earnings. Issued January 2016 • Provides a measurement alternative for equity securities without readily determinable fair values to be measured at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer. Any such price changes are reflected in earnings beginning in the period of adoption.

Classification of • Provides targeted amendments to the • Adopted January 1, 2018. certain cash receipts classification of certain cash flows, • The adoption of the guidance had no material impact as JPMorgan Chase Bank, N.A. and cash payments in including treatment of settlement was either in compliance with the amendments or the amounts to which it was the statement of cash payments for zero-coupon debt applied were immaterial. flows instruments and distributions received Issued August 2016 from equity method investments.

Treatment of • Requires restricted cash to be • Adopted January 1, 2018. restricted cash on the combined with unrestricted cash when • For further information, refer to Note 1. statement of cash reconciling the beginning and ending flows cash balances on the Consolidated statements of cash flows. Issued November 2016 • Requires additional disclosures to supplement the Consolidated statements of cash flows.

10 FASB Standards Adopted since January 1, 2018 (continued)

Standard Summary of guidance Effects on financial statements

Definition of a • Narrows the definition of a business • Adopted January 1, 2018. business and clarifies that, to be considered a • The adoption of the guidance had no impact because it is being applied prospectively. business, substantially all of the fair Issued January 2017 Subsequent to adoption, fewer transactions will be treated as acquisitions or value of the gross assets acquired (or dispositions of a business. disposed of) may not be concentrated in a single identifiable asset or a group of similar assets. • In addition, the definition now requires that a set of activities and assets must include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.

Presentation of net • Requires the service cost component of • Adopted January 1, 2018. periodic pension cost net periodic pension and • For further information, refer to Note 1. and net periodic postretirement benefit cost to be postretirement benefit reported separately in the Consolidated cost statements of income from the other components (e.g., expected return on Issued March 2017 assets, interest costs, amortization of gains/losses and prior service costs)

Premium amortization • Requires amortization of premiums to • Adopted January 1, 2018. on purchased callable the earliest call date on debt securities • For further information, refer to Note 1. debt securities with call features that are explicit, noncontingent and callable at fixed Issued March 2017 prices and on preset dates. • Does not impact securities held at a discount; the discount continues to be amortized to the contractual maturity date.

Hedge accounting • Aligns the accounting with the • Adopted January 1, 2018. economics of the risk management • For further information, refer to Note 1. Issued August 2017 activities. • Expands the ability for certain hedges of interest rate risk to qualify for hedge accounting. • Allows recognition of ineffectiveness in cash flow hedges and net investment hedges in OCI. • Permits an election at adoption to transfer certain investment securities classified as held-to-maturity to available-for-sale. • Simplifies hedge documentation requirements.

Reclassification of • Permits reclassification of the income • Adopted January 1, 2018. certain tax effects tax effects of the TCJA on items within • For further information, refer to Note 1. from AOCI AOCI to retained earnings so that the tax effects of items within AOCI reflect Issued February 2018 the appropriate tax rate.

11 FASB Standards Issued but not yet Adopted

Standard Summary of guidance Effects on financial statements

Leases • Requires lessees to recognize all leases • Required effective date: January 1, 2019.(a) longer than twelve months on the Issued February 2016 • JPMorgan Chase Bank, N.A. is in the process of its implementation which includes an Consolidated balance sheets as a lease evaluation its leasing activities and certain contracts for embedded leases, liability with a corresponding right-of- implementing a new lease accounting software solution for its real estate leases, and use asset. updating processes and internal controls for its leasing activities. As a lessee, • Requires lessees and lessors to classify JPMorgan Chase Bank, N.A. is developing its methodology to estimate the right-of- most leases using principles similar to use asset and lease liability, which is based on the present value of lease payments. existing lease accounting, but JPMorgan Chase Bank, N.A. expects to recognize a lease liability and a corresponding eliminates the “bright line” right-of-use asset (at their present value) related to predominantly all of the $9 classification tests. billion of future minimum payments required under operating leases as disclosed in • Permits the JPMorgan Chase Bank, N.A. Note 26 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. to generally account for its existing However, the population of contracts subject to balance sheet recognition and their leases consistent with current guidance, initial measurement remains under evaluation; final financial statement impacts will except for the incremental balance depend on the lease portfolio at the time of adoption. JPMorgan Chase Bank, N.A. sheet recognition. does not expect material changes to the recognition of operating lease expense in its Consolidated statements of income. • Expands qualitative and quantitative leasing disclosures. • JPMorgan Chase Bank, N.A. plans to adopt the new guidance on January 1, 2019 and elect the available practical expedients, which will not require it to reassess whether • May be adopted using a modified an existing contract contains a lease or whether classification or unamortized initial cumulative effect approach wherein the lease costs would be different under the new lease guidance. guidance is applied only to existing contracts as of the date of initial application, and to new contracts transacted after that date, or a cumulative-effect adjustment to retained earnings at the effective date.

Financial instruments • Replaces existing incurred loss • Required effective date: January 1, 2021.(a) – credit losses impairment guidance and establishes a • JPMorgan Chase Bank, N.A. has established a Firmwide, cross-discipline governance single allowance framework for Issued June 2016 structure, which provides implementation oversight. JPMorgan Chase Bank, N.A. financial assets carried at amortized continues to identify key interpretive issues, and is in the process of developing and cost, which will reflect management’s implementing current expected credit loss models that satisfy the requirements of estimate of credit losses over the full the new standard. remaining expected life of the financial assets. • JPMorgan Chase Bank, N.A. expects that the new guidance will result in an increase in its allowance for credit losses due to several factors, including: • Eliminates existing guidance for PCI loans, and requires recognition of an 1. The allowance related to JPMorgan Chase Bank, N.A.’s loans and commitments will allowance for expected credit losses on increase to cover credit losses over the full remaining expected life of the portfolio, financial assets purchased with more and will consider expected future changes in macroeconomic conditions than insignificant credit deterioration 2. The nonaccretable difference on PCI loans will be recognized as an allowance, since origination. which will be offset by an increase in the carrying value of the related loans • Amends existing impairment guidance 3. An allowance will be established for estimated credit losses on non-agency HTM for AFS securities to incorporate an securities allowance, which will allow for reversals • The extent of the increase is under evaluation, but will depend upon the nature and of credit impairments in the event that characteristics of JPMorgan Chase Bank, N.A.’s portfolio at the adoption date, and the credit of an issuer improves. the macroeconomic conditions and forecasts at that date. • Requires a cumulative-effect adjustment to retained earnings as of the beginning of the reporting period of adoption.

Goodwill • Requires an impairment loss to be • Required effective date: January 1, 2020.(a) recognized when the estimated fair Issued January 2017 • Based on current impairment test results, JPMorgan Chase Bank, N.A. does not value of a reporting unit falls below its expect a material effect on the Consolidated Financial Statements. However, the carrying value. impact of the new accounting guidance will depend on the performance of the • Eliminates the second condition in the reporting unit and the market conditions at the time of adoption. current guidance that requires an • After adoption, the guidance may result in more frequent goodwill impairment losses impairment loss to be recognized only if due to the removal of the second condition. the estimated implied fair value of the goodwill is below its carrying value. • JPMorgan Chase Bank, N.A. plans to adopt the new guidance on January 1, 2020.

(a) Early adoption is permitted.

12 Note 3 – Fair value measurement For a discussion of JPMorgan Chase Bank, N.A.’s valuation methodologies for assets, liabilities and lending-related commitments measured at fair value and the fair value hierarchy, refer to Note 3 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

13 The following table presents the assets and liabilities reported at fair value as of June 30, 2018, and December 31, 2017, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis Fair value hierarchy Derivative netting June 30, 2018 (in millions) Level 1 Level 2 Level 3 adjustments Total fair value Federal funds sold and securities purchased under resale agreements $ — $ 3,534 $ — $ — $ 3,534 Securities borrowed — 4,052 — — 4,052 Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies(a) — 138 467 — 605 Residential – nonagency — 898 31 — 929 Commercial – nonagency — 86 2 — 88 Total mortgage-backed securities — 1,122 500 — 1,622 U.S. Treasury and government agencies(a) 4,063 1 — — 4,064 Obligations of U.S. states and municipalities — 4,349 9 — 4,358 Certificates of deposit, bankers’ acceptances and commercial paper — 590 — — 590 Non-U.S. government debt securities 34,735 31,647 183 — 66,565 Corporate debt securities — 16,030 117 — 16,147 Loans — 43,810 1,568 — 45,378 Asset-backed securities — 448 23 — 471 Total debt instruments 38,798 97,997 2,400 — 139,195 Equity securities 57,577 267 132 — 57,976 Physical commodities(b) 51 — — — 51 Other — 13,289 400 — 13,689 Total debt and equity instruments(c) 96,426 111,553 2,932 — 210,911 Derivative receivables: Interest rate 412 285,351 2,003 (264,950) 22,816 Credit — 18,938 1,017 (19,430) 525 Foreign exchange 1,498 195,741 837 (181,328) 16,748 Equity — 56,096 6,744 (52,709) 10,131 Commodity — 30,680 105 (23,060) 7,725 Total derivative receivables(d) 1,910 586,806 10,706 (541,477) 57,945 Total trading assets(e) 98,336 698,359 13,638 (541,477) 268,856 Available-for-sale securities: Mortgage-backed securities: U.S. government agencies(a) — 61,922 — — 61,922 Residential – nonagency — 9,679 1 — 9,680 Commercial – nonagency — 7,700 — — 7,700 Total mortgage-backed securities — 79,301 1 — 79,302 U.S. Treasury and government agencies 25,344 — — — 25,344 Obligations of U.S. states and municipalities — 37,424 — — 37,424 Certificates of deposit — 75 — — 75 Non-U.S. government debt securities 17,359 8,327 — — 25,686 Corporate debt securities — 2,133 — — 2,133 Asset-backed securities: Collateralized loan obligations — 20,999 147 — 21,146 Other — 8,822 — — 8,822 Total available-for-sale securities 42,703 157,081 148 — 199,932 Loans — 2,917 159 — 3,076 Mortgage servicing rights (“MSRs”) — — 6,241 — 6,241 Other assets(e)(f) 7,601 — 12 — 7,613 Total assets measured at fair value on a recurring basis $ 148,640 $ 865,943 $ 20,198 $ (541,477) $ 493,304 Deposits $ — $ 15,533 $ 4,330 $ — $ 19,863 Federal funds purchased and securities loaned or sold under repurchase agreements — 4,650 — — 4,650 Short-term borrowings — 3,824 2,199 — 6,023 Trading liabilities: Debt and equity instruments(c) 48,598 18,959 43 — 67,600 Derivative payables: Interest rate 312 256,149 1,638 (249,809) 8,290 Credit — 18,784 1,039 (18,506) 1,317 Foreign exchange 1,537 185,415 1,181 (175,654) 12,479 Equity — 57,218 8,794 (54,546) 11,466 Commodity — 30,292 887 (24,046) 7,133 Total derivative payables(d) 1,849 547,858 13,539 (522,561) 40,685 Total trading liabilities 50,447 566,817 13,582 (522,561) 108,285 Accounts payable and other liabilities 7,650 — — — 7,650 Long-term debt — 11,647 11,214 — 22,861 Total liabilities measured at fair value on a recurring basis $ 58,097 $ 602,471 $ 31,325 $ (522,561) $ 169,332

14 Fair value hierarchy Derivative netting December 31, 2017 (in millions) Level 1 Level 2 Level 3 adjustments Total fair value Federal funds sold and securities purchased under resale agreements $ — $ 2,894 $ — $ — $ 2,894 Securities borrowed — 3,049 — — 3,049 Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies(a) — 2,981 289 — 3,270 Residential – nonagency — 1,036 24 — 1,060 Commercial – nonagency — 109 2 — 111 Total mortgage-backed securities — 4,126 315 — 4,441 U.S. Treasury and government agencies(a) 4,254 — 1 — 4,255 Obligations of U.S. states and municipalities — 4,285 15 — 4,300

Certificates of deposit, bankers’ acceptances and commercial paper — 38 — — 38 Non-U.S. government debt securities 28,837 28,777 78 — 57,692 Corporate debt securities — 16,310 191 — 16,501 Loans — 35,079 2,332 — 37,411 Asset-backed securities — 589 51 — 640 Total debt instruments 33,091 89,204 2,983 — 125,278 Equity securities 52,950 32 121 — 53,103 Physical commodities(b) 1,774 — — — 1,774 Other — 14,039 350 — 14,389 Total debt and equity instruments(c) 87,815 103,275 3,454 — 194,544 Derivative receivables: Interest rate 68 317,904 1,911 (295,441) 24,442 Credit — 20,987 1,208 (21,481) 714 Foreign exchange 851 159,842 580 (145,215) 16,058 Equity — 51,183 6,323 (50,403) 7,103 Commodity — 39,723 381 (33,796) 6,308 Total derivative receivables(d) 919 589,639 10,403 (546,336) 54,625 Total trading assets(e) 88,734 692,914 13,857 (546,336) 249,169 Available-for-sale securities: Mortgage-backed securities: U.S. government agencies(a) — 70,280 — — 70,280 Residential – nonagency — 11,366 1 — 11,367 Commercial – nonagency — 4,880 — — 4,880 Total mortgage-backed securities — 86,526 1 — 86,527 U.S. Treasury and government agencies 22,745 — — — 22,745 Obligations of U.S. states and municipalities — 30,175 — — 30,175 Certificates of deposit — 59 — — 59 Non-U.S. government debt securities 18,140 9,154 — — 27,294 Corporate debt securities — 2,757 — — 2,757 Asset-backed securities: Collateralized loan obligations — 20,720 276 — 20,996 Other — 8,773 — — 8,773 Equity securities(f) 38 — — — 38 Total available-for-sale securities 40,923 158,164 277 — 199,364 Loans — 2,232 276 — 2,508 Mortgage servicing rights — — 6,030 — 6,030 Other assets(e)(f) 7,454 — — — 7,454 Total assets measured at fair value on a recurring basis $ 137,111 $ 859,253 $ 20,440 $ (546,336) $ 470,468 Deposits $ — $ 17,230 $ 4,150 $ — $ 21,380

Federal funds purchased and securities loaned or sold under repurchase agreements — 3,405 — — 3,405 Short-term borrowings — 3,973 1,604 — 5,577 Trading liabilities: Debt and equity instruments(c) 45,597 14,834 37 — 60,468 Derivative payables: Interest rate 54 288,043 1,653 (282,736) 7,014 Credit — 21,026 1,241 (21,182) 1,085 Foreign exchange 826 154,952 1,021 (144,201) 12,598 Equity — 54,976 8,210 (53,935) 9,251 Commodity — 39,808 1,029 (34,516) 6,321 Total derivative payables(d) 880 558,805 13,154 (536,570) 36,269 Total trading liabilities 46,477 573,639 13,191 (536,570) 96,737 Accounts payable and other liabilities 7,454 — — — 7,454 Long-term debt — 11,247 10,154 — 21,401 Total liabilities measured at fair value on a recurring basis $ 53,931 $ 609,494 $ 29,099 $ (536,570) $ 155,954 (a) At June 30, 2018, and December 31, 2017, included total U.S. government-sponsored enterprise obligations of $39.7 billion and $49.1 billion, respectively, which were predominantly mortgage-related. (b) Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for JPMorgan Chase Bank, N.A.’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for JPMorgan Chase Bank, N.A.’s physical commodities inventories. When fair value hedging has been applied (or when net realizable value is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting,

15 the cost basis is adjusted for changes in fair value. For a further discussion of JPMorgan Chase Bank, N.A.’s hedge accounting relationships, refer to Note 5. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented. (c) Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions). (d) As permitted under U.S. GAAP, JPMorgan Chase Bank, N.A. has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, JPMorgan Chase Bank, N.A. does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral. Additionally, includes derivative receivables and payables with affiliates on a net basis. Refer to Note 17 for information regarding our derivative activities with affiliates. (e) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At June 30, 2018, and December 31, 2017, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $50 million and $54 million, respectively. (f) Effective January 1, 2018, JPMorgan Chase Bank, N.A. adopted the recognition and measurement guidance. Equity securities that were previously reported as AFS securities were reclassified to other assets upon adoption. Transfers between levels for instruments carried at fair value on a recurring basis For the six months ended June 30, 2018 there were no significant groups of instruments within a product/ significant transfers between levels 1 and 2 and for the six instrument classification. Where provided, the weighted months ended June 30, 2017 there were no individual averages of the input values presented in the table are significant transfers. calculated based on the fair value of the instruments that the input is being used to value. For the six months ended June 30, 2018, transfers from level 3 to level 2 included the following: In JPMorgan Chase Bank, N.A.’s view, the input range and the weighted average value do not reflect the degree of input $1.2 billion of gross equity derivative receivables and $1.4 uncertainty or an assessment of the reasonableness of billion of gross equity derivative payables as a result of an JPMorgan Chase Bank, N.A.’s estimates and assumptions. increase in observability and a decrease in the significance of Rather, they reflect the characteristics of the various unobservable inputs. instruments held by JPMorgan Chase Bank, N.A. and the relative distribution of instruments within the range of For the six months ended June 30, 2018, transfers from level characteristics. For example, two option contracts may have 2 to level 3 included the following: similar levels of market risk exposure and valuation $1.3 billion of gross equity derivative receivables as a result uncertainty, but may have significantly different implied of a decrease in observability and an increase in the volatility levels because the option contracts have different significance of unobservable inputs. underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to- All transfers are based on changes in the observability of the period and parameter-to-parameter based on the valuation inputs and are assumed to occur at the beginning of characteristics of the instruments held by JPMorgan Chase the quarterly reporting period in which they occur. Bank, N.A. at each balance sheet date. Level 3 valuations For JPMorgan Chase Bank, N.A.’s derivatives and structured For further information on JPMorgan Chase Bank, N.A.’s notes positions classified within level 3 at June 30, 2018, valuation process and a detailed discussion of the interest rate correlation inputs used in estimating fair value determination of fair value for individual financial were concentrated towards the upper end of the range; instruments, refer to Note 3 of JPMorgan Chase Bank, N.A.’s equity correlation, equity-FX, and equity-IR correlation inputs 2017 Annual Financial Statements. were concentrated in the middle of the range; commodity The following table presents JPMorgan Chase Bank, N.A.’s correlation inputs were concentrated in the middle of the primary level 3 financial instruments, the valuation range; credit correlation inputs were concentrated towards techniques used to measure the fair value of those financial the lower end of the range; and the interest rate-foreign instruments, the significant unobservable inputs, the range exchange (“IR-FX”) correlation inputs were distributed across of values for those inputs and, for certain instruments, the the range. In addition, the interest rate spread volatility weighted averages of such inputs. While the determination to inputs used in estimating fair value were distributed across classify an instrument within level 3 is based on the the range; equity volatilities and commodity volatilities were significance of the unobservable inputs to the overall fair concentrated towards the lower end of the range; and value measurement, level 3 financial instruments typically forward commodity prices used in estimating the fair value of include observable components (that is, components that are commodity derivatives were concentrated towards the lower actively quoted and can be validated to external sources) in end of the range. Prepayment speed inputs used in addition to the unobservable components. The level 1 and/or estimating fair value of interest rate derivatives were concentrated towards the lower end of the range. Recovery level 2 inputs are not included in the table. In addition, rate, yield and prepayment speed inputs used in estimating JPMorgan Chase Bank, N.A. manages the risk of the fair value of credit derivatives were distributed across the observable components of level 3 financial instruments using range; credit spreads and conditional default rates were securities and derivative positions that are classified within concentrated towards the lower end of the range; loss levels 1 or 2 of the fair value hierarchy. severity and price inputs were concentrated towards the The range of values presented in the table is representative upper end of the range. of the highest and lowest level input used to value the

16 Level 3 inputs(a) June 30, 2018 Fair value Principal valuation Weighted Product/Instrument (in millions) technique Unobservable inputs(g) Range of input values average Residential mortgage-backed securities $ 731 Discounted cash flows Yield 3% – 18 % 6% and loans(b) Prepayment speed 0% – 22 % 8% Conditional default rate 0% – 5 % 1% Loss severity 0% – 60 % 1% Commercial mortgage-backed securities and loans(c) 421 Market comparables Price $ 12 – $ 100 $ 93 Obligations of U.S. states and municipalities 9 Market comparables Price $ 72 – $ 100 $ 86 Corporate debt securities 117 Market comparables Price $ 2 – $ 106 $ 75 Loans(d) 1,075 Market comparables Price $ 6 – $ 104 $ 88 Asset-backed securities 147 Discounted cash flows Credit spread 216 bps 216bps Prepayment speed 20% 20% Conditional default rate 2% 2% Loss severity 30% 30% 23 Market comparables Price $0 – $97 $ 83 Net interest rate derivatives 169 Option pricing Interest rate spread volatility 16 bps – 38 bps Interest rate correlation (50)% – 98% IR-FX correlation 55% – 60% 196 Discounted cash flows Prepayment speed 0% – 30% Net credit derivatives (26) Discounted cash flows Credit correlation 35% – 65% Credit spread 8 bps – 1,497 bps Recovery rate 20% – 70% Yield 1% – 36% Prepayment speed 0% – 18% Conditional default rate 0% – 93% Loss severity 0% – 100% 4 Market comparables Price $10 $98 Net foreign exchange derivatives (161) Option pricing IR-FX correlation (50)% – 60% (183) Discounted cash flows Prepayment speed 8% 9% Net equity derivatives (2,050) Option pricing Equity volatility 10% – 60% Equity correlation 10% – 95% Equity-FX correlation (70)% – 60% Equity-IR correlation 20% – 40% Net commodity derivatives (782) Option pricing Forward commodity price $52 – $80 per barrel Commodity volatility 5% – 53% Commodity correlation (52)% – 95% MSRs 6,241 Discounted cash flows Refer to Note 15 Other assets 412 Discounted cash flows Credit spread 25 bps – 70 bps 48 bps Long-term debt, other borrowed funds, 17,743 Option pricing Interest rate spread volatility 16 bps – 38 bps and deposits(e) Interest rate correlation (50)% – 98% IR-FX correlation (50)% – 60% Equity correlation 10% – 95% Equity-FX correlation (70)% – 60% Equity-IR correlation 20% – 40% Other level 3 assets and liabilities, net(f) 272

(a) The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ. (b) Includes U.S. government agency securities of $467 million, nonagency securities of $32 million and trading loans of $232 million. (c) Includes nonagency securities of $2 million, trading loans of $260 million and non-trading loans of $159 million. (d) Comprises trading loans. (e) Long-term debt, short-term borrowings and deposits include structured notes issued by JPMorgan Chase Bank, N.A. that are predominantly financial instruments containing embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables. (f) Includes level 3 assets and liabilities that are insignificant both individually and in aggregate. (g) Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100.

17 Changes in and ranges of unobservable inputs For a discussion of the impact on fair value of changes in instruments typically include, in addition to the unobservable inputs and the relationships between unobservable or level 3 components, observable unobservable inputs as well as a description of attributes of components (that is, components that are actively quoted the underlying instruments and external market factors that and can be validated to external sources); accordingly, the affect the range of inputs used in the valuation of JPMorgan gains and losses in the table below include changes in fair Chase Bank, N.A.’s positions refer to Note 3 of JPMorgan value due in part to observable factors that are part of the Chase Bank, N.A.’s 2017 Annual Financial Statements. valuation methodology. Also, JPMorgan Chase Bank, N.A. risk-manages the observable components of level 3 Changes in level 3 recurring fair value measurements financial instruments using securities and derivative The following tables include a rollforward of the positions that are classified within level 1 or 2 of the fair Consolidated balance sheets amounts (including changes in value hierarchy; as these level 1 and level 2 risk fair value) for financial instruments classified by JPMorgan management instruments are not included below, the gains Chase Bank, N.A. within level 3 of the fair value hierarchy or losses in the following tables do not reflect the effect of for the six months ended June 30, 2018 and 2017. When a JPMorgan Chase Bank, N.A.’s risk management activities determination is made to classify a financial instrument related to such level 3 instruments. within level 3, the determination is based on the significance of the unobservable parameters to the overall fair value measurement. However, level 3 financial

18 Fair value measurements using significant unobservable inputs Change in Total unrealized gains/ realized/ (losses) related Six months ended Fair unrealized Transfers Transfers to financial June 30, 2018 value at gains/ into level (out of) Fair value at instruments held (in millions) Jan 1, 2018 (losses) Purchases(f) Sales Settlements(g) 3(h) level 3(h) June 30, 2018 at June 30, 2018 Assets: Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies $ 289 $ 3 $ 321 $ (114) $ (32) $ — $ — $ 467 $ 1 Residential – nonagency 24 2 7 (8) (1) 8 (1) 31 1 Commercial – nonagency 2 1 — — (1) — — 2 — Total mortgage-backed securities 315 6 328 (122) (34) 8 (1) 500 2 U.S. Treasury and government agencies 1 — — — — — (1) — — Obligations of U.S. states and municipalities 15 — — — (6) — — 9 — Non-U.S. government debt securities 78 (10) 352 (184) (1) 17 (69) 183 (9) Corporate debt securities 191 (13) 116 (145) (11) 148 (169) 117 (5) Loans 2,332 58 961 (1,445) (237) 322 (423) 1,568 (10) Asset-backed securities 51 1 4 — (12) — (21) 23 1 Total debt instruments 2,983 42 1,761 (1,896) (301) 495 (684) 2,400 (21) Equity securities 121 (14) 84 (53) (1) 3 (8) 132 (15) Other 350 33 371 (223) (110) 39 (60) 400 19 Total trading assets – debt and equity instruments 3,454 61 (c) 2,216 (2,172) (412) 537 (752) 2,932 (17) (c) Net derivative receivables:(a) Interest rate 258 462 55 (123) (315) (27) 55 365 444 Credit (33) 40 2 (6) (24) (4) 3 (22) 10 Foreign exchange (441) 274 14 (16) (71) (119) 15 (344) 110 Equity (1,887) (70) 2,433 (1,769) (2,033) 1,086 190 (2,050) 128 Commodity (648) 175 6 (101) (205) (5) (4) (782) 164 Total net derivative receivables (2,751) 881 (c) 2,510 (2,015) (2,648) 931 259 (2,833) 856 (c)

Available-for-sale securities: Asset-backed securities 276 1 — — (130) — — 147 1 Other 1 — — — — — — 1 — Total available-for-sale securities 277 1 (d) — — (130) — — 148 1 (d) Loans 276 (4) (c) 123 — (162) — (74) 159 (5) (c) Mortgage servicing rights 6,030 478 (e) 479 (399) (347) — — 6,241 478 (e) Other assets — — 14 (2) — — — 12 —

Fair value measurements using significant unobservable inputs Change in unrealized Total (gains)/losses realized/ related Six months ended Fair unrealized Transfers Transfers to financial June 30, 2018 value at (gains)/ into level (out of) Fair value at instruments held (in millions) Jan 1, 2018 losses Purchases Sales Issuances Settlements(g) 3(h) level 3(h) June 30, 2018 at June 30, 2018 Liabilities:(b)

Deposits $ 4,150 $ (35) (c)(i) $ — $ — $ 763 $ (252) $ 1 $ (297) $ 4,330 $ (75) (c)(i)

Short-term borrowings 1,604 (119) (c)(i) — — 2,015 (1,306) 44 (39) 2,199 (45) (c)(i) Trading liabilities – debt and equity instruments 37 (7) (c) (61) 76 — 1 — (3) 43 (1) (c) Long-term debt 10,154 (520) (c)(i) — — 4,139 (2,590) 212 (181) 11,214 (418) (c)(i)

19 Fair value measurements using significant unobservable inputs Change in Total unrealized gains/ Fair realized/ (losses) related Six months ended value unrealized Transfers Transfers to financial June 30, 2017 at Jan 1, gains/ into (out of) Fair value at instruments held (in millions) 2017 (losses) Purchases(f) Sales Settlements(g) level 3(h) level 3(h) June 30, 2017 at June 30, 2017 Assets: Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies $ 369 $ (8) $ 155 $ (149) $ (32) $ — $ — $ 335 $ (16) Residential – nonagency 11 1 1 — (3) 4 (3) 11 1 Commercial – nonagency 6 (1) 1 — — 4 — 10 (1) Total mortgage-backed securities 386 (8) 157 (149) (35) 8 (3) 356 (16) Obligations of U.S. states and municipalities 19 — — — (4) — — 15 — Non-U.S. government debt securities 46 3 175 (179) — 27 (35) 37 3 Corporate debt securities 318 4 187 (122) (19) 17 (115) 270 5 Loans 4,325 148 1,412 (972) (642) 316 (499) 4,088 109 Asset-backed securities 70 7 6 (10) (3) — (41) 29 1 Total debt instruments 5,164 154 1,937 (1,432) (703) 368 (693) 4,795 102 Equity securities 89 17 43 (2) — — (17) 130 11 Other 281 95 53 (3) (120) 7 (11) 302 33 Total trading assets – debt and equity instruments 5,534 266 (c) 2,033 (1,437) (823) 375 (721) 5,227 146 (c) Net derivative receivables:(a) Interest rate 1,001 (25) 118 (165) (464) 35 (188) 312 (215) Credit 96 (97) 4 (3) (62) 17 — (45) (41) Foreign exchange (1,531) 43 3 (17) 646 24 75 (757) 22 Equity (1,488) (239) 1,019 (238) (515) 21 73 (1,367) (163) Commodity 35 (155) — — (3) 7 1 (115) 27

Total net derivative receivables (1,887) (473) (c) 1,144 (423) (398) 104 (39) (1,972) (370) (c)

Available-for-sale securities: Asset-backed securities 663 12 — (50) (78) — — 547 10 Other 1 — — — — — — 1 — Total available-for-sale securities 664 12 — (50) (78) — — 548 10 (d) Loans 568 24 (c) 1 — (289) — — 304 16 (c) Mortgage servicing rights 6,096 (157) (e) 371 (138) (419) — — 5,753 (157) (e) Other assets 41 9 (c) — (13) (37) — — — —

Fair value measurements using significant unobservable inputs Change in unrealized Total (gains)/losses Fair realized/ Fair related Six months ended value unrealized Transfers Transfers value at to financial June 30, 2017 at Jan 1, (gains)/ into (out of) June 30, instruments held (in millions) 2017 losses Purchases Sales Issuances Settlements(g) level 3(h) level 3(h) 2017 at June 30, 2017 Liabilities:(b) Deposits $ 2,121 $ 33 (c) $ — $ — $ 563 $ (117) $ — $ (464) $ 2,136 $ 65 (c) Short-term borrowings 1,019 62 (c) — — 1,226 (1,033) 41 (49) 1,266 51 (c) Trading liabilities – debt and equity instruments 36 (1) (c) (7) 2 — 1 3 — 34 —

Long-term debt 7,662 662 (c)(j) — — 4,097 (j) (3,190) 40 (96) 9,175 (j) 649 (c)(j)

(a) All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty. (b) Level 3 liabilities as a percentage of total JPMorgan Chase Bank, N.A. liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 19% at both June 30, 2018 and December 31, 2017, respectively. (c) Predominantly reported in principal transactions revenue, except for changes in fair value for consumer & community banking business mortgage loans, and lending- related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income. (d) Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment (“OTTI”) losses that are recorded in earnings, are reported in investment securities losses. Unrealized gains/(losses) are reported in OCI. There were no realized gains/(losses) or foreign exchange hedge accounting adjustments recorded in income on AFS securities for the six months ended June 30, 2018 and 2017, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $1 million and $12 million for the six months ended June 30, 2018 and 2017, respectively. (e) Changes in fair value for the consumer & community banking business’s MSRs are reported in mortgage fees and related income. 20 (f) Loan originations are included in purchases. (g) Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidation associated with beneficial interests in VIEs, and other items. (h) All transfers into and/or out of level 3 are based on changes in the observability of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur. (i) Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue. Unrealized (gains)/losses are reported in OCI. Unrealized gains were $65 million for the six months ended June 30, 2018. There were no realized gains for the six months ended June 30, 2018. (j) The prior period amounts have been revised to conform with the current period presentation.

Level 3 analysis Consolidated balance sheets changes Gains and losses Level 3 assets (including assets measured at fair value on a The following describes significant components of total nonrecurring basis) were 1.0% of total JPMorgan Chase realized/unrealized gains/(losses) for instruments Bank, N.A. assets and 4.2% of total assets measured at fair measured at fair value on a recurring basis for the periods value at June 30, 2018, compared with 1.0% and 4.5%, indicated. For further information on these instruments, respectively, at December 31, 2017. The following refer to Changes in level 3 recurring fair value describes significant changes to level 3 assets since measurements rollforward tables on pages 18–21. December 31, 2017, for those items measured at fair value Six months ended June 30, 2018 on a recurring basis. For further information on changes $1.4 billion of net gains on assets and $681 million of net impacting items measured at fair value on a nonrecurring gains on liabilities, none of which were individually basis, refer to Assets and liabilities measured at fair value significant. on a nonrecurring basis on page 22. Six months ended June 30, 2017 Six months ended June 30, 2018 Level 3 assets at June 30, 2018 decreased by $242 million $319 million of net losses on assets and $756 million of net from December 31, 2017 with no movements that were losses on liabilities, none of which were individually individually significant. significant.

21 Assets and liabilities measured at fair value on a nonrecurring basis The following tables present the assets still held as of June 30, 2018 and 2017, respectively, for which a nonrecurring fair value adjustment was recorded during the six months ended June 30, 2018 and 2017, respectively, by major product category and fair value hierarchy.

Fair value hierarchy June 30, 2018 (in millions) Level 1 Level 2 Level 3 Total fair value Loans $ — $ 325 $ 210 (a) $ 535 Other assets(b) — 213 387 600 Total assets measured at fair value on a nonrecurring basis — 538 597 1,135

Fair value hierarchy June 30, 2017 (in millions) Level 1 Level 2 Level 3 Total fair value Loans $ — $ 292 $ 430 $ 722 Other assets — 8 244 252 Total assets measured at fair value on a nonrecurring basis — 300 674 974 (a) Of the $210 million in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2018, $166 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 as they are valued using a broker’s price opinion and discounted based upon JPMorgan Chase Bank, N.A.’s experience with actual liquidation values. These discounts to the broker price opinions ranged from 13% to 40% with a weighted average of 22%. (b) Primarily includes equity securities without readily determinable fair values that were adjusted based on observable price changes in orderly transactions from an identical or similar investment of the same issuer (measurement alternative) as a result of the adoption of the recognition and measurement guidance. Of the $387 million in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2018, $301 million related to such equity securities. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares. There were no material liabilities measured at fair value on a nonrecurring basis at June 30, 2018 and 2017.

Nonrecurring fair value changes The following table presents the total change in value of assets and liabilities for which a fair value adjustment has been recognized for the six months ended June 30, 2018 and 2017, related to financial instruments held at those dates.

Six months ended June 30, (in millions) 2018 2017 Loans $ (22) $ (109) Other assets 449 (a) (44) Accounts payable and other liabilities — (1) Total nonrecurring fair value gains/ (losses) $ 427 $ (154)

(a) Included $456 million of fair value gains as a result of the measurement alternative. For additional information, refer to Note 1.

For further information about the measurement of impaired collateral-dependent loans, and other loans where the carrying value is based on the fair value of the underlying collateral (e.g., residential mortgage loans charged off in accordance with regulatory guidance), refer to Note 13 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

22 Additional disclosures about the fair value of financial instruments that are not carried on the Consolidated balance sheets at fair value The following table presents by fair value hierarchy classification the carrying values and estimated fair values at June 30, 2018, and December 31, 2017, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy. For additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value, refer to Note 3 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

June 30, 2018 December 31, 2017 Estimated fair value hierarchy Estimated fair value hierarchy Total Total Carrying estimated Carrying estimated (in billions) value Level 1 Level 2 Level 3 fair value value Level 1 Level 2 Level 3 fair value Financial assets Cash and due from banks $ 20.3 $ 20.3 $ — $ — $ 20.3 $ 22.0 $ 22.0 $ — $ — $ 22.0 Deposits with banks 415.0 369.6 45.4 — 415.0 440.7 386.5 54.2 — 440.7 Accrued interest and accounts receivable 52.2 — 52.1 0.1 52.2 47.3 — 47.3 — 47.3 Federal funds sold and securities purchased under resale agreements 164.8 — 164.8 — 164.8 152.3 — 152.3 — 152.3 Securities borrowed 33.1 — 33.1 — 33.1 36.0 — 36.0 — 36.0 Securities, held-to-maturity 31.0 — 30.9 — 30.9 47.7 — 48.7 — 48.7 Loans, net of allowance for loan losses(a) 839.8 — 227.1 608.0 835.1 813.6 — 219.3 597.5 816.8 Other(b) 41.4 — 40.6 0.8 41.4 39.5 — 38.6 2.3 40.9 Financial liabilities Deposits $ 1,506.9 $ — $ 1,506.9 $ — $ 1,506.9 $1,513.5 $ — $ 1,513.6 $ — $ 1,513.6 Federal funds purchased and securities loaned or sold under repurchase agreements 96.4 — 96.4 — 96.4 91.3 — 91.3 — 91.3 Short-term borrowings 10.5 — 10.3 0.2 10.5 3.4 — 3.2 0.2 3.4 Accounts payable and other liabilities 69.4 — 66.9 2.3 69.2 61.8 — 58.9 2.7 61.6 Beneficial interests issued by consolidated VIEs 4.8 — 4.8 — 4.8 4.9 — 4.9 — 4.9 Long-term debt and junior subordinated deferrable interest debentures 74.4 — 71.5 2.8 74.3 76.3 — 72.8 2.7 75.5 Effective January 1, 2018, JPMorgan Chase Bank, N.A. adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised. For additional information, refer to Note 1. (a) Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of JPMorgan Chase Bank, N.A.’s methodologies for estimating the fair value of loans and lending-related commitments, refer to Valuation hierarchy on pages 21–24 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. (b) The prior period amounts have been revised to conform with the current period presentation.

23 The majority of JPMorgan Chase Bank, N.A.’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value of the wholesale allowance for lending-related commitments and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.

June 30, 2018 December 31, 2017 Estimated fair value hierarchy Estimated fair value hierarchy Total Total Carrying estimated Carrying estimated (in billions) value(a) Level 1 Level 2 Level 3 fair value value(a) Level 1 Level 2 Level 3 fair value Wholesale lending- related commitments $ 1.1 $ — $ — $ 1.7 $ 1.7 $ 1.1 $ — $ — $ 1.6 $ 1.6

(a) Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees. JPMorgan Chase Bank, N.A. does not estimate the fair value of consumer lending-related commitments. In many cases, JPMorgan Chase Bank, N.A. can reduce or cancel these commitments by providing the borrower notice or, in some cases as permitted by law, without notice. For a further discussion of the valuation of lending-related commitments, refer to page 22 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. Equity securities without readily determinable fair values As a result of the adoption of the recognition and measurement guidance and the election of the measurement alternative in the first quarter of 2018, JPMorgan Chase Bank, N.A. measures equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer, with such changes recognized in earnings. In its determination of the new carrying values upon observable price changes, JPMorgan Chase Bank, N.A. may adjust the prices if deemed necessary to arrive at JPMorgan Chase Bank, N.A.’s estimated fair values. Such adjustments may include adjustments to reflect the different rights and obligations of similar securities, and other adjustments that are consistent with JPMorgan Chase Bank, N.A.’s valuation techniques for private equity direct investments. The following table presents the carrying value of equity securities without readily determinable fair values still held as of June 30, 2018, that are measured under the measurement alternative and the related adjustments recorded during the period presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable.

As of or for the six months ended (in millions) June 30, 2018 Other assets Carrying value $ 702 Upward carrying value changes 456 Downward carrying value changes/impairment (7)

Included in other assets above is JPMorgan Chase Bank, N.A.’s interest in approximately 4 million Visa Class B shares, recorded at a nominal carrying value. These shares are subject to certain transfer restrictions currently and will be converted into Visa Class A shares upon final resolution of certain litigation matters involving Visa. The conversion rate of Visa Class B shares into Visa Class A shares is 1.6298 at June 30, 2018, and may be adjusted by Visa depending on developments related to the litigation matters.

24 Note 4 – Fair value option For a discussion of the primary financial instruments for which the fair value option was elected, including the basis for those elections and the determination of instrument-specific credit risk, where relevant, refer to Note 4 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. Changes in fair value under the fair value option election The following table presents the changes in fair value included in the Consolidated statements of income for the six months ended June 30, 2018 and 2017 for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table.

Six months ended June 30, 2018 2017 Principal All other Total changes in fair Principal All other Total changes in fair (in millions) transactions income value recorded(e) transactions income value recorded(e) Federal funds sold and securities purchased under resale agreements $ (15) $ — $ (15) $ 63 $ — $ 63 Securities borrowed 2 — 2 90 — 90 Trading assets: Debt and equity instruments, excluding loans (612) 1 (c) (611) 696 2 (c) 698 Loans reported as trading assets: Changes in instrument-specific credit risk 334 4 (c) 338 225 15 (c) 240 Other changes in fair value 69 (25) (c) 44 83 352 (c) 435 Loans: Changes in instrument-specific credit risk (1) — (1) (1) — (1)

Other changes in fair value (2) — (2) 1 3 (c) 4 Other assets — — — — 3 (d) 3 Deposits(a) 339 — 339 (249) — (249) Federal funds purchased and securities loaned or sold under repurchase agreements 7 — 7 (85) — (85) Short-term borrowings(a) (29) — (29) (633) — (633) Trading liabilities (1) — (1) (1) — (1) Beneficial interests issued by consolidated VIEs — — — — — — Other liabilities — — — — — — Long-term debt(a)(b) 699 — 699 (486) — (486)

(a) Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected is recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transaction revenue were not material for the six months ended June 30, 2018 and 2017, respectively. (b) Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk. (c) Reported in mortgage fees and related income. (d) Reported in other income. (e) Changes in fair value exclude contractual interest, which is included in interest income and interest expense for all instruments other than hybrid financial instruments. For further information regarding interest income and interest expense, refer to Note 7.

25 Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of June 30, 2018, and December 31, 2017, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.

June 30, 2018 December 31, 2017 Fair value Fair value over/(under) over/(under) Contractual contractual Contractual contractual principal principal principal principal (in millions) outstanding Fair value outstanding outstanding Fair value outstanding Loans(a) Nonaccrual loans Loans reported as trading assets $ 2,580 $ 868 $ (1,712) $ 2,703 $ 1,073 $ (1,630) Loans — — — 39 — (39) Subtotal 2,580 868 (1,712) 2,742 1,073 (1,669) All other performing loans Loans reported as trading assets 44,977 44,510 (467) 36,637 36,338 (299) Loans 3,167 3,076 (91) 2,539 2,508 (31) Total loans $ 50,724 $ 48,454 $ (2,270) $ 41,918 $ 39,919 $ (1,999) Long-term debt Principal-protected debt $ 8,794 (c) $ 8,572 $ (222) $ 6,253 (c) $ 6,024 $ (229) Nonprincipal-protected debt(b) — 14,289 NA — 15,377 NA Total long-term debt — $ 22,861 NA NA $ 21,401 NA

(a) There were no performing loans that were ninety days or more past due as of June 30, 2018, and December 31, 2017, respectively. (b) Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected structured notes, for which JPMorgan Chase Bank, N.A. is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected structured notes do not obligate JPMorgan Chase Bank, N.A. to return a stated amount of principal at maturity, but to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of JPMorgan Chase Bank, N.A. as issuer for both nonprincipal-protected and principal protected notes. (c) Where JPMorgan Chase Bank, N.A. issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at JPMorgan Chase Bank, N.A.’s next call date.

At June 30, 2018, and December 31, 2017, the contractual amount of lending-related commitments for which the fair value option was elected was $10.9 billion and $7.4 billion, respectively, with a corresponding fair value of $(230) million and $(82) million, respectively. For further information regarding off-balance sheet lending-related financial instruments, refer to Note 25 of JPMorgan Chase Bank, N.A.’s 2017 Annual Report, and Note 21 of these Consolidated Financial Statements.

26 Note 5 – Derivative instruments JPMorgan Chase Bank, N.A. makes markets in derivatives fair value or cash flows of the hedged item must be for clients and also uses derivatives to hedge or manage its assessed and documented at least quarterly. If it is own risk exposures. For a further discussion of JPMorgan determined that a derivative is not highly effective at Chase Bank, N.A.’s use of and accounting policies regarding hedging the designated exposure, hedge accounting is derivative instruments, refer to Note 6 of JPMorgan Chase discontinued. Bank, N.A.’s 2017 Annual Financial Statements. For qualifying fair value hedges, changes in the fair value of JPMorgan Chase Bank, N.A.’s disclosures are based on the the derivative, and in the value of the hedged item for the accounting treatment and purpose of these derivatives. A risk being hedged, are recognized in earnings. Certain limited number of JPMorgan Chase Bank, N.A.’s derivatives amounts excluded from the assessment of effectiveness are are designated in hedge accounting relationships and are recorded in OCI and recognized in earnings through an disclosed according to the type of hedge (fair value hedge, amortization approach over the life of the derivative. If the cash flow hedge, or net investment hedge). Derivatives not hedge relationship is terminated, then the adjustment to designated in hedge accounting relationships include the hedged item continues to be reported as part of the certain derivatives that are used to manage certain risks basis of the hedged item, and for benchmark interest rate associated with specified assets or liabilities (“specified risk hedges, is amortized to earnings as a yield adjustment. management” positions) as well as derivatives used in Derivative amounts affecting earnings are recognized JPMorgan Chase Bank, N.A.’s market-making businesses or consistent with the classification of the hedged item - for other purposes. primarily net interest income and principal transactions Derivatives designated as hedges revenue. The adoption of the new hedge accounting guidance in the For qualifying cash flow hedges, changes in the fair value of first quarter of 2018 better aligns hedge accounting with the derivative are recorded in OCI and recognized in the economics of JPMorgan Chase Bank, N.A.’s risk earnings as the hedged item affects earnings. Derivative management activities. For additional information, refer to amounts affecting earnings are recognized consistent with Note 1 and 18. the classification of the hedged item - primarily interest To qualify for hedge accounting, a derivative must be highly income, interest expense, noninterest revenue and effective at reducing the risk associated with the exposure compensation expense. If the hedge relationship is being hedged. In addition, for a derivative to be designated terminated, then the change in value of the derivative as a hedge, the risk management objective and strategy recorded in AOCI is recognized in earnings when the cash must be documented. Hedge documentation must identify flows that were hedged affect earnings. For hedge the derivative hedging instrument, the asset or liability or relationships that are discontinued because a forecasted forecasted transaction and type of risk to be hedged, and transaction is not expected to occur according to the how the effectiveness of the derivative is assessed original hedge forecast, any related derivative values prospectively and retrospectively. To assess effectiveness, recorded in AOCI are immediately recognized in earnings. JPMorgan Chase Bank, N.A. uses statistical methods such as For qualifying net investment hedges, changes in the fair regression analysis, nonstatistical methods such as dollar- value of the derivatives due to changes in spot foreign value comparisons of the change in the fair value of the exchange rates are recorded in OCI as translation derivative to the change in the fair value or cash flows of adjustments. Amounts excluded from the assessment of the hedged item, and qualitative comparisons of critical effectiveness are recorded directly in earnings. terms and the evaluation of any changes in those terms. The extent to which a derivative has been, and is expected to continue to be, highly effective at offsetting changes in the

27 The following table outlines JPMorgan Chase Bank, N.A.’s primary uses of derivatives and the related hedge accounting designation or disclosure category.

Page Type of Derivative Use of Derivative Designation and disclosure reference Manage specifically identified risk exposures in qualifying hedge accounting relationships: • Interest rate Hedge fixed rate assets and liabilities Fair value hedge 34 • Interest rate Hedge floating-rate assets and liabilities Cash flow hedge 35 • Foreign exchange Hedge foreign currency-denominated assets and liabilities Fair value hedge 34 • Foreign exchange Hedge foreign currency-denominated forecasted revenue and expense Cash flow hedge 35 • Foreign exchange Hedge the value of JPMorgan Chase Bank, N.A.’s investments in non-U.S. dollar Net investment hedge 36 functional currency entities • Commodity Hedge commodity inventory Fair value hedge 34 Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships: • Interest rate Manage the risk of the mortgage pipeline, warehouse loans and MSRs Specified risk management 36 • Credit Manage the credit risk of wholesale lending exposures Specified risk management 36 • Interest rate and Manage the risk of certain other specified assets and liabilities Specified risk management 36 foreign exchange Market-making derivatives and other activities: • Various Market-making and related risk management Market-making and other 36 • Various Other derivatives Market-making and other 36

28 Notional amount of derivative contracts The following table summarizes the notional amount of derivative contracts outstanding as of June 30, 2018, and December 31, 2017.

Notional amounts(b) June 30, December 31, (in billions) 2018 2017 Interest rate contracts Swaps $ 25,652 $ 21,371 Futures and forwards 5,972 4,519 Written options 4,407 3,582 Purchased options 4,707 4,003 Total interest rate contracts 40,738 33,475 Credit derivatives(a) 1,499 1,498 Foreign exchange contracts Cross-currency swaps 3,946 3,978 Spot, futures and forwards 7,184 5,962 Written options 912 788 Purchased options 899 777 Total foreign exchange contracts 12,941 11,505 Equity contracts Swaps 520 497 Futures and forwards 82 75 Written options 585 543 Purchased options 563 508 Total equity contracts 1,750 1,623 Commodity contracts Swaps 443 516 Spot, futures and forwards 181 173 Written options 156 113 Purchased options 138 106 Total commodity contracts 918 908 Total derivative notional amounts $ 57,846 $ 49,009

(a) For more information on volumes and types of credit derivative contracts, refer to the Credit derivatives discussion on page 37. (b) Represents the sum of gross long and gross short notional derivative contracts with third parties and JPMorgan Chase affiliates. For additional information on related party derivatives, refer to Note 17.

While the notional amounts disclosed above give an indication of the volume of JPMorgan Chase Bank, N.A.’s derivatives activity, the notional amounts significantly exceed, in JPMorgan Chase Bank, N.A.’s view, the possible losses that could arise from such transactions. For most derivative transactions, the notional amount is not exchanged; it is used simply as a reference to calculate payments.

29 Impact of derivatives on the Consolidated balance sheets The tables below include derivative receivables and payables with affiliates on a net basis. Refer to Note 17 for information regarding our derivative activities with affiliates. The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on JPMorgan Chase Bank, N.A.’s Consolidated balance sheets as of June 30, 2018, and December 31, 2017, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type.

Free-standing derivative receivables and payables(a) Gross derivative receivables Gross derivative payables

Not Total Net Not Total Net June 30, 2018 designated Designated derivative derivative designated Designated derivative derivative (in millions) as hedges as hedges receivables receivables(b) as hedges as hedges payables payables(b) Trading assets and liabilities Interest rate $ 287,067 $ 699 $ 287,766 $ 22,816 $ 258,098 $ 1 $ 258,099 $ 8,290 Credit 19,955 — 19,955 525 19,823 — 19,823 1,317 Foreign exchange 197,114 962 198,076 16,748 187,953 180 188,133 12,479 Equity 62,840 — 62,840 10,131 66,012 — 66,012 11,466 Commodity 30,554 231 30,785 7,725 31,078 101 31,179 7,133 Total fair value of trading assets and liabilities $ 597,530 $ 1,892 $ 599,422 $ 57,945 $ 562,964 $ 282 $ 563,246 $ 40,685

Gross derivative receivables Gross derivative payables

Not Total Net Not Total Net December 31, 2017 designated Designated derivative derivative designated Designated derivative derivative (in millions) as hedges as hedges receivables receivables(b) as hedges as hedges payables payables(b) Trading assets and liabilities Interest rate $ 319,178 (c) $ 704 (c) $ 319,882 $ 24,442 $ 289,746 (c) $ 4 (c) $ 289,750 $ 7,014 Credit 22,195 — 22,195 714 22,268 — 22,268 1,085 Foreign exchange 160,914 359 161,273 16,058 155,837 962 156,799 12,598 Equity 57,507 — 57,507 7,103 63,186 — 63,186 9,251 Commodity 40,085 19 40,104 6,308 40,433 403 40,836 6,321 Total fair value of trading assets and liabilities $ 599,879 (c) $ 1,082 (c) $ 600,961 $ 54,625 $ 571,470 (c) $ 1,369 (c) $ 572,839 $ 36,269

(a) Balances exclude structured notes for which the fair value option has been elected. Refer to Note 4 for further information. (b) As permitted under U.S. GAAP, JPMorgan Chase Bank, N.A. has elected to net derivative receivables and derivative payables and the related cash collateral receivables and payables when a legally enforceable master netting agreement exists. (c) The prior period amounts have been revised to conform with the current period presentation.

30 Derivatives netting The following tables present, as of June 30, 2018, and December 31, 2017, gross and net derivative receivables and payables by contract and settlement type. Derivative receivables and payables, as well as the related cash collateral from the same counterparty have been netted on the Consolidated balance sheets where JPMorgan Chase Bank, N.A. has obtained an appropriate legal opinion with respect to the master netting agreement. Where such a legal opinion has not been either sought or obtained, amounts are not eligible for netting on the Consolidated balance sheets, and those derivative receivables and payables are shown separately in the tables below. In addition to the cash collateral received and transferred that is presented on a net basis with derivative receivables and payables, JPMorgan Chase Bank, N.A. receives and transfers additional collateral (financial instruments and cash). These amounts mitigate counterparty credit risk associated with JPMorgan Chase Bank, N.A.’s derivative instruments, but are not eligible for net presentation: • collateral that consists of non-cash financial instruments (generally U.S. government and agency securities and other Group of Seven Nations (“G7”) government securities) and cash collateral held at third party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount. • the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as of the date presented, which is excluded from the tables below; and • collateral held or transferred that relates to derivative receivables or payables where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement, which is excluded from the tables below.

June 30, 2018 December 31, 2017 Amounts netted Amounts netted Gross on the Net Gross on the Net derivative Consolidated derivative derivative Consolidated derivative (in millions) receivables balance sheets receivables receivables balance sheets receivables U.S. GAAP nettable derivative receivables Interest rate contracts: Over-the-counter (“OTC”) $ 276,487 $ (257,152) $ 19,335 $ 309,464 $ (289,039) $ 20,425 OTC–cleared 7,619 (7,597) 22 6,531 (6,318) 213 Exchange-traded(a) 310 (201) 109 185 (84) 101 Total interest rate contracts 284,416 (264,950) 19,466 316,180 (295,441) 20,739 Credit contracts: OTC 11,621 (11,364) 257 14,393 (14,311) 82 OTC–cleared 8,137 (8,066) 71 7,225 (7,170) 55 Total credit contracts 19,758 (19,430) 328 21,618 (21,481) 137 Foreign exchange contracts: OTC 193,718 (180,899) 12,819 156,415 (143,554) 12,861 OTC–cleared 417 (408) 9 1,696 (1,654) 42 Exchange-traded(a) 39 (21) 18 141 (7) 134 Total foreign exchange contracts 194,174 (181,328) 12,846 158,252 (145,215) 13,037 Equity contracts: OTC 46,487 (43,408) 3,079 43,606 (41,322) 2,284 Exchange-traded(a) 11,522 (9,301) 2,221 10,072 (9,081) 991 Total equity contracts 58,009 (52,709) 5,300 53,678 (50,403) 3,275 Commodity contracts: OTC 20,380 (13,721) 6,659 30,971 (25,096) 5,875 Exchange-traded(a) 9,806 (9,339) 467 8,853 (8,700) 153 Total commodity contracts 30,186 (23,060) 7,126 39,824 (33,796) 6,028 Derivative receivables with appropriate legal opinion 586,543 (541,477) (b) 45,066 589,552 (546,336) (b) 43,216 Derivative receivables where an appropriate legal opinion has not been either sought or obtained 12,879 12,879 11,409 11,409 Total derivative receivables recognized on the Consolidated balance sheets $ 599,422 $ 57,945 $ 600,961 $ 54,625 Collateral not nettable on the Consolidated balance sheets(c)(d) (13,341) (13,234) Net amounts $ 44,604 $ 41,391

31 June 30, 2018 December 31, 2017 Amounts netted Amounts netted Gross on the Net Gross on the Net derivative Consolidated derivative derivative Consolidated derivative (in millions) payables balance sheets payables payables balance sheets payables U.S. GAAP nettable derivative payables Interest rate contracts: OTC $ 249,032 $ (242,727) $ 6,305 $ 282,317 $ (276,723) $ 5,594 OTC–cleared 6,939 (6,881) 58 6,005 (5,929) 76 Exchange-traded(a) 210 (201) 9 127 (84) 43 Total interest rate contracts 256,181 (249,809) 6,372 288,449 (282,736) 5,713 Credit contracts: OTC 12,302 (11,128) 1,174 15,209 (14,398) 811 OTC–cleared 7,420 (7,378) 42 6,801 (6,784) 17 Total credit contracts 19,722 (18,506) 1,216 22,010 (21,182) 828 Foreign exchange contracts: OTC 184,534 (175,208) 9,326 151,968 (142,641) 9,327 OTC–cleared 450 (439) 11 1,555 (1,553) 2 Exchange-traded(a) 23 (7) 16 98 (7) 91 Total foreign exchange contracts 185,007 (175,654) 9,353 153,621 (144,201) 9,420 Equity contracts: OTC 50,003 (45,158) 4,845 49,146 (44,861) 4,285 Exchange-traded(a) 10,110 (9,388) 722 9,560 (9,074) 486 Total equity contracts 60,113 (54,546) 5,567 58,706 (53,935) 4,771 Commodity contracts: OTC 21,272 (14,779) 6,493 31,614 (25,807) 5,807 Exchange-traded(a) 9,388 (9,267) 121 8,855 (8,709) 146 Total commodity contracts 30,660 (24,046) 6,614 40,469 (34,516) 5,953 Derivative payables with appropriate legal opinion 551,683 (522,561) (b) 29,122 563,255 (536,570) (b) 26,685 Derivative payables where an appropriate legal opinion has not been either sought or obtained 11,563 11,563 9,584 9,584 Total derivative payables recognized on the Consolidated balance sheets $ 563,246 $ 40,685 $ 572,839 $ 36,269 Collateral not nettable on the Consolidated balance sheets(c)(d) (4,323) (4,180) Net amounts $ 36,362 $ 32,089

(a) Exchange-traded derivative balances that relate to futures contracts are settled daily. (b) Net derivatives receivable included cash collateral netted of $60.8 billion and $55.9 billion at June 30, 2018 and December 31, 2017, respectively. Net derivatives payable included cash collateral netted of $41.9 billion and $46.1 billion related to OTC and OTC-cleared derivatives at June 30, 2018, and December 31, 2017, respectively. (c) Represents liquid security collateral as well as cash collateral held at third party custodians related to derivative instruments where an appropriate legal opinion has been obtained. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty. (d) Derivative collateral relates only to OTC and OTC-cleared derivative instruments.

32 Liquidity risk and credit-related contingent features OTC and OTC-cleared derivative payables containing For a more detailed discussion of liquidity risk and credit- downgrade triggers related contingent features related to JPMorgan Chase June 30, December 31, Bank, N.A.’s derivative contracts, refer to Note 6 of (in millions) 2018 2017 JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Aggregate fair value of net derivative Statements. payables $ 10,584 $ 11,669 Collateral posted 9,039 9,947 The following table shows the aggregate fair value of net derivative payables related to OTC and OTC-cleared derivatives that contain contingent collateral or termination features that may be triggered upon a ratings downgrade, and the associated collateral JPMorgan Chase Bank, N.A. has posted in the normal course of business, at June 30, 2018, and December 31, 2017.

The following table shows the impact of a single-notch and two-notch downgrade of the long-term issuer ratings of JPMorgan Chase Bank, N.A. and its subsidiaries at June 30, 2018, and December 31, 2017, related to OTC and OTC-cleared derivative contracts with contingent collateral or termination features that may be triggered upon a ratings downgrade. Derivatives contracts generally require additional collateral to be posted or terminations to be triggered when the predefined threshold rating is breached. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another major rating agency will generally not result in additional collateral, (except in certain instances in which additional initial margin may be required upon a ratings downgrade), nor in termination payments requirements. The liquidity impact in the table is calculated based upon a downgrade below the lowest current rating of the rating agencies referred to in the derivative contract.

Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives June 30, 2018 December 31, 2017 Single-notch Two-notch Single-notch Two-notch (in millions) downgrade downgrade downgrade downgrade Amount of additional collateral to be posted upon downgrade(a) $ 118 $ 2,024 $ 79 $ 1,982 Amount required to settle contracts with termination triggers upon downgrade(b) 242 860 320 649

(a) Includes the additional collateral to be posted for initial margin. (b) Amounts represent fair values of derivative payables, and do not reflect collateral posted.

Derivatives executed in contemplation of a sale of the underlying financial asset In certain instances JPMorgan Chase Bank, N.A. enters into transactions in which it transfers financial assets but maintains the economic exposure to the transferred assets by entering into a derivative with the same counterparty in contemplation of the initial transfer. JPMorgan Chase Bank, N.A. generally accounts for such transfers as collateralized financing transactions as described in Note 11, but in limited circumstances they may qualify to be accounted for as a sale and a derivative under U.S. GAAP. The amount of such transfers accounted for as a sale where the associated derivative was outstanding at June 30, 2018 was not material, and there were no such transfers at December 31, 2017.

33 Impact of derivatives on the Consolidated statements of income The following tables provide information related to gains and losses recorded on derivatives based on their hedge accounting designation or purpose. Refer to Note 17 for information regarding our derivative activities with affiliates. Fair value hedge gains and losses The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the six months ended June 30, 2018 and 2017, respectively. JPMorgan Chase Bank, N.A. includes gains/(losses) on the hedging derivative in the same line item in the Consolidated statements of income as the related hedged item.

Income statement impact of Gains/(losses) recorded in income excluded components(f) OCI impact Income Derivatives - Six months ended June 30, 2018 statement Amortization Changes in fair Gains/(losses) (in millions) Derivatives Hedged items impact approach value recorded in OCI(g) Contract type Interest rate(a)(b) $ 1,274 $ (1,320) $ (46) $ — $ (38) $ — Foreign exchange(c) 1,027 (794) 233 (35) 233 1 Commodity(d) (18) 8 (10) — (10) — Total $ 2,283 $ (2,106) $ 177 $ (35) $ 185 $ 1

Gains/(losses) recorded in income Income statement impact due to: Income Six months ended June 30, 2017 statement Hedge Excluded (in millions) Derivatives Hedged items impact ineffectiveness(e) components(f) Contract type Interest rate(a)(b) $ (240) $ 139 $ (101) $ 16 $ (117) Foreign exchange(c) (2,086) 2,243 157 — 157 Commodity(d) (43) 51 8 — 8 Total $ (2,369) $ 2,433 $ 64 $ 16 $ 48 (a) Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate AFS securities. Gains and losses were recorded in net interest income. (b) Excludes the amortization expense associated with the inception hedge accounting adjustment applied to the hedged item . This expense is recorded in net interest income and substantially offsets the income statement impact of the excluded components. Also excludes the accrual of interest on interest rate swaps and the related hedged items. (c) Primarily consists of hedges of the foreign currency risk of AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items due to changes in foreign currency rates and the income statement impact of excluded components were recorded primarily in principal transactions revenue and net interest income. (d) Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or net realizable value (net realizable value approximates fair value). Gains and losses were recorded in principal transactions revenue. (e) Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk. (f) The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts, time values and cross-currency basis spreads. Under the new hedge accounting guidance, the initial amount of the excluded components may be amortized into income over the life of the derivative, or changes in fair value may be recognized in current period earnings. (g) Represents the change in value of amounts excluded from the assessment of effectiveness under the amortization approach, predominantly cross-currency basis spreads. The amount excluded at inception of the hedge is recognized in earnings over the life of the derivative.

As of June 30, 2018, the following amounts were recorded on the Consolidated balance sheets related to certain cumulative fair value hedge basis adjustments that are expected to impact the income statement in future periods (e.g., as adjustments to yield or to securities gains/losses).

Cumulative amount of fair value hedging adjustments included in the carrying amount of hedged items: June 30, 2018 Carrying amount of Active hedging Discontinued hedging (in millions) the hedged items(a)(b) relationships relationships(d) Total Assets Investment securities - AFS $ 47,296 (c) $ (1,861) $ 487 $ (1,374) Liabilities Long-term debt 2,520 160 (15) 145 (a) Excludes physical commodities with a carrying value of $6.2 billion to which JPMorgan Chase Bank, N.A. applies fair value hedge accounting. As a result of the application of hedge accounting, these inventories are carried at fair value, thus recognizing unrealized gains and losses in current periods. Given JPMorgan Chase Bank, N.A. exits these positions at fair value, there is no incremental impact to net income in future periods. (b) Excludes hedged items where only foreign currency risk is the designated hedged risk, as basis adjustments related to foreign currency hedges generally will not impact the income statement in future periods. The carrying amount excluded for available-for-sale securities is $15.4 billion. (c) Carrying amount represents the amortized cost. (d) Represents hedged items no longer designated in qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date. 34 Cash flow hedge gains and losses The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pre-tax gains/(losses) recorded on such derivatives, for the six months ended June 30, 2018 and 2017, respectively. JPMorgan Chase Bank, N.A. includes the gain/(loss) on the hedging derivative in the same line item in the Consolidated statements of income as the change in cash flows on the related hedged item.

Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) Amounts Total change Six months ended June 30, 2018 reclassified from Amounts recorded in OCI (in millions) AOCI to income in OCI for period Contract type Interest rate(a) $ 26 $ (111) $ (137) Foreign exchange(b) 45 (132) (177) Total $ 71 $ (243) $ (314)

Derivatives gains/(losses) recorded in income and other comprehensive income/(loss) Amounts Total change Six months ended June 30, 2017 reclassified from Amounts recorded in OCI (in millions) AOCI to income in OCI(c) for period Contract type Interest rate(a) $ (17) $ 12 $ 29 Foreign exchange(b) (134) 71 205 Total $ (151) $ 83 $ 234

(a) Primarily consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income. (b) Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense. (c) Represents the effective portion of changes in value of the related hedging derivative. Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk. JPMorgan Chase Bank, N.A. did not recognize any ineffectiveness on cash flow hedges during the six months ended June 30, 2017.

JPMorgan Chase Bank, N.A. did not experience any forecasted transactions that failed to occur for the six months ended June 30, 2018 and 2017. Over the next 12 months, JPMorgan Chase Bank, N.A. expects that approximately $(54) million (after-tax) of net losses recorded in AOCI at June 30, 2018, related to cash flow hedges will be recognized in income. For terminated cash flow hedges, the maximum length of time over which forecasted transactions are remaining is approximately five years. For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately seven years. JPMorgan Chase Bank, N.A.’s longer-dated forecasted transactions relate to core lending and borrowing activities.

35 Net investment hedge gains and losses The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the six months ended June 30, 2018 and 2017.

2018 2017 Amounts recorded in Amounts Amounts recorded in Amounts Six months ended June 30 (in millions) income(a)(c) recorded in OCI income(a)(c) recorded in OCI(b) Foreign exchange derivatives $ (24) $ 665 $ (107) $ (614) (a) Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. JPMorgan Chase Bank, N.A. elects to record changes in fair value of these amounts directly in other income. (b) Represents the effective portion of changes in value of the related hedging derivative. JPMorgan Chase Bank, N.A. did not recognize any ineffectiveness on net investment hedges directly in income during the six months ended June 30, 2017. (c) Excludes amounts reclassified from AOCI to income on the sale or liquidation of hedged entities. For additional information, refer to Note 18.

Gains and losses on derivatives used for specified risk Gains and losses on derivatives related to market-making management purposes activities and other derivatives The following table presents pre-tax gains/(losses) recorded JPMorgan Chase Bank, N.A. makes markets in derivatives in on a limited number of derivatives, not designated in hedge order to meet the needs of customers and uses derivatives accounting relationships, that are used to manage risks to manage certain risks associated with net open risk associated with certain specified assets and liabilities, positions from its market-making activities, including the including certain risks arising from the mortgage pipeline, counterparty credit risk arising from derivative receivables. warehouse loans, MSRs, wholesale lending exposures, and All derivatives not included in the hedge accounting or foreign currency-denominated assets and liabilities. specified risk management categories above are included in this category. Gains and losses on these derivatives are Derivatives gains/(losses) recorded in income primarily recorded in principal transactions revenue. Refer Six months ended June 30, to Note 6 for information on principal transactions revenue. (in millions) 2018 2017 Contract type Interest rate(a) $ (235) $ 221 Credit(b) (11) (52) Foreign exchange(c) 100 (38) Total $ (146) $ 131 (a) Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in the mortgage pipeline, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income. (b) Relates to credit derivatives used to mitigate credit risk associated with lending exposures in JPMorgan Chase Bank, N.A.’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market- making activities and other derivatives. Gains and losses were recorded in principal transactions revenue. (c) Primarily relates to derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue.

36 Credit derivatives For a more detailed discussion of credit derivatives, refer to Note 6 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. JPMorgan Chase Bank, N.A. does not use notional amounts of credit derivatives as the primary measure of risk management for such derivatives, because the notional amount does not take into account the probability of the occurrence of a credit event, the recovery value of the reference obligation, or related cash instruments and economic hedges, each of which reduces, in JPMorgan Chase Bank, N.A.’s view, the risks associated with such derivatives. Total credit derivatives and credit-related notes

Maximum payout/Notional amount Protection purchased with Net protection Other protection June 30, 2018 (in millions) Protection sold identical underlyings(b) (sold)/purchased(c) purchased(d) Credit derivatives Credit default swaps $ (682,259) $ 691,632 $ 9,373 $ 5,337 Other credit derivatives(a) (55,128) 54,052 (1,076) 10,956 Total credit derivatives (737,387) 745,684 8,297 16,293 Credit-related notes (18) — (18) 7,510 Total $ (737,405) $ 745,684 $ 8,279 $ 23,803

Maximum payout/Notional amount Protection purchased with Net protection Other protection December 31, 2017 (in millions) Protection sold identical underlyings(b) (sold)/purchased(c) purchased(d) Credit derivatives Credit default swaps $ (676,017) $ 686,171 $ 10,154 $ 4,948 Other credit derivatives(a) (59,001) 60,595 1,594 11,747 Total credit derivatives (735,018) 746,766 11,748 16,695 Credit-related notes (18) — (18) 7,906 Total $ (735,036) $ 746,766 $ 11,730 $ 24,601

(a) Other credit derivatives largely consists of credit swap options. (b) Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold. (c) Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value. (d) Represents protection purchased by JPMorgan Chase Bank, N.A. on referenced instruments (single-name, portfolio or index) where JPMorgan Chase Bank, N.A. has not sold any protection on the identical reference instrument. The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of June 30, 2018, and December 31, 2017, where JPMorgan Chase Bank, N.A. is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase Bank, N.A. is the purchaser of protection are comparable to the profile reflected below.

Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile June 30, 2018 Total Fair value of Fair value of Net fair (in millions) <1 year 1–5 years >5 years notional amount receivables(b) payables(b) value Risk rating of reference entity Investment-grade $ (129,180) $ (359,839) $ (32,750) $ (521,769) $ 6,829 $ (1,720) $ 5,109 Noninvestment-grade (59,660) (145,914) (10,062) (215,636) 6,924 (3,716) 3,208 Total $ (188,840) $ (505,753) $ (42,812) $ (737,405) $ 13,753 $ (5,436) $ 8,317

December 31, 2017 Total Fair value of Fair value of Net fair (in millions) <1 year 1–5 years >5 years notional amount receivables(b) payables(b) value Risk rating of reference entity Investment-grade $ (163,593) $ (320,201) $ (30,463) $ (514,257) $ 8,516 $ (858) $ 7,658 Noninvestment-grade (73,687) (134,156) (12,936) (220,779) 7,391 (4,638) 2,753 Total $ (237,280) $ (454,357) $ (43,399) $ (735,036) $ 15,907 $ (5,496) $ 10,411

(a) The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s. (b) Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by JPMorgan Chase Bank, N.A.

37 Note 6 – Noninterest revenue and noninterest expense Noninterest revenue For a discussion of the components of and accounting policies Asset management, administration and commissions for JPMorgan Chase Bank, N.A.’s noninterest revenue, refer The following table presents the components of JPMorgan to Note 7 of JPMorgan Chase Bank, N.A.’s 2017 Annual Chase Bank, N.A. asset management, administration and Financial Statements. commissions.

Investment banking fees Six months ended The following table presents the components of investment June 30, banking fees. (in millions) 2018 2017 Asset management fees Six months ended June 30, Investment management fees(a) $ 1,020 $ 1,004 (in millions) 2018 2017 All other asset management fees(b) 24 26 Underwriting Total asset management fees 1,044 1,030 Equity $ 230 $ 278 Total administration fees(c) 1,116 986 Debt 1,007 1,103 Total underwriting 1,237 1,381 Commission and other fees Advisory 442 341 Brokerage commissions 690 555 (d) Total investment banking fees $ 1,679 $ 1,722 All other commissions and fees 3,533 3,176 Total commissions and fees 4,223 3,731 Principal transactions Total asset management, administration and $ 6,383 $ 5,747 The following table presents all realized and unrealized gains commissions and losses recorded in principal transactions revenue. This (a) Represents fees earned from managing assets on behalf of JPMorgan Chase Bank, N.A.’s clients, including investors in JPMorgan Chase Bank, N.A.- table excludes interest income and interest expense on sponsored funds and owners of separately managed investment accounts. trading assets and liabilities, which are an integral part of the (b) Represents fees for services that are ancillary to investment management overall performance of JPMorgan Chase Bank, N.A.’s client- services, such as commissions earned on the sales or distribution of mutual funds to clients. driven market-making activities. Refer to Note 7 for further (c) Predominantly includes fees for custody, securities lending, funds services and information on interest income and interest expense. Trading securities clearance. revenue is presented primarily by instrument type. JPMorgan (d) Includes fees earned by JPMorgan Chase Bank, N.A. for shared services provided to related party affiliates of $2.5 billion and $2.2 billion for the six Chase Bank, N.A.’s client-driven market-making businesses months ended June 30, 2018 and 2017, respectively. generally utilize a variety of instrument types in connection with their market-making and related risk-management Card income activities; accordingly, the trading revenue presented in the This revenue category includes interchange income from table below is not representative of the total revenue of any credit and debit cards and fees earned from processing card individual line of business. transactions for merchants, both of which are recognized when purchases are made by a cardholder. Card income Six months ended also includes other lending fees and related costs. The card June 30, income earned by JPMorgan Chase Bank, N.A. results from (in millions) 2018 2017 activity in the merchant services business and from a Trading revenue by instrument type participation arrangement with a bank affiliate of JPMorgan Interest rate $ 1,676 $ 1,793 Chase Bank, N.A. Credit 781 395 Other income Foreign exchange 2,006 1,694 Other income on JPMorgan Chase Bank, N.A.’s Consolidated Equity 2,331 1,534 statements of income included the following: Commodity 348 201 Total trading revenue 7,142 5,617 Six months ended Private equity gains (7) 2 June 30, Principal transactions $ 7,135 $ 5,619 (in millions) 2018 2017 Operating lease income $ 2,152 $ 1,693 Lending- and deposit-related fees The following table presents the components of lending- and Noninterest expense deposit-related fees. Other expense Other expense on JPMorgan Chase Bank, N.A.’s Consolidated Six months ended statements of income included the following: June 30, (in millions) 2018 2017 Six months ended Lending-related fees $ 557 $ 548 June 30, Deposit-related fees 2,418 2,386 (in millions) 2018 2017 Total lending- and deposit-related fees $ 2,975 $ 2,934 Legal expense/(benefit) $ 83 $ (87) FDIC-related expense 705 708

38 Note 7 – Interest income and Interest Note 8 – Pension and other postretirement expense employee benefit plans For a description of JPMorgan Chase Bank, N.A.’s For a discussion of JPMorgan Chase Bank, N.A.’s pension accounting policies regarding interest income and and OPEB plans, refer to Note 9 of JPMorgan Chase Bank, interest expense, refer to Note 8 of JPMorgan Chase N.A.’s 2017 Annual Financial Statements. Bank, N.A.’s 2017 Annual Financial Statements. On March 21, 2018 JPMorgan Chase & Co. transferred its The following table presents the components of interest qualified U.S. defined benefit pension plan to JPMorgan income and interest expense. Chase Bank, N.A. The transfer was accomplished via a non- cash capital contribution and was comprised of a net Six months ended pension asset of $3.2 billion, accumulated other June 30, comprehensive income of $1.6 billion (net of taxes), and a (in millions) 2018 2017 deferred tax liability of $760 million. JPMorgan Chase & Co. Interest income transferred cash equal to the value of the deferred tax Loans(a) $ 17,271 $ 14,539 liability to JPMorgan Chase Bank, N.A. Taxable securities 2,693 2,832 The following table presents the components of net periodic Nontaxable securities(b) 755 862 benefit costs reported in the Consolidated statements of Total investment securities(a) 3,448 3,694 income for JPMorgan Chase Bank, N.A.’s significant defined Trading assets 2,533 2,254 benefit pension and defined contribution plans. Federal funds sold and securities Defined benefit purchased under resale agreements 852 538 pension plans Securities borrowed 49 21 Six months ended June 30, (in millions) 2018 2017 Deposits with banks 2,784 1,681 Components of net periodic benefit cost All other interest-earning assets 355 185 Benefits earned during the period $ 178 $ 15 Total interest income 27,292 22,912 Interest cost on benefit obligations 276 41 Expected return on plan assets (494) (67) Interest expense Amortization: Interest-bearing deposits 2,948 1,504 Net (gain)/loss 49 16 Federal funds purchased and Prior service cost/(credit) (13) (1) securities loaned or sold under repurchase agreements 515 150 Settlement (gain)/loss — (3) Trading liabilities - debt, short-term Net periodic defined benefit cost(a) (4) (c) 1 and other liabilities 740 674 Other defined benefit pension plans(b) 9 6 Long-term debt 819 625 Total defined benefit plans 5 7 Beneficial interests issued by Total defined contribution plans 372 331 consolidated VIEs 52 51 Total pension and OPEB cost included in Total interest expense 5,074 3,004 noninterest expense $ 377 $ 338 Net interest income 22,218 19,908 (a) Effective January 1, 2018, benefits earned during the period are Provision for credit losses 790 869 reported in compensation expense; all other components of net periodic defined benefit costs are reported within other expense in the Net interest income after provision Consolidated statements of income. For additional information, refer for credit losses $ 21,428 $ 19,039 to Note 1. (a) Includes the amortization/accretion of unearned income (e.g., (b) Includes various defined benefit pension plans which are individually purchase premiums/discounts, net deferred fees/costs, etc.). immaterial. (b) Represents securities which are tax-exempt for U.S. federal income (c) Includes ($23) million that was charged by JPMorgan Chase Bank, N.A. tax purposes. to JPMorgan Chase and its non-bank subsidiaries for their share of the U.S. qualified defined benefit pension plan expense. The following table presents the fair values of plan assets for the material U. S. and non-U.S. defined benefit pension plans.

June 30, December 31, (in billions) 2018 2017 Fair value of plan assets Defined benefit pension plans $ 19.2 $ 3.9

39 Refer to Note 18 for further information on unrecognized Note 9 – Employee share-based incentives amounts (i.e., net (gain)/loss and prior service costs/ Certain employees of JPMorgan Chase Bank, N.A. (credit)) reflected in AOCI for the six month periods ended participate in JPMorgan Chase’s long-term share-based June 30, 2018 and 2017. incentive plans, which provide grants of common stock- JPMorgan Chase charged JPMorgan Chase Bank, N.A. $98 based awards, including stock options, stock appreciation million for the six months ended June 30, 2017, for its rights (“SARs”), restricted stock units (“RSUs”) and share of the U.S. qualified defined benefit pension plan performance share units (“PSUs”). For a discussion of the expense. JPMorgan Chase charged JPMorgan Chase Bank, accounting policies and other information relating to N.A. $0.1 million for both the six months ended June 30, employee share-based incentives, refer to Note 10 of 2018 and 2017, for its share of the U.S. OPEB plan JPMorgan Chase Bank, N.A.’s 2017 Annual Financial expense. Statements and Note 9 of JPMorgan Chase’s 2017 Annual Consolidated disclosures of information about the defined Report on Form 10-K. pension and OPEB plans of JPMorgan Chase are included in Note 8 of JPMorgan Chase’s 2017 Annual Report on Form JPMorgan Chase Bank, N.A. recognized the following 10-K and in Note 7 of JPMorgan Chase’s Quarterly Report compensation expense related to JPMorgan Chase’s various on Form 10-Q for the quarterly period ended June 30, employee share-based incentive plans in its Consolidated 2018. statements of income.

Six months ended June 30, (in millions) 2018 2017 Cost of prior grants of RSUs, SARs and PSUs that are amortized over their applicable vesting periods $ 490 $ 419 Accrual of estimated costs of share-based awards to be granted in future periods including those to full-career eligible employees 402 352 Total compensation expense related to employee share-based incentive plans $ 892 $ 771

During the six month period ended June 30, 2018, in connection with its annual incentive grant for the 2017 performance year, JPMorgan Chase granted employees of JPMorgan Chase Bank, N.A. 12 million RSUs and 504 thousand PSUs with weighted-average grant date fair values of $110.73 per RSU and $110.42 per PSU.

40 Note 10 – Investment securities Investment securities consist of debt securities that are the earliest call date for debt securities with call features classified as AFS or HTM. Debt securities classified as that are explicit, noncontingent and callable at fixed prices trading assets are discussed in Note 3. Predominantly all of and on preset dates. The guidance primarily impacts JPMorgan Chase Bank, N.A.’s AFS and HTM securities are obligations of U.S. states and municipalities held in held by the corporate function in connection with its asset- JPMorgan Chase Bank, N.A.’s investment securities liability management activities. At June 30, 2018, the portfolio. For additional information, refer to Note 1 and investment securities portfolio consisted of debt securities 18. with an average credit rating of AA+ (based upon external As permitted by the new hedge accounting guidance, ratings where available, and where not available, based JPMorgan Chase Bank, N.A. also elected to transfer U.S. primarily upon internal ratings which correspond to ratings government agency mortgage-backed securities (“MBS”), as defined by S&P and Moody’s). For additional information commercial MBS, and obligations of U.S. states and regarding the investment securities portfolio, refer to Note municipalities with a carrying value of $22.4 billion from 11 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial HTM to AFS in the first quarter of 2018. The transfer of Statements. these investment securities resulted in the recognition of a net pre-tax unrealized gain of $221 million. This transfer As a result of the adoption of the premium amortization was a non-cash transaction. For additional information, accounting guidance in the first quarter of 2018, premiums refer to Notes 1, 5 and 18. on purchased callable debt securities must be amortized to

The amortized costs and estimated fair values of the investment securities portfolio were as follows for the dates indicated.

June 30, 2018 December 31, 2017 Gross Gross Gross Gross Amortized unrealized unrealized Amortized unrealized unrealized (in millions) cost gains losses Fair value cost gains losses Fair value Available-for-sale securities Mortgage-backed securities: U.S. government agencies(a) $ 62,595 $ 521 $ 1,194 $ 61,922 $ 69,879 $ 736 $ 335 $ 70,280 Residential: U.S. 6,996 152 30 7,118 8,193 185 14 8,364 Non-U.S. 2,457 107 2 2,562 2,882 122 1 3,003 Commercial 7,836 73 209 7,700 4,791 94 5 4,880 Total mortgage-backed securities 79,884 853 1,435 79,302 85,745 1,137 355 86,527 U.S. Treasury and government agencies 24,962 524 142 25,344 22,510 266 31 22,745 Obligations of U.S. states and municipalities 35,641 1,838 55 37,424 28,444 1,764 33 30,175 Certificates of deposit 75 — — 75 59 — — 59 Non-U.S. government debt securities 25,307 413 34 25,686 26,900 426 32 27,294 Corporate debt securities 2,078 58 3 2,133 2,657 101 1 2,757 Asset-backed securities: Collateralized loan obligations 21,145 22 21 21,146 20,928 69 1 20,996 Other 8,780 69 27 8,822 8,725 72 24 8,773 Total available-for-sale debt securities 197,872 3,777 1,717 199,932 195,968 3,835 477 199,326 Available-for-sale equity securities(b) — — — — 38 — — 38 Total available-for-sale securities 197,872 3,777 1,717 199,932 196,006 3,835 477 199,364 Held-to-maturity securities Mortgage-backed securities: U.S. government agencies(c) 26,168 60 269 25,959 27,577 558 40 28,095 Commercial — — — — 5,783 1 74 5,710 Total mortgage-backed securities 26,168 60 269 25,959 33,360 559 114 33,805 Obligations of U.S. states and municipalities 4,838 96 20 4,914 14,373 554 80 14,847 Total held-to-maturity securities 31,006 156 289 30,873 47,733 1,113 194 48,652 Total investment securities $ 228,878 $ 3,933 $ 2,006 $ 230,805 $ 243,739 $ 4,948 $ 671 $ 248,016 (a) Includes total U.S. government-sponsored enterprise obligations with fair values of $39.1 billion and $45.8 billion at June 30, 2018, and December 31, 2017, respectively. (b) Effective January 1, 2018, JPMorgan Chase Bank, N.A. adopted the recognition and measurement guidance. Equity securities that were previously reported as AFS securities were reclassified to other assets upon adoption. (c) Included total U.S. government-sponsored enterprise obligations with amortized cost of $20.1 billion and $22.0 billion at June 30, 2018, and December 31, 2017, respectively.

41 Investment securities impairment The following tables present the fair value and gross unrealized losses for investment securities by aging category at June 30, 2018, and December 31, 2017.

Investment securities with gross unrealized losses Less than 12 months 12 months or more Gross Gross Total fair Total gross June 30, 2018 (in millions) Fair value unrealized losses Fair value unrealized losses value unrealized losses Available-for-sale securities Mortgage-backed securities: U.S. government agencies $ 36,060 $ 868 $ 6,309 $ 326 $ 42,369 $ 1,194 Residential: U.S. 1,345 23 455 7 1,800 30 Non-U.S. 513 1 157 1 670 2 Commercial 3,207 124 1,463 85 4,670 209 Total mortgage-backed securities 41,125 1,016 8,384 419 49,509 1,435 U.S. Treasury and government agencies 3,761 118 294 24 4,055 142 Obligations of U.S. states and municipalities 2,217 21 1,220 34 3,437 55 Certificates of deposit — — — — — — Non-U.S. government debt securities 3,786 13 1,308 21 5,094 34 Corporate debt securities 191 3 — — 191 3 Asset-backed securities: Collateralized loan obligations 7,379 21 — — 7,379 21 Other 4,650 24 482 3 5,132 27 Total available-for-sale securities 63,109 1,216 11,688 501 74,797 1,717 Held-to-maturity securities Mortgage-backed securities U.S. government agencies 15,887 201 1,607 68 17,494 269 Commercial — — — — — — Total mortgage-backed securities 15,887 201 1,607 68 17,494 269 Obligations of U.S. states and municipalities 546 4 683 16 1,229 20 Total held-to-maturity securities 16,433 205 2,290 84 18,723 289 Total investment securities with gross unrealized losses $ 79,542 $ 1,421 $ 13,978 $ 585 $ 93,520 $ 2,006

42 Investment securities with gross unrealized losses Less than 12 months 12 months or more Gross Gross Total fair Total gross December 31, 2017 (in millions) Fair value unrealized losses Fair value unrealized losses value unrealized losses Available-for-sale securities Mortgage-backed securities: U.S. government agencies $ 36,037 $ 139 $ 7,711 $ 196 $ 43,748 $ 335 Residential: U.S. 1,112 5 596 9 1,708 14 Non-U.S. — — 266 1 266 1 Commercial 528 4 335 1 863 5 Total mortgage-backed securities 37,677 148 8,908 207 46,585 355 U.S. Treasury and government agencies 1,834 11 373 20 2,207 31 Obligations of U.S. states and municipalities 931 7 1,652 26 2,583 33 Certificates of deposit — — — — — — Non-U.S. government debt securities 6,500 15 811 17 7,311 32 Corporate debt securities — — 52 1 52 1 Asset-backed securities: Collateralized loan obligations — — 276 1 276 1 Other 3,521 20 720 4 4,241 24 Total available-for-sale securities 50,463 201 12,792 276 63,255 477 Held-to-maturity securities Mortgage-backed securities U.S. government agencies 4,070 38 205 2 4,275 40 Commercial 3,706 41 1,882 33 5,588 74 Total mortgage-backed securities 7,776 79 2,087 35 9,863 114 Obligations of U.S. states and municipalities 584 9 2,131 71 2,715 80 Total held-to-maturity securities 8,360 88 4,218 106 12,578 194 Total investment securities with gross unrealized losses $ 58,823 $ 289 $ 17,010 $ 382 $ 75,833 $ 671

Gross unrealized losses Investment securities gains and losses JPMorgan Chase Bank, N.A. has recognized unrealized The following table presents realized gains and losses and losses on investment securities that it intends to sell as OTTI from AFS securities that were recognized in income. OTTI. JPMorgan Chase Bank, N.A. does not intend to sell any Six months ended of the remaining investment securities with an unrealized June 30, loss in AOCI as of June 30, 2018, and it is not likely that (in millions) 2018 2017 JPMorgan Chase Bank, N.A. will be required to sell these Realized gains $ 79 $ 542 securities before recovery of their amortized cost basis. Realized losses (403) (572) Except for the securities for which credit losses have been recognized in income, JPMorgan Chase Bank, N.A. believes OTTI losses (1) (7) that the investment securities with an unrealized loss in Net securities losses $ (325) $ (37) AOCI as of June 30, 2018, are not other-than-temporarily OTTI losses impaired. For additional information on other-than- Credit-related losses recognized in income $ — $ — temporary impairment, refer to Note 16 of the JPMorgan Investment securities JPMorgan Chase Chase Bank, N.A. 2017 Annual Financial Statements. Bank, N.A. intends to sell(a) (1) (7) Total OTTI losses recognized in income $ (1) $ (7)

(a) Excludes realized losses on securities sold of $20 million and $5 million for the six months ended June 30, 2018 and 2017 that had been previously reported as an OTTI loss due to the intention to sell the securities. Changes in the credit loss component of credit-impaired debt securities The cumulative credit loss component, including any changes therein, of OTTI losses that have been recognized in income related to AFS securities that JPMorgan Chase Bank, N.A. does not intend to sell was not material as of and during the six month periods ended June 30, 2018 and 2017.

43 Contractual maturities and yields The following table presents the amortized cost and estimated fair value at June 30, 2018, of JPMorgan Chase Bank, N.A.’s investment securities portfolio by contractual maturity.

By remaining maturity Due after one June 30, 2018 Due in one year through Due after five years Due after (in millions) year or less five years through 10 years 10 years(c) Total Available-for-sale securities Mortgage-backed securities(a) Amortized cost $ 261 $ 429 $ 5,649 $ 73,545 $ 79,884 Fair value 264 433 5,727 72,878 79,302 Average yield(b) 1.81% 2.49% 3.49% 3.48% 3.47% U.S. Treasury and government agencies Amortized cost $ 79 $ — $ 19,446 $ 5,437 $ 24,962 Fair value 79 — 19,516 5,749 25,344 Average yield(b) 1.99% —% 3.53% 2.91% 3.39% Obligations of U.S. states and municipalities Amortized cost $ 148 $ 576 $ 2,236 $ 32,681 $ 35,641 Fair value 148 586 2,322 34,368 37,424 Average yield(b) 1.94% 2.80% 4.85% 4.85% 4.80% Certificates of deposit Amortized cost $ 75 $ — $ — $ — $ 75 Fair value 75 — — — 75 Average yield(b) 0.49% —% —% —% 0.49% Non-U.S. government debt securities Amortized cost $ 4,745 $ 14,565 $ 5,997 $ — $ 25,307 Fair value 4,745 14,782 6,159 — 25,686 Average yield(b) 3.27% 1.61% 1.37% —% 1.86% Corporate debt securities Amortized cost $ 70 $ 968 $ 901 $ 139 $ 2,078 Fair value 70 989 929 145 2,133 Average yield(b) 3.98% 4.34% 4.52% 3.45% 4.34% Asset-backed securities Amortized cost $ — $ 4,295 $ 7,785 $ 17,845 $ 29,925 Fair value — 4,271 7,790 17,907 29,968 Average yield(b) —% 2.61% 3.25% 2.98% 3.00% Total available-for-sale securities Amortized cost $ 5,378 $ 20,833 $ 42,014 $ 129,647 $ 197,872 Fair value 5,381 21,061 42,443 131,047 199,932 Average yield(b) 3.11% 1.99% 3.26% 3.73% 3.43% Held-to-maturity securities Mortgage-backed securities(a) Amortized cost $ — $ — $ 2,083 $ 24,085 $ 26,168 Fair value — — 2,068 23,891 25,959 Average yield(b) —% —% 3.52% 3.33% 3.34% Obligations of U.S. states and municipalities Amortized cost $ — $ — $ — $ 4,838 $ 4,838 Fair value — — — 4,914 4,914 Average yield(b) —% —% —% 4.12% 4.12% Total held-to-maturity securities Amortized cost $ — $ — $ 2,083 $ 28,923 $ 31,006 Fair value — — 2,068 28,805 30,873 Average yield(b) —% —% 3.52% 3.46% 3.46% (a) As of June 30, 2018, mortgage-backed securities issued by Fannie Mae exceeded 10% of JPMorgan Chase Bank, N.A.’s total stockholder’s equity; the amortized cost and fair value of such securities was $51.3 billion and $51.1 billion, respectively. (b) Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid. (c) Includes investment securities with no stated maturity. Substantially all of JPMorgan Chase Bank, N.A.’s residential MBS and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately 7 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.

44 Note 11 – Securities financing activities For a discussion of accounting policies relating to securities financing activities, refer to Note 12 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. For further information regarding securities borrowed and securities lending agreements for which the fair value option has been elected, refer to Note 4. For further information regarding assets pledged and collateral received in securities financing agreements, refer to Note 22.

The table below summarizes the gross and net amounts of JPMorgan Chase Bank, N.A.’s securities financing agreements as of June 30, 2018 and December 31, 2017. When JPMorgan Chase Bank, N.A. has obtained an appropriate legal opinion with respect to the master netting agreement with a counterparty and where other relevant netting criteria under U.S. GAAP are met, JPMorgan Chase Bank, N.A. nets, on the Consolidated balance sheets, the balances outstanding under its securities financing agreements with the same counterparty. In addition, JPMorgan Chase Bank, N.A. exchanges securities and/or cash collateral with its counterparties; this collateral also reduces JPMorgan Chase Bank, N.A.’s the economic exposure with the counterparty. Such collateral, along with securities financing balances that do not meet all these relevant netting criteria under U.S. GAAP, is presented as “Amounts not nettable on the Consolidated balance sheets,” and reduces the “Net amounts” presented below, if JPMorgan Chase Bank, N.A. has an appropriate legal opinion with respect to the master netting agreement with the counterparty. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below, and related collateral does not reduce the amounts presented.

June 30, 2018

Amounts netted on Amounts presented Amounts not nettable the Consolidated on the Consolidated on the Consolidated Net (in millions) Gross amounts balance sheets balance sheets(b) balance sheets(c) amounts(d) Assets Securities purchased under resale agreements $ 380,934 $ (213,687) $ 167,247 $ (159,091) $ 8,156 Securities borrowed 37,888 (690) 37,198 (34,422) 2,776 Liabilities Securities sold under repurchase agreements $ 304,040 $ (213,687) $ 90,353 $ (87,373) $ 2,980 Securities loaned and other(a) 18,266 (690) 17,576 (17,215) 361

December 31, 2017 Amounts netted on Amounts presented Amounts not nettable the Consolidated on the Consolidated on the Consolidated Net (in millions) Gross amounts balance sheets balance sheets(b) balance sheets(c) amounts(d) Assets Securities purchased under resale agreements $ 346,606 $ (191,712) $ 154,894 $ (146,035) $ 8,859 Securities borrowed 40,349 (1,340) 39,009 (36,386) 2,623 Liabilities Securities sold under repurchase agreements $ 275,452 $ (191,712) $ 83,740 $ (80,769) $ 2,971 Securities loaned and other(a) 17,534 (1,340) 16,194 (16,017) 177

(a) Includes securities-for-securities lending transactions of $7.6 billion and $7.5 billion at June 30, 2018 and December 31, 2017, respectively, accounted for at fair value, where JPMorgan Chase Bank, N.A. is acting as lender. These amounts are presented within other liabilities in the Consolidated balance sheets. (b) Includes securities financing agreements accounted for at fair value. At June 30, 2018 and December 31, 2017, included securities purchased under resale agreements of $3.5 billion and $2.9 billion, respectively and securities sold under agreements to repurchase of $4.7 billion and $3.4 billion, respectively. There were $4.1 billion and $3.0 billion of securities borrowed at June 30, 2018 and December 31, 2017, respectively. There were no securities loaned accounted for at fair value in either period. (c) In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related asset or liability with that counterparty. (d) Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At June 30, 2018 and December 31, 2017, included $5.1 billion and $6.9 billion, respectively, of securities purchased under resale agreements; $1.6 billion and $1.6 billion, respectively, of securities borrowed; $900 million and $441 million, respectively, of securities sold under agreements to repurchase; and $55 million and $2 million, respectively, of securities loaned and other.

45 The tables below present as of June 30, 2018 and December 31, 2017 the types of financial assets pledged in securities financing agreements and the remaining contractual maturity of the securities financing agreements.

Gross liability balance June 30, 2018 December 31, 2017 Securities sold Securities sold under repurchase Securities loaned under repurchase Securities loaned (in millions) agreements and other(a) agreements and other(a) Mortgage-backed securities: U.S. government agencies $ 3,864 $ — $ 3,046 $ — Residential - nonagency — — 832 — Commercial - nonagency 2 — 46 — U.S. Treasury and government agencies 90,046 7,384 88,982 7,010 Non-U.S. government debt 199,722 1,730 172,197 2,585 Corporate debt securities 10,054 456 9,910 411 Asset-backed securities 205 — 439 1 Equity securities 146 8,697 — 7,527 Total $ 304,039 $ 18,267 $ 275,452 $ 17,534

Remaining contractual maturity of the agreements

Overnight and Greater than June 30, 2018 (in millions) continuous Up to 30 days 30 – 90 days 90 days Total Total securities sold under repurchase agreements $ 74,905 $ 149,881 $ 48,255 $ 30,999 $ 304,040 Total securities loaned and other(a) 15,261 462 196 2,347 18,266

Remaining contractual maturity of the agreements

Overnight and Greater than December 31, 2017 (in millions) continuous Up to 30 days 30 – 90 days 90 days Total Total securities sold under repurchase agreements $ 65,759 $ 145,226 $ 43,892 $ 20,575 $ 275,452 Total securities loaned and other(a) 15,683 166 — 1,685 17,534

(a) Includes securities-for-securities lending transactions of $7.6 billion and $7.5 billion at June 30, 2018 and December 31, 2017, respectively, accounted for at fair value, where JPMorgan Chase Bank, N.A. is acting as lender. These amounts are presented within other liabilities on the Consolidated balance sheets.

Transfers not qualifying for sale accounting At June 30, 2018 and December 31, 2017, JPMorgan Chase Bank, N.A. held $1.4 billion and $1.5 billion, respectively, of financial assets for which the rights have been transferred to third parties; however, the transfers did not qualify as a sale in accordance with U.S. GAAP. These transfers have been recognized as collateralized financing transactions. The transferred assets are recorded in trading assets and loans, and the corresponding liabilities are recorded predominantly in short-term borrowings on the Consolidated balance sheets.

46 Note 12 – Loans Loan accounting framework The accounting for a loan depends on management’s For a detailed discussion of loans, including accounting strategy for the loan, and on whether the loan was credit- policies, refer to Note 13 of JPMorgan Chase Bank, N.A.’s impaired at the date of acquisition. JPMorgan Chase Bank, 2017 Annual Financial Statements. Refer to Note 4 of these N.A. accounts for loans based on the following categories: Consolidated Financial Statements for further information • Originated or purchased loans held-for-investment (i.e., on JPMorgan Chase Bank, N.A.’s elections of fair value “retained”), other than PCI loans accounting under the fair value option. Refer to Note 3 of • Loans held-for-sale these Consolidated Financial Statements for information on • Loans at fair value loans carried at fair value and classified as trading assets. • PCI loans held-for-investment

Loan portfolio JPMorgan Chase Bank, N.A.’s loan portfolio is divided into three portfolio segments, which are the same segments used by JPMorgan Chase Bank, N.A. to determine the allowance for loan losses: Consumer, excluding credit card; Credit card; and Wholesale. Within each portfolio segment JPMorgan Chase Bank, N.A. monitors and assesses the credit risk in the following classes of loans, based on the risk characteristics of each loan class.

Consumer, excluding Credit card Wholesale(g) credit card(a) Residential real estate – excluding PCI • Credit card loans(f) • Commercial and industrial • Residential mortgage(b) • Real estate • Home equity(c) • Financial institutions (d) • Government agencies Other consumer loans (h) • Auto • Other • Consumer & business banking(e) Residential real estate – PCI • Home equity • Prime mortgage • Subprime mortgage • Option adjustable rate mortgages (“ARMs”)

(a) Includes loans held in the consumer & community banking business, prime mortgage and home equity loans held in the asset & wealth management business and prime mortgage loans held in the corporate function. (b) Predominantly includes prime (including option ARMs) and subprime loans. (c) Includes senior and junior lien home equity loans. (d) Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by the consumer & community banking business, and therefore, for consistency in presentation, are included with the other consumer loan classes. (e) Predominantly includes business banking loans. (f) Predominantly includes credit card loans acquired pursuant to a participation agreement with Chase Bank USA, N.A., a related-party, and subsequent draws on revolving credit lines associated with the participation agreement. (g) Includes loans held in the corporate & investment banking, commercial banking and asset & wealth management businesses and in the corporate function. Excludes prime mortgage and home equity loans held in the asset & wealth management businesses and prime mortgage loans held in the corporate function. Classes are internally defined and may not align with regulatory definitions. (h) Includes loans to: individuals (predominantly wealth management clients within the asset & wealth management business); special purpose entities (“SPEs”); and private education and civic organizations. For more information on SPEs, refer to Note 15 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

47 The following tables summarize JPMorgan Chase Bank, N.A.’s loan balances by portfolio segment.

June 30, 2018 Consumer, excluding (in millions) credit card Credit card(a) Wholesale Total Retained $ 374,555 $ 43,449 $ 426,745 $ 844,749 (b) Held-for-sale 110 34 4,754 4,898 At fair value — — 3,076 3,076 Total $ 374,665 $ 43,483 $ 434,575 $ 852,723

December 31, 2017 Consumer, excluding (in millions) credit card Credit card(a) Wholesale Total Retained $ 372,517 $ 40,911 $ 406,926 $ 820,354 (b) Held-for-sale 128 124 3,099 3,351 At fair value — — 2,508 2,508 Total $ 372,645 $ 41,035 $ 412,533 $ 826,213 (a) Includes accrued interest and fees net of an allowance for the uncollectible portion of accrued interest and fee income. (b) Loans (other than PCI loans and loans for which the fair value option has been elected) are presented net of unamortized discounts and premiums, and net deferred loan fees or costs. These amounts were not material as of June 30, 2018, and December 31, 2017. The following table provides information about the carrying value of retained loans purchased, sold and reclassified to held- for-sale during the periods indicated. Reclassifications of loans to held-for sale are non-cash transactions. JPMorgan Chase Bank, N.A. manages its exposure to credit risk on an ongoing basis. Selling loans is one way that JPMorgan Chase Bank, N.A. reduces its credit exposures. Loans that were reclassified to held-for-sale and sold in a subsequent period are excluded from the sales line of this table.

2018 2017 Six months ended June 30, Consumer, excluding Consumer, excluding (in millions) credit card Credit card Wholesale Total credit card Credit card Wholesale Total Purchases $ 1,603 (a)(b) $ — $ 1,630 $ 3,233 $ 1,566 (a)(b) $ — $ 878 $ 2,444 Sales 2,872 — 8,632 11,504 1,353 — 4,824 6,177 Retained loans reclassified to held-for-sale 36 — 1,260 1,296 6,340 (c) — 768 7,108 (a) Purchases predominantly represent JPMorgan Chase Bank, N.A.’s voluntary repurchase of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines. JPMorgan Chase Bank, N.A. typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, the Federal Housing Administration (“FHA”), Rural Housing Services (“RHS”), and/or the U.S. Department of Veterans Affairs (“VA”). (b) Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with JPMorgan Chase Bank, N.A.’s standards. Such purchases were $8.9 billion and $11.3 billion for the six months ended June 30, 2018 and 2017, respectively. (c) Includes JPMorgan Chase Bank, N.A.’s student loan portfolio which was sold in 2017. Gains and losses on sales of loans Gains and losses on sales of loans (including adjustments to record loans held-for-sale at the lower of cost or fair value) recognized in other income were not material to JPMorgan Chase Bank, N.A. for the six months ended June 30, 2018 and 2017. In addition, the sale of loans may result in write downs, recoveries or changes in the allowance recognized in the provision for credit losses. Consumer, excluding credit card loan portfolio Consumer loans, excluding credit card loans, consist June 30, December 31, primarily of residential mortgages, home equity loans and (in millions) 2018 2017 lines of credit, auto loans and consumer and business Residential real estate – excluding PCI banking loans, with a focus on serving the prime consumer Residential mortgage $ 225,838 $ 216,468 credit market. The portfolio also includes home equity loans Home equity 30,454 33,442 secured by junior liens, prime mortgage loans with an Other consumer loans interest-only payment period, and certain payment-option Auto 65,014 66,242 loans that may result in negative amortization. Consumer & business banking 26,272 25,789 Residential real estate – PCI The following table provides information about retained consumer loans, excluding credit card, by class. In 2017, Home equity 9,849 10,799 JPMorgan Chase Bank, N.A. sold its student loan portfolio. Prime mortgage 5,437 6,479 Subprime mortgage 2,249 2,609 Option ARMs 9,442 10,689 Total retained loans $ 374,555 $ 372,517

For further information on consumer credit quality indicators, refer to Note 13 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

48 Residential real estate – excluding PCI loans The following table provides information by class for residential real estate – excluding retained PCI loans.

Residential real estate – excluding PCI loans Total residential real Residential mortgage Home equity estate – excluding PCI Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, (in millions, except ratios) 2018 2017 2018 2017 2018 2017 Loan delinquency(a) Current $ 219,715 $ 208,692 $ 29,658 $ 32,383 $ 249,373 $ 241,075 30–149 days past due 2,945 4,230 457 671 3,402 4,901 150 or more days past due 3,178 3,546 339 388 3,517 3,934 Total retained loans $ 225,838 $ 216,468 $ 30,454 $ 33,442 $ 256,292 $ 249,910 % of 30+ days past due to total retained loans(b) 0.54% 0.77% 2.61% 3.17% 0.78% 1.09% 90 or more days past due and government guaranteed(c) $ 3,177 $ 4,170 $ — $ — $ 3,177 $ 4,170 Nonaccrual loans 2,099 2,172 1,481 1,610 3,580 3,782 Current estimated loan-to-value (“LTV”) ratios(d)(e) Greater than 125% and refreshed FICO scores: Equal to or greater than 660 $ 26 $ 37 $ 7 $ 10 $ 33 $ 47 Less than 660 16 19 2 3 18 22 101% to 125% and refreshed FICO scores: Equal to or greater than 660 24 36 165 296 189 332 Less than 660 61 88 51 95 112 183 80% to 100% and refreshed FICO scores: Equal to or greater than 660 3,323 4,369 1,180 1,675 4,503 6,044 Less than 660 316 483 392 569 708 1,052 Less than 80% and refreshed FICO scores: Equal to or greater than 660 206,154 194,752 23,603 25,255 229,757 220,007 Less than 660 6,599 6,945 3,602 3,850 10,201 10,795 No FICO/LTV available 1,252 1,257 1,452 1,689 2,704 2,946 U.S. government-guaranteed 8,067 8,482 — — 8,067 8,482 Total retained loans 225,838 216,468 30,454 33,442 $ 256,292 $ 249,910 Geographic region California $ 72,206 $ 68,855 $ 6,027 $ 6,580 $ 78,233 $ 75,435 New York 28,520 27,470 6,255 6,864 34,775 34,334 Illinois 14,976 14,501 2,289 2,520 17,265 17,021 Texas 13,428 12,507 1,895 2,021 15,323 14,528 Florida 10,195 9,596 1,668 1,847 11,863 11,443 New Jersey 7,304 7,142 1,768 1,957 9,072 9,099 Washington 7,635 6,962 937 1,026 8,572 7,988 Colorado 7,834 7,335 552 631 8,386 7,966 Massachusetts 6,360 6,323 263 295 6,623 6,618 Arizona 4,397 4,109 1,273 1,438 5,670 5,547 All other(f) 52,983 51,668 7,527 8,263 60,510 59,931 Total retained loans $ 225,838 $ 216,468 $ 30,454 $ 33,442 $ 256,292 $ 249,910 (a) Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $3.2 billion and $2.4 billion; 30–149 days past due included $2.3 billion and $3.2 billion; and 150 or more days past due included $2.6 billion and $2.9 billion at June 30, 2018, and December 31, 2017, respectively. (b) At June 30, 2018, and December 31, 2017, residential mortgage loans excluded mortgage loans insured by U.S. government agencies of $4.9 billion and $6.1 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee. (c) These balances, which are 90 days or more past due, were excluded from nonaccrual loans as the loans are guaranteed by U.S. government agencies. Typically, the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed-upon servicing guidelines. At June 30, 2018, and December 31, 2017, these balances included $1.3 billion and $1.5 billion, respectively, of loans that are no longer accruing interest based on the agreed-upon servicing guidelines. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate. There were no loans that were not guaranteed by U.S. government agencies that are 90 or more days past due and still accruing interest at June 30, 2018, and December 31, 2017. (d) Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. (e) Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by JPMorgan Chase Bank, N.A. on at least a quarterly basis. (f) At June 30, 2018, and December 31, 2017, included mortgage loans insured by U.S. government agencies of $8.1 billion and $8.5 billion, respectively.

49 Approximately 37% of the home equity portfolio are senior Home equity lines of credit (“HELOCs”) beyond the lien loans; the remaining balance are junior lien HELOANs or revolving period and home equity loans (“HELOANs”) have HELOCs. The following table represents JPMorgan Chase higher delinquency rates than HELOCs within the revolving Bank, N.A.’s delinquency statistics for junior lien home period. That is primarily because the fully-amortizing equity loans and lines of credit as of June 30, 2018, and payment that is generally required for those products is December 31, 2017. higher than the minimum payment options available for HELOCs within the revolving period. The higher delinquency Total 30+ day Total loans delinquency rate rates associated with amortizing HELOCs and HELOANs are (in millions, except Jun 30, Dec 31, Jun 30, Dec 31, factored into JPMorgan Chase Bank, N.A.’s allowance for ratios) 2018 2017 2018 2017 loan losses. HELOCs:(a) Within the revolving period(b) $ 5,453 $ 6,360 0.26% 0.50% Beyond the revolving period 12,627 13,527 2.72 3.56 HELOANs 1,190 1,371 2.77 3.50 Total $ 19,270 $ 21,258 2.03% 2.64% (a) These HELOCs are predominantly revolving loans for a 10-year period, after which time the HELOC converts to a loan with a 20-year amortization period, but also include HELOCs that allow interest-only payments beyond the revolving period. (b) JPMorgan Chase Bank, N.A. 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 experiencing financial difficulty.

Impaired loans The table below sets forth information about JPMorgan Chase Bank, N.A.’s residential real estate impaired loans, excluding PCI loans. These loans are considered to be impaired as they have been modified in a troubled debt restructuring (“TDR”). All impaired loans are evaluated for an asset-specific allowance as described in Note 14 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

Total residential real estate Residential mortgage Home equity - excluding PCI

Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, (in millions) 2018 2017 2018 2017 2018 2017 Impaired loans With an allowance $ 3,811 $ 4,402 $ 1,211 $ 1,236 $ 5,022 $ 5,638 Without an allowance(a) 1,206 1,211 881 882 2,087 2,093 Total impaired loans(b)(c) $ 5,017 $ 5,613 $ 2,092 $ 2,118 $ 7,109 $ 7,731 Allowance for loan losses related to impaired loans $ 94 $ 62 $ 62 $ 111 $ 156 $ 173 Unpaid principal balance of impaired loans(d) 6,861 7,732 3,603 3,701 10,464 11,433 Impaired loans on nonaccrual status(e) 1,727 1,741 1,041 1,031 2,768 2,772

(a) Represents collateral-dependent residential real estate loans that are charged off to the fair value of the underlying collateral less cost to sell. JPMorgan Chase Bank, N.A. reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status. At June 30, 2018, Chapter 7 residential real estate loans included approximately 13% of residential mortgages and 9% of home equity that were 30 days or more past due. (b) At June 30, 2018, and December 31, 2017, $4.2 billion and $3.8 billion, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., FHA, VA, RHS) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure. (c) Predominantly all residential real estate impaired loans, excluding PCI loans, are in the U.S. (d) Represents the contractual amount of principal owed at June 30, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; net deferred loan fees or costs; and unamortized discounts or premiums on purchased loans. (e) At both June 30, 2018, and December 31, 2017, nonaccrual loans included $2.2 billion of TDRs for which the borrowers were less than 90 days past due. For additional information about loans modified in a TDR that are on nonaccrual status refer to the Loan accounting framework in Note 13 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

50 The following table presents average impaired loans and the related interest income reported by JPMorgan Chase Bank, N.A.

Interest income on Interest income on impaired Six months ended June 30, Average impaired loans impaired loans(a) loans on a cash basis(a) (in millions) 2018 2017 2018 2017 2018 2017 Residential mortgage $ 5,423 $ 5,913 $ 136 $ 141 $ 39 $ 33 Home equity 2,105 2,245 65 61 42 38 Total residential real estate – excluding PCI $ 7,528 $ 8,158 $ 201 $ 202 $ 81 $ 71

(a) Generally, interest income on loans modified in TDRs is recognized on a cash basis until the borrower has made a minimum of six payments under the new terms, unless the loan is deemed to be collateral-dependent.

Loan modifications Modifications of residential real estate loans, excluding PCI The following table presents new TDRs reported by loans, are generally accounted for and reported as TDRs. JPMorgan Chase Bank, N.A. There were no additional commitments to lend to borrowers Six months whose residential real estate loans, excluding PCI loans, ended June 30, have been modified in TDRs. (in millions) 2018 2017 Residential mortgage $ 246 $ 168 Home equity 186 150 Total residential real estate – excluding PCI $ 432 $ 318

Nature and extent of modifications The U.S. Treasury’s Making Home Affordable programs, as well as JPMorgan Chase Bank, N.A.’s proprietary modification programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and deferral of principal and/or interest payments that would otherwise have been required under the terms of the original agreement. The following table provides information about how residential real estate loans, excluding PCI loans, were modified under JPMorgan Chase Bank, N.A.‘s loss mitigation programs described above during the periods presented. This table excludes Chapter 7 loans where the sole concession granted is the discharge of debt.

Total residential real estate Residential mortgage Home equity - excluding PCI Six months ended June 30, 2018 2017 2018 2017 2018 2017 Number of loans approved for a trial modification 1,269 845 1,309 1,308 2,578 2,153 Number of loans permanently modified 1,655 1,440 3,066 2,800 4,721 4,240 Concession granted:(a) Interest rate reduction 27% 76% 51% 71% 42% 72% Term or payment extension 35 86 54 84 48 84 Principal and/or interest deferred 54 14 26 13 36 14 Principal forgiveness 7 19 7 9 7 12 Other(b) 42 27 58 13 53 18

(a) Represents concessions granted in permanent modifications as a percentage of the number of loans permanently modified. The sum of the percentages exceeds 100% because predominantly all of the modifications include more than one type of concession. Concessions offered on trial modifications are generally consistent with those granted on permanent modifications. (b) Includes variable interest rate to fixed interest rate modifications for the six months ended June 30, 2018 and 2017. Also includes forbearances that meet the definition of a TDR for the six months ended June 30, 2018. Forbearances suspend or reduce monthly payments for a specific period of time to address a temporary hardship.

51 Financial effects of modifications and redefaults The following table provides information about the financial effects of the various concessions granted in modifications of residential real estate loans, excluding PCI loans, under the loss mitigation programs described above and about redefaults of certain loans modified in TDRs for the periods presented. The following table presents only the financial effects of permanent modifications and does not include temporary concessions offered through trial modifications. This table also excludes Chapter 7 loans where the sole concession granted is the discharge of debt.

Six months ended June 30, Total residential real estate – (in millions, except weighted-average data Residential mortgage Home equity excluding PCI and number of loans) 2018 2017 2018 2017 2018 2017 Weighted-average interest rate of loans with interest rate reductions – before TDR 5.03% 5.25% 5.15% 4.82% 5.10% 5.06% Weighted-average interest rate of loans with interest rate reductions – after TDR 3.28 3.01 3.16 2.42 3.21 2.74 Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR 25 24 19 23 21 23 Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR 37 38 38 38 37 38 Charge-offs recognized upon permanent modification $ — $ 1 $ 1 $ 1 $ 1 $ 2 Principal deferred 10 7 5 7 15 14 Principal forgiven 6 11 4 5 10 16 Balance of loans that redefaulted within one year of permanent modification(a) $ 45 $ 58 $ 33 $ 21 $ 78 $ 79

(a) Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes two contractual payments past due. In the event that a modified loan redefaults, it is probable that the loan will ultimately be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12 months may not be representative of ultimate redefault levels.

At June 30, 2018, the weighted-average estimated Active and suspended foreclosure remaining lives of residential real estate loans, excluding At June 30, 2018, and December 31, 2017, JPMorgan PCI loans, permanently modified in TDRs were 9 years for Chase Bank, N.A. had non-PCI residential real estate loans, residential mortgage and 8 years for home equity. The excluding those insured by U.S. government agencies, with a estimated remaining lives of these loans reflect estimated carrying value of $762 million and $787 million, prepayments, both voluntary and involuntary (i.e., respectively, that were not included in REO, but were in the foreclosures and other forced liquidations). process of active or suspended foreclosure.

52 Other consumer loans The table below provides information for other consumer retained loan classes, including auto and business banking loans.

Consumer & Auto Business Banking Total other consumer Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, (in millions, except ratios) 2018 2017 2018 2017 2018 2017 Loan delinquency(a) Current $ 64,516 $ 65,651 $ 25,964 $ 25,454 $ 90,480 $ 91,105 30–119 days past due 487 584 197 213 684 797 120 or more days past due 11 7 111 122 122 129 Total retained loans $ 65,014 $ 66,242 $ 26,272 $ 25,789 $ 91,286 $ 92,031 % of 30+ days past due to total retained loans 0.77% 0.89% 1.17% 1.30% 0.88% 1.01% Nonaccrual loans(a) 124 141 273 283 397 424 Geographic region California $ 8,512 $ 8,445 $ 5,299 $ 5,032 $ 13,811 $ 13,477 Texas 6,675 7,013 3,014 2,916 9,689 9,929 New York 3,901 4,023 4,222 4,195 8,123 8,218 Illinois 3,793 3,916 2,066 2,017 5,859 5,933 Florida 3,389 3,350 1,428 1,424 4,817 4,774 Arizona 2,103 2,221 1,422 1,383 3,525 3,604 Ohio 2,044 2,105 1,356 1,380 3,400 3,485 Michigan 1,417 1,418 1,304 1,357 2,721 2,775 New Jersey 1,978 2,044 738 721 2,716 2,765 Louisiana 1,602 1,656 885 849 2,487 2,505 All other 29,600 30,051 4,538 4,515 34,138 34,566 Total retained loans $ 65,014 $ 66,242 $ 26,272 $ 25,789 $ 91,286 $ 92,031 Loans by risk ratings(b) Noncriticized $ 15,150 $ 15,604 $ 18,387 $ 17,938 $ 33,537 $ 33,542 Criticized performing 261 93 759 791 1,020 884 Criticized nonaccrual 7 9 204 213 211 222

(a) There were no loans that were 90 or more days past due and still accruing interest at June 30, 2018, and December 31, 2017. (b) For risk-rated business banking and auto loans, the primary credit quality indicator is the risk rating of the loan, including whether the loans are considered to be criticized and/or nonaccrual.

53 Other consumer impaired loans and loan Loan modifications modifications Certain other consumer loan modifications are considered The table below sets forth information about JPMorgan to be TDRs as they provide various concessions to Chase Bank, N.A.’s other consumer impaired loans, borrowers who are experiencing financial difficulty. All of including risk-rated business banking and auto loans that these TDRs are reported as impaired loans. Refer to Note have been placed on nonaccrual status, and loans that 13 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial have been modified in TDRs. Statements for further information on other consumer loans modified in TDRs. June 30, December 31, (in millions) 2018 2017 At June 30, 2018 and December 31, 2017 other consumer Impaired loans loans modified in TDRs were $91 million and $102 million, With an allowance $ 245 $ 272 respectively. New TDRs, as well as the impact of these Without an allowance(a) 26 26 modifications were not material to JPMorgan Chase Bank, Total impaired loans(b)(c) $ 271 $ 298 N.A. for the six months ended June 30, 2018 and 2017. Allowance for loan losses related to Additional commitments to lend to borrowers whose loans impaired loans $ 70 $ 73 have been modified in TDRs as of June 30, 2018 and Unpaid principal balance of impaired December 31, 2017 were not material. TDRs on nonaccrual loans(d) 373 402 status were $66 million and $72 million at June 30, 2018 Impaired loans on nonaccrual status 246 268 and December 31, 2017, respectively. (a) When discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged off and/or there have been interest payments received and applied to the loan balance. (b) Predominantly all other consumer impaired loans are in the U.S. (c) Other consumer average impaired loans were $287 million and $501 million for the six months ended June 30, 2018 and 2017, respectively. The related interest income on impaired loans, including those on a cash basis, was not material for the six months ended June 30, 2018 and 2017. (d) Represents the contractual amount of principal owed at June 30, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the principal balance; net deferred loan fees or costs; and unamortized discounts or premiums on purchased loans.

54 Purchased credit-impaired loans For a detailed discussion of PCI loans, including the related accounting policies, refer to Note 13 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. Residential real estate – PCI loans The table below sets forth information about JPMorgan Chase Bank, N.A.’s consumer, excluding credit card, PCI loans.

Home equity Prime mortgage Subprime mortgage Option ARMs Total PCI Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, (in millions, except ratios) 2018 2017 2018 2017 2018 2017 2018 2017 2018 2017 Carrying value(a) $ 9,849 $10,799 $ 5,437 $ 6,479 $ 2,249 $ 2,609 $ 9,442 $10,689 $26,977 $30,576

Loan delinquency (based on unpaid principal balance) Current $ 9,465 $10,272 $ 4,893 $ 5,839 $ 2,326 $ 2,640 $ 8,509 $ 9,662 $25,193 $28,413 30–149 days past due 248 356 271 336 295 381 446 547 1,260 1,620 150 or more days past due 310 392 296 327 163 176 585 689 1,354 1,584 Total loans $10,023 $11,020 $ 5,460 $ 6,502 $ 2,784 $ 3,197 $ 9,540 $10,898 $27,807 $31,617 % of 30+ days past due to total loans 5.57% 6.79% 10.38% 10.20% 16.45% 17.42% 10.81% 11.34% 9.40% 10.13%

Current estimated LTV ratios (based on unpaid principal balance)(b)(c) Greater than 125% and refreshed FICO scores: Equal to or greater than 660 $ 22 $ 33 $ 2 $ 4 $ 1 $ 2 $ 4 $ 6 $ 29 $ 45 Less than 660 14 21 12 16 13 20 8 9 47 66 101% to 125% and refreshed FICO scores: Equal to or greater than 660 176 274 10 16 10 20 29 43 225 353 Less than 660 86 132 26 42 42 75 55 71 209 320 80% to 100% and refreshed FICO scores: Equal to or greater than 660 928 1,195 119 221 80 119 168 316 1,295 1,851 Less than 660 419 559 154 230 213 309 241 371 1,027 1,469 Lower than 80% and refreshed FICO scores: Equal to or greater than 660 5,844 6,134 3,022 3,551 824 895 5,613 6,113 15,303 16,693 Less than 660 2,011 2,095 1,827 2,103 1,467 1,608 3,006 3,499 8,311 9,305 No FICO/LTV available 523 577 288 319 134 149 416 470 1,361 1,515 Total unpaid principal balance $10,023 $11,020 $ 5,460 $ 6,502 $ 2,784 $ 3,197 $ 9,540 $10,898 $27,807 $31,617

Geographic region (based on unpaid principal balance) California $ 5,954 $ 6,555 $ 3,048 $ 3,716 $ 679 $ 797 $ 5,415 $ 6,225 $15,096 $17,293 Florida 1,053 1,137 374 428 264 296 794 878 2,485 2,739 New York 563 607 396 457 292 330 561 628 1,812 2,022 Washington 471 532 112 135 51 61 201 238 835 966 Illinois 252 273 176 200 142 161 221 249 791 883 New Jersey 225 242 157 178 97 110 293 336 772 866 Massachusetts 71 79 133 149 84 98 278 307 566 633 Maryland 53 57 109 129 113 132 199 232 474 550 Arizona 184 203 87 106 52 60 137 156 460 525 Virginia 59 66 100 123 43 51 245 280 447 520 All other 1,138 1,269 768 881 967 1,101 1,196 1,369 4,069 4,620 Total unpaid principal balance $10,023 $11,020 $ 5,460 $ 6,502 $ 2,784 $ 3,197 $ 9,540 $10,898 $27,807 $31,617

(a) Carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition. (b) Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. (c) Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by JPMorgan Chase Bank, N.A. on at least a quarterly basis.

55 Approximately 25% of the PCI home equity portfolio are The table below sets forth the accretable yield activity for senior lien loans; the remaining balance are junior lien JPMorgan Chase Bank, N.A.’s PCI consumer loans for the six HELOANs or HELOCs. The following table represents months ended June 30, 2018 and 2017, and represents JPMorgan Chase Bank, N.A. delinquency statistics for PCI JPMorgan Chase Bank, N.A.’s estimate of gross interest junior lien home equity loans and lines of credit based on income expected to be earned over the remaining life of the the unpaid principal balance as of June 30, 2018, and PCI loan portfolios. The table excludes the cost to fund the December 31, 2017. PCI portfolios, and therefore the accretable yield does not represent net interest income expected to be earned on Total 30+ day these portfolios. Total loans delinquency rate (in millions, except Jun 30, Dec 31, Jun 30, Dec 31, Total PCI ratios) 2018 2017 2018 2017 Six months ended June 30, HELOCs:(a) (in millions, except ratios) 2018 2017 Within the Beginning balance $ 11,159 $ 11,768 revolving period(b) $ 7 $ 51 —% 1.96% Accretion into interest income (655) (716) Beyond the revolving period(c) 7,175 7,875 3.74 4.63 Changes in interest rates on variable-rate loans (268) 167 HELOANs 315 360 3.81 5.28 Other changes in expected cash Total $ 7,497 $ 8,286 3.73% 4.65% flows(a) (1,514) 1,420 (a) In general, these HELOCs are revolving loans for a 10-year period, Balance at June 30 $ 8,722 $ 12,639 after which time the HELOC converts to an interest-only loan with a Accretable yield percentage 4.86% 4.45% balloon payment at the end of the loan’s term. (b) Substantially all undrawn HELOCs within the revolving period have (a) Other changes in expected cash flows may vary from period to period been closed. as JPMorgan Chase Bank, N.A. continues to refine its cash flow model, (c) Includes loans modified into fixed rate amortizing loans. for example cash flows expected to be collected due to the impact of modifications and changes in prepayment assumptions.

Active and suspended foreclosure At June 30, 2018, and December 31, 2017, JPMorgan Chase Bank, N.A. had PCI residential real estate loans with an unpaid principal balance of $1.2 billion and $1.3 billion, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.

56 Credit card loan portfolio The credit card portfolio predominantly includes credit card Credit card impaired loans and loan modifications loans acquired pursuant to a participation agreement with For a detailed discussion of impaired credit card loans, Chase Bank USA, N.A., a related-party, and subsequent including credit card loan modifications, refer to Note 13 of draws on revolving credit lines associated with the JPMorgan Chase Bank, N.A.’s 2017 Annual Financial participation agreement. The table below sets forth Statements. information about JPMorgan Chase Bank, N.A.’s credit card The table below sets forth information about JPMorgan loans. Chase Bank, N.A.’s impaired credit card loans. All of these June 30, December 31, loans are considered to be impaired as they have been (in millions, except ratios) 2018 2017 modified in TDRs. Loan delinquency June 30, December 31, Current and less than 30 days (in millions) 2018 2017 past due and still accruing $ 42,679 $ 40,092 Impaired credit card loans with an 30–89 days past due and still accruing 376 397 allowance(a)(b) 90 or more days past due and still Credit card loans with modified accruing 394 422 payment terms(c) $ 333 $ 297 Total retained credit card loans $ 43,449 $ 40,911 Modified credit card loans that have reverted to pre-modification payment Loan delinquency ratios terms(d) 12 16 % of 30+ days past due to total (e) retained loans 1.77% 2.00% Total impaired credit card loans $ 345 $ 313 % of 90+ days past due to total Allowance for loan losses related to retained loans 0.91 1.03 impaired credit card loans $ 110 $ 99 Credit card loans by geographic (a) The carrying value and the unpaid principal balance are the same for credit region card impaired loans. California $ 6,768 $ 6,428 (b) There were no impaired loans without an allowance. (c) Represents credit card loans outstanding to borrowers enrolled in a credit Texas 4,363 4,121 card modification program as of the date presented. New York 3,884 3,689 (d) Represents credit card loans that were modified in TDRs but that have Florida 2,702 2,581 subsequently reverted back to the loans’ pre-modification payment terms. Illinois 2,460 2,294 At June 30, 2018, and December 31, 2017, $6 million and $10 million, respectively, of loans have reverted back to the pre-modification payment New Jersey 1,850 1,762 terms of the loans due to noncompliance with the terms of the modified Ohio 1,355 1,268 loans. The remaining $6 million and $7 million at June 30, 2018, and Pennsylvania 1,327 1,256 December 31, 2017, respectively, of these loans are to borrowers who have Colorado 1,244 1,141 successfully completed a short-term modification program. JPMorgan Michigan 1,055 992 Chase Bank, N.A. continues to report these loans as TDRs since the borrowers’ credit lines remain closed. All other 16,441 15,379 (e) Predominantly all impaired credit card loans are in the U.S. Total retained credit card loans $ 43,449 $ 40,911 Percentage of portfolio based on carrying value with estimated refreshed FICO scores Equal to or greater than 660 84.2% 84.2% Less than 660 14.4 14.4 No FICO available 1.4 1.4

57 The following table presents average balances of impaired Financial effects of modifications and redefaults credit card loans and interest income recognized on those The following table provides information about the financial loans. effects of the concessions granted on credit card loans modified in TDRs and redefaults for the periods presented. Six months ended June 30, Six months ended (in millions) 2018 2017 (in millions, except June 30, Average impaired credit card loans $ 330 $ 291 weighted-average data) 2018 2017 Interest income on impaired credit card loans 8 7 Weighted-average interest rate of loans – before TDR 17.61% 16.35% Loan modifications Weighted-average interest rate of loans – after 5.13 4.78 JPMorgan Chase Bank, N.A. may offer one of a number of TDR Loans that redefaulted within one year of loan modification programs to credit card borrowers who modification(a) $ 14 $ 11 are experiencing financial difficulty. Most of these loans (a) Represents loans modified in TDRs that experienced a payment default have been modified under long-term programs for in the periods presented, and for which the payment default occurred borrowers who are experiencing financial difficulties. within one year of the modification. The amounts presented represent Modifications under long-term programs involve placing the the balance of such loans as of the end of the quarter in which they customer on a fixed payment plan, generally for 60 months. defaulted. Substantially all modifications are considered to be TDRs. For credit card loans modified in TDRs, payment default is New enrollments in these loan modification programs were deemed to have occurred when the borrower misses two $113 million and $85 million, for the six months ended consecutive contractual payments. A substantial portion of June 30, 2018 and 2017, respectively. For additional these loans are expected to be charged-off in accordance information about credit card loan modifications, refer to with JPMorgan Chase Bank, N.A.’s standard charge-off Note 13 of JPMorgan Chase Bank, N.A.’s 2017 Annual policy. Based on historical experience, the estimated Financial Statements. weighted-average default rate for modified credit card loans was expected to be 31.91% and 31.54% as of June 30, 2018, and December 31, 2017, respectively.

58 Wholesale loan portfolio Wholesale loans include loans made to a variety of clients, each loan. For further information on these risk ratings, ranging from large corporate and institutional clients to refer to Note 13 and Note 14 of JPMorgan Chase Bank, high-net-worth individuals. The primary credit quality N.A.’s 2017 Annual Financial Statements. indicator for wholesale loans is the risk rating assigned to The table below provides information by class of receivable for the retained loans in the Wholesale portfolio segment.

Commercial Financial Total and industrial Real estate institutions Government agencies Other(d) retained loans (in millions, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, except ratios) 2018 2017 2018 2017 2018 2017 2018 2017 2018 2017 2018 2017 Loans by risk ratings Investment-grade $ 69,697 $ 67,378 $ 98,684 $ 98,467 $37,168 $32,559 $14,727 $14,440 $108,199 $103,186 $328,475 $316,030 Noninvestment- grade: Noncriticized 50,114 46,499 13,947 14,329 14,768 12,880 141 342 14,086 10,066 93,056 84,116 Criticized performing 3,131 3,933 566 710 130 206 — — 231 259 4,058 5,108 Criticized nonaccrual 813 1,296 138 136 2 2 — — 203 238 1,156 1,672 Total noninvestment- grade 54,058 51,728 14,651 15,175 14,900 13,088 141 342 14,520 10,563 98,270 90,896 Total retained loans $123,755 $119,106 $113,335 $113,642 $52,068 $45,647 $14,868 $14,782 $122,719 $113,749 $426,745 $406,926 % of total criticized exposure to total retained loans 3.19% 4.39% 0.62% 0.74% 0.25% 0.46% —% —% 0.35% 0.44% 1.22% 1.67% % of criticized nonaccrual to total retained loans 0.66 1.09 0.12 0.12 — — — — 0.17 0.21 0.27 0.41

Loans by geographic distribution(a) Total non-U.S. $ 30,725 $ 28,470 $ 2,668 $ 3,101 $17,502 $16,786 $ 2,966 $ 2,905 $ 49,812 $ 44,111 $103,673 $ 95,373 Total U.S. 93,030 90,636 110,667 110,541 34,566 28,861 11,902 11,877 72,907 69,638 323,072 311,553 Total retained loans $123,755 $119,106 $113,335 $113,642 $52,068 $45,647 $14,868 $14,782 $122,719 $113,749 $426,745 $406,926

Loan delinquency(b) Current and less than 30 days past due and still accruing $122,726 $117,486 $112,501 $113,251 $52,047 $45,615 $14,861 $14,770 $121,726 $112,612 $423,861 $403,734 30–89 days past due and still accruing 188 216 675 242 11 15 3 8 788 898 1,665 1,379 90 or more days past due and still accruing(c) 28 108 21 13 8 15 4 4 2 1 63 141 Criticized nonaccrual 813 1,296 138 136 2 2 — — 203 238 1,156 1,672 Total retained loans $123,755 $119,106 $113,335 $113,642 $52,068 $45,647 $14,868 $14,782 $122,719 $113,749 $426,745 $406,926

(a) The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower. (b) The credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor’s ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. For a further discussion, refer to Note 13 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. (c) Represents loans that are considered well-collateralized and therefore still accruing interest. (d) Other includes individuals (predominantly wealth management clients within the asset & wealth management business), SPEs, and private education and civic organizations. For more information on exposures to SPEs, refer to Note 15 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

59 The following table presents additional information on the real estate class of loans within the Wholesale portfolio for the periods indicated. For further information on real estate loans, refer to Note 13 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

Multifamily Other commercial Total real estate loans Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, (in millions, except ratios) 2018 2017 2018 2017 2018 2017 Real estate retained loans $ 78,093 $ 77,597 $ 35,242 $ 36,045 $113,335 $113,642 Criticized exposure 437 491 267 355 704 846 % of total criticized exposure to total real estate retained loans 0.56% 0.63% 0.76% 0.98% 0.62% 0.74% Criticized nonaccrual $ 53 $ 44 $ 85 $ 92 $ 138 $ 136 % of criticized nonaccrual loans to total real estate retained loans 0.07% 0.06% 0.24% 0.26% 0.12% 0.12%

Wholesale impaired retained loans and loan modifications Wholesale impaired retained loans consist of loans that have been placed on nonaccrual status and/or that have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note 14 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. The table below sets forth information about JPMorgan Chase Bank, N.A.’s wholesale impaired loans.

Commercial Financial Government Total and industrial Real estate institutions agencies Other retained loans Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, Jun 30, Dec 31, (in millions) 2018 2017 2018 2017 2018 2017 2018 2017 2018 2017 2018 2017 Impaired loans With an allowance $ 773 $ 1,111 $ 85 $ 79 $ 89 $ 93 $ — $ — $ 162 $ 168 $ 1,109 $ 1,451 Without an allowance(a) 110 227 53 60 — — — — 55 70 218 357

Total impaired loans $ 883 $ 1,338 $ 138 $ 139 $ 89 $ 93 $ — $ — $ 217 $ 238 $ 1,327 (c) $ 1,808 (c) Allowance for loan losses related to impaired loans $ 251 $ 372 $ 16 $ 11 $ 4 $ 4 $ — $ — $ 47 $ 43 $ 318 $ 430 Unpaid principal balance of impaired loans(b) 1,067 1,604 205 201 89 94 — — 428 255 1,789 2,154

(a) When the discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance. (b) Represents the contractual amount of principal owed at June 30, 2018, and December 31, 2017. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and unamortized discount or premiums on purchased loans. (c) Based upon the domicile of the borrower, largely consists of loans in the U.S.

The following table presents JPMorgan Chase Bank, N.A.’s average impaired loans for the periods indicated.

Six months ended June 30, (in millions) 2018 2017 Commercial and industrial $ 1,189 $ 1,321 Real estate 143 179 Financial institutions 91 13 Government agencies — — Other 218 254 Total(a)(b) $ 1,641 $ 1,767

(a) The related interest income on accruing impaired loans and interest income recognized on a cash basis were not material for the six months ended June 30, 2018 and 2017. (b) The prior period amounts have been revised to conform with the current period presentation.

Certain loan modifications are considered to be TDRs as they provide various concessions to borrowers who are experiencing financial difficulty. All TDRs are reported as impaired loans in the table above. TDRs were $865 million and $614 million as of June 30, 2018, and December 31, 2017, respectively.

60 Note 13 – Allowance for credit losses For a detailed discussion of the allowance for credit losses and the related accounting policies, refer to Note 14 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. Allowance for credit losses and related information The table below summarizes information about the allowances for loan losses and lending-related commitments, and includes a breakdown of loans and lending-related commitments by impairment methodology.

2018 2017 Consumer, Consumer, Six months ended June 30 excluding excluding (in millions) credit card Credit card Wholesale Total credit card Credit card Wholesale Total Allowance for loan losses Beginning balance at January 1, $ 4,577 $ 1,421 $ 4,083 $ 10,081 $ 5,195 $ 1,042 $ 4,478 $ 10,715 Gross charge-offs 539 766 202 1,507 1,104 600 100 1,804 Gross recoveries (451) (72) (77) (600) (306) (52) (70) (428) Net charge-offs/(recoveries) 88 694 125 907 798 548 30 1,376 Write-offs of PCI loans(a) 93 — — 93 46 — — 46 Provision for loan losses 90 751 (100) 741 449 713 (332) 830 Other — 40 (1) 39 (1) — 1 — Ending balance at June 30, $ 4,486 $ 1,518 $ 3,857 $ 9,861 $ 4,799 $ 1,207 $ 4,117 $ 10,123

Allowance for loan losses by impairment methodology Asset-specific(b) $ 226 $ 110 (c) $ 318 $ 654 $ 296 $ 89 (c) $ 345 $ 730 Formula-based 2,128 1,408 3,539 7,075 2,238 1,118 3,772 7,128 PCI 2,132 — — 2,132 2,265 — — 2,265 Total allowance for loan losses $ 4,486 $ 1,518 $ 3,857 $ 9,861 $ 4,799 $ 1,207 $ 4,117 $ 10,123

Loans by impairment methodology Asset-specific $ 7,380 $ 345 $ 1,327 $ 9,052 $ 8,333 $ 291 $ 1,760 $ 10,384 Formula-based 340,198 43,104 425,415 808,717 323,678 36,767 395,887 756,332 PCI 26,977 — 3 26,980 33,064 — 3 33,067 Total retained loans $ 374,555 $ 43,449 $ 426,745 $ 844,749 $ 365,075 $ 37,058 $ 397,650 $ 799,783

Impaired collateral-dependent loans Net charge-offs $ 14 $ — $ — $ 14 $ 37 $ — $ 16 $ 53 Loans measured at fair value of collateral less cost to sell 2,123 — 300 2,423 2,233 — 296 2,529

Allowance for lending-related commitments Beginning balance at January 1, $ 33 $ — $ 1,035 $ 1,068 $ 26 $ — $ 1,052 $ 1,078 Provision for lending-related commitments — — 49 49 6 — 33 39 Ending balance at June 30, $ 33 $ — $ 1,084 $ 1,117 $ 32 $ — $ 1,085 $ 1,117

Allowance for lending-related commitments by impairment methodology Asset-specific $ — $ — $ 139 $ 139 $ — $ — $ 211 $ 211 Formula-based 33 — 945 978 32 — 874 906 Total allowance for lending-related commitments $ 33 $ — $ 1,084 $ 1,117 $ 32 $ — $ 1,085 $ 1,117

Lending-related commitments by impairment methodology Asset-specific $ — $ — $ 712 $ 712 $ — $ — $ 750 $ 750 Formula-based 51,784 10,826 399,819 462,429 54,078 (d) 11,470 362,965 428,513 (d) Total lending-related commitments $ 51,784 $ 10,826 $ 400,531 $ 463,141 $ 54,078 (d) $ 11,470 $ 363,715 $ 429,263 (d)

(a) Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan is recognized when the underlying loan is removed from a pool. (b) Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR. (c) The asset-specific credit card allowance for loan losses is related to loans that have been modified in a TDR; such allowance is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates. (d) The prior period amounts have been revised to conform with the current period presentation.

61 Note 14 – Variable interest entities For a further description of JPMorgan Chase Bank, N.A.’s accounting policies regarding consolidation of VIEs, refer to Note 1 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. The following table summarizes the most significant types of JPMorgan Chase Bank, N.A.-sponsored VIEs by business.

JPMorgan Chase Consolidated Financial Bank, N.A. Statements page business Transaction Type Activity reference Consumer & community Mortgage securitization trusts Servicing and securitization of both originated and 62-64 banking purchased residential mortgages Corporate & Securitization of both originated and purchased investment Mortgage and other securitization trusts residential and commercial mortgages, and student 62-64 banking loans Assist clients in accessing the financial markets in a Multi-seller conduits cost-efficient manner and structures transactions to 64 meet investor needs Municipal bond vehicles Financing municipal bond investments 64

JPMorgan Chase Bank, N.A. also invests in and provides financing and other services to VIEs sponsored by third parties. Refer to page 65 of this Note for more information on the VIEs sponsored by third parties.

Significant JPMorgan Chase Bank, N.A.-sponsored variable interest entities Mortgage and other securitization trusts JPMorgan Chase Bank, N.A. securitizes (or has securitized) originated and purchased residential mortgages, commercial mortgages and other consumer loans primarily in its consumer & community banking and corporate & investment banking businesses. Depending on the particular transaction, as well as the respective business involved, JPMorgan Chase Bank, N.A. may act as the servicer of the loans and/or retain certain beneficial interests in the securitization trusts. For a detailed discussion of JPMorgan Chase Bank, N.A.’s involvement with JPMorgan Chase Bank, N.A.-sponsored mortgage and other securitization trusts, as well as the accounting treatment relating to such trusts, refer to Note 15 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements.

62 The following table presents the total unpaid principal amount of assets held in JPMorgan Chase Bank, N.A.-sponsored private- label securitization entities, including those in which JPMorgan Chase Bank, N.A. has continuing involvement, and those that are consolidated by JPMorgan Chase Bank, N.A. Continuing involvement includes servicing the loans, holding senior interests or subordinated interests (including amounts required to be held pursuant to credit risk retention rules), recourse or guarantee arrangements, and derivative transactions. In certain instances, JPMorgan Chase Bank, N.A.’s only continuing involvement is servicing the loans. Refer to Securitization activity on page 66 of this Note for further information regarding JPMorgan Chase Bank, N.A.’s cash flows associated with and interests retained in nonconsolidated VIEs, and page 66 of this Note for information on JPMorgan Chase Bank, N.A.’s loan sales to U.S. government agencies.

JPMorgan Chase Bank, N.A. interest in securitized Principal amount outstanding assets in nonconsolidated VIEs(c)(d) Assets held in Assets nonconsolidated Total interests held in securitization held by Total assets held consolidated VIEs with Other JPMorgan by securitization securitization continuing Trading Investment financial Chase Bank, June 30, 2018 (in millions) VIEs VIEs involvement assets securities assets N.A Securitization-related(a) Residential mortgage: Prime/Alt-A and option ARMs $ 49,012 $ 3,414 $ 39,489 $ 238 $ 724 $ — $ 962 Subprime 11,990 — 11,293 — — — — Commercial and other(b) 98,476 — 25,222 60 961 217 1,238 Total $ 159,478 $ 3,414 $ 76,004 $ 298 $ 1,685 $ 217 $ 2,200

JPMorgan Chase Bank, N.A. interest in securitized Principal amount outstanding assets in nonconsolidated VIEs(c)(d) Assets held in Assets nonconsolidated Total interests held in securitization held by Total assets held consolidated VIEs with Other JPMorgan by securitization securitization continuing Trading Investment financial Chase Bank, December 31, 2017 (in millions) VIEs VIEs involvement assets securities assets N.A. Securitization-related(a) Residential mortgage: Prime/Alt-A and option ARMs $ 48,599 $ 3,615 $ 39,370 $ 215 $ 845 $ — $ 1,060 Subprime 12,716 — 11,978 — — — — Commercial and other(b) 92,278 63 23,604 61 1,042 157 1,260 Total $ 153,593 $ 3,678 $ 74,952 $ 276 $ 1,887 $ 157 $ 2,320

(a) Excludes U.S. government agency securitizations, which are not JPMorgan Chase Bank, N.A.-sponsored. Refer to page 66 of this Note for information on JPMorgan Chase Bank, N.A.’s loan sales to U.S. government agencies. (b) Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. (c) Excludes the following: retained servicing (Refer to Note 15 for a discussion of MSRs); securities retained from loan sales to U.S. government agencies; and interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (Refer to Note 5 for further information on derivatives). There were no senior and subordinated securities purchased in connection with the corporate & investment banking business’s secondary market-making activities at June 30, 2018, and December 31, 2017, respectively. (d) As of June 30, 2018, and December 31, 2017, 63% and 67%, respectively, of JPMorgan Chase Bank, N.A.’s retained securitization interests, which are predominantly carried at fair value and include amounts required to be held pursuant to credit risk retention rules, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $940 million and $1.0 billion of investment-grade and $23 million and $23 million of noninvestment-grade retained interests at June 30, 2018, and December 31, 2017, respectively. The retained interests in commercial and other securitizations trusts consisted of $966 million and $1.0 billion of investment-grade and $272 million and $212 million of noninvestment-grade retained interests at June 30, 2018 and December 31, 2017 respectively.

63 Residential mortgage JPMorgan Chase Bank, N.A.-administered multi-seller JPMorgan Chase Bank, N.A. securitizes residential mortgage conduits at June 30, 2018, and December 31, 2017, loans originated by consumer & community banking respectively, which have been eliminated in consolidation. business, as well as residential mortgage loans purchased JPMorgan Chase Bank, N.A.’s investments reflect JPMorgan from third parties by either consumer & community banking Chase Bank, N.A.’s funding needs and capacity and were not or corporate & investment banking business. For a more driven by market illiquidity. Other than the amounts detailed description of JPMorgan Chase Bank, N.A.’s required to be held pursuant to credit risk retention rules, involvement with residential mortgage securitizations, refer JPMorgan Chase Bank, N.A. is not obligated under any to Note 15 of JPMorgan Chase Bank, N.A.’s 2017 Annual agreement to purchase the commercial paper issued by Financial Statements. Refer to the table on page 65 of this JPMorgan Chase Bank, N.A.-administered multi-seller Note for more information on the consolidated residential conduits. mortgage securitizations, and the table on the previous JPMorgan Chase Bank, N.A. provides deal-specific liquidity page of this Note for further information on interests held as well as program-wide liquidity and credit enhancement in nonconsolidated residential mortgage securitizations. to its administered multi-seller conduits, which have been Commercial mortgages and other consumer securitizations eliminated in consolidation. The administered multi-seller The corporate & investment banking business originates conduits then provide certain of their clients with lending- and securitizes commercial mortgage loans, and engages in related commitments. The unfunded commitments were underwriting and trading activities involving the securities $9.7 billion and $8.8 billion at June 30, 2018, and issued by securitization trusts. For a more detailed December 31, 2017, respectively, and are reported as off- description of JPMorgan Chase Bank, N.A.’s involvement balance sheet lending-related commitments. For more with commercial mortgage and other consumer information on off-balance sheet lending-related securitizations, refer to Note 15 of JPMorgan Chase Bank, commitments, refer to Note 21. N.A.’s 2017 Annual Financial Statements. Refer to the table Municipal bond vehicles on page 65 of this Note for more information on the Municipal bond vehicles or tender option bond (“TOB”) consolidated commercial mortgage securitizations, and the trusts allow institutions to finance their municipal bond table on the previous page of this Note for further investments at short-term rates. TOB transactions are information on interests held in nonconsolidated known as Customer TOB trusts and Non-Customer TOB securitizations. trusts. Customer TOB trusts are sponsored by a third party; Multi-seller conduits refer to page 65 of this Note for further information. For a more detailed description of JPMorgan Chase Bank, JPMorgan Chase Bank, N.A. serves as sponsor for all Non- N.A.’s principal involvement with JPMorgan Chase Bank, Customer TOB transactions. For a more detailed description N.A.-administered multi-seller conduits, refer to Note 15 of of JPMorgan Chase Bank, N.A.’s Municipal bond vehicles, JPMorgan Chase Bank, N.A.’s 2017 Annual Financial refer to Note 15 of JPMorgan Chase Bank, N.A.’s 2017 Statements. Annual Financial Statements. JPMorgan Chase Bank, N.A. had no exposure to nonconsolidated JPMorgan Chase Bank, In the normal course of business, JPMorgan Chase Bank, N.A.-sponsored municipal bond vehicles at June 30, 2018 N.A. makes markets in and invests in commercial paper and December 31, 2017, respectively. issued by JPMorgan Chase Bank, N.A.-administered multi- seller conduits. JPMorgan Chase Bank, N.A. held $20.5 Refer to page 65 of this Note for further information on billion and $20.4 billion of the commercial paper issued by consolidated municipal bond vehicles.

64 Consolidated VIE assets and liabilities The following table presents information on assets and liabilities related to VIEs consolidated by JPMorgan Chase Bank, N.A. as of June 30, 2018, and December 31, 2017.

Assets Liabilities Beneficial Total interests in Total June 30, 2018 (in millions) Trading assets Loans Other(b) assets(c) VIE assets(d) Other(e) liabilities VIE program type JPMorgan Chase Bank, N.A.-administered multi-seller conduits $ 2 $ 23,128 $ 49 $ 23,179 $ 2,969 $ 47 $ 3,016 Municipal bond vehicles 1,369 — 3 1,372 1,401 2 1,403 Mortgage securitization entities(a) — 3,460 48 3,508 296 181 477 Other 131 — 1,451 1,582 152 — 152 Total $ 1,502 $ 26,588 $ 1,551 $ 29,641 $ 4,818 $ 230 $ 5,048

Assets Liabilities Beneficial Total interests in Total December 31, 2017 (in millions) Trading assets Loans Other(b) assets(c) VIE assets(d) Other(e) liabilities VIE program type JPMorgan Chase Bank, N.A.-administered multi-seller conduits $ — $ 23,411 $ 48 $ 23,459 $ 3,045 $ 53 $ 3,098 Municipal bond vehicles 1,278 — 3 1,281 1,360 2 1,362 Mortgage securitization entities(a) — 3,661 55 3,716 314 199 513 Other 102 — 1,592 1,694 134 — 134 Total $ 1,380 $ 27,072 $ 1,698 $ 30,150 $ 4,853 $ 254 $ 5,107

(a) Includes residential and commercial mortgage securitizations. (b) Includes assets classified as cash, and other assets on the Consolidated balance sheets. (c) The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The assets and liabilities include third-party assets and liabilities of consolidated VIEs and exclude intercompany balances that eliminate in consolidation. (d) The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated balance sheets titled, “Beneficial interests issued by consolidated variable interest entities.” The holders of these beneficial interests generally do not have recourse to the general credit of JPMorgan Chase Bank, N.A. For conduits program-wide credit enhancements, Refer to Note 15 of JPMorgan Chase Bank, N.A.’s 2017 Consolidated Annual Financial Statements. Included in beneficial interests in VIE assets are long-term beneficial interests of $448 million and $447 million at June 30, 2018, and December 31, 2017, respectively. (e) Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.

VIEs sponsored by third parties JPMorgan Chase Bank, N.A. enters into transactions with Tax credit vehicles VIEs structured by other parties. These include, for JPMorgan Chase Bank, N.A. holds investments in example, acting as a derivative counterparty, liquidity unconsolidated tax credit vehicles, which are limited provider and investor. These transactions are conducted at partnerships and similar entities that construct, own and arm’s-length, and individual credit decisions are based on operate affordable housing and wind projects. These the analysis of the specific VIE, taking into consideration the entities are primarily considered VIEs. A third party is quality of the underlying assets. Where JPMorgan Chase typically the general partner or managing member and has Bank, N.A. does not have the power to direct the activities control over the significant activities of the tax credit of the VIE that most significantly impact the VIE’s economic vehicles, and accordingly JPMorgan Chase Bank, N.A. does performance, or a variable interest that could potentially be not consolidate tax credit vehicles. JPMorgan Chase Bank, significant, JPMorgan Chase Bank, N.A. generally does not N.A. generally invests in these partnerships as a limited consolidate the VIE, but it records and reports these partner and earns a return primarily through the receipt of positions on its Consolidated balance sheets in the same tax credits allocated to the projects. The maximum loss manner it would record and report positions in respect of exposure, represented by equity investments and funding any other third-party transaction. commitments, was $7.5 billion and $7.8 billion, as of June 30, 2018 and December 31, 2017, of which $2.1 billion and $2.4 billion was unfunded, respectively. In order to reduce the risk of loss, JPMorgan Chase Bank, N.A. assesses each project and withholds varying amounts of its capital investment until qualification of the project for tax credits. For further information on affordable housing tax 65 credits, refer to Note 22 of JPMorgan Chase Bank, N.A.’s does not have the power to make decisions that significantly 2017 Annual Financial Statements. For more information impact the economic performance of the municipal bond on off-balance sheet lending-related commitments, refer to vehicle. JPMorgan Chase Bank, N.A. maximum exposure as a Note 21 of these Consolidated Financial Statements. liquidity provider to Customer TOB trusts at June 30, 2018 and December 31, 2017, was $5.2 billion and $5.3 billion, Customer municipal bond vehicles (TOB trusts) respectively. The fair value of assets held by such VIEs at JPMorgan Chase Bank, N.A. may provide various services to June 30, 2018 and December 31, 2017 was $8.4 billion Customer TOB trusts, including liquidity or tender option and $9.0 billion, respectively. For more information on provider. In certain Customer TOB transactions, JPMorgan off-balance sheet lending-related commitments, refer to Chase Bank, N.A. as liquidity provider, has entered into a Note 21. reimbursement agreement with the Residual holder. Loan securitizations In those transactions, upon the termination of the vehicle, JPMorgan Chase Bank, N.A. has securitized and sold a JPMorgan Chase Bank, N.A. has recourse to the third party variety of loans, including residential mortgage, credit card, Residual holders for any shortfall. JPMorgan Chase Bank, and commercial mortgage. For a further description of the N.A. does not have any intent to protect Residual holders JPMorgan Chase Bank, N.A.’s accounting policies regarding from potential losses on any of the underlying municipal securitizations, refer to Note 15 of JPMorgan Chase Bank, bonds. JPMorgan Chase Bank, N.A. does not consolidate N.A.’s 2017 Annual Financial Statements. Customer TOB trusts, since JPMorgan Chase Bank, N.A.

Securitization activity The following table provides information related to JPMorgan Chase Bank, N.A.’s securitization activities for the six months ended June 30, 2018 and 2017, related to assets held in JPMorgan Chase Bank, N.A.-sponsored securitization entities that were not consolidated by JPMorgan Chase Bank, N.A., and where sale accounting was achieved at the time of the securitization.

Six months ended June 30, 2018 2017 Residential Commercial Residential Commercial (in millions) mortgage(c) and other(d) mortgage(c) and other(d) Principal securitized $ 4,459 $ 5,173 $ 2,049 $ 3,312 All cash flows during the period: Proceeds received from loan sales as financial instruments 4,460 5,187 2,083 3,377 Servicing fees collected(a) 91 1 102 1 Purchases of previously transferred financial assets (or the underlying collateral)(b) — — 1 — Cash flows received on interests 137 70 224 416

(a) The prior period amounts have been revised to conform with the current period presentation. (b) Includes cash paid by JPMorgan Chase Bank, N.A. to reacquire assets from off–balance sheet, nonconsolidated entities – for example, loan repurchases due to representation and warranties and servicer “clean-up” calls. (c) Includes prime, Alt-A, subprime, and option ARMs. Excludes loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac. (d) Includes commercial mortgage and other consumer loans.

Loans and excess MSRs sold to U.S. government-sponsored enterprises, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities In addition to the amounts reported in the securitization not the primary beneficiary. For a limited number of loan activity tables above, JPMorgan Chase Bank, N.A., in the sales, JPMorgan Chase Bank, N.A. is obligated to share a normal course of business, sells originated and purchased portion of the credit risk associated with the sold loans with mortgage loans and certain originated excess MSRs on a the purchaser. Refer to Note 21 of these Consolidated nonrecourse basis, predominantly to U.S. government- Financial Statements, and Note 25 of JPMorgan Chase Bank, sponsored enterprises (“U.S. GSEs”). These loans and excess N.A.’s 2017 Annual Financial Statements for additional MSRs are sold primarily for the purpose of securitization by information about JPMorgan Chase Bank, N.A.’s loan sales- the U.S. GSEs, who provide certain guarantee provisions and securitization-related indemnifications. Refer to Note (e.g., credit enhancement of the loans). JPMorgan Chase 15 for additional information about the impact of JPMorgan Bank, N.A. also sells loans into securitization transactions Chase Bank, N.A.’s sale of certain excess MSRs. The pursuant to Ginnie Mae guidelines; these loans are typically following table summarizes the activities related to loans insured or guaranteed by another U.S. government agency. sold to the U.S. GSEs, loans in securitization transactions JPMorgan Chase Bank, N.A. does not consolidate the pursuant to Ginnie Mae guidelines, and other third-party- securitization vehicles underlying these transactions as it is sponsored securitization entities.

66 Six months ended applicable requirements, and such loans continue to be June 30, insured or guaranteed. When JPMorgan Chase Bank, N.A.’s (in millions) 2018 2017 repurchase option becomes exercisable, such loans must be Carrying value of loans sold $ 16,836 $ 28,880 reported on the Consolidated balance sheets as a loan with Proceeds received from loan sales as cash — 13 a corresponding liability. For additional information, refer to Proceeds received from loans sales as Note 12 of these Consolidated Financial Statements. securities(a) 16,578 28,589 Total proceeds received from loan sales(b) $ 16,578 $ 28,602 The following table presents loans JPMorgan Chase Bank, Gains on loan sales(c)(d) $ 23 $ 73 N.A. repurchased or had an option to repurchase, real estate owned, and foreclosed government-guaranteed (a) Predominantly includes securities from U.S. GSEs and Ginnie Mae that residential mortgage loans recognized on JPMorgan Chase are generally sold shortly after receipt. (b) Excludes the value of MSRs retained upon the sale of loans. Bank, N.A.‘s balance sheet as of June 30, 2018 and (c) Gains on loan sales include the value of MSRs. December 31, 2017. Substantially all of these loans and (d) The carrying value of the loans accounted for at fair value real estate are insured or guaranteed by U.S. government approximated the proceeds received upon loan sale. agencies.

Options to repurchase delinquent loans June 30, Dec 31, In addition to JPMorgan Chase Bank, N.A.’s obligation to (in millions) 2018 2017 repurchase certain loans due to material breaches of Loans repurchased or option to repurchase(a) $ 8,184 $ 8,617 representations and warranties as discussed in Note 21, Real estate owned 84 95 JPMorgan Chase Bank, N.A. also has the option to Foreclosed government-guaranteed residential repurchase delinquent loans that it services for Ginnie Mae mortgage loans(b) 455 527 loan pools, as well as for other U.S. government agencies (a) Predominantly all of these amounts relate to loans that have been under certain arrangements. JPMorgan Chase Bank, N.A. repurchased from Ginnie Mae loan pools. typically elects to repurchase delinquent loans from Ginnie (b) Relates to voluntary repurchases of loans, which are included in Mae loan pools as it continues to service them and/or accrued interest and accounts receivable. manage the foreclosure process in accordance with the Loan delinquencies and liquidation losses The table below includes information about components of nonconsolidated securitized financial assets held in JPMorgan Chase Bank, N.A.-sponsored private-label securitization entities, in which JPMorgan Chase Bank, N.A. has continuing involvement, and delinquencies as of June 30, 2018, and December 31, 2017.

Net liquidation losses(a) Securitized assets 90 days past due Six months ended June 30, Jun 30, Dec 31, Jun 30, Dec 31, (in millions) 2018 2017 2018 2017 2018 2017 Securitized loans Residential mortgage: Prime / Alt-A & option ARMs $ 39,489 $ 39,370 $ 2,663 $ 3,178 $ 142 $ 270 Subprime 11,293 11,978 1,819 2,070 (566) 235 Commercial and other 25,222 23,604 60 78 — 1 Total loans securitized $ 76,004 $ 74,952 $ 4,542 $ 5,326 $ (424) $ 506

(a) Includes liquidation gains as a result of private label mortgage settlement payments during the first half of 2018, which were reflected as asset recoveries by trustees.

67 Note 15 – Goodwill and Mortgage servicing rights For a discussion of the accounting policies related to Impairment testing goodwill and mortgage servicing rights, refer to Note 16 of Goodwill was not impaired at June 30, 2018, or JPMorgan Chase Bank, N.A.’s 2017 Annual Financial December 31, 2017. Statements. Declines in business performance, increases in credit losses, Goodwill increases in equity capital requirements, as well as The following table presents changes in the carrying deterioration in economic or market conditions, adverse amount of goodwill. regulatory or legislative changes or increases in the estimated market cost of equity, could cause the estimated Six months ended June 30, fair values of JPMorgan Chase Bank, N.A., or its associated (in millions) 2018 2017 goodwill to decline in the future, which could result in a Balance at beginning of period(a) $ 27,350 $ 27,130 material impairment charge to earnings in a future period Changes during the period from: related to some portion of the associated goodwill. Other(b) (18) 12 Balance at June 30,(a) $ 27,332 $ 27,142

(a) Reflects gross goodwill balances as JPMorgan Chase Bank, N.A. has not recognized any impairment losses to date. (b) Includes foreign currency remeasurement.

Mortgage servicing rights MSRs represent the fair value of expected future cash flows for performing servicing activities for others. The fair value considers estimated future servicing fees and ancillary revenue, offset by estimated costs to service the loans, and generally declines over time as net servicing cash flows are received, effectively amortizing the MSR asset against contractual servicing and ancillary fee income. MSRs are either purchased from third parties or recognized upon sale or securitization of mortgage loans if servicing is retained. For a further description of the MSR asset, interest rate risk management, and the valuation of MSRs, refer to Notes 3 and 16 of JPMorgan Chase Bank, N.A. Chase’s 2017 Annual Financial Statements. The following table summarizes MSR activity for the six months ended June 30, 2018 and 2017.

As of or for the six months ended June 30, (in millions, except where otherwise noted) 2018 2017 Fair value at beginning of period $ 6,030 $ 6,096 MSR activity: Originations of MSRs 333 371 Purchase of MSRs 146 — Disposition of MSRs(a) (399) (138) Net additions 80 233

Changes due to collection/realization of expected cash flows (347) (419)

Changes in valuation due to inputs and assumptions: Changes due to market interest rates and other(b) 485 (121) Changes in valuation due to other inputs and assumptions: Projected cash flows (e.g., cost to service) — 14 Discount rates 24 (19) Prepayment model changes and other(c) (31) (31) Total changes in valuation due to other inputs and assumptions (7) (36) Total changes in valuation due to inputs and assumptions 478 (157) Fair value at June 30, $ 6,241 $ 5,753

Change in unrealized gains/(losses) included in income related to MSRs held at June 30, $ 478 $ (157) Contractual service fees, late fees and other ancillary fees included in income $ 911 $ 964 Third-party mortgage loans serviced at June 30, (in billions) $ 534 $ 569 Net servicer advances at June 30, (in billions)(d) $ 3.3 $ 4.1

(a) Includes excess MSRs transferred to agency-sponsored trusts in exchange for stripped mortgage backed securities (“SMBS”). In each transaction, a portion of the SMBS was acquired by third parties at the transaction date; JPMorgan Chase Bank, N.A. acquired the remaining balance of those SMBS as trading securities. (b) Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.

68 (c) Represents changes in prepayments other than those attributable to changes in market interest rates. (d) Represents amounts JPMorgan Chase Bank, N.A. pays as the servicer (e.g., scheduled principal and interest, taxes and insurance), which will generally be reimbursed within a short period of time after the advance from future cash flows from the trust or the underlying loans. JPMorgan Chase Bank, N.A.’s credit risk associated with these servicer advances is minimal because reimbursement of the advances is typically senior to all cash payments to investors. In addition, JPMorgan Chase Bank, N.A. maintains the right to stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable if they were not made in accordance with applicable rules and agreements.

The table below outlines the key economic assumptions Note 16 – Deposits used to determine the fair value of JPMorgan Chase Bank, For further information on deposits, refer to Note 18 of N.A.’s MSRs at June 30, 2018, and December 31, 2017, and JPMorgan Chase Bank, N.A.’s 2017 Annual Financial outlines hypothetical sensitivities of those fair values to Statements. immediate adverse changes in those assumptions, as defined below. At June 30, 2018, and December 31, 2017, noninterest- bearing and interest-bearing deposits were as follows. Jun 30, Dec 31, (in millions, except rates) 2018 2017 June 30, December 31, (in millions) 2018 2017 Weighted-average prepayment speed assumption (“CPR”) 8.43% 9.35% U.S. offices Impact on fair value of 10% adverse Noninterest-bearing $ 389,144 $ 397,080 change $ (195) $ (221) Interest-bearing (included $15,709 (a) 884,947 874,806 Impact on fair value of 20% adverse and $15,006 at fair value) change (379) (427) Total deposits in U.S. offices 1,274,091 1,271,886 Weighted-average option adjusted spread 8.72% 9.04% Non-U.S. offices Impact on fair value of a 100 basis point Noninterest-bearing 17,351 16,282 adverse change $ (245) $ (250) Interest-bearing (included $4,154 Impact on fair value of a 200 basis point and $6,374 at fair value)(a) 235,313 246,739 adverse change (472) (481) Total deposits in non-U.S. offices 252,664 263,021 CPR: Constant prepayment rate. Total deposits $ 1,526,755 $ 1,534,907

Changes in fair value based on variation in assumptions (a) Includes structured notes classified as deposits for which the fair value option has been elected. For further discussion, refer to Note 4 of generally cannot be easily extrapolated, because the JPMorgan Chase Bank, N.A.’s 2017 Annual Financial Statements. relationship of the change in the assumptions to the change in fair value are often highly interrelated and may not be linear. In this table, the effect that a change in a particular assumption may have on the fair value is calculated without changing any other assumption. In reality, changes in one factor may result in changes in another, which would either magnify or counteract the impact of the initial change.

69 Note 17 – Related party transactions JPMorgan Chase Bank, N.A. regularly enters into transactions with JPMorgan Chase and its various subsidiaries. Significant revenue- and expense-related transactions with related parties are listed below.

Six months ended June 30, (in millions) 2018 2017 Interest income $ 765 $ 431 Interest expense 946 565 Net interest income (181) (134)

Noninterest revenue(a) Principal transactions 3,205 (1,561) All other income 3,325 2,996 Total noninterest revenue 6,530 1,435

Noninterest expense 3,243 2,932

Total net revenue $ 3,106 $ (1,631)

Significant balances with related parties are listed below.

June 30, December 31, (in millions) 2018 2017 Assets Deposits with banks(b) $ 41,963 $ 51,001 Federal funds sold and securities purchased under resale agreements 37,090 41,014 Accrued interest and accounts receivable 15,177 13,479 All other assets 13,483 11,990

Liabilities Deposits(c) 74,794 92,385 Federal funds purchased and securities loaned or sold under repurchase agreements 27,237 19,213 Accounts payable and other liabilities 11,396 11,826 Long-term debt 20,610 20,716

(a) The prior period amounts have been revised to confirm with the current presentation. (b) Primarily includes deposits placed with Chase Bank USA, N.A. (c) At both June 30, 2018 and December 31, 2017, includes $20 billion pledged to support extensions of credit and other transactions requiring collateral with affiliates as defined by Section 23A under the Federal Reserve Act, which defines the constraints that apply to U.S. banks in certain of their interactions with affiliates. Derivative transactions In addition to the information presented in the tables above, JPMorgan Chase Bank, N.A. executes derivative transactions with affiliates as part of its client driven market-making activities and to facilitate hedging certain risks for its affiliates. To accomplish this, JPMorgan Chase Bank, N.A. enters into substantially offsetting derivative transactions with third-parties and records both the third party and related-party gains and losses in principal transactions revenue. The following table summarizes information on derivative receivables and payables with affiliates before and after netting adjustments for legally enforceable master netting agreements as of June 30, 2018 and December 31, 2017.

June 30, 2018 December 31, 2017 Gross derivative Net derivative Gross derivative Net derivative (in millions) receivable/payable receivable/payable receivable/payable receivable/payable Derivative receivables from affiliates $ 40,657 $ 166 $ 48,110 $ 140 Derivative payables to affiliates 36,915 103 48,115 94

Servicing agreements and fee arrangements Through servicing agreements, JPMorgan Chase Bank, N.A. provides and receives operational support and services to and from JPMorgan Chase and its subsidiaries. These servicing agreements cover certain occupancy, marketing, communication and technology services, and other shared corporate service costs. JPMorgan Chase Bank, N.A. is allocated or allocates a share of the cost of the services over the relevant service period based on the agreed methodology. Fees earned by JPMorgan Chase Bank, N.A. for services provided to affiliates are recorded in all other income. Fees incurred by JPMorgan Chase Bank, N.A. for services from affiliates are recorded in noninterest expense. 70 Note 18 – Accumulated other comprehensive income/(loss) AOCI includes the after-tax change in unrealized gains and losses on investment securities, foreign currency translation adjustments (including the impact of related derivatives), fair value changes of excluded components on fair value hedges, cash flow hedging activities, net loss and prior service costs/(credit) related to JPMorgan Chase Bank, N.A.’s defined benefit pension and OPEB plans.

As of or for the six months Unrealized Accumulated ended gains/(losses) Translation Defined benefit DVA on fair value other June 30, 2018 on investment adjustments, Fair value Cash flow pension and option elected comprehensive (in millions) securities net of hedges hedges(b) hedges OPEB plans liabilities income/(loss) Balance at January 1, 2018 $ 2,083 $ (345) $ — $ 76 $ (344) $ (95) $ 1,375 Cumulative effect of change in accounting principle:(a) Premium amortization on purchased callable debt securities 252 — — — — — 252 Hedge accounting 169 — (1) — — — 168 Reclassification of certain tax effects from AOCI 449 (193) — 16 (65) (21) 186 Net change (1,427) 117 1 (239) (1,631) 137 (3,042) Balance at June 30, 2018 $ 1,526 $ (421) $ — $ (147) $ (2,040) $ 21 $ (1,061)

As of or for the six months Unrealized Accumulated ended gains/(losses) Translation Defined benefit DVA on fair value other June 30, 2017 on investment adjustments, Fair value Cash flow pension and option elected comprehensive (in millions) securities net of hedges hedges hedges OPEB plans liabilities income/(loss) Balance at January 1, 2017 $ 1,396 $ (36) NA $ (100) $ (355) $ (40) $ 865 Net change 708 (7) NA 146 (41) (14) 792 Balance at June 30, 2017 $ 2,104 $ (43) NA $ 46 $ (396) $ (54) $ 1,657

(a) Represents the adjustment to AOCI as a result of the new accounting standards adopted during the first half of 2018. For additional information, refer to Note 1. (b) Represents changes in fair value of cross-currency swaps attributable to changes in cross-currency basis spreads, which are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income. The initial cost of cross-currency basis spreads is recognized in earnings as part of the accrual of interest on the cross currency swap.

71 The following table presents the pre-tax and after-tax changes in the components of OCI.

2018 2017 Six months ended June 30, (in millions) Pre-tax Tax effect After-tax Pre-tax Tax effect After-tax Unrealized gains/(losses) on investment securities: Net unrealized gains/(losses) arising during the period $ (2,190) $ 515 $ (1,675) $ 1,082 $ (397) $ 685 Reclassification adjustment for realized (gains)/losses included in net income(a) 325 (77) 248 37 (14) 23 Net change (1,865) 438 (1,427) 1,119 (411) 708 Translation adjustments:(b) Translation (516) 108 (408) 612 (233) 379 Hedges 688 (163) 525 (614) 228 (386) Net change 172 (55) 117 (2) (5) (7) Fair value hedges, net change(c) $ 1 $ — $ 1 NA NA NA Cash flow hedges: Net unrealized gains/(losses) arising during the period (243) 58 (185) 83 (31) 52 Reclassification adjustment for realized (gains)/losses included in net income(d) (71) 17 (54) 151 (57) 94 Net change (314) 75 (239) 234 (88) 146 Defined benefit pension and OPEB plans: Net gains/(losses) arising during the period (3) 1 (2) (45) 17 (28) Reclassification adjustments included in net income(e): Amortization of net loss 37 (9) 28 16 (6) 10 Prior service costs/(credits) (9) 2 (7) (1) — (1) Settlement (gain)/loss — — — (3) 1 (2) Foreign exchange and other(f) (2,157) 507 (1,650) (30) 10 (20) Net change (2,132) 501 (1,631) (63) 22 (41) DVA on fair value option elected liabilities, net change: $ 178 $ (41) $ 137 $ (21) $ 7 $ (14) Total other comprehensive income/(loss) $ (3,960) $ 918 $ (3,042) $ 1,267 $ (475) $ 792

(a) The pre-tax amount is reported in investment securities losses in the Consolidated statements of income. (b) Reclassifications of pre-tax realized gains/(losses) on translation adjustments and related hedges are reported in other income/expense in the Consolidated statements of income. During the six months ended June 30, 2018, JPMorgan Chase Bank, N.A. reclassified a net pre-tax loss of $174 million to other expense related to the liquidation of a legal entity, comprised of $23 million related to net investment hedge losses and $151 million related to cumulative translation adjustments. There were no such reclassifications during the six months ended June 30, 2017. (c) Represents changes in fair value of cross-currency swaps attributable to changes in cross-currency basis spreads, which are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income. The initial cost of cross-currency basis spreads is recognized in earnings as part of the accrual of interest on the cross currency swap. (d) The pre-tax amounts are predominantly recorded in noninterest revenue, net interest income and compensation expense in the Consolidated statements of income. (e) The pre-tax amount is reported in other expense in the Consolidated statements of income. (f) The pre-tax amount includes a $2.1 billion net loss that was transferred from JPMorgan Chase related to the qualified U.S. defined benefit pension plan. The transfer included $12 million of net loss amortization and $4 million of prior service credit amortization for January and February. For additional information refer to Note 8.

72 Note 19 – Restricted cash and other restricted Note 20 – Regulatory capital assets JPMorgan Chase Bank, N.A.’s banking regulator, the OCC, For a detailed discussion of JPMorgan Chase Bank, N.A.’s establishes capital requirements, including well-capitalized restricted cash and other restricted assets, refer to Note 23 standards for national banks. of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial For a detailed discussion on regulatory capital, refer to Note Statements. 24 of JPMorgan Chase Bank, N.A.’s 2017 Annual Financial As a result of the adoption of the restricted cash accounting Statements. guidance, restricted cash is included with unrestricted cash Risk-based capital regulatory minimums when reconciling the beginning and ending cash balances The Basel III rules require JPMorgan Chase Bank, N.A. to on the Consolidated statements of cash flows. maintain a certain level of capital that is subject to phase-in periods through the end of 2018. While this required capital The following table presents the components of JPMorgan remains subject to the transitional rules during 2018, as of Chase Bank, N.A.’s restricted cash : January 1, 2018, JPMorgan Chase Bank, N.A.’s capital in the form of CET1 and Tier 1, and JPMorgan Chase Bank, N.A.’s June 30, December 31, risk-weighted assets were equivalent whether calculated on (in billions) 2018 2017 a transitional basis or on a fully phased-in basis. Cash reserves – Federal Reserve Banks $ 22.8 $ 25.7 Under the risk-based capital guidelines of the OCC, Segregated for the benefit of JPMorgan Chase Bank, N.A. is required to maintain securities and futures brokerage minimum ratios for CET1, Tier 1, Total, Tier 1 leverage and customers 7.1 8.9 the SLR. Failure to meet these minimum requirements could Cash reserves at non-U.S. central cause the OCC to take action. banks and held for other general purposes 2.8 2.8 The following table represents the minimum and well- (a) Total restricted cash $ 32.7 $ 37.4 capitalized ratios to which JPMorgan Chase Bank, N.A. is (a) Comprises $31.4 billion and $36.4 billion in deposits with banks, and subject as of June 30, 2018. $1.3 billion and $1.0 billion in cash and due from banks on the Consolidated balance sheets as of June 30, 2018 and December 31, Minimum capital ratios(a)(c) Well-capitalized ratios(b) 2017, respectively. Capital ratios CET1 6.375% 6.5% Also, as of June 30, 2018 and December 31, 2017, JPMorgan Chase Bank, N.A. had cash pledged with clearing Tier 1 7.875 8.0 organizations for the benefit of customers of $3.6 billion Total 9.875 10.0 and $3.1 billion, respectively. Tier 1 leverage 4.0 5.0 SLR 6.0 6.0

Note: The table above is as defined by the regulations issued by the OCC and FDIC and to which JPMorgan Chase Bank, N.A. and its IDI subsidiaries are subject. (a) Represents requirements for JPMorgan Chase Bank, N.A. and its subsidiaries. The CET1 minimum capital ratio includes 1.875% resulting from the phase-in of the 2.5% capital conservation buffer that is applicable to IDI subsidiaries. (b) Represents requirements for IDI subsidiaries pursuant to regulations issued under the FDIC Improvement Act. (c) For the period ended December 31, 2017, the CET1, Tier 1, Total and Tier 1 leverage minimum capital ratios applicable to JPMorgan Chase Bank, N.A. were 5.75%, 7.25%, 9.25% and 4.0% respectively.

73 The following table presents the risk-based and leverage- Note 21 – Off–balance sheet lending-related based capital metrics for JPMorgan Chase Bank, N.A. under financial instruments, guarantees, and other both the Basel III Standardized and Basel III Advanced commitments Approaches. As of June 30, 2018, and December 31, 2017, JPMorgan Chase Bank, N.A. was well-capitalized and met all JPMorgan Chase Bank, N.A. provides lending-related capital requirements to which it was subject. financial instruments (e.g., commitments and guarantees) to address the financing needs of its customers and clients. Basel III Standardized Basel III Advanced The contractual amount of these financial instruments Transitional Transitional represents the maximum possible credit risk to JPMorgan (in millions, except Jun 30, Dec 31, Jun 30, Dec 31, Chase Bank, N.A. should the customer or client draw upon ratios) 2018 2017 2018 2017 the commitment or JPMorgan Chase Bank, N.A. be required Regulatory to fulfill its obligation under the guarantee, and should the capital customer or client subsequently fail to perform according to CET1 capital $ 188,784 $ 184,375 $ 188,784 $ 184,375 the terms of the contract. Most of these commitments and Tier 1 capital 188,784 184,375 188,784 184,375 guarantees are refinanced, extended, cancelled, or expire Total capital 200,065 195,839 193,844 189,510 (d) without being drawn or a default occurring. As a result, the Assets total contractual amount of these instruments is not, in JPMorgan Chase Bank, N.A.’s view, representative of its Risk-weighted 1,356,526 1,338,970 (d) 1,216,608 1,241,916 (d) expected future credit exposure or funding requirements. Adjusted For a further discussion of lending-related commitments (a) average 2,153,804 2,116,031 2,153,804 2,116,031 and guarantees, and JPMorgan Chase Bank, N.A.’s related Capital accounting policies, refer to Note 25 of JPMorgan Chase ratios(b) Bank, N.A.’s 2017 Annual Financial Statements. CET1 13.9% 13.8% 15.5% 14.8% (d) To provide for probable credit losses inherent in wholesale Tier 1 13.9 13.8 15.5 14.8 (d) and certain consumer lending-related commitments, an Total 14.7 14.6 (d) 15.9 15.3 (d) allowance for credit losses on lending-related commitments Tier 1 leverage(c) 8.8 8.7 8.8 8.7 is maintained. Refer to Note 13 for further information regarding the allowance for credit losses on lending-related (a) Adjusted average assets, for purposes of calculating the Tier 1 leverage ratio, includes total quarterly average assets adjusted for on-balance sheet assets commitments. The following table summarizes the that are subject to deduction from Tier 1 capital, predominantly goodwill and contractual amounts and carrying values of off-balance other intangible assets. (b) For each of the risk-based capital ratios, the capital adequacy of JPMorgan sheet lending-related financial instruments, guarantees and Chase Bank, N.A. is evaluated against the lower of the two ratios as calculated other commitments at June 30, 2018, and December 31, under Basel III approaches (Standardized or Advanced) as required by the 2017. The amounts in the table below for credit card and Collins Amendment of the Dodd-Frank Act (the “Collins Floor”). (c) The Tier 1 leverage ratio is not a risk-based measure of capital. home equity lending-related commitments represent the (d) The prior period amounts have been revised to conform with the current total available credit for these products. JPMorgan Chase period presentation. Bank, N.A. has not experienced, and does not anticipate, that all available lines of credit for these products will be June 30, 2018 December 31, 2017 utilized at the same time. JPMorgan Chase Bank, N.A. can (in millions, Basel III Advanced Basel III Advanced except ratios) Fully Phased-in Transitional reduce or cancel credit card lines of credit by providing the borrower notice or, in some cases as permitted by law, Total leverage exposure(a) $ 2,799,458 $ 2,775,041 without notice. In addition, JPMorgan Chase Bank, N.A. SLR(a) 6.7% 6.6% typically closes credit card lines when the borrower is 60 (a) Effective January 1, 2018, the SLR was fully phased-in under Basel III. The days or more past due. JPMorgan Chase Bank, N.A. may December 31, 2017, amounts were calculated under the Basel III reduce or close HELOCs when there are significant Transitional rules. decreases in the value of the underlying property, or when there has been a demonstrable decline in the creditworthiness of the borrower.

74 Off–balance sheet lending-related financial instruments, guarantees and other commitments Contractual amount Carrying value(h) Dec 31, Jun 30, Dec 31, June 30, 2018 2017 2018 2017 Expires Expires after after Expires in 1 year 3 years Expires By remaining maturity 1 year or through through after 5 (in millions) less 3 years 5 years years Total Total Lending-related Consumer, excluding credit card: Home equity $ 1,202 $ 1,163 $ 1,559 $ 16,606 $ 20,530 $ 20,360 $ 12 $ 12 Residential mortgage(a) 8,342 — — 12 8,354 5,736 — — Auto 7,770 949 187 153 9,059 9,255 2 2 Consumer & business banking 12,410 796 110 525 13,841 13,202 19 19 Total consumer, excluding credit card 29,724 2,908 1,856 17,296 51,784 48,553 33 33 Credit card 10,826 — — — 10,826 12,127 — — Total consumer(b) 40,550 2,908 1,856 17,296 62,610 60,680 33 33 Wholesale: Other unfunded commitments to extend credit(c)(d) 85,077 130,638 140,327 9,395 365,437 330,305 941 840 Standby letters of credit and other financial guarantees(c) 14,484 8,744 7,042 1,708 31,978 35,242 593 636 Other letters of credit(c) 2,914 54 148 — 3,116 3,712 4 3 Total wholesale 102,475 139,436 147,517 11,103 400,531 369,259 1,538 1,479 Total lending-related $ 143,025 $ 142,344 $ 149,373 $ 28,399 $ 463,141 $ 429,939 $ 1,571 $ 1,512 Other guarantees and commitments Securities lending indemnification agreements and guarantees(e) $ 209,915 $ — $ — $ — $ 209,915 $ 191,302 $ — $ — Derivatives qualifying as guarantees 5,032 417 12,415 40,235 58,099 57,761 483 310 Unsettled reverse repurchase and securities borrowing agreements 85,796 — — — 85,796 61,610 — — Unsettled repurchase and securities lending agreements 73,517 — — — 73,517 32,750 — — Loan sale and securitization-related indemnifications: Mortgage repurchase liability NA NA NA NA NA NA 123 111 Loans sold with recourse NA NA NA NA 713 766 8 8 Other guarantees and commitments(f) 8,400 1,349 196 17,143 27,088 38,686 (g) (230) (82)

(a) Includes certain commitments to purchase loans from correspondents. (b) Predominantly all consumer lending-related commitments are in the U.S. (c) At June 30, 2018, and December 31, 2017, reflected the contractual amount net of risk participations totaling $287 million and $334 million, respectively, for other unfunded commitments to extend credit; $9.8 billion and $10.4 billion, respectively, for standby letters of credit and other financial guarantees; and $407 million and $405 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations. (d) At June 30, 2018 and December 31, 2017, included commitments to affiliates of $15 million and $16 million respectively. (e) At June 30, 2018, and December 31, 2017, collateral held by JPMorgan Chase Bank, N.A. in support of securities lending indemnification agreements was $221.0 billion and $200.9 billion, respectively. Securities lending collateral primarily consists of cash and securities issued by governments that are members of G7 and U.S. government agencies. (f) At June 30, 2018, and December 31, 2017, included guarantees of the obligations of affiliates of $15.0 billion and $30.0 billion, which predominantly relate to obligations arising under the affiliates’ borrowing facilities at the FHLBs; and unfunded equity investment commitments of $50 million and $32 million, at June 30, 2018, and December 31, 2017, respectively. In addition, at June 30, 2018, and December 31, 2017, included letters of credit hedged by derivative transactions and managed on a market risk basis of $4.3 billion and $4.5 billion, respectively. (g) The prior period amounts have been revised to conform with the current period presentation. (h) For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative- related products, the carrying value represents the fair value.

75 Other unfunded commitments to extend credit Other unfunded commitments to extend credit generally consist of commitments for working capital and general corporate purposes, extensions of credit to support commercial paper facilities and bond financings in the event that those obligations cannot be remarketed to new investors, as well as committed liquidity facilities to clearing organizations. JPMorgan Chase Bank, N.A. also issues commitments under multipurpose facilities which could be drawn upon in several forms, including the issuance of a standby letter of credit. JPMorgan Chase Bank, N.A. acts as a settlement and custody bank in the U.S. tri-party repurchase transaction market. In its role as settlement and custody bank, JPMorgan Chase Bank, N.A. in part is exposed to the intra-day credit risk of its cash borrower clients, usually broker-dealers. This exposure arises under secured clearance advance facilities that JPMorgan Chase Bank, N.A. extended to its clients (i.e., cash borrowers); these facilities contractually limit JPMorgan Chase Bank, N.A.’s intra- day credit risk to the facility amount and must be repaid by the end of the day. As of June 30, 2018, and December 31, 2017, the secured clearance advance facility maximum outstanding commitment amount was $2.0 billion and $3.5 billion, respectively. Standby letters of credit and other financial guarantees Standby letters of credit and other financial guarantees are conditional lending commitments issued by JPMorgan Chase Bank, N.A. to guarantee the performance of a client or customer to a third party under certain arrangements, such as commercial paper facilities, bond financings, acquisition financings, trade and similar transactions.

The following table summarizes the standby letters of credit and other letters of credit arrangements as of June 30, 2018, and December 31, 2017. Standby letters of credit, other financial guarantees and other letters of credit

June 30, 2018 December 31, 2017 Standby letters of Standby letters of credit and other credit and other financial Other letters financial Other letters (in millions) guarantees of credit guarantees of credit Investment-grade(a) $ 25,512 $ 2,267 $ 28,492 $ 2,646 Noninvestment-grade(a) 6,466 849 6,750 1,066 Total contractual amount $ 31,978 $ 3,116 $ 35,242 $ 3,712 Allowance for lending-related commitments $ 139 $ 4 $ 192 $ 3 Guarantee liability 454 — 444 — Total carrying value $ 593 $ 4 $ 636 $ 3 Commitments with collateral $ 16,326 $ 597 $ 17,421 $ 878

(a) The ratings scale is based on JPMorgan Chase Bank, N.A.’s internal ratings which generally correspond to ratings as defined by S&P and Moody’s.

76 Derivatives qualifying as guarantees Pledged assets JPMorgan Chase Bank, N.A. transacts certain derivative JPMorgan Chase Bank, N.A. may pledge financial assets that contracts that have the characteristics of a guarantee under it owns to maintain potential borrowing capacity with U.S. GAAP. For further information on these derivatives, central banks and for other purposes, including to secure refer to Note 25 of JPMorgan Chase Bank, N.A.’s 2017 borrowings and public deposits, collateralize repurchase Annual Financial Statements. and other securities financing agreements, and cover The following table summarizes the derivatives qualifying as customer short sales and borrowings of affiliates. Certain of guarantees as of June 30, 2018, and December 31, 2017. these pledged assets may be sold or repledged or otherwise used by the secured parties and are parenthetically June 30, December 31, (in millions) 2018 2017 identified on the Consolidated balance sheets as assets Notional amounts pledged. Derivative guarantees $ 58,099 $ 57,761 The following table presents JPMorgan Chase Bank, N.A.’s Stable value contracts with pledged assets. contractually limited exposure 28,487 29,104 Maximum exposure of stable value June 30, December 31, contracts with contractually limited (in billions) 2018 2017 exposure 2,946 3,053 Assets that may be sold or repledged Fair value or otherwise used by secured parties $ 75.3 $ 74.6 Derivative payables 483 310 Assets that may not be sold or Derivative receivables — — repledged or otherwise used by secured parties 41.6 39.0 Assets pledged at Federal Reserve In addition to derivative contracts that meet the banks and FHLBs 422.9 434.3 characteristics of a guarantee, JPMorgan Chase Bank, N.A. Total assets pledged $ 539.8 $ 547.9 is both a purchaser and seller of credit protection in the credit derivatives market. For a further discussion of credit Total assets pledged do not include assets of consolidated derivatives, refer to Note 5. VIEs; these assets are used to settle the liabilities of those Loan sales- and securitization indemnification entities. Refer to Note 14 for additional information on In connection with JPMorgan Chase Bank, N.A.’s mortgage assets and liabilities of consolidated VIEs. For additional loan sale and securitization activities with GSEs and in information on JPMorgan Chase Bank, N.A.’s securities certain private label transactions, JPMorgan Chase Bank, financing activities, refer to Note 11. For additional N.A. has made representations and warranties that the information on JPMorgan Chase Bank, N.A.’s long-term loans sold meet certain requirements, and that may require debt, refer to Note 19 of JPMorgan Chase Bank, N.A.’s 2017 JPMorgan Chase Bank, N.A. to repurchase mortgage loans Annual Financial Statements. and/or indemnify the loan purchaser if such representations Collateral and warranties are breached by JPMorgan Chase Bank, N.A.’ JPMorgan Chase Bank, N.A. accepts financial assets as Further, although JPMorgan Chase Bank, N.A.‘s collateral that it is permitted to sell or repledge, deliver or securitizations are predominantly nonrecourse, JPMorgan otherwise use. This collateral is generally obtained under Chase Bank, N.A. does provide recourse servicing in certain resale agreements, securities borrowing agreements, limited cases where it agrees to share credit risk with the customer margin loans and derivative agreements. owner of the mortgage loans. For additional information, Collateral is generally used under repurchase agreements, refer to Note 25 of JPMorgan Chase Bank, N.A.’s 2017 securities lending agreements or to cover customer short Annual Financial Statements. sales and to collateralize deposits and derivative agreements. The liability related to repurchase demands associated with The following table presents the fair value of collateral private label securitizations is separately evaluated by the accepted. JPMorgan Chase Bank, N.A. in establishing its litigation reserves. For additional information regarding litigation, June 30, December 31, refer to Note 23 of these Consolidated Financial Statements (in billions) 2018 2017 and Note 27 of JPMorgan Chase Bank, N.A. 2017 Annual Collateral permitted to be sold or repledged, delivered, or otherwise used $ 629.9 $ 590.8 Financial Statements. Collateral sold, repledged, delivered or Note 22 – Pledged assets and collateral otherwise used 531.8 484.9 For a discussion of JPMorgan Chase Bank, N.A.’s pledged Certain prior period amounts for both collateral and assets and collateral, refer to Note 26 of JPMorgan Chase pledged assets (including the corresponding pledged assets Bank, N.A.’s 2017 Annual Financial Statements. parenthetical disclosure for trading assets and other assets on the Consolidated balance sheets) have been revised to conform with the current period presentation.

77 Note 23 – Litigation Contingencies As of June 30, 2018, JPMorgan Chase and its subsidiaries, Set forth below are descriptions of JPMorgan Chase’s including but not limited to JPMorgan Chase Bank, N.A., are material legal proceedings in which JPMorgan Chase and its defendants or putative defendants in numerous legal subsidiaries (which in certain instances include JPMorgan proceedings, including private, civil litigations and Chase Bank, N.A.) are involved or have been named as regulatory/government investigations. The litigations range parties. from individual actions involving a single plaintiff to class American Depositary Receipts Pre-Release Inquiry. The Staff action lawsuits with potentially millions of class members. of the U.S. Securities and Exchange Commission’s Investigations involve both formal and informal Enforcement Division has been investigating depositary proceedings, by both governmental agencies and self- banks and broker-dealers, including JPMorgan Chase, in regulatory organizations. These legal proceedings are at connection with activity relating to pre-released American varying stages of adjudication, arbitration or investigation, Depositary Receipts. The Staff’s investigation focuses on the and involve each of JPMorgan Chase’s lines of business and period of 2011 to 2015. JPMorgan Chase has been geographies and a wide variety of claims (including cooperating with this investigation. common law tort and contract claims and statutory antitrust, securities and consumer protection claims), some Foreign Exchange Investigations and Litigation. JPMorgan of which present novel legal theories. Chase previously reported settlements with certain government authorities relating to its foreign exchange JPMorgan Chase believes the estimate of the aggregate (“FX”) sales and trading activities and controls related to range of reasonably possible losses, in excess of reserves those activities. FX-related investigations and inquiries by established, for JPMorgan Chase’s legal proceedings is from government authorities, including competition authorities, $0 to approximately $1.7 billion at June 30, 2018. This are ongoing, and JPMorgan Chase is cooperating with and estimated aggregate range of reasonably possible losses working to resolve those matters. In May 2015, JPMorgan was based upon currently available information for those Chase pleaded guilty to a single violation of federal antitrust proceedings in which JPMorgan Chase believes that an law. In January 2017, JPMorgan Chase was sentenced, with estimate of reasonably possible loss can be made. For judgment entered thereafter and a term of probation certain matters, JPMorgan Chase does not believe that such ending in January 2020. The Department of Labor has an estimate can be made, as of that date. JPMorgan Chase’s granted JPMorgan Chase a five-year exemption of estimate of the aggregate range of reasonably possible disqualification that allows JPMorgan Chase and its affiliates losses involves significant judgment, given: to continue to rely on the Qualified Professional Asset • the number, variety and varying stages of the Manager exemption under the Employee Retirement Income proceedings, including the fact that many are in Security Act (“ERISA”) until January 2023. JPMorgan Chase preliminary stages, will need to reapply in due course for a further exemption to cover the remainder of the ten-year disqualification • the existence in many such proceedings of multiple period. Separately, in February 2017 the South Africa defendants, including JPMorgan Chase and JPMorgan Competition Commission referred its FX investigation of Chase Bank, N.A., whose share of liability (if any) has JPMorgan Chase and other banks to the South Africa yet to be determined, Competition Tribunal, which is conducting civil proceedings • the numerous yet-unresolved issues in many of the concerning that matter. proceedings, including issues regarding class JPMorgan Chase is also one of a number of foreign certification and the scope of many of the claims, and exchange dealers defending a class action filed in the • the attendant uncertainty of the various potential United States District Court for the Southern District of New outcomes of such proceedings, including where York by U.S.-based plaintiffs, principally alleging violations JPMorgan Chase has made assumptions concerning of federal antitrust laws based on an alleged conspiracy to future rulings by the court or other adjudicator, or manipulate foreign exchange rates (the “U.S. class action”). about the behavior or incentives of adverse parties or In January 2015, JPMorgan Chase entered into a settlement regulatory authorities, and those assumptions prove to agreement in the U.S. class action. Following this be incorrect. settlement, a number of additional putative class actions were filed seeking damages for persons who transacted FX In addition, the outcome of a particular proceeding may be futures and options on futures (the “exchanged-based a result which JPMorgan Chase did not take into account in actions”), consumers who purchased foreign currencies at its estimate because JPMorgan Chase had deemed the allegedly inflated rates (the “consumer action”), likelihood of that outcome to be remote. Accordingly, participants or beneficiaries of qualified ERISA plans (the JPMorgan Chase’s estimate of the aggregate range of “ERISA actions”), and purported indirect purchasers of FX reasonably possible losses will change from time to time, instruments (the “indirect purchaser action”). Since then, and actual losses may vary significantly. JPMorgan Chase has entered into a revised settlement agreement to resolve the consolidated U.S. class action, including the exchange-based actions. The Court granted 78 final approval of that settlement agreement in May 2018. Interchange Litigation. A group of merchants and retail Certain members of the settlement class have filed requests associations filed a series of class action complaints alleging to the Court to be excluded from the class. The District that Visa and MasterCard, as well as certain banks, Court has dismissed one of the ERISA actions, and the conspired to set the price of credit and debit card United States Court of Appeals for the Second Circuit interchange fees and enacted respective rules in violation of affirmed that dismissal in July 2018. The District Court has antitrust laws. The parties settled the cases for a cash also dismissed the indirect purchaser action, and the payment, a temporary reduction of credit card interchange, plaintiffs have sought leave to replead their complaint. The and modifications to certain credit card network rules. In consumer action and a second ERISA action remain pending December 2013, the District Court granted final approval of in the District Court. the settlement. General Motors Litigation. JPMorgan Chase Bank, N.A. A number of merchants appealed the settlement to the participated in, and was the Administrative Agent on behalf United States Court of Appeals for the Second Circuit, of a syndicate of lenders on, a $1.5 billion syndicated Term which, in June 2016, vacated the District Court’s Loan facility (“Term Loan”) for General Motors Corporation certification of the class action and reversed the approval of (“GM”). In July 2009, in connection with the GM bankruptcy the class settlement. In March 2017, the U.S. Supreme proceedings, the Official Committee of Unsecured Creditors Court declined petitions seeking review of the decision of of Motors Liquidation Company (“Creditors Committee”) the Court of Appeals. The case was remanded to the District filed a lawsuit against JPMorgan Chase Bank, N.A., in its Court for further proceedings consistent with the appellate individual capacity and as Administrative Agent for other decision. The original class action was divided into two lenders on the Term Loan, seeking to hold the underlying separate actions, one seeking primarily monetary relief and lien invalid based on the filing of a UCC-3 termination the other seeking primarily injunctive relief. The parties to statement relating to the Term Loan. In January 2015, the class action seeking monetary relief have reached a following several court proceedings, the United States Court settlement agreement in principle, subject to of Appeals for the Second Circuit reversed the Bankruptcy documentation and court approval, and are engaged in Court’s dismissal of the Creditors Committee’s claim and ongoing negotiations. remanded the case to the Bankruptcy Court with instructions to enter partial summary judgment for the In addition, certain merchants have filed individual actions Creditors Committee as to the termination statement. The raising similar allegations against Visa and MasterCard, as proceedings in the Bankruptcy Court continue with respect well as against JPMorgan Chase and other banks, and those to, among other things, additional defenses asserted by actions are proceeding. JPMorgan Chase Bank, N.A. and the value of additional LIBOR and Other Benchmark Rate Investigations and collateral on the Term Loan that was unaffected by the filing Litigation. JPMorgan Chase has received subpoenas and of the termination statement at issue. In connection with requests for documents and, in some cases, interviews, that additional collateral, a trial in the Bankruptcy Court from federal and state agencies and entities, including the regarding the value of certain representative assets U.S. Commodity Futures Trading Commission (“CFTC”) and concluded in May 2017, and a ruling was issued in various state attorneys general, as well as the European September 2017. The Bankruptcy Court found that 33 of Commission (“EC”), the Swiss Competition Commission the 40 representative assets are fixtures and that these (“ComCo”) and other regulatory authorities and banking fixtures generally should be valued on a “going concern” associations around the world relating primarily to the basis. The Creditors Committee is seeking leave to appeal process by which interest rates were submitted to the the Bankruptcy Court’s ruling that the fixtures should be British Bankers Association (“BBA”) in connection with the valued on a “going concern” basis rather than on a setting of the BBA’s London Interbank Offered Rate liquidation basis. In addition, certain Term Loan lenders (“LIBOR”) for various currencies, principally in 2007 and filed cross-claims in the Bankruptcy Court against JPMorgan 2008. Some of the inquiries also relate to similar processes Chase Bank, N.A. seeking indemnification and asserting by which information on rates was submitted to the various claims. The parties have engaged in mediation European Banking Federation (“EBF”) in connection with concerning, among other things, the characterization and the setting of the EBF’s Euro Interbank Offered Rates value of the remaining additional collateral, in light of the (“EURIBOR”) and to the Japanese Bankers’ Association for Bankruptcy Court’s ruling regarding the representative the setting of Tokyo Interbank Offered Rates (“TIBOR”) assets, as well as other issues, including the cross-claims. In during similar time periods, as well as processes for the July 2018, the parties informed the Bankruptcy Court that, setting of U.S. dollar ISDAFIX rates and other reference at this time, they do not believe that they will be able to rates in various parts of the world during similar time reach a global settlement of the adversary proceeding periods, including through 2012. JPMorgan Chase continues through mediation, and that they intend to present the to cooperate with these investigations to the extent that Bankruptcy Court with a proposed schedule for ongoing they are ongoing. JPMorgan Chase has recently reached a litigation. The parties will continue to mediate specific resolution with the CFTC concerning the CFTC’s U.S. dollar disputes involving certain issues, principally relating to ISDAFIX-related investigation. As previously reported, whether certain of the additional collateral should be JPMorgan Chase has resolved EC inquiries relating to Yen characterized as fixtures. LIBOR and Swiss Franc LIBOR. In December 2016, JPMorgan 79 Chase resolved ComCo inquiries relating to these same In an action related to the Singapore Interbank Offered Rate rates. ComCo’s investigation relating to EURIBOR, to which and the Singapore Swap Offer Rate, the District Court JPMorgan Chase and other banks are subject, continues. In dismissed without prejudice all claims except a single December 2016, the EC issued a decision against JPMorgan antitrust claim, and dismissed without prejudice all Chase and other banks finding an infringement of European defendants except JPMorgan Chase, Bank of America and antitrust rules relating to EURIBOR. JPMorgan Chase has Citibank. The plaintiffs filed an amended complaint in filed an appeal of that decision with the European General September 2017, which JPMorgan Chase and other Court, and that appeal is pending. defendants have moved to dismiss. In addition, JPMorgan Chase has been named as a JPMorgan Chase is one of the defendants in a number of defendant along with other banks in a series of individual putative class actions alleging that defendant banks and and putative class actions filed in various United States ICAP conspired to manipulate the U.S. dollar ISDAFIX rates. District Courts. These actions have been filed, or In April 2016, JPMorgan Chase settled this litigation, along consolidated for pre-trial purposes, in the United States with certain other banks. Those settlements have been District Court for the Southern District of New York. In these preliminarily approved by the Court. actions, plaintiffs make varying allegations that in various Municipal Derivatives Litigation. Several civil actions were periods, starting in 2000 or later, defendants either commenced in New York and Alabama courts against individually or collectively manipulated various benchmark JPMorgan Chase relating to certain Jefferson County, rates by submitting rates that were artificially low or high. Alabama (the “County”) warrant underwritings and swap Plaintiffs allege that they transacted in loans, derivatives or transactions. The claims in the civil actions generally other financial instruments whose values are affected by alleged that JPMorgan Chase made payments to certain changes in these rates and assert a variety of claims third parties in exchange for being chosen to underwrite including antitrust claims seeking treble damages. These more than $3.0 billion in warrants issued by the County and matters are in various stages of litigation. to act as the counterparty for certain swaps executed by the JPMorgan Chase has agreed to settle putative class actions County. The County filed for bankruptcy in November 2011. related to exchange-traded Eurodollar futures contracts, In June 2013, the County filed a Chapter 9 Plan of Swiss franc LIBOR, the Singapore Interbank Offered Rate, Adjustment, as amended (the “Plan of Adjustment”), which the Singapore Swap Offer Rate and the Australian Bank Bill provided that all the above-described actions against Swap Reference Rate. Those settlements are all subject to JPMorgan Chase would be released and dismissed with further documentation and court approval. prejudice. In November 2013, the Bankruptcy Court In an action related to EURIBOR, the District Court confirmed the Plan of Adjustment, and in December 2013, dismissed all claims except a single antitrust claim and two certain sewer rate payers filed an appeal challenging the common law claims, and dismissed all defendants except confirmation of the Plan of Adjustment. All conditions to the JPMorgan Chase and Citibank. Plan of Adjustment’s effectiveness, including the dismissal of the actions against JPMorgan Chase, were satisfied or In actions related to U.S. dollar LIBOR, the District Court waived and the transactions contemplated by the Plan of dismissed certain claims, including antitrust claims brought Adjustment occurred in December 2013. Accordingly, all by some plaintiffs whom the District Court found did not the above-described actions against JPMorgan Chase have have standing to assert such claims, and permitted antitrust been dismissed pursuant to the terms of the Plan of claims, claims under the Commodity Exchange Act and Adjustment. The appeal of the Bankruptcy Court’s order common law claims to proceed. The plaintiffs whose confirming the Plan of Adjustment remains pending. antitrust claims were dismissed for lack of standing have filed an appeal. In February 2018, the District Court (i) Petters Bankruptcy and Related Matters. JPMorgan Chase granted class certification with respect to certain antitrust and certain of its affiliates, including One Equity Partners claims related to bonds and interest rate swaps sold directly (“OEP”), were named as defendants in several actions filed by the defendants, (ii) denied class certification with in connection with the receivership and bankruptcy respect to state common law claims brought by the holders proceedings pertaining to Thomas J. Petters and certain of those bonds and swaps and (iii) denied class certification affiliated entities (collectively, “Petters”) and the Polaroid with respect to two other putative class actions related to Corporation. The principal actions against JPMorgan Chase exchange-traded Eurodollar futures contracts and LIBOR- and its affiliates were brought by a court-appointed receiver based loans held by plaintiff lending institutions. JPMorgan for Petters and the trustees in bankruptcy proceedings for Chase and another defendant have petitioned for leave to three Petters entities. These actions generally sought to appeal the class certification of the antitrust claims related avoid certain putative transfers in connection with (i) the to bonds and swaps, and plaintiffs have petitioned for leave 2005 acquisition by Petters of Polaroid, which at the time to appeal the denial of class certification as to exchange- was majority-owned by OEP; (ii) two credit facilities that traded Eurodollar futures contracts. In July 2018, the JPMorgan Chase and other financial institutions entered United States Court of Appeals for the Second Circuit denied into with Polaroid; and (iii) a credit line and investment the plaintiff lending institutions’ petition for leave to appeal accounts held by Petters. In January 2017, the Court the denial of their motion for class certification. substantially denied the defendants’ motion to dismiss an amended complaint filed by the plaintiffs. In October 2017,

80 JPMorgan Chase and its affiliates reached an agreement to JPMorgan Chase Bank, N.A. has established reserves for settle the litigation brought by the Petters bankruptcy several hundred of its currently outstanding legal trustees, or their successors, and the receiver for Thomas J. proceedings. In accordance with the provisions of U.S. GAAP Petters. The settlement has received Court approval. for contingencies, JPMorgan Chase Bank, N.A. accrues for a Wendel. Since 2012, the French criminal authorities have litigation-related liability when it is probable that such a been investigating a series of transactions entered into by liability has been incurred and the amount of the loss can senior managers of Wendel Investissement (“Wendel”) be reasonably estimated. JPMorgan Chase Bank, N.A. during the period from 2004 through 2007 to restructure evaluates its outstanding legal proceedings each quarter to their shareholdings in Wendel. JPMorgan Chase Bank, N.A., assess its litigation reserves, and makes adjustments in Paris branch provided financing for the transactions to a such reserves, upwards or downward, as appropriate, based number of managers of Wendel in 2007. JPMorgan Chase on management’s best judgment after consultation with has cooperated with the investigation. The investigating counsel. JPMorgan Chase Bank N.A.’s legal expense for judges issued an ordonnance de renvoi in November 2016, litigation and investigations was $83 million and a benefit referring JPMorgan Chase Bank, N.A. to the French tribunal of $(87) million for the six months ended June 30, 2018 correctionnel for alleged complicity in tax fraud. No date for and 2017, respectively. Where a particular litigation matter trial has been set by the court. JPMorgan Chase has been involves one or more subsidiaries or affiliates of JPMorgan successful in legal challenges made to the Court of Chase, JPMorgan Chase determines the appropriate Cassation, France’s highest court, with respect to the allocation of legal expense among those subsidiaries or criminal proceedings. In January 2018, the Paris Court of affiliates (including, where applicable, JPMorgan Chase Appeal issued a decision cancelling the mise en examen of Bank, N.A.). There is no assurance that JPMorgan Chase JPMorgan Chase Bank, N.A. JPMorgan Chase is requesting Bank, N.A.’s litigation reserves will not need to be adjusted clarification from the Court of Cassation concerning the in the future. Court of Appeal’s decision before seeking direction on next In view of the inherent difficulty of predicting the outcome steps in the criminal proceedings. In addition, a number of of legal proceedings, particularly where the claimants seek the managers have commenced civil proceedings against JPMorgan Chase Bank, N.A. The claims are separate, involve very large or indeterminate damages, or where the matters different allegations and are at various stages of present novel legal theories, involve a large number of proceedings. parties or are in early stages of discovery, JPMorgan Chase and JPMorgan Chase Bank, N.A. cannot state with * * * confidence what will be the eventual outcomes of the In addition to the various legal proceedings discussed currently pending matters, the timing of their ultimate above, JPMorgan Chase and its subsidiaries, including in resolution or the eventual losses, fines, penalties or certain cases, JPMorgan Chase Bank, N.A., are named as consequences related to those matters. JPMorgan Chase defendants or are otherwise involved in a substantial Bank, N.A. believes, based upon its current knowledge and number of other legal proceedings. JPMorgan Chase and after consultation with counsel, consideration of the JPMorgan Chase Bank, N.A. each believes it has meritorious material legal proceedings described above and after taking defenses to the claims asserted against it in its currently into account its current litigation reserves and its estimated outstanding legal proceedings and it intends to defend itself aggregate range of possible losses, that the other legal vigorously. Additional legal proceedings may be initiated proceedings currently pending against it should not have a from time to time in the future. material adverse effect on JPMorgan Chase’s Bank, N.A.’s consolidated financial condition. JPMorgan Chase Bank, N.A. notes, however, that in light of the uncertainties involved in such proceedings, there is no assurance that the ultimate resolution of these matters will not significantly exceed the reserves it has currently accrued or that a matter will not have material reputational consequences. As a result, the outcome of a particular matter may be material to JPMorgan Chase Bank, N.A.’s operating results for a particular period, depending on, among other factors, the size of the loss or liability imposed and the level of JPMorgan Chase Bank, N.A.’s income for that period.

81 Note 24 – Business changes and developments Subsequent events JPMorgan Chase Bank, N.A. has performed an evaluation of events that have occurred subsequent to June 30, 2018, and through August 1, 2018 (the date of the filing of this report). There have been no material subsequent events that occurred during such period that would require disclosure or recognition in JPMorgan Chase Bank, N.A.’s Consolidated Financial Statements as of June 30, 2018.

82 Independent Auditor’s Report

To the Board of Directors and Stockholder of JPMorgan Conclusion Chase Bank, National Association: Based on our review, we are not aware of any material modifications that should be made to the accompanying We have reviewed the accompanying consolidated interim consolidated interim financial information for it to be in financial information of JPMorgan Chase Bank, National accordance with accounting principles generally accepted in Association and its subsidiaries (the “Bank”), which the United States of America. comprise the consolidated balance sheet as of June 30, 2018, and the related consolidated statements of income, Other Matter comprehensive income, changes in stockholder’s equity and We previously audited, in accordance with auditing cash flows for the six-month periods ended June 30, 2018 standards generally accepted in the United States of and 2017. America, the consolidated balance sheet of JPMorgan Chase Bank, National Association and its subsidiaries as of Management’s Responsibility for the Consolidated Interim December 31, 2017, and the related consolidated Financial Information statements of income, comprehensive income, changes in The Bank’s management is responsible for the preparation stockholder’s equity and cash flows for the year then ended and fair presentation of the consolidated interim financial (not presented herein), and in our report dated February information in accordance with accounting principles 27, 2018 we expressed an unmodified opinion on those generally accepted in the United States of America; this consolidated financial statements. In our opinion, the responsibility includes the design, implementation, and information set forth in the accompanying consolidated maintenance of internal control sufficient to provide a balance sheet information as of December 31, 2017, is reasonable basis for the preparation and fair presentation consistent, in all material respects, with the audited of the consolidated interim financial information in consolidated balance sheet from which it has been derived. accordance with accounting principles generally accepted in the United States of America. Auditor’s Responsibility Our responsibility is to conduct our review in accordance with auditing standards generally accepted in the United August 1, 2018 States of America applicable to reviews of interim financial information. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with auditing standards generally accepted in the United States of America, the objective of which is the expression of an opinion regarding the financial information taken as a whole. Accordingly, we do not express such an opinion.

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

83 GLOSSARY OF TERMS AND ACRONYMS 2017 Annual Financial Statements: Consolidated Financial DVA: Debit valuation adjustment Statements for the year ended December 31, 2017 EC: European Commission ABS: Asset-backed securities FASB: Financial Accounting Standards Board Active foreclosures: Loans referred to foreclosure where Fannie Mae: Federal National Mortgage Association formal foreclosure proceedings are ongoing. Includes both judicial and non-judicial states. FDIC: Federal Deposit Insurance Corporation AFS: Available-for-sale Federal Reserve: The Board of the Governors of the Federal Reserve System AOCI: Accumulated other comprehensive income/(loss) FHA: Federal Housing Administration ARM(s): Adjustable rate mortgage(s) FHLB: Federal Home Loan Bank Beneficial interests issued by consolidated VIEs: represents the interest of third-party holders of debt, equity FICO score: A measure of consumer credit risk based on securities, or other obligations, issued by VIEs that information in consumer credit reports produced by Fair JPMorgan Chase Bank, N.A. consolidates. Isaac Corporation. Because certain aged data is excluded from credit reports based on rules in the Fair Credit Benefit obligation: refers to the projected benefit Reporting Act, FICO scores may not reflect all historical obligation for pension plans and the accumulated information about a consumer. postretirement benefit obligation for OPEB plans. Free-standing derivatives: is a derivative contract entered CDS: Credit default swaps into either separate and apart from any of the JPMorgan CET1 Capital: Common equity Tier 1 Capital Chase Bank, N.A.’s other financial instruments or equity transactions. Or, in conjunction with some other transaction CFTC: Commodity Futures Trading Commission and is legally detachable and separately exercisable. CLO: Collateralized loan obligations FX: Foreign exchange CLTV: Combined loan-to-value G7: “Group of Seven nations”: Countries in the G7 are Collateral-dependent: A loan is considered to be collateral- Canada, France, Germany, Italy, Japan, the U.K. and the U.S. dependent when repayment of the loan is expected to be G7 government securities: Securities issued by the provided solely by the underlying collateral, rather than by government of one of the G7 nations. cash flows from the borrower’s operations, income or other resources. Ginnie Mae: Government National Mortgage Association Credit derivatives: Financial instruments whose value is GSE: Fannie Mae and Freddie Mac derived from the credit risk associated with the debt of a HELOAN: Home equity loan third party issuer (the reference entity) which allow one HELOC: Home equity line of credit party (the protection purchaser) to transfer that risk to another party (the protection seller). Upon the occurrence Home equity – senior lien: represents loans and of a credit event by the reference entity, which may include, commitments where JPMorgan Chase Bank, N.A. holds the among other events, the bankruptcy or failure to pay its first security interest on the property. obligations, or certain restructurings of the debt of the Home equity – junior lien: represents loans and reference entity, neither party has recourse to the reference commitments where JPMorgan Chase Bank, N.A. holds a entity. The protection purchaser has recourse to the security interest that is subordinate in rank to other liens. protection seller for the difference between the face value of the CDS contract and the fair value at the time of settling HTM: Held-to-maturity the credit derivative contract. The determination as to IDI: Insured depository institutions whether a credit event has occurred is generally made by Impaired loan: Impaired loans are loans measured at the relevant International Swaps and Derivatives amortized cost, for which it is probable that JPMorgan Association (“ISDA”) Determinations Committee. Chase Bank, N.A. will be unable to collect all amounts due, Criticized: Criticized loans, lending-related commitments including principal and interest, according to the and derivative receivables that are classified as special contractual terms of the agreement. Impaired loans include mention, substandard and doubtful categories for the following: regulatory purposes and are generally consistent with a • All wholesale nonaccrual loans rating of CCC+/Caa1 and below, as defined by S&P and Moody’s. • All TDRs (both wholesale and consumer), including ones that have returned to accrual status

84 Investment-grade: An indication of credit quality based on Alt-A JPMorgan Chase Bank, N.A.’s internal risk assessment Alt-A loans are generally higher in credit quality than system. “Investment grade” generally represents a risk subprime loans but have characteristics that would profile similar to a rating of a “BBB-”/“Baa3” or better, as disqualify the borrower from a traditional prime loan. Alt-A defined by independent rating agencies. lending characteristics may include one or more of the ISDA: International Swaps and Derivatives Association following: (i) limited documentation; (ii) a high CLTV ratio; JPMorgan Chase: JPMorgan Chase & Co. (iii) loans secured by non-owner occupied properties; or (iv) a debt-to-income ratio above normal limits. A substantial JPMorgan Chase Bank, N.A.: JPMorgan Chase Bank, proportion of JPMorgan Chase Bank, N.A.’s Alt-A loans are National Association those where a borrower does not provide complete LIBOR: London Interbank Offered Rate documentation of his or her assets or the amount or source of his or her income. LTV: “Loan-to-value ratio” For residential real estate loans, the relationship, expressed as a percentage, between the Option ARMs principal amount of a loan and the appraised value of the The option ARM real estate loan product is an adjustable- collateral (i.e., residential real estate) securing the loan. rate mortgage loan that provides the borrower with the Current estimated LTV ratio option each month to make a fully amortizing, interest-only or minimum payment. The minimum payment on an option An estimate of the LTV as of a certain date. The current ARM loan is based on the interest rate charged during the estimated LTV ratios are calculated using estimated introductory period. This introductory rate is usually collateral values derived from a nationally recognized home significantly below the fully indexed rate. The fully indexed price index measured at the metropolitan statistical area rate is calculated using an index rate plus a margin. Once (“MSA”) level. These MSA-level home price indices consist of the introductory period ends, the contractual interest rate actual data to the extent available and forecasted data charged on the loan increases to the fully indexed rate and where actual data is not available. As a result, the estimated adjusts monthly to reflect movements in the index. The collateral values used to calculate these ratios do not minimum payment is typically insufficient to cover interest represent actual appraised loan-level collateral values; as accrued in the prior month, and any unpaid interest is such, the resulting LTV ratios are necessarily imprecise and deferred and added to the principal balance of the loan. should therefore be viewed as estimates. Option ARM loans are subject to payment recast, which Combined LTV ratio converts the loan to a variable-rate fully amortizing loan upon meeting specified loan balance and anniversary date The LTV ratio considering all available lien positions, as well triggers. as unused lines, related to the property. Combined LTV ratios are used for junior lien home equity products. Prime Master netting agreement: A single agreement with a Prime mortgage loans are made to borrowers with good counterparty that permits multiple transactions governed credit records who meet specific underwriting by that agreement to be terminated or accelerated and requirements, including prescriptive requirements related settled through a single payment in a single currency in the to income and overall debt levels. New prime mortgage event of a default (e.g., bankruptcy, failure to make a borrowers provide full documentation and generally have required payment or securities transfer or deliver collateral reliable payment histories. or margin when due). Subprime Measurement alternative: Measures equity securities Subprime loans are loans that, prior to mid-2008, were without readily determinable fair values at cost less offered to certain customers with one or more high risk impairment (if any), plus or minus observable price changes characteristics, including but not limited to: (i) unreliable or from an identical or similar investment of the same issuer. poor payment histories; (ii) a high LTV ratio of greater than MBS: Mortgage-backed securities 80% (without borrower-paid mortgage insurance); (iii) a high debt-to-income ratio; (iv) an occupancy type for the Moody’s: Moody’s Investor Services loan is other than the borrower’s primary residence; or (v) a Mortgage product types: history of delinquencies or late payments on the loan. MSA: Metropolitan statistical areas MSR: Mortgage servicing rights NA: Data is not applicable or available for the period presented.

85 Nonaccrual loans: Loans for which interest income is not the FASB. The guidance allows purchasers to aggregate recognized on an accrual basis. Loans (other than credit credit-impaired loans acquired in the same fiscal quarter card loans and certain consumer loans insured by U.S. into one or more pools, provided that the loans have government agencies) are placed on nonaccrual status common risk characteristics (e.g., product type, LTV ratios, when full payment of principal and interest is not expected, FICO scores, past due status, geographic location). A pool is regardless of delinquency status, or when principal and then accounted for as a single asset with a single composite interest has been in default for a period of 90 days or more interest rate and an aggregate expectation of cash flows. unless the loan is both well-secured and in the process of PSU(s): Performance share units collection. Collateral-dependent loans are typically maintained on nonaccrual status. Retained loans: Loans that are held-for-investment (i.e. excludes loans held-for-sale and loans at fair value). OCC: Office of the Comptroller of the Currency RHS: Rural Housing Service of the U.S. Department of OCI: Other comprehensive income/(loss) Agriculture OEP: One Equity Partners RWA: “Risk-weighted assets”: Basel III establishes two OPEB: Other postretirement employee benefit comprehensive approaches for calculating RWA (a OTC: “Over-the-counter derivatives”: Derivative contracts Standardized approach and an Advanced approach) which that are negotiated, executed and settled bilaterally include capital requirements for credit risk, market risk, and between two derivative counterparties, where one or both in the case of Basel III Advanced, also operational risk. Key counterparties is a derivatives dealer. differences in the calculation of credit risk RWA between the Standardized and Advanced approaches are that for Basel OTC cleared: “Over-the-counter cleared derivatives”: III Advanced, credit risk RWA is based on risk-sensitive Derivative contracts that are negotiated and executed approaches which largely rely on the use of internal credit bilaterally, but subsequently settled via a central clearing models and parameters, whereas for Basel III Standardized, house, such that each derivative counterparty is only credit risk RWA is generally based on supervisory risk- exposed to the default of that clearing house. weightings which vary primarily by counterparty type and OTTI: Other-than-temporary impairment asset class. Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III PCA: Prompt corrective action Advanced. Principal transactions revenue: Principal transactions RSU(s): Restricted stock units revenue is driven by many factors, including the bid-offer spread, which is the difference between the price at which S&P: Standard and Poor’s 500 Index JPMorgan Chase Bank, N.A. is willing to buy a financial or SAR(s): Stock appreciation rights other instrument and the price at which JPMorgan Chase Bank, N.A. is willing to sell that instrument. It also consists SEC: U.S. Securities and Exchange Commission of realized (as a result of closing out or termination of Single-name: Single reference-entities transactions, or interim cash payments) and unrealized (as SLR: Supplementary leverage ratio a result of changes in valuation) gains and losses on financial and other instruments (including those accounted SPEs: Special purpose entities for under the fair value option) primarily used in client- Structured notes: Structured notes are predominantly driven market-making activities and on private equity financial instruments containing embedded derivatives. investments. In connection with its client-driven market- Where present, the embedded derivative is the primary making activities, JPMorgan Chase Bank, N.A. transacts in driver of risk. debt and equity instruments, derivatives and commodities (including physical commodities inventories and financial Suspended foreclosures: Loans referred to foreclosure instruments that reference commodities). Principal where formal foreclosure proceedings have started but are transactions revenue also includes certain realized and currently on hold, which could be due to bankruptcy or loss unrealized gains and losses related to hedge accounting and mitigation. Includes both judicial and non-judicial states. specified risk-management activities, including: (a) certain TDR: “Troubled debt restructuring” is deemed to occur derivatives designated in qualifying hedge accounting when JPMorgan Chase Bank, N.A. modifies the original relationships (primarily fair value hedges of commodity and terms of a loan agreement by granting a concession to a foreign exchange risk), (b) certain derivatives used for borrower that is experiencing financial difficulty. specific risk management purposes, primarily to mitigate U.K.: United Kingdom credit risk and foreign exchange risk, and (c) other derivatives. Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to PCI: “Purchased credit-impaired” loans represents certain permit an independent certified public accountant to loans that were acquired and deemed to be credit-impaired express an opinion. on the acquisition date in accordance with the guidance of

86 U.S.: United States of America U.S. GAAP: Accounting principles generally accepted in the United States of America. U.S. GSE(s): “U.S. government-sponsored enterprises”: In the U.S., GSEs are quasi-governmental, privately-held entities established by Congress to improve the flow of credit to specific sectors of the economy and provide certain essential services to the public. U.S. GSEs include Fannie Mae and Freddie Mac, but do not include Ginnie Mae, which is directly owned by the U.S. Department of Housing and Urban Development. U.S. GSE obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government. U.S. Treasury: U.S. Department of the Treasury VA: U.S. Department of Veterans Affairs VIEs: Variable interest entities Warehouse loans: consist of prime mortgages originated with the intent to sell that are accounted for at fair value and classified as trading assets.

87 JPMORGAN CHASE BANK, NATIONAL ASSOCIATION (a wholly-owned subsidiary of JPMorgan Chase & Co.)

CONSOLIDATED FINANCIAL STATEMENTS For the three years ended December 31, 2017 FOR THE THREE YEARS ENDED DECEMBER 31, 2017

Page

Independent Auditor’s Report ...... 1

Consolidated Financial Statements: Consolidated Statements of Income...... 2 Consolidated Statements of Comprehensive Income ...... 3 Consolidated Balance Sheets...... 4 Consolidated Statements of Changes in Stockholder’s Equity ...... 5 Consolidated Statements of Cash Flows...... 6 Notes to Consolidated Financial Statements...... 7-132

Supplementary Information (unaudited): Glossary of Terms and Acronyms ...... 133-137

Report of Independent Auditors To the Board of Directors and Stockholder of JPMorgan Chase Bank, National Association We have audited the accompanying consolidated financial statements of JPMorgan Chase Bank, National Association and its subsidiaries, which comprise the consolidated balance sheets as of December 31, 2017 and 2016, and the related consolidated statements of income, comprehensive income, changes in stockholder’s equity and cash flows for each of the three years in the period ended December 31, 2017. Management’s Responsibility for the Consolidated Financial Statements Management is responsible for the preparation and fair presentation of the consolidated financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of consolidated financial statements that are free from material misstatement, whether due to fraud or error. Auditors’ Responsibility Our responsibility is to express an opinion on the consolidated financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the consolidated financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the consolidated financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Company’s preparation and fair presentation of the consolidated financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Company’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of JPMorgan Chase Bank, National Association and its subsidiaries as of December 31, 2017 and 2016, and the results of its operations and its cash flows for each of the three years in the period ended December 31, 2017 in accordance with accounting principles generally accepted in the United States of America.

February 27, 2018

PricewaterhouseCoopers LLP 300 Madison Avenue New York, NY 10017

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 1 Consolidated statements of income JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Year ended December 31, (in millions) 2017 2016 2015 Revenue Investment banking fees $ 3,419 $ 2,699 $ 1,931 Principal transactions 9,880 9,963 9,085 Lending- and deposit-related fees 5,940 5,780 5,693 Asset management, administration and commissions 11,730 11,133 11,263 Securities gains/(losses) (73) 130 202 Mortgage fees and related income 1,616 2,487 2,513 Card income 4,510 4,246 4,333 Other income 4,771 4,806 4,671 Noninterest revenue 41,793 41,244 39,691 Interest income 48,099 41,584 37,425 Interest expense 7,067 4,642 3,736 Net interest income 41,032 36,942 33,689 Total net revenue 82,825 78,186 73,380

Provision for credit losses 1,845 2,486 1,376

Noninterest expense Compensation expense 24,291 23,240 23,128 Occupancy expense 3,450 3,301 3,438 Technology, communications and equipment expense 7,256 6,390 5,747 Professional and outside services 5,066 4,989 5,268 Marketing 949 881 796 Other expense 10,304 9,659 10,719 Total noninterest expense 51,316 48,460 49,096 Income before income tax expense 29,664 27,240 22,908 Income tax expense 10,734 7,868 5,980 Net income $ 18,930 $ 19,372 $ 16,928

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

2 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Consolidated statements of comprehensive income JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Year ended December 31, (in millions) 2017 2016 2015 Net income $ 18,930 $ 19,372 $ 16,928 Other comprehensive income/(loss), after–tax Unrealized gains/(losses) on investment securities 687 (1,037) (2,104) Translation adjustments, net of hedges (309) 4 (17) Cash flow hedges 176 (55) 46 Defined benefit pension and OPEB plans 11 (27) 139 DVA on fair value option elected liabilities (55) (51) — Total other comprehensive income/(loss), after–tax 510 (1,166) (1,936) Comprehensive income $ 19,440 $ 18,206 $ 14,992

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

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 3 Consolidated balance sheets JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

December 31, (in millions, except share data) 2017 2016 Assets Cash and due from banks $ 21,890 $ 21,202 Deposits with banks 439,989 388,655 Federal funds sold and securities purchased under resale agreements (included $2,894 and $5,349 at fair value) 155,214 172,607 Securities borrowed (included $3,049 and $0 at fair value) 39,009 32,497 Trading assets (included assets pledged of $49,939 and $51,303) 249,223 245,329 Securities (included $199,364 and $234,870 at fair value and assets pledged of $23,170 and $19,116) 247,097 285,038 Loans (included $2,508 and $2,228 at fair value) 826,213 792,119 Allowance for loan losses (10,081) (10,715) Loans, net of allowance for loan losses 816,132 781,404 Accrued interest and accounts receivable 48,063 40,805 Premises and equipment 13,481 13,491 Goodwill, MSRs and other intangible assets 33,570 33,396 Other assets (included $7,454 and $41 at fair value and assets pledged of $1,465 and $1,429) 77,110 68,379 Total assets(a) $ 2,140,778 $ 2,082,803 Liabilities Deposits (included $21,380 and $13,965 at fair value) $ 1,534,907 $ 1,480,238 Federal funds purchased and securities loaned or sold under repurchase agreements (included $3,405 and $399 at fair value) 94,692 74,778 Short-term borrowings (included $5,577 and $5,571 at fair value) 8,993 12,179 Trading liabilities 96,737 111,700 Accounts payable and other liabilities (included $7,454 and $7,494 at fair value) 91,200 84,239 Beneficial interests issued by consolidated variable interest entities 4,853 7,451 Long-term debt (included $21,401 and $14,936 at fair value) 97,711 107,131 Total liabilities(a) 1,929,093 1,877,716 Commitments and contingencies (see Notes 25, 26 and 27) Stockholder’s equity Preferred stock ($1 par value; authorized 15,000,000 shares: issued 0 shares) — — Common stock ($12 par value; authorized 200,000,000 shares; issued 148,761,243 shares) 1,785 1,785 Additional paid-in capital 94,283 94,125 Retained earnings 114,242 108,312 Accumulated other comprehensive income 1,375 865 Total stockholder’s equity 211,685 205,087 Total liabilities and stockholder’s equity $ 2,140,778 $ 2,082,803 (a) The following table presents information on assets and liabilities related to variable interest entities (“VIEs”) that are consolidated by JPMorgan Chase Bank, N.A. at December 31, 2017 and 2016. The difference between total VIE assets and liabilities represents JPMorgan Chase Bank, N.A.’s interests in those entities, which were eliminated in consolidation.

December 31, (in millions) 2017 2016 Assets Trading assets $ 1,380 $ 2,655 Loans 27,072 29,695 All other assets 1,698 2,150 Total assets $ 30,150 $ 34,500 Liabilities Beneficial interests issued by consolidated variable interest entities $ 4,853 $ 7,451 All other liabilities 254 377 Total liabilities $ 5,107 $ 7,828

The assets of the consolidated VIEs are used to settle the liabilities of those entities. The holders of the beneficial interests do not have recourse to the general credit of JPMorgan Chase Bank, N.A. At December 31, 2017 and 2016, JPMorgan Chase Bank, N.A. provided limited program-wide credit enhancement of $2.7 billion and $2.4 billion, respectively, related to its JPMorgan Chase Bank, N.A.-administered multi-seller conduits, which are eliminated in consolidation. For further discussion, see Note 15.

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

4 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Consolidated statements of changes in stockholder’s equity JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Year ended December 31, (in millions) 2017 2016 2015 Common stock Balance at January 1 and December 31 $ 1,785 $ 1,785 $ 1,785 Additional paid-in capital Balance at January 1 94,125 92,782 90,801 Cash capital contribution from JPMorgan Chase & Co. — 327 4 Adjustments to capital due to transactions with JPMorgan Chase & Co. 158 1,016 1,977 Balance at December 31 94,283 94,125 92,782 Retained earnings Balance at January 1 108,312 98,951 89,082 Cumulative effect of change in accounting principle — (11) — Net income 18,930 19,372 16,928 Cash dividends paid to JPMorgan Chase & Co. (13,000) (10,000) (8,000) Net internal legal entity mergers — — 941 Balance at December 31 114,242 108,312 98,951 Accumulated other comprehensive income Balance at January 1 865 2,020 3,956 Cumulative effect of change in accounting principle — 11 — Other comprehensive income/(loss) 510 (1,166) (1,936) Balance at December 31 1,375 865 2,020 Total stockholder’s equity $ 211,685 $ 205,087 $ 195,538

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

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 5 Consolidated statements of cash flows JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Year ended December 31, (in millions) 2017 2016 2015 Operating activities Net income $ 18,930 $ 19,372 $ 16,928 Adjustments to reconcile net income to net cash provided by/(used in) operating activities: Provision for credit losses 1,845 2,486 1,376 Depreciation and amortization 5,863 5,144 4,559 Deferred tax expense (105) 1,964 1,050 Other 73 (130) (202) Originations and purchases of loans held-for-sale (94,628) (61,107) (49,197) Proceeds from sales, securitizations and paydowns of loans held-for-sale 93,264 60,196 50,451 Net change in: Trading assets 9,927 2,955 38,192 Securities borrowed (6,462) (6,977) 7,106 Accrued interest and accounts receivable (7,741) (4,535) 1,623 Other assets (1,414) 4,936 (486) Trading liabilities (28,084) 6,156 (22,417) Accounts payable and other liabilities 1,118 (14) (1,938) Other operating adjustments 4,341 7,099 1,024 Net cash provided by/(used in) operating activities (3,073) 37,545 48,069 Investing activities Net change in: Deposits with banks (51,334) (72,305) 164,927 Federal funds sold and securities purchased under resale agreements 17,415 (24,180) (6,666) Held-to-maturity securities: Proceeds from paydowns and maturities 4,563 6,218 6,099 Purchases (2,349) (143) (6,204) Available-for-sale securities: Proceeds from paydowns and maturities 55,583 65,478 76,303 Proceeds from sales 89,418 45,853 37,362 Purchases (105,134) (122,253) (68,027) Proceeds from sales and securitizations of loans held-for-investment 15,791 15,429 17,975 Other changes in loans, net (56,535) (77,085) (104,819) All other investing activities, net (101) (286) 2,544 Net cash provided by/(used in) investing activities (32,683) (163,274) 119,494 Financing activities Net change in: Deposits 42,875 169,139 (131,456) Federal funds purchased and securities loaned or sold under repurchase agreements 19,877 (2,472) (17,057) Short-term borrowings (4,412) (17,971) (8,103) Beneficial interests issued by consolidated variable interest entities (988) (926) (5,587) Proceeds from long-term borrowings 20,511 37,406 16,728 Payments of long-term borrowings (30,200) (47,987) (22,719) Cash capital contribution from JPMorgan Chase & Co. — 327 4 Dividends paid to JPMorgan Chase & Co. (13,000) (10,000) (8,000) All other financing activities, net 1,698 200 1,620 Net cash provided by/(used in) financing activities 36,361 127,716 (174,570) Effect of exchange rate changes on cash and due from banks 83 (144) (271) Net increase/(decrease) in cash and due from banks 688 1,843 (7,278) Cash and due from banks at the beginning of the period 21,202 19,359 26,637 Cash and due from banks at the end of the period $ 21,890 $ 21,202 $ 19,359 Cash interest paid $ 6,978 $ 4,552 $ 3,366 Cash income taxes paid, net(a) 3,736 3,613 8,272

(a) Includes $1.5 billion, $2.6 billion, and $7.5 billion paid to JPMorgan Chase & Co. in 2017, 2016 and 2015, respectively.

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

6 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 1 – Overview and basis of presentation JPMorgan Chase Bank, National Association (“JPMorgan JPMorgan Chase is subject to comprehensive consolidated Chase Bank, N.A.”), is a wholly-owned bank subsidiary of supervision, regulation and examination by the Federal JPMorgan Chase & Co. (“JPMorgan Chase”), which is a Reserve. The Federal Reserve acts as an “umbrella leading global financial services firm and one of the largest regulator” and certain of JPMorgan Chase’s subsidiaries are banking institutions in the United States of America regulated directly by additional regulatory authorities (“U.S.”), with operations worldwide. JPMorgan Chase Bank, based on the particular activities of those subsidiaries. For N.A. is a national banking association that is chartered by example, JPMorgan Chase’s national bank subsidiaries, the office of the Comptroller of the Currency (“OCC”), a JPMorgan Chase Bank, N.A. and Chase Bank USA, N.A., are bureau of the United States Department of the Treasury. subject to supervision and regulation by the OCC and, with JPMorgan Chase Bank, N.A.’s main office is located in respect to certain matters, by the Federal Reserve and the Columbus, Ohio, and it has retail branches in 23 states. Federal Deposit Insurance Corporation (the “FDIC”). Certain JPMorgan Chase Bank, N.A. operates nationally as well as non-bank subsidiaries, such as JPMorgan Chase’s U.S. through non-U.S. bank branches and subsidiaries, and broker-dealers, are subject to supervision and regulation by representative offices. JPMorgan Chase Bank, N.A. either the Securities and Exchange Commission (the “SEC”) and, directly or through such offices, branches and subsidiaries subsidiaries that engage in certain futures-related and offers a wide range of banking services to its U.S. and non- swaps-related activities are subject to supervision and U.S. customers including investment banking, financial regulation by the Commodity Futures Trading Commission services for consumers and small businesses, commercial (“CFTC”). J.P. Morgan Securities plc, is a U.K. bank licensed banking, financial transactions processing and asset within the European Economic Area (the “EEA”) to management. Under the J.P. Morgan and Chase brands, undertake all banking activity and is regulated by the U.K. JPMorgan Chase Bank, N.A. serves millions of customers in Prudential Regulation Authority (the “PRA”), a subsidiary of the U.S. and many of the world’s most prominent corporate, the Bank of England which has responsibility for prudential institutional and government clients. regulation of banks and other systemically important The JPMorgan Chase Bank, N.A. Board of Directors is institutions, and by the U.K. Financial Conduct Authority responsible for the oversight of the management of (“FCA”), which regulates conduct matters for all market JPMorgan Chase Bank, N.A. The JPMorgan Chase Bank, N.A. participants. JPMorgan Chase’s other non-U.S. subsidiaries Board accomplishes this function acting directly and are regulated by the banking and securities regulatory through the principal standing committees of JPMorgan authorities in the countries in which they operate. See Chase’s Board of Directors. Risk and control oversight on Securities and broker-dealer regulation, Investment behalf of JPMorgan Chase Bank N.A. is primarily the management regulation and Derivatives regulation below. responsibility of the Directors’ Risk Policy Committee In addition, JPMorgan Chase’s consumer activities are (“DRPC”) and Audit Committee of JPMorgan Chase’s Board subject to supervision and regulation by the Consumer of Directors, respectively, and, with respect to Financial Protection Bureau (“CFPB”) and to regulation compensation and other management-related matters, the under various state statutes which are enforced by the Compensation & Management Development Committee of respective state’s Attorney General. JPMorgan Chase’s Board of Directors. Scope of permissible business activities. The Bank Holding The accounting and financial reporting policies of JPMorgan Company Act generally restricts BHCs from engaging in Chase Bank, N.A. and its subsidiaries conform to accounting business activities other than the business of banking and principles generally accepted in the U.S. (“U.S. GAAP”). certain closely-related activities. Financial holding Additionally, where applicable, the policies conform to the companies generally can engage in a broader range of accounting and reporting guidelines prescribed by financial activities than are otherwise permissible for BHCs, regulatory authorities. including underwriting, dealing and making markets in securities, and making merchant banking investments in Certain amounts reported in prior periods have been non-financial companies. The Federal Reserve has the reclassified to conform with the current presentation. authority to limit a financial holding company’s ability to Supervision and regulation conduct otherwise permissible activities if the financial JPMorgan Chase and its subsidiaries (including JPMorgan holding company or any of its depository institution Chase Bank, N.A.) are subject to extensive and subsidiaries ceases to meet the applicable eligibility comprehensive regulation under state and federal laws in requirements (including requirements that the financial the U.S., as well as the applicable laws of each of the holding company and each of its U.S. depository institution various jurisdictions outside the U.S. in which JPMorgan subsidiaries maintain their status as “well-capitalized” and Chase does business. “well-managed”). The Federal Reserve may also impose Financial holding company: corrective capital and/or managerial requirements on the Consolidated supervision by the Board of Governors of the financial holding company and may, for example, require Federal Reserve System (the “Federal Reserve”). As a bank divestiture of the holding company’s depository institutions holding company (“BHC”) and a financial holding company, if the deficiencies persist. Federal regulations also provide

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 7 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) that if any depository institution controlled by a financial requirements between Standardized and Advanced holding company fails to maintain a satisfactory rating approaches. The Basel III Reforms include revisions to both under the Community Reinvestment Act, the Federal the standardized and internal ratings-based approach for Reserve must prohibit the financial holding company and its credit risk, streamlining of the available approaches under subsidiaries from engaging in any activities other than those the credit valuation adjustment (“CVA”) framework, a permissible for bank holding companies. In addition, a revised approach for operational risk, revisions to the financial holding company must obtain Federal Reserve measurement and calibration of the leverage ratio, and a approval before engaging in certain banking and other capital floor based on 72.5% of the revised Standardized financial activities both in the U.S. and internationally, as approaches. The Basel Committee expects national further described under Regulation of acquisitions below. regulatory authorities to implement the Basel III Reforms in Activities restrictions under the Volcker Rule. Section 619 the laws of their respective jurisdictions and to require (the “Volcker Rule”) of the Wall Street Reform and banking organizations subject to such laws to meet most of Consumer Protection Act (the “Dodd-Frank Act”) prohibits the revised requirements by January 1, 2022, with certain banking entities, including JPMorgan Chase, from engaging elements being phased in through January 1, 2027. U.S. in certain “proprietary trading” activities, subject to banking regulators will now propose requirements exceptions for underwriting, market-making, risk-mitigating applicable to U.S. financial institutions. hedging and certain other activities. In addition, the Volcker Stress tests. The Federal Reserve has adopted supervisory Rule limits the sponsorship of, and investment in, “covered stress tests for large bank holding companies, including funds” (as defined by the Volcker Rule) and imposes limits JPMorgan Chase, which form part of the Federal Reserve’s on certain transactions between JPMorgan Chase and its annual Comprehensive Capital Analysis and Review sponsored funds (see JPMorgan Chase’s subsidiary banks — (“CCAR”) framework. Under the framework, JPMorgan Restrictions on transactions with affiliates below). The Chase must conduct semi-annual company-run stress tests period during which banking entities were required to bring and, in addition, must submit an annual capital plan to the covered funds into conformance with the Volcker Rule Federal Reserve, taking into account the results of separate ended on July 21, 2017. The Volcker Rule requires banking stress tests designed by JPMorgan Chase and the Federal entities to establish comprehensive compliance programs Reserve. In reviewing JPMorgan Chase’s capital plan, the reasonably designed to help ensure and monitor Federal Reserve considers both quantitative and qualitative compliance with the restrictions under the Volcker Rule, factors. Qualitative assessments include, among other including, in order to distinguish permissible from things, the comprehensiveness of the plan, the assumptions impermissible risk-taking activities, the measurement, and analysis underlying the plan, and the extent to which monitoring and reporting of certain key metrics. JPMorgan Chase has satisfied certain supervisory matters Capital and liquidity requirements. The Federal Reserve related to JPMorgan Chase’s processes and analyses, establishes capital and leverage requirements for JPMorgan including the design and operational effectiveness of the Chase and evaluates its compliance with such requirements. controls governing such processes. Moreover, JPMorgan The OCC establishes similar capital and leverage Chase is required to receive a notice of non-objection from requirements for JPMorgan Chase’s national banking the Federal Reserve before taking capital actions, such as subsidiaries. Under Basel III, bank holding companies and paying dividends, implementing common equity repurchase banks are required to measure their liquidity against two programs or redeeming or repurchasing capital specific liquidity tests: the liquidity coverage ratio (“LCR”) instruments. The OCC requires JPMorgan Chase Bank, N.A. and the net stable funding ratio (“NSFR”). In the U.S., the to perform separate, similar annual stress tests. JPMorgan final LCR rule (“U.S. LCR”) became effective on January 1, Chase publishes each year the results of its mid-cycle stress 2015. In April 2016, the U.S. banking regulators issued a tests under JPMorgan Chase’s internally-developed proposed rule for NSFR, but no final rule has been issued. “severely adverse” scenario and the results of its (and its On December 19, 2016, the Federal Reserve published final two primary subsidiary banks’) annual stress tests under U.S. LCR public disclosure requirements. Beginning in the the supervisory “severely adverse” scenarios provided by second quarter of 2017, JPMorgan Chase began disclosing the Federal Reserve and the OCC. JPMorgan Chase is its consolidated LCR pursuant to the U.S. LCR rule. On required to file its 2018 annual CCAR submission on April 5, September 8, 2016, the Federal Reserve published the 2018. Results will be published by the Federal Reserve by framework that will apply to the setting of the June 30, 2018, with disclosures of results by BHCs, countercyclical capital buffer. The Federal Reserve reviews including JPMorgan Chase, to follow within 15 days. The the amount of this buffer at least annually, and on mid-cycle capital stress test submissions are due on October December 1, 2017, the Federal Reserve reaffirmed setting 5, 2018 and BHCs, including JPMorgan Chase, will publish this buffer at 0%. Banking supervisors globally continue to results by November 4, 2018. In December 2017, the consider refinements and enhancements to the Basel III Federal Reserve released a set of proposals intended to capital framework for financial institutions. On December 7, provide more detailed disclosure and transparency 2017, the Basel Committee issued Basel III: Finalizing post- concerning the Federal Reserve’s approach, design and crisis reforms (“Basel III Reforms”), which seeks to reduce governance of the supervisory stress testing process. The excessive variability in RWA and converge capital proposals were open for public comment through January 22, 2018.

8 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Enhanced prudential standards. The Financial Stability JPMorgan Chase’s non-U.S. subsidiaries are subject to Oversight Council (“FSOC”), among other things, resolution and recovery planning requirements in the recommends prudential standards and reporting and jurisdictions in which they operate. disclosure requirements to the Federal Reserve for Regulators in the U.S. and abroad have proposed and systemically important financial institutions (“SIFIs”), such implemented measures designed to address the possibility as JPMorgan Chase. The Federal Reserve has adopted or perception that large financial institutions, including several rules to implement the heightened prudential JPMorgan Chase, may be “too big to fail,” and to provide standards, including final rules relating to risk management safeguards so that, if a large financial institution does fail, it and corporate governance of subject BHCs. BHCs with $50 can be resolved without the use of public funds. Higher billion or more in total consolidated assets are required to capital surcharges on global systemically important banks comply with enhanced liquidity and overall risk (“GSIBs”), requirements for certain large bank holding management standards, and their boards of directors are companies to maintain a minimum amount of long-term required to conduct appropriate oversight of their risk debt to facilitate orderly resolution of those firms (referred management activities. to as Total Loss Absorbing Capacity (“TLAC”)), and the Orderly liquidation authority and resolution and recovery. International Swaps and Derivatives Association (“ISDA”) The FDIC requires each insured depository institution protocol relating to the “close-out” of derivatives (“IDI”) with $50 billion or more in assets, such as JPMorgan transactions during the resolution of a large cross-border Chase Bank, N.A. and Chase Bank USA, N.A., to provide an financial institution, are examples of initiatives to address IDI resolution plan. “too big to fail.” For further information on the ISDA close- In addition, as a BHC with assets of $50 billion or more, out protocol, see Derivatives regulation below. JPMorgan Chase is required to submit periodically to the Holding company as source of strength for bank subsidiaries. Federal Reserve and the FDIC a plan for resolution under JPMorgan Chase & Co. is required to serve as a source of the Bankruptcy Code in the event of material distress or financial strength for its depository institution subsidiaries failure (a “resolution plan”). On December 19, 2017, the and to commit resources to support those subsidiaries. This Federal Reserve and the FDIC announced joint support may be required by the Federal Reserve at times determinations on the 2017 resolution plans of eight when JPMorgan Chase might otherwise determine not to systemically important domestic banking institutions, provide it. including that of JPMorgan Chase, and extended the filing Regulation of acquisitions. Acquisitions by bank holding deadline for the next resolution plan for each of these companies and their banks are subject to multiple entities until July 1, 2019. The agencies determined that requirements by the Federal Reserve and the OCC. For JPMorgan Chase’s 2017 resolution plan did not have any example, financial holding companies and bank holding “deficiencies,” which are weaknesses severe enough to companies are required to obtain the approval of the trigger a resubmission process that could result in more Federal Reserve before they may acquire more than 5% of stringent requirements, or any “shortcomings,” which are the voting shares of an unaffiliated bank. In addition, less-severe weaknesses that would need to be addressed in acquisitions by financial companies are prohibited if, as a the next resolution plan. result of the acquisition, the total liabilities of the financial Certain financial companies, including JPMorgan Chase and company would exceed 10% of the total liabilities of all certain of its subsidiaries, can also be subjected to financial companies. In addition, for certain acquisitions, resolution under an “orderly liquidation authority.” The U.S. JPMorgan Chase must provide written notice to the Federal Treasury Secretary, in consultation with the President of the Reserve prior to acquiring direct or indirect ownership or United States, must first make certain extraordinary control of any voting shares of any company with over $10 financial distress and systemic risk determinations, and billion in assets that is engaged in activities that are action must be recommended by the FDIC and the Federal “financial in nature.” Reserve. Absent such actions, JPMorgan Chase, as a BHC, JPMorgan Chase’s subsidiary banks: would remain subject to resolution under the Bankruptcy JPMorgan Chase’s two principal subsidiary banks, JPMorgan Code. In December 2013, the FDIC issued a draft policy Chase Bank, N.A. and Chase Bank USA, N.A., are FDIC- statement describing its “single point of entry” strategy for insured national banks regulated by the OCC. As national resolution of systemically important financial institutions banks, the activities of JPMorgan Chase Bank, N.A. and under the orderly liquidation authority. This strategy seeks Chase Bank USA, N.A. are limited to those specifically to keep operating subsidiaries of the BHC open and impose authorized under the National Bank Act and related losses on shareholders and creditors of the holding interpretations by the OCC. company in receivership according to their statutory order FDIC deposit insurance. The FDIC deposit insurance fund of priority. provides insurance coverage for certain deposits and is The OCC has published guidelines establishing standards for funded through assessments on banks, such as JPMorgan recovery planning by insured national banks, and JPMorgan Chase Bank, N.A. and Chase Bank USA, N.A. Changes in the Chase Bank, N.A. and Chase Bank USA, N.A. have submitted methodology used to calculate such assessments, resulting their recovery plans to the OCC. In addition, certain of from the enactment of the Dodd-Frank Act, significantly

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 9 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) increased the assessments that JPMorgan Chase’s bank subsidiaries unless the loans are secured in specified subsidiaries pay annually to the FDIC. The FDIC instituted a amounts and comply with certain other requirements. For new assessment surcharge on insured depository more information, see Note 24. In addition, the Volcker Rule institutions with total consolidated assets greater than $10 imposes a prohibition on such transactions between any billion in order to raise the reserve ratio for the FDIC JPMorgan Chase entity and covered funds for which a deposit insurance fund. JPMorgan Chase entity serves as the investment manager, FDIC powers upon a bank insolvency. Upon the insolvency of investment advisor, commodity trading advisor or sponsor, an insured depository institution, such as JPMorgan Chase as well as, subject to a limited exception, any covered fund Bank, N.A., the FDIC could be appointed as the conservator controlled by such funds. or receiver under the Federal Deposit Insurance Act Dividend restrictions. Federal law imposes limitations on the (“FDIA”). The FDIC has broad powers to transfer any assets payment of dividends by national banks, such as JPMorgan and liabilities without the approval of the institution’s Chase Bank, N.A. See Note 23 for the amount of dividends creditors. that JPMorgan Chase Bank, N.A. could pay, at January 1, Cross-guarantee. An FDIC-insured depository institution can 2018, to JPMorgan Chase without the approval of its be held liable for any loss incurred or expected to be banking regulators. incurred by the FDIC if another FDIC-insured institution that In addition to the dividend restrictions described above, the is under common control with such institution is in default OCC and the Federal Reserve have authority to prohibit or or is deemed to be “in danger of default” (commonly limit the payment of dividends of the bank subsidiaries they referred to as “cross-guarantee” liability). An FDIC cross- supervise, if, in the banking regulator’s opinion, payment of guarantee claim against a depository institution is generally a dividend would constitute an unsafe or unsound practice superior in right of payment to claims of the holding in light of the financial condition of the bank. company and its affiliates against such depository Depositor preference. Under federal law, the claims of a institution. receiver of an insured depository institution for Prompt corrective action and early remediation. The Federal administrative expense and the claims of holders of U.S. Deposit Insurance Corporation Improvement Act of 1991 deposit liabilities (including the FDIC and deposits in non- requires the relevant federal banking regulator to take U.S. branches that are dually payable in the U.S. and in a “prompt corrective action” with respect to a depository non-U.S. branch) have priority over the claims of other institution if that institution does not meet certain capital unsecured creditors of the institution, including public adequacy standards. While these regulations apply only to noteholders and depositors in non-U.S. branches. As a banks, such as JPMorgan Chase Bank, N.A. and Chase Bank result, such persons could receive substantially less than USA, N.A., the Federal Reserve is authorized to take the depositors in U.S. offices of the depository institution. appropriate action against the parent BHC, such as CFPB regulation and supervision, and other consumer JPMorgan Chase & Co., based on the undercapitalized status regulations. JPMorgan Chase and its national bank of any bank subsidiary. In certain instances, the BHC would subsidiaries, including JPMorgan Chase Bank, N.A. and be required to guarantee the performance of the capital Chase Bank USA, N.A., are subject to supervision and restoration plan for its undercapitalized subsidiary. regulation by the CFPB with respect to federal consumer OCC Heightened Standards. The OCC has established protection laws, including laws relating to fair lending and guidelines setting forth heightened standards for large the prohibition of unfair, deceptive or abusive acts or banks. The guidelines establish minimum standards for the practices in connection with the offer, sale or provision of design and implementation of a risk governance framework consumer financial products and services. These laws for banks. While the bank can use certain components of include the Truth-in-Lending, Equal Credit Opportunity Act the parent company’s risk governance framework, the (“ECOA”), Fair Credit Reporting, Fair Debt Collection framework must ensure that the bank’s risk profile is easily Practice, Electronic Funds Transfer, Credit Card distinguished and separate from the parent for risk Accountability, Responsibility and Disclosure (“CARD”) and management purposes. The bank’s board or risk committee Home Mortgage Disclosure Acts. The CFPB has authority to is responsible for approving the bank’s risk governance impose new disclosure requirements for certain consumer framework, providing active oversight of the bank’s risk- financial products and services. The CFPB’s rule-making taking activities, and holding management accountable for efforts have addressed mortgage-related topics, including adhering to the risk governance framework. ability to repay and qualified mortgage standards, Restrictions on transactions with affiliates. The bank mortgage servicing standards, loan originator subsidiaries of JPMorgan Chase (including subsidiaries of compensation standards, high-cost mortgage requirements, those banks) are subject to certain restrictions imposed by Home Mortgage Disclosure Act requirements, appraisal and federal law on extensions of credit to, investments in stock escrow standards and requirements for higher-priced or securities of, and derivatives, securities lending and mortgages. The CFPB continues to issue informal guidance certain other transactions with, JPMorgan Chase & Co. and on a variety of topics (such as the collection of consumer certain other affiliates. These restrictions prevent JPMorgan debts and credit card marketing practices). Other areas of Chase & Co. and other affiliates from borrowing from such focus include sales incentives, pre-authorized electronic funds transfers, “add-on” products, matters involving

10 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements consumer populations considered vulnerable by the CFPB, DOL have been delayed until July 1, 2019. Furthermore, the credit reporting, and the furnishing of credit scores to DOL is performing a review of the rule and the related individuals. As part of its regulatory oversight, the CFPB has exemptions in accordance with a February 2017 authority to take enforcement actions against firms that memorandum from the President. Subject to the outcome offer certain products and services to consumers, including of the DOL’s review, it is expected that the rule and related JPMorgan Chase. prohibited transaction exemptions will have a significant Securities and broker-dealer regulation: impact on the fee and compensation practices at financial JPMorgan Chase conducts securities underwriting, dealing institutions that offer investment advice to retail retirement and brokerage activities in the U.S. through J.P. Morgan clients. In addition to the impact of the DOL’s fiduciary rule, Securities LLC and other non-bank broker-dealer JPMorgan Chase’s asset and wealth management businesses subsidiaries, all of which are subject to regulations of the may be affected by ongoing rule-making and SEC, the Financial Industry Regulatory Authority and the implementation of new regulations by the SEC and certain New York Stock Exchange, among others. JPMorgan Chase U.S. states relating to enhanced standards of conduct for conducts similar securities activities outside the U.S. subject broker-dealers and certain other market participants. to local regulatory requirements. In the U.K., those In the European Union (“EU”), substantial revisions to the activities are conducted by J.P. Morgan Securities plc, a Markets in Financial Instruments Directive (“MiFID II”) subsidiary of JPMorgan Chase Bank, N.A., and are regulated became effective across EU member states beginning by the PRA and the FCA. Broker-dealers are subject to laws January 3, 2018. These revisions introduced expanded and regulations covering all aspects of the securities requirements for a broad range of investment management business, including sales and trading practices, securities activities, including product governance, transparency on offerings, publication of research reports, use of customers’ costs and charges, independent investment advice, funds, the financing of clients’ purchases, capital structure, inducements, record keeping and client reporting. In record-keeping and retention, and the conduct of their addition, final regulations on European Money Market Fund directors, officers and employees. In addition, rules adopted Reform were published in July 2017 and, following an 18- by the U.S. Department of Labor (“DOL”) have imposed month transition period for existing funds, will implement (among other things) a new standard of care applicable to new requirements to enhance the liquidity and stability of broker-dealers when dealing with customers. For more information see Investment management regulation below. money market funds in the EU. Derivatives regulation: Investment management regulation: JPMorgan Chase is subject to comprehensive regulation of JPMorgan Chase’s asset and wealth management businesses its derivatives businesses. The regulations impose capital are subject to significant regulation in numerous and margin requirements (including the collecting and jurisdictions around the world relating to, among other posting of variation margin and initial margin in respect of things, the safeguarding and management of client assets, non-centrally cleared derivatives), require central clearing offerings of funds and marketing activities. Certain of of standardized over-the-counter (“OTC”) derivatives, JPMorgan Chase’s subsidiaries are registered with, and require that certain standardized over-the-counter swaps be subject to oversight by, the SEC as investment advisers. As traded on regulated trading venues, and provide for such, JPMorgan Chase’s registered investment advisers are reporting of certain mandated information. In addition, the subject to the fiduciary and other obligations imposed Dodd-Frank Act requires the registration of “swap dealers” under the Investment Advisers Act of 1940 and the rules and “major swap participants” with the CFTC and of and regulations promulgated thereunder, as well as various “security-based swap dealers” and “major security-based state securities laws. For information regarding swap participants” with the SEC. JPMorgan Chase Bank, investigations and litigation in connection with disclosures N.A., J.P. Morgan Securities LLC, J.P. Morgan Securities plc to clients related to proprietary products, see Note 27. and J.P. Morgan Ventures Energy Corporation have JPMorgan Chase’s asset and wealth management businesses registered with the CFTC as swap dealers, and JPMorgan continue to be affected by ongoing rule-making and Chase Bank, N.A., J.P. Morgan Securities LLC and J.P. Morgan implementation of new regulations. The DOL’s fiduciary Securities plc may be required to register with the SEC as rule, which became effective June 9, 2017, has significantly security-based swap dealers. As a result of their registration expanded the universe of persons viewed as investment as swap dealers or security-based swap dealers, these advice fiduciaries to retirement plans and individual entities will be subject to a comprehensive regulatory retirement accounts (“IRAs”) under the Employee framework applicable to their swap or security-based swap Retirement Income Security Act of 1974, as amended activities, which includes capital requirements, rules (“ERISA”). The prohibited transaction exemptions issued in regulating their swap activities, rules requiring the connection with the rule require adherence to “impartial collateralization of uncleared swaps, rules regarding conduct standards” (including a requirement to act in the segregation of counterparty collateral, business conduct “best interest” of retirement clients), although compliance and documentation standards, record-keeping and with requirements relating to conditions requiring new reporting obligations, and anti-fraud and anti-manipulation client contracts, implementation of policies and procedures, requirements. Further, some of the rules for derivatives websites and other disclosures to both investors and the apply extraterritorially to U.S. firms doing business with

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 11 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) clients outside of the U.S., as well as to the overseas laundering and the financing of terrorism. The BSA includes activities of non-U.S. subsidiaries of JPMorgan Chase that a variety of record-keeping and reporting requirements either deal with U.S. persons or that are guaranteed by U.S. (such as cash transaction and suspicious activity reporting), subsidiaries of JPMorgan Chase; however, the full scope of as well as due diligence/know your customer the extra-territorial impact of the U.S. swaps regulation has documentation requirements. In January 2013, JPMorgan not been finalized and therefore remains unclear. The effect Chase entered into Consent Orders with its banking of these rules may require banking entities, such as regulators relating to JPMorgan Chase’s Bank Secrecy Act/ JPMorgan Chase, to modify the structure of their derivatives Anti-Money Laundering policies, procedures and controls; businesses and face increased operational and regulatory JPMorgan Chase has taken significant steps to modify and costs. In the EU, the implementation of the European enhance its processes and controls with respect to its Anti- Market Infrastructure Regulation (“EMIR”) and MiFID II will Money Laundering procedures and to remediate the issues result in comparable, but not identical, changes to the identified in the Consent Order. JPMorgan Chase is also European regulatory regime for derivatives. The combined subject to the regulations and economic sanctions programs effect of the U.S. and EU requirements, and the potential administered by the U.S. Treasury’s Office of Foreign Assets conflicts and inconsistencies between them, present Control (“OFAC”). challenges and risks to the structure and operating model of Anti-Corruption: JPMorgan Chase’s derivatives businesses. JPMorgan Chase is subject to laws and regulations relating JPMorgan Chase and other financial institutions have to corrupt and illegal payments to government officials and agreed to adhere to the 2015 Universal Resolution Stay others in the jurisdictions in which it operates, including the Protocol (the “Protocol”) developed by ISDA in response to U.S. Foreign Corrupt Practices Act and the U.K. Bribery Act. regulator concerns that the close-out of derivatives and In November 2016, JPMorgan Chase entered into a Consent other financial transactions during the resolution of a large Order with the Federal Reserve to resolve its investigation cross-border financial institution could impede resolution relating to a former hiring program for candidates referred efforts and potentially destabilize markets. The Protocol by clients, potential clients and government officials in the provides for the contractual recognition of cross-border Asia Pacific region. JPMorgan Chase has taken significant stays under various statutory resolution regimes and a steps to modify and enhance its processes and controls with contractual stay on certain cross-default rights. respect to the hiring of referred candidates and to In the U.S., one subsidiary of JPMorgan Chase, J.P. Morgan remediate the issues identified in the Consent Order. Securities LLC, is registered as a futures commission Compensation practices: merchant, and other subsidiaries are either registered with JPMorgan Chase’s compensation practices are subject to the CFTC as commodity pool operators and commodity oversight by the Federal Reserve, as well as other agencies. trading advisors or are exempt from such registration. The Federal Reserve has issued guidance jointly with the These CFTC-registered subsidiaries are also members of the FDIC and the OCC that is designed to ensure that incentive National Futures Association. compensation paid by banking organizations does not Data regulation: encourage imprudent risk-taking that threatens the JPMorgan Chase and its subsidiaries are subject to federal, organizations’ safety and soundness. In addition, under the state and international laws and regulations concerning the Dodd-Frank Act, federal regulators, including the Federal use and protection of certain customer, employee and other Reserve, must issue regulations or guidelines requiring personal and confidential information, including those covered financial institutions, including JPMorgan Chase, to imposed by the Gramm-Leach-Bliley Act and the Fair Credit report the structure of all incentive-based compensation Reporting Act, as well as the EU Data Protection Directive. arrangements and prohibit incentive-based payment In addition, various U.S. regulators, including the Federal arrangements that encourage inappropriate risks by Reserve, the OCC and the SEC, have increased their focus on providing compensation that is excessive or that could lead cybersecurity and data privacy through guidance, to material financial loss to the institution. The Federal examinations and regulations. Reserve has conducted a review of the incentive compensation policies and practices of a number of large In May 2018, the General Data Protection Regulation banking institutions, including JPMorgan Chase. The (“GDPR”) will replace the EU Data Protection Directive, and Financial Stability Board has established standards covering it will have a significant impact on how businesses can compensation principles for banks. In addition, the SEC has collect and process the personal data of EU individuals. In issued regulations that will require public companies to addition, numerous proposals regarding privacy and data begin to disclose the pay ratio between the company’s protection are pending before U.S. and non-U.S. legislative median employee and the company’s chief executive officer and regulatory bodies. or other principal executive officer in the proxy statement The Bank Secrecy Act and Economic Sanctions: for the 2018 annual meeting of shareholders. JPMorgan The Bank Secrecy Act (“BSA”) requires all financial Chase’s compensation practices are also subject to institutions, including banks and securities broker-dealers, regulation and oversight by local regulators in other to, among other things, establish a risk-based system of jurisdictions. In Europe, the Fourth Capital Requirements internal controls reasonably designed to prevent money Directive (“CRD IV”) includes compensation provisions and

12 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements the European Banking Authority has instituted guidelines on GSIB) to establish a single EU-located IPU. The full impact of compensation policies which in certain countries, such as the proposal on JPM’s EU operations and legal entities will the U.K., are implemented or supplemented by further local be heavily influenced by the outcome of the EU legislative regulations or guidelines. The implementation of the process, including whether any flexibility is introduced to Federal Reserve’s and other banking regulators’ guidelines the requirement. regarding compensation are expected to evolve over the Consistent with the G20 and EU policy frameworks, U.K. next several years, and may affect the manner in which regulators have adopted a range of policy measures that JPMorgan Chase structures its compensation programs and have significantly changed the markets and prudential practices. regulatory environment in the U.K. In addition, U.K. Significant international regulatory initiatives: regulators have introduced measures to enhance In the EU, there is an extensive and complex program of accountability of individuals, and promote forward-looking final and proposed regulatory enhancement that reflects, in conduct risk identification and mitigation, including by part, the EU’s commitments to policies of the Group of introducing the Senior Managers and Certification Regimes. Twenty Finance Ministers and Central Bank Governors On June 23, 2016, the U.K. voted by referendum to leave (“G20”) together with other plans specific to the EU. The EU the European Union. The U.K. government invoked Article operates a European Systemic Risk Board that monitors 50 of the Lisbon Treaty on March 29, 2017, starting a two- financial stability, together with European Supervisory year period for the formal exit negotiations. This means that Authorities (“ESA”) that set detailed regulatory rules and the U.K. will leave the EU on March 29, 2019 unless the encourage supervisory convergence across the EU’s timeline is unanimously extended by the remaining 27 EU Member States. The EU is currently reviewing the ESA Member States (“EU27”) and the U.K. In December 2017, framework. The EU has also created a Single Supervisory the EU27 agreed that “sufficient progress” had been made Mechanism for the euro-zone, under which the regulation of on the terms of the U.K.’s withdrawal to allow parallel talks all banks in that zone will be under the auspices of the on the future relationship, which are expected to begin in European Central Bank, together with a Single Resolution March 2018. The U.K.’s priorities in negotiating the future Mechanism and Single Resolution Board, having jurisdiction relationship are to seek a bilateral free trade agreement over bank resolution in the zone. At both the G20 and EU with the EU27 that facilitates the “greatest possible access” levels, various proposals are under consideration to address to the Single Market. However, the U.K. will not seek to risks associated with global financial institutions. continue its membership in the Single Market. The current In the EU, this includes EMIR, which requires, among other EU27 position is that a free trade agreement should be things, the central clearing of certain standardized balanced, ambitious and wide-ranging, that the U.K.’s derivatives and risk mitigation for uncleared OTC participation in the Single Market or parts thereof must derivatives, and MiFID II, which gives effect to the G20 end, and that there will not be any sector-specific carve- commitment to move trading of standardized OTC outs, such as for financial services. Both the EU27 and the derivatives to exchanges or electronic trading platforms. U.K. are open to the idea of a “transitional arrangement.” MiFID II significantly enhances requirements for pre- and The U.K.’s departure from the EU will have a significant post-trade transparency, transaction reporting and investor impact across JPMorgan Chase’s European businesses, protection. MiFID II also introduces a commodities position including business and legal entity reorganization, and may limits and reporting regime. EMIR became effective in lead to direct and indirect changes to EU27 and U.K. 2012, although some requirements apply on a phased basis regulatory approaches. The situation remains highly and certain aspects of the regulation are currently being uncertain, particularly in relation to whether a transition reviewed. MiFID II became effective across EU Member period is implemented and whether financial services will States on January 3, 2018, after a one-year delay. be included in any future free trade agreement. The EU is also currently considering or implementing Consolidation significant revisions to laws covering securities settlement; The Consolidated Financial Statements include the accounts mutual funds and pensions; payments; anti-money of JPMorgan Chase Bank, N.A. and other entities in which laundering controls; data security and privacy; transparency JPMorgan Chase Bank, N.A. has a controlling financial and disclosure of securities financing transactions; interest. All material intercompany balances and benchmarks; resolution of banks, investment firms and transactions have been eliminated. market infrastructures; and capital and liquidity Assets held for clients in an agency or fiduciary capacity by requirements for banks and investment firms. The capital JPMorgan Chase Bank, N.A. are not assets of JPMorgan and liquidity legislation for banks and investment firms will Chase Bank, N.A. and are not included on the Consolidated implement in the EU many of the finalized Basel III capital balance sheets. and liquidity standards, including in relation to the leverage ratio, market risk capital, and a net stable funding ratio. The JPMorgan Chase Bank, N.A. determines whether it has a legislation also proposes an intermediate parent controlling financial interest in an entity by first evaluating undertaking (“IPU”) requirement for foreign banks, which whether the entity is a voting interest entity or a variable will require non-EU banks operating in Europe (with total EU interest entity. assets greater than EUR30 billion or which are part of a

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 13 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Voting Interest Entities have rights to those cash flows. SPEs are generally Voting interest entities are entities that have sufficient structured to insulate investors from claims on the SPE’s equity and provide the equity investors voting rights that assets by creditors of other entities, including the creditors enable them to make significant decisions relating to the of the seller of the assets. entity’s operations. For these types of entities, JPMorgan The primary beneficiary of a VIE (i.e., the party that has a Chase Bank, N.A.’s determination of whether it has a controlling financial interest) is required to consolidate the controlling interest is primarily based on the amount of assets and liabilities of the VIE. The primary beneficiary is voting equity interests held. Entities in which JPMorgan the party that has both (1) the power to direct the activities Chase Bank, N.A. has a controlling financial interest, of the VIE that most significantly impact the VIE’s economic through ownership of the majority of the entities’ voting performance; and (2) through its interests in the VIE, the equity interests, or through other contractual rights that obligation to absorb losses or the right to receive benefits give JPMorgan Chase Bank, N.A. control, are consolidated from the VIE that could potentially be significant to the VIE. by JPMorgan Chase Bank, N.A. To assess whether JPMorgan Chase Bank, N.A. has the Investments in companies in which JPMorgan Chase Bank, power to direct the activities of a VIE that most significantly N.A. has significant influence over operating and financing impact the VIE’s economic performance, JPMorgan Chase decisions (but does not own a majority of the voting equity Bank, N.A. considers all the facts and circumstances, interests) are accounted for (i) in accordance with the including its role in establishing the VIE and its ongoing equity method of accounting (which requires JPMorgan rights and responsibilities. This assessment includes, first, Chase Bank, N.A. to recognize its proportionate share of the identifying the activities that most significantly impact the entity’s net earnings), or (ii) at fair value if the fair value VIE’s economic performance; and second, identifying which option was elected. These investments are generally party, if any, has power over those activities. In general, the included in other assets, with income or loss included in parties that make the most significant decisions affecting other income. the VIE (such as asset managers, collateral managers, Certain JPMorgan Chase Bank, N.A.-sponsored asset servicers, or owners of call options or liquidation rights over management funds are structured as limited partnerships the VIE’s assets) or have the right to unilaterally remove or certain limited liability companies. For many of these those decision-makers are deemed to have the power to entities, JPMorgan Chase Bank, N.A. is a general partner or direct the activities of a VIE. managing member, but the non-affiliated partners or To assess whether JPMorgan Chase Bank, N.A. has the members have the ability to remove JPMorgan Chase Bank, obligation to absorb losses of the VIE or the right to receive N.A as the general partner or managing member without benefits from the VIE that could potentially be significant to cause (i.e., kick-out rights), based on a simple majority vote, the VIE, JPMorgan Chase Bank, N.A. considers all of its or the non-affiliated partners or members have rights to economic interests, including debt and equity investments, participate in important decisions. Accordingly, JPMorgan servicing fees, and derivatives or other arrangements Chase Bank, N.A. does not consolidate these voting interest deemed to be variable interests in the VIE. This assessment entities. However, in the limited cases where the non- requires that JPMorgan Chase Bank, N.A. apply judgment in managing partners or members do not have substantive determining whether these interests, in the aggregate, are kick-out or participating rights, JPMorgan Chase Bank, N.A. considered potentially significant to the VIE. Factors evaluates the funds as VIEs and consolidates if it is the considered in assessing significance include: the design of general partner or managing member and has a potentially the VIE, including its capitalization structure; subordination significant interest. of interests; payment priority; relative share of interests Variable Interest Entities held across various classes within the VIE’s capital VIEs are entities that, by design, either (1) lack sufficient structure; and the reasons why the interests are held by equity to permit the entity to finance its activities without JPMorgan Chase Bank, N.A. additional subordinated financial support from other JPMorgan Chase Bank, N.A. performs on-going parties, or (2) have equity investors that do not have the reassessments of: (1) whether entities previously evaluated ability to make significant decisions relating to the entity’s under the majority voting-interest framework have become operations through voting rights, or do not have the VIEs, based on certain events, and are therefore subject to obligation to absorb the expected losses, or do not have the the VIE consolidation framework; and (2) whether changes right to receive the residual returns of the entity. in the facts and circumstances regarding JPMorgan Chase The most common type of VIE is a special purpose entity Bank, N.A.’s involvement with a VIE cause JPMorgan Chase (“SPE”). SPEs are commonly used in securitization Bank, N.A.’s consolidation conclusion to change. transactions in order to isolate certain assets and distribute Use of estimates in the preparation of consolidated the cash flows from those assets to investors. The basic SPE financial statements structure involves a company selling assets to the SPE; the The preparation of the Consolidated Financial Statements SPE funds the purchase of those assets by issuing securities requires management to make estimates and assumptions to investors. The legal documents that govern the that affect the reported amounts of assets and liabilities, transaction specify how the cash earned on the assets must revenue and expense, and disclosures of contingent assets be allocated to the SPE’s investors and other parties that

14 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements and liabilities. Actual results could be different from these Typical master netting agreements for these types of estimates. transactions also often contain a collateral/margin agreement that provides for a security interest in, or title Foreign currency translation transfer of, securities or cash collateral/margin to the party JPMorgan Chase Bank, N.A. revalues assets, liabilities, that has the right to demand margin (the “demanding revenue and expense denominated in non-U.S. currencies party”). The collateral/margin agreement typically requires into U.S. dollars using applicable exchange rates. a party to transfer collateral/margin to the demanding Gains and losses relating to translating functional currency party with a value equal to the amount of the margin deficit financial statements for U.S. reporting are included in other on a net basis across all transactions governed by the comprehensive income/(loss) (“OCI”) within stockholder’s master netting agreement, less any threshold. The equity. Gains and losses relating to nonfunctional currency collateral/margin agreement grants to the demanding transactions, including non-U.S. operations where the party, upon default by the counterparty, the right to set-off functional currency is the U.S. dollar, are reported in the any amounts payable by the counterparty against any Consolidated statements of income. posted collateral or the cash equivalent of any posted Offsetting assets and liabilities collateral/margin. It also grants to the demanding party the U.S. GAAP permits entities to present derivative receivables right to liquidate collateral/margin and to apply the and derivative payables with the same counterparty and the proceeds to an amount payable by the counterparty. related cash collateral receivables and payables on a net For further discussion of JPMorgan Chase Bank, N.A.’s basis on the Consolidated balance sheets when a legally derivative instruments, see Note 6. For further discussion of enforceable master netting agreement exists. U.S. GAAP JPMorgan Chase Bank, N.A.’s repurchase and reverse also permits securities sold and purchased under repurchase agreements, and securities borrowing and repurchase agreements and securities borrowed or loaned lending agreements, see Note 12. under securities loan agreements to be presented net when specified conditions are met, including the existence of a Statements of cash flows legally enforceable master netting agreement. JPMorgan For JPMorgan Chase Bank, N.A.’s Consolidated statements Chase Bank, N.A. has elected to net such balances when the of cash flows, cash is defined as those amounts included in specified conditions are met. cash and due from banks. JPMorgan Chase Bank, N.A. uses master netting agreements Significant accounting policies with third parties and affiliates to mitigate counterparty The following table identifies JPMorgan Chase Bank, N.A.’s credit risk in certain transactions, including derivative, other significant accounting policies and the Note and page securities repurchase and reverse repurchase, and where a detailed description of each policy can be found. securities loaned and borrow transactions. A master netting Fair value measurement Note 3 Page 20 agreement is a single agreement with a counterparty that permits multiple transactions governed by that agreement Fair value option Note 4 Page 38 to be terminated or accelerated and settled through a single Derivative instruments Note 6 Page 43 payment in a single currency in the event of a default (e.g., Noninterest revenue Note 7 Page 57 bankruptcy, failure to make a required payment or Interest income and interest expense Note 8 Page 60 securities transfer or deliver collateral or margin when Pension and other postretirement due). Upon the exercise of derivatives termination rights by employee benefit plans Note 9 Page 61 the non-defaulting party (i) all transactions are terminated, Employee share-based incentives Note 10 Page 65 (ii) all transactions are valued and the positive values of “in the money” transactions are netted against the negative Securities Note 11 Page 67 values of “out of the money” transactions and (iii) the only Securities financing activities Note 12 Page 72 remaining payment obligation is of one of the parties to pay Loans Note 13 Page 75 the netted termination amount. Upon exercise of default Allowance for credit losses Note 14 Page 95 rights under repurchase agreements and securities loan agreements in general (i) all transactions are terminated Variable interest entities Note 15 Page 100 and accelerated, (ii) all values of securities or cash held or Goodwill and Mortgage servicing rights Note 16 Page 108 to be delivered are calculated, and all such sums are netted Premises and equipment Note 17 Page 110 against each other and (iii) the only remaining payment Long-term debt Note 19 Page 111 obligation is of one of the parties to pay the netted Related party transactions Note 20 Page 112 termination amount. Income taxes Note 22 Page 115 Off–balance sheet lending-related financial instruments, guarantees and other commitments Note 25 Page 120 Litigation Note 27 Page 127

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 15 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 2 – ACCOUNTING AND REPORTING DEVELOPMENTS

SEC Staff Accounting Bulletin adopted during 2017

Bulletin Summary of guidance Effects on financial statements Application of U.S. • Provides guidance on the accounting for • The TCJA resulted in a $2.1 billion decrease in net income driven by a deemed GAAP related to the income taxes in the context of the TCJA. repatriation charge and adjustments to the value of JPMorgan Chase Bank, N.A.’s Tax Cuts and Jobs Act • For impacts of the tax law changes that tax oriented investments, partially offset by a benefit from the revaluation of JPMorgan Chase Bank, N.A.’s net deferred tax liability. Certain of these amounts (“TCJA”) (SEC Staff are reasonably estimable, requires the may be refined in accordance with SEC Staff Accounting Bulletin No. 118. Accounting Bulletin recognition of provisional amounts in No. 118) year-end 2017 financial statements. • Refer to Note 22 for additional information related to the impacts of the TCJA. Issued December 2017 • Provides a 1-year measurement period in which to refine previously recorded provisional amounts based on new information or interpretations.

FASB Standards issued but not adopted as of December 31, 2017

Standard Summary of guidance Effects on financial statements Revenue recognition – • Requires that revenue from contracts • Adopted January 1, 2018. revenue from with customers be recognized upon • JPMorgan Chase Bank, N.A. adopted the revenue recognition guidance using the contracts with transfer of control of a good or service full retrospective method of adoption. customers in the amount of consideration expected to be received. • The adoption of the guidance did not result in any material changes in the timing Issued May 2014 or presentation of JPMorgan Chase Bank, N.A.’s revenue recognition. • Changes the accounting for certain contract costs, including whether they • JPMorgan Chase Bank, N.A.’s Note 7 qualitative disclosures are consistent with the guidance. may be offset against revenue in the Consolidated statements of income, and requires additional disclosures about revenue and contract costs. • May be adopted using a full retrospective approach or a modified, cumulative effect approach wherein the guidance is applied only to existing contracts as of the date of initial application, and to new contracts transacted after that date.

Recognition and • Requires that certain equity instruments • JPMorgan Chase Bank, N.A. early adopted the provisions of this guidance related measurement of be measured at fair value, with changes to presenting DVA in OCI for financial liabilities where the fair value option has financial assets and in fair value recognized in earnings. been elected, effective January 1, 2016. JPMorgan Chase Bank, N.A. adopted the financial liabilities • Provides a measurement alternative for portions of the guidance that were not eligible for early adoption on January 1, 2018. Issued January 2016 equity securities without readily determinable fair values to be • Upon adoption, JPMorgan Chase Bank, N.A. elected the measurement alternative measured at cost less impairment (if for its equity securities that do not have readily determinable fair values, and any), plus or minus observable price JPMorgan Chase Bank, N.A. did not record a cumulative-effect adjustment related changes from an identical or similar to the adoption of this guidance. investment of the same issuer. Any such price changes will be reflected in earnings beginning in the period of adoption. • Generally requires a cumulative-effect adjustment to retained earnings as of the beginning of the reporting period of adoption, except for those equity securities that are eligible for the measurement alternative.

Classification of • Provides targeted amendments to the • Adopted January 1, 2018. certain cash receipts classification of certain cash flows, • No material impact upon adoption as JPMorgan Chase Bank, N.A. was either in and cash payments in including treatment of cash payments compliance with the amendments or the amounts to which it is applied are the statement of cash for settlement of zero-coupon debt immaterial. flows instruments and distributions received Issued August 2016 from equity method investments. • Requires retrospective application to all periods presented.

16 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

FASB Standards issued but not adopted as of December 31, 2017 (continued)

Standard Summary of guidance Effects on financial statements Treatment of • Requires inclusion of restricted cash in • Adopted January 1, 2018. restricted cash on the the cash and cash equivalents balances • The adoption of the guidance will result in reclassification of restricted cash statement of cash in the Consolidated statements of cash balances into Cash and restricted cash on the Consolidated statements of cash flows flows. flows in the first half of 2018. JPMorgan Chase Bank, N.A. will include Cash and Issued November • Requires additional disclosures to due from banks and Deposits with banks in Cash and restricted cash in the 2016 supplement the Consolidated Consolidated statements of cash flows, resulting in Deposits with banks no longer statements of cash flows. being reflected in Investing activities. • Requires retrospective application to all • In addition, to align with the presentation of Cash and restricted cash on the periods presented. Consolidated statements of cash flows, JPMorgan Chase Bank, N.A. will reclassify restricted cash balances to Cash and due from banks and to Deposits with banks from Other assets and disclose the total for Cash and restricted cash on JPMorgan Chase Bank, N.A.’s Consolidated balance sheets in the first half of 2018.

Definition of a • Narrows the definition of a business • Adopted January 1, 2018. business and clarifies that, to be considered a • No impact upon adoption because the guidance is to be applied prospectively. business, the fair value of the gross Issued January 2017 Subsequent to adoption, fewer transactions will be treated as acquisitions or assets acquired (or disposed of) may dispositions of a business. not be substantially all concentrated in a single identifiable asset or a group of similar assets. • In addition, in order to be considered a business, a set of activities and assets must include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.

Presentation of net • Requires the service cost component of • Adopted January 1, 2018. periodic pension cost net periodic pension and • The adoption of the guidance in the first quarter of 2018 will result in an increase and net periodic postretirement benefit cost to be in compensation expense and a reduction in other expense of $75 million and postretirement reported separately in the consolidated $78 million for the years ended December 31, 2017 and 2016, respectively. benefit cost results of operations from the other components (e.g., expected return on Issued March 2017 assets, interest costs, amortization of gains/losses and prior service costs). • Requires retrospective application and presentation in the consolidated results of operations of the service cost component in the same line item as other employee compensation costs and presentation of the other components in a different line item from the service cost component.

Premium amortization • Requires amortization of premiums to • JPMorgan Chase Bank, N.A. early adopted the new guidance on January 1, 2018. on purchased callable the earliest call date on debt securities • The new guidance primarily impacts obligations of U.S. states and municipalities debt securities with call features that are explicit, held in JPMorgan Chase Bank, N.A.’s investment securities portfolio. noncontingent and callable at fixed • The adoption of this guidance resulted in a cumulative-effect adjustment that Issued March 2017 prices and on preset dates. reduced retained earnings by approximately $494 million as of January 1, 2018, with a corresponding increase of $252 million (after tax) in AOCI and related • Does not impact securities held at a adjustments to securities and tax liabilities. discount; the discount continues to be • Subsequent to adoption, although the guidance will reduce the interest income amortized to the contractual maturity. recognized prior to the earliest call date for callable debt securities held at a • Requires adoption on a modified premium, the effect of this guidance on JPMorgan Chase Bank, N.A.’s net interest retrospective basis through a income is not expected to be material. cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 17 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

FASB Standards issued but not adopted as of December 31, 2017 (continued)

Standard Summary of guidance Effects on financial statements Hedge accounting • Reduces earnings volatility by better • JPMorgan Chase Bank, N.A. early adopted the new guidance on January 1, 2018. aligning the accounting with the Issued August 2017 • The adoption of the guidance did not result in a material cumulative-effect economics of the risk management adjustment to retained earnings and AOCI. activities. • JPMorgan Chase Bank, N.A. will also amend its qualitative and quantitative • Expands the ability for certain hedges disclosures within its derivative instruments note to the Consolidated Financial of interest rate risk to qualify for hedge Statements in the first half of 2018. accounting. • In accordance with the new guidance, JPMorgan Chase Bank, N.A. elected to • Allows recognition of ineffectiveness in transfer certain securities from HTM to AFS. The amendments provide JPMorgan cash flow hedges and net investment Chase Bank, N.A. with additional hedge accounting alternatives for its AFS hedges in OCI. securities (including those transferred under the election) to be considered as • Allows a one-time election at adoption JPMorgan Chase Bank, N.A. manages it structural interest rate risk and regulatory to transfer certain securities classified capital. JPMorgan Chase Bank, N.A. is currently evaluating those risk management as held-to-maturity to available-for- alternatives and intends to manage the transferred securities in a manner sale. consistent with its existing AFS securities. This transfer is a non-cash transaction • Simplifies hedge documentation at fair value. requirements.

Reclassification of • Provides an election to reclassify from • JPMorgan Chase Bank, N.A. early adopted the new guidance on January 1, 2018. Certain Tax Effects AOCI to retained earnings stranded tax • The adoption of the guidance resulted in a cumulative-effect adjustment that from AOCI effects due to the revaluation of decreased retained earnings in the amount of $186 million. This amount is an deferred tax assets and liabilities as a Issued February 2018 estimate that may be refined in accordance with SEC Staff Accounting Bulletin No. result of changes in applicable tax rates 118, and represents the removal of the stranded tax effects from AOCI, thereby under the TCJA. allowing the tax effects within AOCI to reflect the new respective corporate • Requires additional disclosures related income tax rate. to JPMorgan Chase Bank, N.A.’s election • Refer to Note 22 for additional information related to the impacts of the TCJA. to reclassify amounts from AOCI to retained earnings and JPMorgan Chase Bank, N.A.’s policy for releasing income tax effects from AOCI. • The guidance is required to be applied retrospectively to each period (or periods) in which the effect of the change in the federal corporate income tax rate is recognized.

Leases • Requires lessees to recognize all leases • Required effective date: January 1, 2019.(a) longer than twelve months on the Issued February 2016 • JPMorgan Chase Bank, N.A. is in the process of its implementation which has Consolidated balance sheets as lease included an initial evaluation of its leasing contracts and activities. As a lessee, liabilities with corresponding right-of- JPMorgan Chase Bank, N.A. is developing its methodology to estimate the right-of- use assets. use assets and lease liabilities, which is based on the present value of lease • Requires lessees and lessors to classify payments. JPMorgan Chase Bank, N.A. expects to recognize lease liabilities and most leases using principles similar to corresponding right-of-use assets (at their present value) related to existing lease accounting, but predominantly all of the $9 billion of future minimum payments required under eliminates the “bright line” operating leases as disclosed in Note 26. However, the population of contracts classification tests. subject to balance sheet recognition and their initial measurement remains under • Permits JPMorgan Chase Bank, N.A. to evaluation. JPMorgan Chase Bank, N.A. does not expect material changes to the generally account for its existing leases recognition of operating lease expense in its Consolidated statements of income. consistent with current guidance, • JPMorgan Chase Bank, N.A. plans to adopt the new guidance in the first quarter of except for the incremental balance 2019. sheet recognition. • Expands qualitative and quantitative disclosures regarding leasing arrangements. • May be adopted using a modified, cumulative effect approach wherein the guidance is applied only to existing contracts as of the date of initial application, and to new contracts transacted after that date.

18 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

FASB Standards issued but not adopted as of December 31, 2017 (continued)

Standard Summary of guidance Effects on financial statements Financial instruments • Replaces existing incurred loss • Required effective date: January 1, 2020.(a) – credit losses impairment guidance and establishes a • JPMorgan Chase Bank, N.A. has begun its implementation efforts by establishing a single allowance framework for Issued June 2016 Firmwide, cross-discipline governance structure. JPMorgan Chase Bank, N.A. is financial assets carried at amortized currently identifying key interpretive issues, and is assessing existing credit loss cost (including Held-to-maturity forecasting models and processes against the new guidance to determine what (“HTM”) securities), which will reflect modifications may be required. management’s estimate of credit losses over the full remaining expected life of • JPMorgan Chase Bank, N.A. expects that the new guidance will result in an the financial assets. increase in its allowance for credit losses due to several factors, including: • Eliminates existing guidance for PCI 1. The allowance related to JPMorgan Chase Bank, N.A.’s loans and commitments loans, and requires recognition of an will increase to cover credit losses over the full remaining expected life of the allowance for expected credit losses on portfolio, and will consider expected future changes in macroeconomic financial assets purchased with more conditions than insignificant credit deterioration 2. The nonaccretable difference on PCI loans will be recognized as an allowance, since origination. offset by an increase in the carrying value of the related loans • Amends existing impairment guidance 3. An allowance will be established for estimated credit losses on HTM securities for AFS securities to incorporate an • The extent of the increase is under evaluation, but will depend upon the nature allowance, which will allow for reversals and characteristics of JPMorgan Chase Bank, N.A.’s portfolio at the adoption date, of impairment losses in the event that and the macroeconomic conditions and forecasts at that date. the credit of an issuer improves. • Requires a cumulative-effect adjustment to retained earnings as of the beginning of the reporting period of adoption.

Goodwill • Requires an impairment loss to be • Required effective date: January 1, 2020.(a) recognized when the estimated fair Issued January 2017 • Based on current impairment test results, JPMorgan Chase Bank, N.A. does not value of a reporting unit falls below its expect a material effect on the Consolidated Financial Statements. carrying value. • After adoption, the guidance may result in more frequent goodwill impairment • Eliminates the second condition in the losses due to the removal of the second condition. current guidance that requires an impairment loss to be recognized only if • JPMorgan Chase Bank, N.A. is evaluating the timing of adoption. the estimated implied fair value of the goodwill is below its carrying value.

(a) Early adoption is permitted.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 19 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 3 – Fair value measurement JPMorgan Chase Bank, N.A. carries a portion of its assets conducted across JPMorgan Chase. The VGF is chaired by and liabilities at fair value. These assets and liabilities are the Firmwide head of the VCG (under the direction of predominantly carried at fair value on a recurring basis JPMorgan Chase’s Controller). (i.e., assets and liabilities that are measured and reported Price verification process at fair value on JPMorgan Chase Bank, N.A.’s Consolidated The VCG verifies fair value estimates provided by the risk- balance sheets). Certain assets (e.g., held-for-sale loans), taking functions by leveraging independently derived prices, liabilities and unfunded lending-related commitments are valuation inputs and other market data, where available. measured at fair value on a nonrecurring basis; that is, they Where independent prices or inputs are not available, the are not measured at fair value on an ongoing basis but are VCG performs additional review to ensure the subject to fair value adjustments only in certain reasonableness of the estimates. The additional review may circumstances (for example, when there is evidence of include evaluating the limited market activity including impairment). client unwinds, benchmarking valuation inputs to those Fair value is defined as the price that would be received to used for similar instruments, decomposing the valuation of sell an asset or paid to transfer a liability in an orderly structured instruments into individual components, transaction between market participants at the comparing expected to actual cash flows, reviewing profit measurement date. Fair value is based on quoted market and loss trends, and reviewing trends in collateral valuation. prices or inputs, where available. If prices or quotes are not There are also additional levels of management review for available, fair value is based on valuation models and other more significant or complex positions. valuation techniques that consider relevant transaction The VCG determines any valuation adjustments that may be characteristics (such as maturity) and use as inputs required to the estimates provided by the risk-taking observable or unobservable market parameters, including functions. No adjustments to quoted prices are applied for yield curves, interest rates, volatilities, equity or debt instruments classified within level 1 of the fair value prices, foreign exchange rates and credit curves. Valuation hierarchy (see below for further information on the fair adjustments may be made to ensure that financial value hierarchy). For other positions, judgment is required instruments are recorded at fair value, as described below. to assess the need for valuation adjustments to The level of precision in estimating unobservable market appropriately reflect liquidity considerations, unobservable inputs or other factors can affect the amount of gain or loss parameters, and, for certain portfolios that meet specified recorded for a particular position. Furthermore, while criteria, the size of the net open risk position. The JPMorgan Chase Bank, N.A. believes its valuation methods determination of such adjustments follows a consistent are appropriate and consistent with those of other market framework across JPMorgan Chase Bank, N.A.: participants, the methods and assumptions used reflect • Liquidity valuation adjustments are considered where an management judgment and may vary across JPMorgan observable external price or valuation parameter exists Chase Bank, N.A.’s businesses and portfolios. but is of lower reliability, potentially due to lower market JPMorgan Chase Bank, N.A. uses various methodologies and activity. Liquidity valuation adjustments are applied and assumptions in the determination of fair value. The use of determined based on current market conditions. Factors different methodologies or assumptions by other market that may be considered in determining the liquidity participants compared with those used by JPMorgan Chase adjustment include analysis of: (1) the estimated bid- Bank, N.A. could result in JPMorgan Chase Bank, N.A. offer spread for the instrument being traded; (2) deriving a different estimate of fair value at the reporting alternative pricing points for similar instruments in date. active markets; and (3) the range of reasonable values that the price or parameter could take. Valuation process Risk-taking functions are responsible for providing fair value • JPMorgan Chase Bank, N.A. manages certain portfolios estimates for assets and liabilities carried on the of financial instruments on the basis of net open risk Consolidated balance sheets at fair value. JPMorgan Chase’s exposure and, as permitted by U.S. GAAP, has elected to Valuation Control Group (“VCG”), which is part of JPMorgan estimate the fair value of such portfolios on the basis of Chase’s Finance function and independent of the risk-taking a transfer of the entire net open risk position in an functions, is responsible for verifying these estimates and orderly transaction. Where this is the case, valuation determining any fair value adjustments that may be adjustments may be necessary to reflect the cost of required to ensure that JPMorgan Chase Bank, N.A.’s exiting a larger-than-normal market-size net open risk positions are recorded at fair value. The Valuation position. Where applied, such adjustments are based on Governance Forum (“VGF”) is composed of senior finance factors that a relevant market participant would and risk executives and is responsible for overseeing the consider in the transfer of the net open risk position, management of risks arising from valuation activities including the size of the adverse market move that is

20 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements likely to occur during the period required to reduce the existing models, prior to implementation in the operating net open risk position to a normal market-size. environment. In certain circumstances, the head of the Model Risk function may grant exceptions to JPMorgan • Unobservable parameter valuation adjustments may be Chase Bank, N.A.’s policy to allow a model to be used prior made when positions are valued using prices or input to review or approval. The Model Risk function may also parameters to valuation models that are unobservable require the user to take appropriate actions to mitigate the due to a lack of market activity or because they cannot model risk if it is to be used in the interim. These actions be implied from observable market data. Such prices or will depend on the model and may include, for example, parameters must be estimated and are, therefore, limitation of trading activity. subject to management judgment. Unobservable parameter valuation adjustments are applied to reflect Valuation hierarchy the uncertainty inherent in the resulting valuation A three-level valuation hierarchy has been established estimate. under U.S. GAAP for disclosure of fair value measurements. The valuation hierarchy is based on the transparency of • Where appropriate, JPMorgan Chase Bank, N.A.also inputs to the valuation of an asset or liability as of the applies adjustments to its estimates of fair value in order measurement date. The three levels are defined as follows. to appropriately reflect counterparty credit quality (credit valuation adjustments (“CVA”)), JPMorgan Chase • Level 1 – inputs to the valuation methodology are Bank, N.A.’s own creditworthiness (debit valuation quoted prices (unadjusted) for identical assets or adjustments (“DVA”)) and the impact of funding (funding liabilities in active markets. valuation adjustments (“FVA”)), using a consistent • Level 2 – inputs to the valuation methodology include framework across JPMorgan Chase Bank, N.A. quoted prices for similar assets and liabilities in active Valuation model review and approval markets, and inputs that are observable for the asset or If prices or quotes are not available for an instrument or a liability, either directly or indirectly, for substantially the similar instrument, fair value is generally determined using full term of the financial instrument. valuation models that consider relevant transaction data • Level 3 – one or more inputs to the valuation such as maturity and use as inputs market-based or methodology are unobservable and significant to the fair independently sourced parameters. Where this is the case value measurement. the price verification process described above is applied to the inputs to those models. A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is Under JPMorgan Chase Bank, N.A.’s Estimations and Model significant to the fair value measurement. Risk Management Policy, the Model Risk function reviews and approves new models, as well as material changes to

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 21 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table describes the valuation methodologies generally used by JPMorgan Chase Bank, N.A. to measure its significant products/instruments at fair value, including the general classification of such instruments pursuant to the valuation hierarchy.

Classifications in the valuation Product/instrument Valuation methodology hierarchy Securities financing agreements Valuations are based on discounted cash flows, which consider: Predominantly level 2 • Derivative features: for further information refer to the discussion of derivatives below. • Market rates for the respective maturity • Collateral characteristics Loans and lending-related commitments – wholesale Loans carried at fair value (e.g. Where observable market data is available, valuations are based on: Level 2 or 3 trading loans and non-trading loans) and associated lending- • Observed market prices (circumstances are infrequent) related commitments • Relevant broker quotes • Observed market prices for similar instruments Where observable market data is unavailable or limited, valuations are based on discounted cash flows, which consider the following: • Credit spreads derived from the cost of credit default swaps (“CDS”); or benchmark credit curves developed by JPMorgan Chase Bank, N.A., by industry and credit rating • Prepayment speed • Collateral characteristics Loans held-for-investment and Valuations are based on discounted cash flows, which consider: Predominantly level 3 associated lending related commitments • Credit spreads, derived from the cost of CDS; or benchmark credit curves developed by JPMorgan Chase Bank, N.A., by industry and credit rating

• Prepayment speed Lending-related commitments are valued similarly to loans and reflect the portion of an unused commitment expected, based on JPMorgan Chase Bank, N.A.’s average portfolio historical experience, to become funded prior to an obligor default. For information regarding the valuation of loans measured at collateral value, see Note 13. Loans – consumer Held-for-investment consumer Valuations are based on discounted cash flows, which consider: Predominantly level 2 loans, excluding credit card • Credit losses – which consider expected and current default rates, and loss severity • Prepayment speed • Discount rates • Servicing costs For information regarding the valuation of loans measured at collateral value, see Note 13. Held-for-investment credit card Valuations are based on discounted cash flows, which consider: Level 3 receivables • Credit costs - the allowance for loan losses is considered a reasonable proxy for the credit cost • Projected interest income, late-fee revenue and loan repayment rates • Discount rates • Servicing costs Trading loans – conforming Fair value is based on observable prices for mortgage-backed securities Predominantly level 2 residential mortgage loans (“MBS”) with similar collateral and incorporates adjustments to these expected to be sold (Consumer & prices to account for differences between the securities and the value of community banking business, the underlying loans, which include credit characteristics, portfolio Corporate & investment banking composition, and liquidity. business)

22 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Classifications in the Product/instrument Valuation methodology, inputs and assumptions valuation hierarchy Investment and trading securities Quoted market prices are used where available. Level 1 In the absence of quoted market prices, securities are valued based on: Level 2 or 3 • Observable market prices for similar securities • Relevant broker quotes • Discounted cash flows In addition, the following inputs to discounted cash flows are used for the following products: Mortgage- and asset-backed securities (“ABS”) specific inputs: • Collateral characteristics • Deal-specific payment and loss allocations • Current market assumptions related to yield, prepayment speed, conditional default rates and loss severity Collateralized loan obligations (“CLOs”), specific inputs: • Collateral characteristics • Deal-specific payment and loss allocations • Expected prepayment speed, conditional default rates, loss severity • Credit spreads • Credit rating data Physical commodities Valued using observable market prices or data. Predominantly Level 1 and 2 Derivatives Exchange-traded derivatives that are actively traded and valued using the Level 1 exchange price. Derivatives that are valued using models such as the Black-Scholes option Level 2 or 3 pricing model, simulation models, or a combination of models that may use observable or unobservable valuation inputs as well as considering the contractual terms. The key valuation inputs used will depend on the type of derivative and the nature of the underlying instruments and may include equity prices, commodity prices, interest rate yield curves, foreign exchange rates, volatilities, correlations, CDS spreads and recovery rates. Additionally, the credit quality of the counterparty and of JPMorgan Chase Bank, N.A. as well as market funding levels may also be considered.

In addition, specific inputs used for derivatives that are valued based on models with significant unobservable inputs are as follows: Structured credit derivatives specific inputs include: • CDS spreads and recovery rates • Credit correlation between the underlying debt instruments Equity option specific inputs include: • Equity volatilities • Equity correlation • Equity-FX correlation • Equity-IR correlation Interest rate and FX exotic options specific inputs include: • Interest rate spread volatility • Interest rate correlation • Foreign exchange correlation • Interest rate-FX correlation Commodity derivatives specific inputs include: • Commodity volatility • Forward commodity price Additionally, adjustments are made to reflect counterparty credit quality (CVA) and the impact of funding (FVA).

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 23 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Classification in the Product/instrument Valuation methodology, inputs and assumptions valuation hierarchy Mortgage servicing rights See Mortgage servicing rights in Note 16. Level 3 (“MSRs”) Fund investments (e.g. mutual/ Net asset value (“NAV”) collective investment funds, • NAV is supported by the ability to redeem and purchase at the NAV Level 1 private equity funds, hedge level. funds, and real estate funds) • Adjustments to the NAV as required, for restrictions on redemption (a) (e.g., lock-up periods or withdrawal limitations) or where observable Level 2 or 3 activity is limited. Beneficial interests issued by Valued using observable market information, where available. Level 2 or 3 consolidated VIEs In the absence of observable market information, valuations are based on the fair value of the underlying assets held by the VIE. Long-term debt, not carried at Valuations are based on discounted cash flows, which consider: Predominantly level 2 fair value • Market rates for respective maturity Structured notes (included in • Valuations are based on discounted cash flow analyses that consider Level 2 or 3 deposits, short-term borrowings the embedded derivative and the terms and payment structure of and long-term debt) the note. • The embedded derivative features are considered using models such as the Black-Scholes option pricing model, simulation models, or a combination of models that may use observable or unobservable valuation inputs, depending on the embedded derivative. The specific inputs used vary according to the nature of the embedded derivative features, as described in the discussion above regarding derivatives valuation. Adjustments are then made to this base valuation to reflect JPMorgan Chase Bank, N.A.’s own credit risk (DVA).

(a) Excludes certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient.

24 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The following table presents the assets and liabilities reported at fair value as of December 31, 2017 and 2016 by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis Fair value hierarchy Derivative netting December 31, 2017 (in millions) Level 1 Level 2 Level 3 adjustments Total fair value Federal funds sold and securities purchased under resale agreements $ — $ 2,894 $ — $ — $ 2,894 Securities borrowed — 3,049 — — 3,049 Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies(a) — 2,981 289 — 3,270 Residential – nonagency — 1,036 24 — 1,060 Commercial – nonagency — 109 2 — 111 Total mortgage-backed securities — 4,126 315 — 4,441 U.S. Treasury and government agencies(a) 4,254 — 1 — 4,255 Obligations of U.S. states and municipalities — 4,285 15 — 4,300 Certificates of deposit, bankers’ acceptances and commercial paper — 38 — — 38 Non-U.S. government debt securities 28,837 28,777 78 — 57,692 Corporate debt securities — 16,310 191 — 16,501 Loans — 35,079 2,332 — 37,411 Asset-backed securities — 589 51 — 640 Total debt instruments 33,091 89,204 2,983 — 125,278 Equity securities 52,950 32 121 — 53,103 Physical commodities(b) 1,774 — — — 1,774 Other — 14,039 350 — 14,389 Total debt and equity instruments(c) 87,815 103,275 3,454 — 194,544 Derivative receivables: Interest rate 68 317,904 1,911 (295,441) 24,442 Credit — 20,987 1,208 (21,481) 714 Foreign exchange 851 159,842 580 (145,215) 16,058 Equity — 51,183 6,323 (50,403) 7,103 Commodity — 39,723 381 (33,796) 6,308 Total derivative receivables(d)(e) 919 589,639 10,403 (546,336) 54,625 Total trading assets(f) 88,734 692,914 13,857 (546,336) 249,169 Available-for-sale securities: Mortgage-backed securities: U.S. government agencies(a) — 70,280 — — 70,280 Residential – nonagency — 11,366 1 — 11,367 Commercial – nonagency — 4,880 — — 4,880 Total mortgage-backed securities — 86,526 1 — 86,527 U.S. Treasury and government agencies(a) 22,745 — — — 22,745 Obligations of U.S. states and municipalities — 30,175 — — 30,175 Certificates of deposit — 59 — — 59 Non-U.S. government debt securities 18,140 9,154 — — 27,294 Corporate debt securities — 2,757 — — 2,757 Asset-backed securities: Collateralized loan obligations — 20,720 276 — 20,996 Other — 8,773 — — 8,773 Equity securities 38 — — — 38 Total available-for-sale securities 40,923 158,164 277 — 199,364 Loans — 2,232 276 — 2,508 Mortgage servicing rights — — 6,030 — 6,030 Other assets(f) 7,454 — — — 7,454 Total assets measured at fair value on a recurring basis $ 137,111 $ 859,253 $ 20,440 $ (546,336) $ 470,468 Deposits $ — $ 17,230 $ 4,150 $ — $ 21,380 Federal funds purchased and securities loaned or sold under repurchase agreements — 3,405 — — 3,405 Short-term borrowings — 3,973 1,604 — 5,577 Trading liabilities: Debt and equity instruments(c) 45,597 14,834 37 — 60,468 Derivative payables: Interest rate 54 288,043 1,653 (282,736) 7,014 Credit — 21,026 1,241 (21,182) 1,085 Foreign exchange 826 154,952 1,021 (144,201) 12,598 Equity — 54,976 8,210 (53,935) 9,251 Commodity — 39,808 1,029 (34,516) 6,321 Total derivative payables(d)(e) 880 558,805 13,154 (536,570) 36,269 Total trading liabilities 46,477 573,639 13,191 (536,570) 96,737 Accounts payable and other liabilities 7,454 — — — 7,454 Long-term debt — 11,247 10,154 — 21,401 Total liabilities measured at fair value on a recurring basis $ 53,931 $ 609,494 $ 29,099 $ (536,570) $ 155,954

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 25 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Fair value hierarchy Derivative netting December 31, 2016 (in millions) Level 1 Level 2 Level 3 adjustments Total fair value Federal funds sold and securities purchased under resale agreements $ — $ 5,349 $ — $ — $ 5,349 Securities borrowed — — — — — Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies(a) — 74 369 — 443 Residential – nonagency — 818 11 — 829 Commercial – nonagency — 89 6 — 95 Total mortgage-backed securities — 981 386 — 1,367 U.S. Treasury and government agencies(a) 13,516 52 — — 13,568 Obligations of U.S. states and municipalities — 3,897 19 — 3,916 Certificates of deposit, bankers’ acceptances and commercial paper — 245 — — 245 Non-U.S. government debt securities 28,443 22,994 46 — 51,483 Corporate debt securities — 14,158 318 — 14,476 Loans — 28,758 4,325 — 33,083 Asset-backed securities — 696 70 — 766 Total debt instruments 41,959 71,781 5,164 — 118,904 Equity securities 51,480 19 89 — 51,588 Physical commodities(b) 1,102 — — — 1,102 Other — 9,486 281 — 9,767 Total debt and equity instruments(c) 94,541 81,286 5,534 — 181,361 Derivative receivables: Interest rate 289 607,393 2,658 (582,320) 28,020 Credit — 27,759 1,390 (27,916) 1,233 Foreign exchange 816 233,854 928 (212,279) 23,319 Equity — 47,816 3,089 (45,879) 5,026 Commodity 158 34,774 358 (28,970) 6,320 Total derivative receivables(d) 1,263 951,596 8,423 (897,364) 63,918 Total trading assets(f) 95,804 1,032,882 13,957 (897,364) 245,279 Available-for-sale securities: Mortgage-backed securities: U.S. government agencies(a) — 64,005 — — 64,005 Residential – nonagency — 14,442 1 — 14,443 Commercial – nonagency — 8,691 — — 8,691 Total mortgage-backed securities — 87,138 1 — 87,139 U.S. Treasury and government agencies(a) 44,072 29 — — 44,101 Obligations of U.S. states and municipalities — 28,897 — — 28,897 Certificates of deposit — 106 — — 106 Non-U.S. government debt securities 22,793 12,495 — — 35,288 Corporate debt securities — 4,958 — — 4,958 Asset-backed securities: Collateralized loan obligations — 26,738 663 — 27,401 Other — 6,926 — — 6,926 Equity securities 54 — — — 54 Total available-for-sale securities 66,919 167,287 664 — 234,870 Loans — 1,660 568 — 2,228 Mortgage servicing rights — — 6,096 — 6,096 Other assets(f) — — 41 — 41 Total assets measured at fair value on a recurring basis $ 162,723 $ 1,207,178 $ 21,326 $ (897,364) $ 493,863 Deposits $ — $ 11,844 $ 2,121 $ — $ 13,965 Federal funds purchased and securities loaned or sold under repurchase agreements — 399 — — 399 Short-term borrowings — 4,552 1,019 — 5,571 Trading liabilities: Debt and equity instruments(c) 50,393 12,636 36 — 63,065 Derivative payables: Interest rate 184 575,305 1,657 (566,601) 10,545 Credit — 27,042 1,294 (27,038) 1,298 Foreign exchange 932 232,508 2,459 (215,433) 20,466 Equity — 50,262 4,577 (46,307) 8,532 Commodity 173 34,773 323 (27,475) 7,794 Total derivative payables(d) 1,289 919,890 10,310 (882,854) 48,635 Total trading liabilities 51,682 932,526 10,346 (882,854) 111,700 Accounts payable and other liabilities 7,494 — — — 7,494 Long-term debt — 7,274 7,662 — 14,936 Total liabilities measured at fair value on a recurring basis $ 59,176 $ 956,595 $ 21,148 $ (882,854) $ 154,065

(a) At December 31, 2017 and 2016, included total U.S. government-sponsored enterprise obligations of $49.1 billion and $46.3 billion, respectively, which were predominantly mortgage-related. (b) Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for JPMorgan Chase Bank, N.A.’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for JPMorgan Chase Bank, N.A.’s physical commodities inventories. When fair value hedging has been applied (or when net realizable value is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. For a further discussion of JPMorgan Chase Bank, N.A.’s hedge accounting relationships, see Note 6. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented.

26 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements (c) Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions). (d) As permitted under U.S. GAAP, JPMorgan Chase Bank, N.A. has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, JPMorgan Chase Bank, N.A. does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral. Additionally, includes derivative receivables and payables with affiliates on a net basis. See Note 20 for information regarding our derivative activities with affiliates. (e) Reflects JPMorgan Chase Bank, N.A.’s adoption of rulebook changes made by two Central counterparty clearinghouses (“CCPs”) that require or allow JPMorgan Chase Bank, N.A. to treat certain OTC-cleared derivative transactions as daily settled. For further information, see Note 6. (f) Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At December 31, 2017 and 2016, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $54 million and $50 million, respectively.

Transfers between levels for instruments carried at fair value on a recurring basis For the years ended December 31, 2017, 2016, and 2015 During the year ended December 31, 2015, transfers from there were no significant transfers between levels 1 and 2. level 3 to level 2 and from level 2 to level 3 included the following: During the year ended December 31, 2017, transfers from level 3 to level 2 included the following: • $3.5 billion of long-term debt and $1.0 billion of deposits driven by an increase in observability on • $1.8 billion of equity derivative receivables and $1.6 certain structured notes with embedded interest rate billion of equity derivative payables as a result of an and FX derivatives and a reduction in the significance of increase in observability and a decrease in the unobservable inputs of certain structured notes with significance of unobservable inputs. embedded equity derivatives. • $1.5 billion of trading loans driven by an increase in • $4.4 billion of gross equity derivative receivables and observability. $3.6 billion of equity derivative payables as a result of During the year ended December 31, 2017, transfers from an increase in observability and a decrease in the level 2 to level 3 included the following: significance of unobservable inputs, partially offset by • $3.4 billion of gross equity derivative receivables and transfers into level 3 resulting in net transfers of $2.7 $3.4 billion of gross equity derivative payables as a billion and $2.3 billion respectively; $1.5 billion of result of a decrease in observability and an increase in foreign exchange derivative receivables as a result of an the significance of unobservable inputs. increase in observability of certain valuation input. • $1.4 billion of long-term debt driven by a decrease in • $2.6 billion of trading loans driven by an increase in observability. observability of certain collateralized financing transactions; and $2.3 billion of corporate debt driven During the year ended December 31, 2016, transfers from by a reduction in the significance of unobservable inputs level 3 to level 2 included the following: and an increase in observability for certain structured • $1.3 billion of equity derivative receivables as a result of products. an increase in observability and a decrease in the All transfers are assumed to occur at the beginning of the significance of unobservable inputs. quarterly reporting period in which they occur. • $1.0 billion of long-term debt driven by an increase in observability and a reduction in the significance of unobservable inputs for certain structured notes. During the year ended December 31, 2016, transfers from level 2 to level 3 included the following: • $1.7 billion of gross equity derivative receivables and $1.9 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs. • $1.0 billion of trading loans driven by a decrease in observability.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 27 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Level 3 valuations JPMorgan Chase Bank, N.A. has established well-structured The range of values presented in the table is representative processes for determining fair value, including for of the highest and lowest level input used to value the instruments where fair value is estimated using significant significant groups of instruments within a product/ unobservable inputs (level 3). For further information on instrument classification. Where provided, the weighted JPMorgan Chase Bank, N.A.’s valuation process and a averages of the input values presented in the table are detailed discussion of the determination of fair value for calculated based on the fair value of the instruments that individual financial instruments, see pages 20–24 of this the input is being used to value. Note. In JPMorgan Chase Bank, N.A.’s view, the input range and Estimating fair value requires the application of judgment. the weighted average value do not reflect the degree of The type and level of judgment required is largely input uncertainty or an assessment of the reasonableness dependent on the amount of observable market information of JPMorgan Chase Bank, N.A.’s estimates and assumptions. available to JPMorgan Chase Bank, N.A. For instruments Rather, they reflect the characteristics of the various valued using internally developed valuation models and instruments held by JPMorgan Chase Bank, N.A. and the other valuation techniques that use significant relative distribution of instruments within the range of unobservable inputs and are therefore classified within characteristics. For example, two option contracts may have level 3 of the fair value hierarchy, judgments used to similar levels of market risk exposure and valuation estimate fair value are more significant than those required uncertainty, but may have significantly different implied when estimating the fair value of instruments classified volatility levels because the option contracts have different within levels 1 and 2. underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to- In arriving at an estimate of fair value for an instrument period and parameter-to-parameter based on the within level 3, management must first determine the characteristics of the instruments held by JPMorgan Chase appropriate valuation model or other valuation technique to Bank, N.A. at each balance sheet date. use. Second, due to the lack of observability of significant inputs, management must assess all relevant empirical data For JPMorgan Chase Bank, N.A.’s derivatives and structured in deriving valuation inputs including transaction details, notes positions classified within level 3 at December 31, yield curves, interest rates, prepayment speed, default 2017, interest rate correlation inputs used in estimating rates, volatilities, correlations, equity or debt prices, fair value were concentrated towards the upper end of the valuations of comparable instruments, foreign exchange range; equity correlation, equity-FX and equity-IR rates and credit curves. correlation inputs were concentrated in the middle of the range; commodity correlation inputs were concentrated in The following table presents JPMorgan Chase Bank, N.A.’s the middle of the range; credit correlation inputs were primary level 3 financial instruments, the valuation concentrated towards the lower end of the range; and the techniques used to measure the fair value of those financial interest rate-foreign exchange (“IR-FX”) correlation inputs instruments, the significant unobservable inputs, the range were concentrated towards the lower end of the range. In of values for those inputs and, for certain instruments, the addition, the interest rate spread volatility inputs used in weighted averages of such inputs. While the determination estimating fair value were distributed across the range; to classify an instrument within level 3 is based on the equity volatilities and commodity volatilities were significance of the unobservable inputs to the overall fair concentrated towards the lower end of the range; and value measurement, level 3 financial instruments typically forward commodity prices used in estimating the fair value include observable components (that is, components that of commodity derivatives were concentrated towards the are actively quoted and can be validated to external lower end of the range. Recovery rate, yield, prepayment sources) in addition to the unobservable components. The speed, conditional default rate, loss severity and price level 1 and/or level 2 inputs are not included in the table. In inputs used in estimating the fair value of credit derivatives addition, JPMorgan Chase Bank, N.A. manages the risk of were distributed across the range; and credit spreads were the observable components of level 3 financial instruments concentrated towards the lower end of the range. using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.

28 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Level 3 inputs(a) December 31, 2017 Fair value Principal valuation Product/Instrument (in millions) technique Unobservable inputs(g) Range of input values Weighted average Residential mortgage-backed securities $ 1,368 Discounted cash flows Yield 3% 16% 6% and loans(b) Prepayment speed 0% - 13% 9% Conditional default rate 0% - 5% 1% Loss severity 0% - 60% 2% Commercial mortgage-backed securities and loans(c) 635 Market comparables Price $ 0 - $ 100 $ 94 Obligations of U.S. states and municipalities 15 Market comparables Price $ 67 – $ 100 $ 90 Corporate debt securities 191 Market comparables Price $ 1 – $ 137 $ 83 Loans(d) 921 Market comparables Price $ 13 – $ 104 $ 87 Asset-backed securities 276 Discounted cash flows Credit spread 204bps 205bps 205bps Prepayment speed 20% 20% Conditional default rate 2% 2% Loss severity 30% 30% 51 Market comparables Price $2 - $94 $ 46 Net interest rate derivatives 22 Option pricing Interest rate spread volatility 27bps - 38bps Interest rate correlation (50)% - 98% IR-FX correlation 60% - 70% 236 Discounted cash flows Prepayment speed 0% - 30% Net credit derivatives (38) Discounted cash flows Credit correlation 40% - 75% Credit spread 6bps - 1,489bps Recovery rate 20% - 70% Yield 1% - 20% Prepayment speed 4% - 21% Conditional default rate 0% - 100% Loss severity 4% - 100% 5 Market comparables Price $ 10 - $ 98 Net foreign exchange derivatives (245) Option pricing IR-FX correlation (50)% - 70% (196) Discounted cash flows Prepayment speed 7% Net equity derivatives (1,887) Option pricing Equity volatility 20% - 55% Equity correlation 0% - 85% Equity-FX correlation (50)% - 30% Equity-IR correlation 10% - 40% Net commodity derivatives (648) Option pricing Forward commodity price $54 - $68 per barrel Commodity volatility 5% - 46% Commodity correlation (40)% - 70% MSRs 6,030 Discounted cash flows Refer to Note 16 Other assets 350 Discounted cash flows Credit spread 40bps – 70bps 55bps Long-term debt, short-term borrowings, 15,908 Option pricing Interest rate spread volatility 27bps – 38bps and deposits(e) Interest rate correlation (50)% – 98% IR-FX correlation (50)% – 70% Equity correlation 0% – 85% Equity-FX correlation (50)% – 30% Equity-IR correlation 10% – 40% Other level 3 assets and liabilities, net(f) 163

(a) The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ. (b) Includes U.S. government agency securities of $289 million, nonagency securities of $25 million and trading loans of $1.1 billion. (c) Includes nonagency securities of $2 million, trading loans of $357 million and non-trading loans of $276 million. (d) Includes trading loans of $921 million. (e) Long-term debt, short-term borrowings and deposits include structured notes issued by JPMorgan Chase Bank, N.A. that are predominantly financial instruments containing embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables. (f) Includes level 3 assets and liabilities that are insignificant both individually and in aggregate. (g) Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 29 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Changes in and ranges of unobservable inputs a decrease in a fair value measurement of assets valued at a The following discussion provides a description of the premium to par and an increase in a fair value impact on a fair value measurement of a change in each measurement of assets valued at a discount to par. unobservable input in isolation, and the interrelationship Prepayment speeds may vary from collateral pool to between unobservable inputs, where relevant and collateral pool, and are driven by the type and location of significant. The impact of changes in inputs may not be the underlying borrower, and the remaining tenor of the independent, as a change in one unobservable input may obligation as well as the level and type (e.g., fixed or give rise to a change in another unobservable input. Where floating) of interest rate being paid by the borrower. relationships do exist between two unobservable inputs, Typically collateral pools with higher borrower credit quality those relationships are discussed below. Relationships may have a higher prepayment rate than those with lower also exist between observable and unobservable inputs (for borrower credit quality, all other factors being equal. example, as observable interest rates rise, unobservable prepayment rates decline); such relationships have not Conditional default rate – The conditional default rate is a been included in the discussion below. In addition, for each measure of the reduction in the outstanding collateral of the individual relationships described below, the inverse balance underlying a collateralized obligation as a result of relationship would also generally apply. defaults. While there is typically no direct relationship between conditional default rates and prepayment speeds, The following discussion also provides a description of collateralized obligations for which the underlying collateral attributes of the underlying instruments and external has high prepayment speeds will tend to have lower market factors that affect the range of inputs used in the conditional default rates. An increase in conditional default valuation of JPMorgan Chase Bank, N.A.’s positions. rates would generally be accompanied by an increase in loss Yield – The yield of an asset is the interest rate used to severity and an increase in credit spreads. An increase in discount future cash flows in a discounted cash flow the conditional default rate, in isolation, would result in a calculation. An increase in the yield, in isolation, would decrease in a fair value measurement. Conditional default result in a decrease in a fair value measurement. rates reflect the quality of the collateral underlying a securitization and the structure of the securitization itself. Credit spread – The credit spread is the amount of Based on the types of securities owned in JPMorgan Chase additional annualized return over the market interest rate Bank, N.A.’s market-making portfolios, conditional default that a market participant would demand for taking rates are most typically at the lower end of the range exposure to the credit risk of an instrument. The credit presented. spread for an instrument forms part of the discount rate used in a discounted cash flow calculation. Generally, an Loss severity – The loss severity (the inverse concept is the increase in the credit spread would result in a decrease in a recovery rate) is the expected amount of future realized fair value measurement. losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the The yield and the credit spread of a particular mortgage- outstanding loan balance. An increase in loss severity is backed security primarily reflect the risk inherent in the generally accompanied by an increase in conditional default instrument. The yield is also impacted by the absolute level rates. An increase in the loss severity, in isolation, would of the coupon paid by the instrument (which may not result in a decrease in a fair value measurement. correspond directly to the level of inherent risk). Therefore, the range of yield and credit spreads reflects the range of The loss severity applied in valuing a mortgage-backed risk inherent in various instruments owned by JPMorgan security investment depends on factors relating to the Chase Bank, N.A. The risk inherent in mortgage-backed underlying mortgages, including the LTV ratio, the nature of securities is driven by the subordination of the security the lender’s lien on the property and other instrument- being valued and the characteristics of the underlying specific factors. mortgages within the collateralized pool, including Correlation – Correlation is a measure of the relationship borrower FICO scores, loan-to-value (“LTV”) ratios for between the movements of two variables (e.g., how the residential mortgages and the nature of the property and/ change in one variable influences the change in the other). or any tenants for commercial mortgages. For corporate Correlation is a pricing input for a derivative product where debt securities, obligations of U.S. states and municipalities the payoff is driven by one or more underlying risks. and other similar instruments, credit spreads reflect the Correlation inputs are related to the type of derivative (e.g., credit quality of the obligor and the tenor of the obligation. interest rate, credit, equity, foreign exchange and Prepayment speed – The prepayment speed is a measure of commodity) due to the nature of the underlying risks. When the voluntary unscheduled principal repayments of a parameters are positively correlated, an increase in one prepayable obligation in a collateralized pool. Prepayment parameter will result in an increase in the other parameter. speeds generally decline as borrower delinquencies rise. An When parameters are negatively correlated, an increase in increase in prepayment speeds, in isolation, would result in one parameter will result in a decrease in the other

30 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements parameter. An increase in correlation can result in an Changes in level 3 recurring fair value measurements increase or a decrease in a fair value measurement. Given a The following tables include a rollforward of the short correlation position, an increase in correlation, in Consolidated balance sheets amounts (including changes in isolation, would generally result in a decrease in a fair value fair value) for financial instruments classified by JPMorgan measurement. The range of correlation inputs between Chase Bank, N.A. within level 3 of the fair value hierarchy risks within the same asset class are generally narrower for the years ended December 31, 2017, 2016 and 2015. than those between underlying risks across asset classes. In When a determination is made to classify a financial addition, the ranges of credit correlation inputs tend to be instrument within level 3, the determination is based on the narrower than those affecting other asset classes. significance of the unobservable parameters to the overall fair value measurement. However, level 3 financial The level of correlation used in the valuation of derivatives instruments typically include, in addition to the with multiple underlying risks depends on a number of unobservable or level 3 components, observable factors including the nature of those risks. For example, the components (that is, components that are actively quoted correlation between two credit risk exposures would be and can be validated to external sources); accordingly, the different than that between two interest rate risk gains and losses in the table below include changes in fair exposures. Similarly, the tenor of the transaction may also value due in part to observable factors that are part of the impact the correlation input, as the relationship between valuation methodology. Also, JPMorgan Chase Bank, N.A. the underlying risks may be different over different time risk-manages the observable components of level 3 periods. Furthermore, correlation levels are very much financial instruments using securities and derivative dependent on market conditions and could have a relatively positions that are classified within level 1 or 2 of the fair wide range of levels within or across asset classes over value hierarchy; as these level 1 and level 2 risk time, particularly in volatile market conditions. management instruments are not included below, the gains Volatility – Volatility is a measure of the variability in or losses in the following tables do not reflect the effect of possible returns for an instrument, parameter or market JPMorgan Chase Bank, N.A.’s risk management activities index given how much the particular instrument, parameter related to such level 3 instruments. or index changes in value over time. Volatility is a pricing input for options, including equity options, commodity options, and interest rate options. Generally, the higher the volatility of the underlying, the riskier the instrument. Given a long position in an option, an increase in volatility, in isolation, would generally result in an increase in a fair value measurement. The level of volatility used in the valuation of a particular option-based derivative depends on a number of factors, including the nature of the risk underlying the option (e.g., the volatility of a particular equity security may be significantly different from that of a particular commodity index), the tenor of the derivative as well as the strike price of the option.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 31 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Fair value measurements using significant unobservable inputs Change in unrealized gains/(losses) Total related to Fair value realized/ Fair financial Year ended at unrealized Transfers Transfers value at instruments held December 31, 2017 January gains/ into (out of) Dec. 31, at Dec. 31, (in millions) 1, 2017 (losses) Purchases(f) Sales Settlements(g) level 3(h) level 3(h) 2017 2017 Assets: Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies $ 369 $ (11) $ 155 $ (163) $ (61) $ — $ — $ 289 $ (17) Residential – nonagency 11 3 5 — (4) 18 (9) 24 4 Commercial – nonagency 6 5 1 (5) (9) 4 — 2 — Total mortgage-backed securities 386 (3) 161 (168) (74) 22 (9) 315 (13) U.S. Treasury and government agencies — — — — — 1 — 1 — Obligations of U.S. states and municipalities 19 1 — — (5) — — 15 1 Non-U.S. government debt securities 46 — 560 (519) — 62 (71) 78 — Corporate debt securities 318 13 514 (472) (121) 101 (162) 191 5 Loans 4,325 225 2,172 (2,613) (1,071) 760 (1,466) 2,332 44 Asset-backed securities 70 23 243 (251) (14) 25 (45) 51 6 Total debt instruments 5,164 259 3,650 (4,023) (1,285) 971 (1,753) 2,983 43 Equity securities 89 33 51 (44) (5) 16 (19) 121 23 Other 281 133 151 (51) (205) 60 (19) 350 110 Total trading assets – debt and equity instruments 5,534 425 (c) 3,852 (4,118) (1,495) 1,047 (1,791) 3,454 176 (c) Net derivative receivables:(a) Interest rate 1,001 (87) 142 (194) (494) 41 (151) 258 (688) Credit 96 (170) 5 (6) — 81 (39) (33) 7 Foreign exchange (1,531) 1 12 (23) 893 (33) 240 (441) 9 Equity (1,488) (243) 2,106 (1,162) (943) 26 (183) (1,887) 172 Commodity 35 (329) — — (375) 39 (18) (648) 22 Total net derivative receivables (1,887) (828) (c) 2,265 (1,385) (919) 154 (151) (2,751) (478) (c) Available-for-sale securities: Asset-backed securities 663 15 — (50) (352) — — 276 14 Other 1 — — — — — — 1 — Total available-for-sale securities 664 15 (d) — (50) (352) — — 277 14 (d)

Loans 568 34 (c) 1 (26) (301) — — 276 3 (c)

Mortgage servicing rights 6,096 (232) (e) 1,103 (140) (797) — — 6,030 (232) (e)

Other assets 41 9 (c) — (13) (37) — — — — (c)

Fair value measurements using significant unobservable inputs Change in unrealized (gains)/losses Total related to Fair value realized/ Fair financial Year ended at unrealized Transfers Transfers value at instruments held December 31, 2017 January (gains)/ into (out of) Dec. 31, at Dec. 31, (in millions) 1, 2017 losses Purchases Sales Issuances Settlements(g) level 3(h) level 3(h) 2017 2017 Liabilities:(b)

Deposits $ 2,121 $ 169 (c)(i) $ — $ — $ 2,990 $ (287) $ 12 $ (855) $ 4,150 $ 192 (c)(i)

Short-term borrowings 1,019 102 (c)(i) — — 3,019 (2,488) 147 (195) 1,604 109 (c)(i) Trading liabilities – debt and equity instruments 36 (2) (c) (43) 45 — 1 — — 37 — (c) Beneficial interests issued by consolidated VIEs — — (c) — — — — — — — — (c)

Long-term debt 7,662 1,080 (c)(i) — — 7,613 (7,213) 1,398 (386) 10,154 761 (c)(i)

32 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Fair value measurements using significant unobservable inputs

Change in unrealized gains/(losses) Total related to Fair realized/ Fair financial Year ended value at unrealized Transfers Transfers value at instruments held December 31, 2016 January gains/ into (out of) Dec. 31, at Dec. 31, (in millions) 1, 2016 (losses) Purchases(f) Sales Settlements(g) level 3(h) level 3(h) 2016 2016 Assets: Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies $ 664 $ (20) $ 78 $ (246) $ (107) $ — $ — $ 369 $ (36) Residential – nonagency 19 (4) 6 (6) (3) — (1) 11 (3) Commercial – nonagency 6 (1) 2 (1) — — — 6 1 Total mortgage-backed securities 689 (25) 86 (253) (110) — (1) 386 (38) Obligations of U.S. states and municipalities 26 — — — (7) — 19 — Non-U.S. government debt securities 74 2 108 (125) (2) 18 (29) 46 (7) Corporate debt securities 482 (28) 457 (342) (177) 128 (202) 318 (21) Loans 5,364 (351) 2,101 (1,949) (1,074) 1,010 (776) 4,325 (184) Asset-backed securities 78 20 297 (262) (52) — (11) 70 7 Total debt instruments 6,713 (382) 3,049 (2,931) (1,422) 1,156 (1,019) 5,164 (243) Equity securities 88 — 30 (37) (2) 10 — 89 (3) Other 342 212 610 (392) (413) 24 (102) 281 30 Total trading assets – debt and equity instruments 7,143 (170) (c) 3,689 (3,360) (1,837) 1,190 (1,121) 5,534 (216) (c) Net derivative receivables:(a) Interest rate 605 771 319 (183) (722) (12) 223 1,001 (292) Credit 535 (737) 5 (4) 231 30 36 96 7 Foreign exchange (898) 87 64 (124) (649) (41) 30 (1,531) (356) Equity (1,223) (261) 2,720 (2,370) (12) (106) (236) (1,488) (114) Commodity (1,324) 767 6 — 604 1 (19) 35 464 Total net derivative receivables (2,305) 627 (c) 3,114 (2,681) (548) (128) 34 (1,887) (291) (c) Available-for-sale securities: Asset-backed securities 779 2 — — (118) — — 663 2 Other 1 — — — — — — 1 —

Total available-for-sale (d) (d) securities 780 2 — — (118) — 664 2 Loans 1,408 (48) (c) 259 — (738) — (313) 568 (42) (c)

Mortgage servicing rights 6,608 (163) (e) 679 (109) (919) — — 6,096 (163) (e)

Other assets 5,670 (13) (c) 30 (3,331) (2,316) 1 — 41 (2) (c)

Fair value measurements using significant unobservable inputs

Change in unrealized (gains)/losses Total related to Fair realized/ Fair financial Year ended value at unrealized Transfers Transfers value at instruments held December 31, 2016 January (gains)/ into (out of) Dec. 31, at Dec. 31, (in millions) 1, 2016 losses Purchases Sales issuances Settlements(g) level 3(h) level 3(h) 2016 2016 Liabilities:(b) Deposits $ 2,970 $ (11) (c) $ 1 $ — $ 1,354 $ (1,289) $ (904) $ 2,121 $ (178) (c)

Short-term borrowings 636 (232) (c) — — 1,712 (1,156) 117 (58) 1,019 (57) (c) Trading liabilities – debt and equity instruments 48 (22) (c) (1) 24 — (10) 1 (4) 36 (1) (c) Beneficial interests issued by consolidated VIEs — (11) (c) — — 157 (146) — — — — (c) Long-term debt 6,783 81 (c)(j) — — 5,066 (j) (3,658) 372 (982) 7,662 304 (c)(j)

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 33 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Fair value measurements using significant unobservable inputs

Change in unrealized gains/(losses) Total related to Fair realized/ Fair financial Year ended value at unrealized Transfers Transfers value at instruments held December 31, 2015 January gains/ into (out of) Dec. 31, at Dec. 31, (in millions) 1, 2015 (losses) Purchases(f) Sales Settlements(g) level 3(h) level 3(h) 2015 2015 Assets: Trading assets: Debt instruments: Mortgage-backed securities: U.S. government agencies $ 904 $ (35) $ 120 $ (198) $ (127) $ — $ — $ 664 $ (37) Residential – nonagency 438 (24) 139 (254) (6) — (274) 19 (4) Commercial – nonagency 217 (7) 43 (91) (16) — (140) 6 1 Total mortgage-backed securities 1,559 (66) 302 (543) (149) — (414) 689 (40) Obligations of U.S. states and municipalities 59 — — — (5) 5 (33) 26 — Non-U.S. government debt securities 302 9 205 (123) (64) 16 (271) 74 (15) Corporate debt securities 2,756 (63) 1,103 (1,064) (89) 165 (2,326) 482 (3) Loans 9,830 (254) 2,995 (4,149) (1,189) 465 (2,334) 5,364 (128) Asset-backed securities 374 (29) 121 (294) (14) — (80) 78 (12) Total debt instruments 14,880 (403) 4,726 (6,173) (1,510) 651 (5,458) 6,713 (198) Equity securities 73 22 52 (35) (28) 13 (9) 88 33 Other 1,184 110 1,642 (1,476) (234) 28 (912) 342 99 Total trading assets – debt and equity instruments 16,137 (271) (c) 6,420 (7,684) (1,772) 692 (6,379) 7,143 (66) (c) Net derivative receivables:(a) Interest rate 335 1,146 545 (245) (709) 12 (479) 605 218 Credit 185 110 145 (133) 129 28 71 535 256 Foreign exchange (761) 627 40 (137) (277) 52 (442) (898) 151 Equity (560) 649 3,021 (3,889) (28) 342 (758) (1,223) 74 Commodity (805) (893) (245) (12) 657 (13) (13) (1,324) (780) Total net derivative receivables (1,606) 1,639 (c) 3,506 (4,416) (228) 421 (1,621) (2,305) (81) (c) Available-for-sale securities: Asset-backed securities 833 (22) 48 (20) (60) — — 779 (28) Other 129 — — — (29) — (99) 1 — Total available-for-sale securities 962 (22) (d) 48 (20) (89) — (99) 780 (28) (d) Loans 2,213 (143) (c) 1,170 — (985) — (847) 1,408 (40) (c)

Mortgage servicing rights 7,436 (405) (e) 985 (486) (922) — — 6,608 (405) (e)

Other assets 4,593 (2) (c) 19 (3,334) 4,394 — — 5,670 (4) (c)

Fair value measurements using significant unobservable inputs

Change in unrealized (gains)/losses Total related to Fair realized/ Fair financial Year ended value at unrealized Transfers Transfers value at instruments held December 31, 2015 January (gains)/ into (out of) Dec. 31, at Dec. 31, (in millions) 1, 2015 losses Purchases Sales Issuances Settlements(g) level 3(h) level 3(h) 2015 2015 Liabilities:(b) Deposits $ 2,883 $ (16) (c) $ 1 $ — $ 1,945 $ (830) $ — $ (1,013) $ 2,970 $ (14) (c) Short-term borrowings 1,426 (682) (c) — — 3,078 (2,753) 131 (564) 636 (48) (c) Trading liabilities – debt and equity instruments 51 15 (c) (141) 134 — (15) 7 (3) 48 (5) (c) Beneficial interests issued by consolidated VIEs 18 (17) (c) — — 208 (209) — — — (c) Long-term debt 6,970 (414) (c) (58) — 6,373 (5,082) 183 (1,189) 6,783 319 (c) (a) All level 3 derivatives are presented on a net basis, irrespective of underlying counterparty. (b) Level 3 liabilities as a percentage of total JPMorgan Chase Bank, N.A. liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 19%, 14% and 15% at December 31, 2017, 2016 and 2015, respectively.

34 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements (c) Predominantly reported in principal transactions revenue, except for changes in fair value for consumer & community banking business mortgage loans and lending-related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income. (d) Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment (“OTTI”) losses that are recorded in earnings, are reported in securities gains. Unrealized gains/(losses) are reported in OCI. There were no realized gains/(losses) and foreign exchange hedge accounting adjustments recorded in income on AFS securities for the years ended December 31, 2017, 2016 and 2015. Unrealized gains/(losses) recorded on AFS securities in OCI were $15 million, $2 million and $(25) million for the years ended December 31, 2017, 2016 and 2015, respectively. (e) Changes in fair value for the consumer & community banking business’s MSRs are reported in mortgage fees and related income. (f) Loan originations are included in purchases. (g) Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, and deconsolidation associated with beneficial interests in VIEs and other items. (h) All transfers into and/or out of level 3 are based on changes in the observability of the valuation inputs and are assumed to occur at the beginning of the interim reporting period in which they occur. (i) Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue. Unrealized (gains)/losses are reported in OCI. Unrealized loss were $6 million for the year ended December 31, 2017. There were no realized gains for the year ended December 31, 2017. (j) The prior period amounts have been revised to conform with the current period presentation.

Level 3 analysis Consolidated balance sheets changes Gains and losses Level 3 assets (including assets measured at fair value on a The following describes significant components of total nonrecurring basis) were 1.0% of total JPMorgan Chase realized/unrealized gains/(losses) for instruments Bank, N.A. assets and 4.5% of total assets measured at fair measured at fair value on a recurring basis for the years value at December 31, 2017, compared with 1.1% and ended December 31, 2017, 2016 and 2015. For further 4.5%, respectively, at December 31, 2016. The following information on these instruments, see Changes in level 3 describes significant changes to level 3 assets since recurring fair value measurements rollforward tables on December 31, 2016, for those items measured at fair value pages 31–35. on a recurring basis. For further information on changes 2017 impacting items measured at fair value on a nonrecurring • 1.3 billion of net losses on liabilities largely driven by basis, see Assets and liabilities measured at fair value on a market movements in long-term debt nonrecurring basis on page 36. 2016 For the year ended December 31, 2017 • There were no individually significant movements for the Level 3 assets were $20.4 billion at December 31, 2017, year ended December 31, 2016 reflecting a decrease of $886 million from December 31, 2016, largely due to the following: 2015 • $1.1 billion increase in principal transactions on • $2.4 billion of net gains in interest rate, foreign derivative receivables exchange and equity derivative receivables largely due to market movements; partially offset by losses on • $2.1 billion decrease in trading assets — debt and equity commodity derivatives due to market movements instruments was driven by a decrease of $2.0 billion in trading loans due to settlements and transfers • $1.1 billion of net gains in liabilities due to market movements

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 35 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Assets and liabilities measured at fair value on a nonrecurring basis The following tables present the assets reported on a nonrecurring basis at fair value as of December 31, 2017 and 2016, by major product category and fair value hierarchy.

Fair value hierarchy Total fair December 31, 2017 (in millions) Level 1 Level 2 Level 3 value Loans $ — $ 25 $ 596 (a) $ 621 Other assets — 228 181 409 Total assets measured at fair value on a nonrecurring basis — 253 777 (a) 1,030

Fair value hierarchy Total fair December 31, 2016 (in millions) Level 1 Level 2 Level 3 value Loans $ — $ 730 $ 590 $ 1,320 Other assets — 3 228 231 Total assets measured at fair value on a nonrecurring basis — 733 818 1,551

(a) Of the $777 million in level 3 assets measured at fair value on a nonrecurring basis as of December 31, 2017, $442 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 as they are valued using a broker’s price opinion and discounted based upon JPMorgan Chase Bank, N.A.’s experience with actual liquidation values. These discounts to the broker price opinions ranged from 13% to 48% with a weighted average of 27%.

There were no material liabilities measured at fair value on a nonrecurring basis at December 31, 2017 and 2016.

Nonrecurring fair value changes The following table presents the total change in value of requirements. Accordingly, the fair value disclosures assets and liabilities for which a fair value adjustment has provided in the following table include only a partial been recognized for the years ended December 31, 2017, estimate of the fair value of JPMorgan Chase Bank, N.A.’s 2016 and 2015, related to financial instruments held at assets and liabilities. For example, JPMorgan Chase Bank, those dates. N.A. has developed long-term relationships with its customers through its deposit base and credit card December 31, (in millions) 2017 2016 2015 accounts, commonly referred to as core deposit intangibles Loans $ (159) $ (209) $ (225) and credit card relationships. In the opinion of Other Assets (141) 35 (61) management, these items, in the aggregate, add significant Accounts payable and other value to JPMorgan Chase Bank, N.A., but their fair value is liabilities (1) — (8) not disclosed in this Note. Total nonrecurring fair value gains/(losses) $ (301) $ (174) $ (294) Financial instruments for which carrying value approximates fair value For further information about the measurement of impaired Certain financial instruments that are not carried at fair collateral-dependent loans, and other loans where the value on the Consolidated balance sheets are carried at carrying value is based on the fair value of the underlying amounts that approximate fair value, due to their short- collateral (e.g., residential mortgage loans charged off in term nature and generally negligible credit risk. These accordance with regulatory guidance), see Note 13. instruments include cash and due from banks, deposits with Additional disclosures about the fair value of financial banks, federal funds sold, securities purchased under resale instruments that are not carried on the Consolidated agreements and securities borrowed, short-term balance sheets at fair value receivables and accrued interest receivable, short-term U.S. GAAP requires disclosure of the estimated fair value of borrowings, federal funds purchased, securities loaned and certain financial instruments, and the methods and sold under repurchase agreements, accounts payable, and significant assumptions used to estimate their fair value. accrued liabilities. In addition, U.S. GAAP requires that the Financial instruments within the scope of these disclosure fair value of deposit liabilities with no stated maturity (i.e., requirements are included in the following table. However, demand, savings and certain money market deposits) be certain financial instruments and all nonfinancial equal to their carrying value; recognition of the inherent instruments are excluded from the scope of these disclosure funding value of these instruments is not permitted.

36 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The following table presents by fair value hierarchy classification the carrying values and estimated fair values at December 31, 2017 and 2016, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy. For additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value, see pages 21–24 of this Note.

December 31, 2017 December 31, 2016 Estimated fair value hierarchy Estimated fair value hierarchy Total Total Carrying estimated Carrying estimated (in billions) value Level 1 Level 2 Level 3 fair value value Level 1 Level 2 Level 3 fair value Financial assets Cash and due from banks $ 21.9 $ 21.9 $ — $ — $ 21.9 $ 21.2 $ 21.2 $ — $ — $ 21.2 Deposits with banks 440.0 386.5 53.5 — 440.0 388.7 352.4 36.3 — 388.7 Accrued interest and accounts receivable 47.3 — 47.3 — 47.3 40.8 — 40.7 — 40.7 Federal funds sold and securities purchased under resale agreements 152.3 — 152.3 — 152.3 167.3 — 167.1 0.2 167.3 Securities borrowed 36.0 — 36.0 — 36.0 32.5 — 32.5 — 32.5 Securities, held-to-maturity 47.7 — 48.7 — 48.7 50.1 — 50.9 — 50.9 Loans, net of allowance for loan losses(a)(b) 813.6 — 219.3 597.5 816.8 779.2 — 29.3 744.9 774.2 Other 48.0 — 39.3 9.2 48.5 48.4 — 39.2 9.0 48.2 Financial liabilities Deposits $ 1,513.5 $ — $ 1,513.6 $ — $ 1,513.6 $ 1,466.2 $ — $ 1,466.4 $ — $ 1,466.4 Federal funds purchased and securities loaned or sold under repurchase agreements 91.3 — 91.3 — 91.3 74.4 — 74.4 — 74.4 Short-term borrowings 3.4 — 3.2 0.2 3.4 6.6 — 6.6 — 6.6 Accounts payable and other liabilities 61.8 — 58.9 2.7 61.6 52.7 — 49.7 3.0 52.7 Beneficial interests issued by consolidated VIEs 4.9 — 4.9 — 4.9 7.5 — 7.4 — 7.4 Long-term debt and junior subordinated deferrable interest debentures 76.3 — 72.8 2.7 75.5 92.2 — 90.1 2.0 92.1 (a) Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of JPMorgan Chase Bank, N.A.’s methodologies for estimating the fair value of loans and lending-related commitments, see Valuation hierarchy on pages 21–24. (b) For the year ended December 31, 2017, JPMorgan Chase Bank, N.A. transferred certain residential mortgage loans from Level 3 to Level 2 as a result of an increase in observability.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 37 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The majority of JPMorgan Chase Bank, N.A.’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value of the wholesale allowance for lending-related commitments and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.

December 31, 2017 December 31, 2016 Estimated fair value hierarchy Estimated fair value hierarchy Total Total Carrying estimated Carrying estimated (in billions) value(a) Level 1 Level 2 Level 3 fair value value(a) Level 1 Level 2 Level 3 fair value Wholesale lending- related commitments $ 1.1 $ — $ — $ 1.6 $ 1.6 $ 1.1 $ — $ — $ 2.1 $ 2.1

(a) Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees.

JPMorgan Chase Bank, N.A. does not estimate the fair value cases as permitted by law, without notice. For a further of consumer lending-related commitments. In many cases, discussion of the valuation of lending-related commitments, JPMorgan Chase Bank, N.A. can reduce or cancel these see page 22 of this Note. commitments by providing the borrower notice or, in some

Note 4 – Fair value option The fair value option provides an option to elect fair value JPMorgan Chase Bank, N.A.’s election of fair value includes as an alternative measurement for selected financial assets, the following instruments: financial liabilities, unrecognized firm commitments, and • Loans purchased or originated as part of securitization written loan commitments. warehousing activity, subject to bifurcation accounting, JPMorgan Chase Bank, N.A. has elected to measure certain or managed on a fair value basis, including lending- instruments at fair value for several reasons including to related commitments mitigate income statement volatility caused by the • Certain securities financing arrangements with an differences between the measurement basis of elected embedded derivative and/or a maturity of greater than instruments (e.g., certain instruments elected were one year previously accounted for on an accrual basis) and the associated risk management arrangements that are • Owned beneficial interests in securitized financial assets accounted for on a fair value basis, as well as to better that contain embedded credit derivatives, which would reflect those instruments that are managed on a fair value otherwise be required to be separately accounted for as basis. a derivative instrument • Structured notes, which are predominantly financial instruments that contain embedded derivatives, that are issued as part of the corporate & investment banking business’s client-driven activities • Certain long-term beneficial interests issued by the corporate & investment banking business’s consolidated securitization trusts where the underlying assets are carried at fair value

38 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Changes in fair value under the fair value option election The following table presents the changes in fair value included in the Consolidated statements of income for the years ended December 31, 2017, 2016 and 2015, for items for which the fair value option was elected. The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table.

2017 2016 2015 Total Total Total changes changes changes in fair in fair in fair Principal All other value Principal All other value Principal All other value December 31, (in millions) transactions income recorded transactions income recorded transactions income recorded Federal funds sold and securities purchased under resale agreements $ 22 $ — $ 22 $ (56) $ — $ (56) $ (32) $ — $ (32) Securities borrowed 50 — 50 1 — 1 (6) — (6) Trading assets: Debt and equity instruments, excluding loans 1,851 2 (c) 1,853 144 — 144 603 — 603 Loans reported as trading assets: Changes in instrument- specific credit risk 298 14 (c) 312 423 43 (c) 466 101 41 (c) 142 Other changes in fair value 216 747 (c) 963 68 684 (c) 752 200 818 (c) 1,018 Loans: Changes in instrument-specific credit risk (1) — (1) 13 — 13 37 — 37 Other changes in fair value (12) 3 (c) (9) (7) — (7) 4 — 4 Other assets — 3 (d) 3 (6) — (d) (6) (2) 5 (d) 3 Deposits(a) (546) — (546) (165) — (165) 94 — 94 Federal funds purchased and securities loaned or sold under repurchase agreements (38) — (38) 12 — 12 6 — 6 Short-term borrowings(a) (1,186) — (1,186) 21 — 21 194 — 194 Trading liabilities (1) — (1) 6 — 6 (20) — (20) Beneficial interests issued by consolidated VIEs — — — — — — 14 — 14 Long-term debt(a)(b) (969) — (969) (632) — (632) 1,052 — 1,052

(a) Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected is recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. DVA for 2015 was included in principal transactions revenue, and includes the impact of JPMorgan Chase Bank, N.A.’s own credit quality on the inception value of liabilities as well as the impact of changes in JPMorgan Chase Bank, N.A.’s own credit quality subsequent to issuance. See Notes 3 and 21 for further information. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transaction revenue were not material for the years ended December 31, 2017 and 2016. (b) Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk. (c) Reported in mortgage fees and related income. (d) Reported in other income.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 39 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Determination of instrument-specific credit risk for items • Long-term debt: Changes in value attributable to for which a fair value election was made instrument-specific credit risk were derived principally The following describes how the gains and losses that are from observable changes in JPMorgan Chase Bank, attributable to changes in instrument-specific credit risk, N.A.’s credit spread. were determined. • Resale and repurchase agreements, securities borrowed • Loans and lending-related commitments: For floating- agreements and securities lending agreements: rate instruments, all changes in value are attributed to Generally, for these types of agreements, there is a instrument-specific credit risk. For fixed-rate requirement that collateral be maintained with a market instruments, an allocation of the changes in value for the value equal to or in excess of the principal amount period is made between those changes in value that are loaned; as a result, there would be no adjustment or an interest rate-related and changes in value that are immaterial adjustment for instrument-specific credit risk credit-related. Allocations are generally based on an related to these agreements. analysis of borrower-specific credit spread and recovery information, where available, or benchmarking to similar entities or industries.

Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of December 31, 2017 and 2016, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.

2017 2016 Fair value Fair value over/ over/ (under) (under) Contractual contractual Contractual contractual principal principal principal principal December 31, (in millions) outstanding Fair value outstanding outstanding Fair value outstanding Loans(a) Nonaccrual loans Loans reported as trading assets $ 2,703 $ 1,073 $ (1,630) $ 1,986 $ 477 $ (1,509) Loans 39 — (39) — — — Subtotal 2,742 1,073 (1,669) 1,986 477 (1,509) All other performing loans Loans reported as trading assets 36,637 36,338 (299) 33,736 32,606 (1,130) Loans 2,539 2,508 (31) 2,259 2,228 (31) Total loans $ 41,918 $ 39,919 $ (1,999) $ 37,981 $ 35,311 $ (2,670) Long-term debt Principal-protected debt $ 6,253 (c) $ 6,024 $ (229) $ 3,577 (c) $ 3,280 $ (297) Nonprincipal-protected debt(b) — 15,377 NA NA 11,656 NA Total long-term debt NA $ 21,401 NA NA $ 14,936 NA

(a) There were no performing loans that were ninety days or more past due as of December 31, 2017 and 2016. (b) Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected structured notes, for which JPMorgan Chase Bank, N.A. is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected structured notes do not obligate JPMorgan Chase Bank, N.A. to return a stated amount of principal at maturity, but to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of JPMorgan Chase Bank, N.A. as issuer for both nonprincipal-protected and principal protected notes. (c) Where JPMorgan Chase Bank, N.A. issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at JPMorgan Chase Bank, N.A.’s next call date.

At December 31, 2017 and 2016, the contractual amount of lending-related commitments for which the fair value option was elected was $7.4 billion and $4.6 billion, respectively, with a corresponding fair value of $(82) million and $(131) million, respectively. For further information regarding off-balance sheet lending-related financial instruments, see Note 25.

40 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 5 – Credit risk concentrations Concentrations of credit risk arise when a number of clients, In JPMorgan Chase Bank, N.A.’s consumer portfolio, counterparties or customers are engaged in similar business concentrations are evaluated primarily by product and by activities or activities in the same geographic region, or when U.S. geographic region, with a key focus on trends and they have similar economic features that would cause their concentrations at the portfolio level, where potential credit ability to meet contractual obligations to be similarly affected risk concentrations can be remedied through changes in by changes in economic conditions. underwriting policies and portfolio guidelines. In the JPMorgan Chase Bank, N.A. regularly monitors various wholesale portfolio, credit risk concentrations are evaluated segments of its credit portfolios to assess potential credit primarily by industry and monitored regularly on both an risk concentrations and to obtain additional collateral when aggregate portfolio level and on an individual client or counterparty basis. JPMorgan Chase Bank, N.A.’s wholesale deemed necessary and permitted under JPMorgan Chase exposure is managed through loan syndications and Bank, N.A.’s agreements. Senior management is significantly participations, loan sales, securitizations, credit derivatives, involved in the credit approval and review process, and risk master netting agreements, collateral and other risk- JPMorgan Chase levels are adjusted as needed to reflect reduction techniques. For additional information on loans, Bank, N.A.’s risk appetite. see Note 13. JPMorgan Chase Bank, N.A. does not believe that its exposure to any particular loan product (e.g., option adjustable rate mortgages (“ARMs”)), or industry segment (e.g., real estate), or its exposure to residential real estate loans with high LTV ratios, results in a significant concentration of credit risk. Terms of loan products and collateral coverage are included in JPMorgan Chase Bank, N.A.’s assessment when extending credit and establishing its allowance for loan losses.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 41 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The table below presents both on–balance sheet and off–balance sheet consumer and wholesale-related credit exposure by JPMorgan Chase Bank, N.A.’s three credit portfolio segments as of December 31, 2017 and 2016. In 2017 JPMorgan Chase Bank, N.A. revised its methodology for the assignment of industry classifications, to better monitor and manage concentrations. This largely resulted in the re-assignment of holding companies from Other to the industry of risk category based on the primary business activity of the holding company's underlying entities. In the tables and industry discussions below, the prior period amounts have been revised to conform with the current period presentation.

2017 2016 Credit On-balance sheet Off-balance Credit On-balance sheet Off-balance December 31, (in millions) exposure(f) Loans Derivatives sheet(g) exposure Loans Derivatives sheet(g) Total consumer, excluding credit card $ 421,198 $ 372,645 $ — $ 48,553 $ 418,059 $ 364,598 $ — $ 53,461 (h) Total credit card 53,162 41,035 — 12,127 47,076 35,878 — 11,198 Total consumer 474,360 413,680 — 60,680 465,135 400,476 — 64,659 (h) Wholesale-related(a) Real Estate 139,403 113,642 153 25,608 134,179 105,796 204 28,179 Consumer & Retail 87,651 31,016 1,114 55,521 84,609 29,801 1,082 53,726 Technology, Media & Telecommunications 59,246 13,663 2,265 43,318 63,296 14,061 1,292 47,943 Healthcare 55,341 15,698 2,110 37,533 48,829 14,906 2,303 31,620 Industrials 55,262 18,154 1,160 35,948 55,726 17,288 1,658 36,780 Banks & Finance Cos 54,021 30,880 6,784 16,357 54,808 27,714 13,657 13,437 Oil & Gas 41,023 12,493 1,561 26,969 40,243 13,147 1,860 25,236 Asset Managers 31,801 11,326 7,707 12,768 31,671 10,093 10,646 10,932 Utilities 28,859 6,083 1,806 20,970 29,536 7,061 969 21,506 State & Municipal Govt(b) 27,828 11,407 2,810 13,611 27,387 11,518 2,118 13,751 Central Govt 19,129 3,375 13,884 1,870 20,346 3,964 14,173 2,209 Chemicals & Plastics 15,934 5,654 197 10,083 15,043 5,292 271 9,480 Transportation 15,776 6,714 975 8,087 19,006 8,971 751 9,284 Automotive 14,820 4,903 342 9,575 16,736 4,964 1,196 10,576 Metals & Mining 14,160 4,728 691 8,741 13,402 4,349 436 8,617 Insurance 14,087 1,411 2,802 9,874 13,505 1,119 3,377 9,009 Securities Firms 4,366 1,679 1,680 1,007 4,055 1,300 1,913 842 Financial Markets Infrastructure 4,073 351 2,536 1,186 4,878 347 2,461 2,070 All other(c) 148,030 113,749 4,048 30,233 137,756 105,441 3,551 28,764 Subtotal 830,810 406,926 54,625 369,259 815,011 387,132 63,918 363,961 Loans held-for-sale and loans at fair value 5,607 5,607 — — 4,511 4,511 — — Receivables from customers and other(d) 1,635 — — — 1,197 — — — Total wholesale-related 838,052 412,533 54,625 369,259 820,719 391,643 63,918 363,961 Total exposure(e)(f) $1,312,412 $ 826,213 $ 54,625 $ 429,939 $1,285,854 $ 792,119 $ 63,918 $ 428,620 (h) (a) The industry rankings presented in the table as of December 31, 2016, are based on the industry rankings of the corresponding exposures at December 31, 2017, not actual rankings of such exposures at December 31, 2016. (b) In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at December 31, 2017 and 2016, noted above, JPMorgan Chase Bank, N.A. held: $4.3 billion and $3.9 billion, respectively, of trading securities; $30.2 billion and $28.9 billion, respectively, of AFS securities; and 14.4 billion and $14.5 billion, respectively, of HTM securities, issued by U.S. state and municipal governments. For further information, see Note 3 and Note 11. (c) All other includes: individuals; SPEs; and private education and civic organizations. For more information on exposures to SPEs, see Note 15. (d) Receivables from customers primarily represent held-for-investment margin loans to brokerage customers (prime services, the asset & wealth management business and the consumer & community banking business) that are collateralized through assets maintained in the clients’ brokerage accounts, as such no allowance is held against these receivables. These receivables are reported within accrued interest and accounts receivable on JPMorgan Chase Bank, N.A.’s Consolidated balance sheets. (e) Excludes cash placed with banks of $401.8 billion and $367.9 billion, at December 31, 2017 and 2016, 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 used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables. (g) Represents lending-related financial instruments. (h) The prior period amounts have been revised to conform with the current period presentation.

42 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 6 – Derivative instruments Derivative contracts derive their value from underlying Commodities contracts are used to manage the price risk of asset prices, indices, reference rates, other inputs or a certain commodities inventories. Gains or losses on these combination of these factors and may expose derivative instruments are expected to substantially offset counterparties to risks and rewards of an underlying asset the depreciation or appreciation of the related inventory. or liability without having to initially invest in, own or exchange the asset or liability. JPMorgan Chase Bank, N.A. Credit derivatives are used to manage the counterparty makes markets in derivatives for clients and also uses credit risk associated with loans and lending-related derivatives to hedge or manage its own risk exposures. commitments. Credit derivatives compensate the purchaser Predominantly all of JPMorgan Chase Bank, N.A.’s when the entity referenced in the contract experiences a derivatives are entered into for market-making or risk credit event, such as bankruptcy or a failure to pay an management purposes. obligation when due. Credit derivatives primarily consist of CDS. For a further discussion of credit derivatives, see the Market-making derivatives discussion in the Credit derivatives section on pages 53–56 The majority of JPMorgan Chase Bank, N.A.’s derivatives are of this Note. entered into for market-making purposes. Clients use derivatives to mitigate or modify interest rate, credit, For more information about risk management derivatives, foreign exchange, equity and commodity risks. JPMorgan see the risk management derivatives gains and losses table Chase Bank, N.A. actively manages the risks from its on page 53 of this Note, and the hedge accounting gains exposure to these derivatives by entering into other and losses tables on pages 51–53 of this Note. derivative transactions or by purchasing or selling other Derivative counterparties and settlement types financial instruments that partially or fully offset the JPMorgan Chase Bank, N.A. enters into OTC derivatives with exposure from client derivatives. third parties and JPMorgan Chase affiliates, which are Risk management derivatives negotiated and settled bilaterally with the derivative JPMorgan Chase Bank, N.A. manages certain market and counterparty. JPMorgan Chase Bank, N.A. also enters into, credit risk exposures using derivative instruments, including as principal, certain exchange-traded derivatives (“ETD”) derivatives in hedge accounting relationships and other such as futures and options, and “cleared” over-the-counter derivatives that are used to manage risks associated with (“OTC-cleared”) derivative contracts with CCPs. ETD specified assets and liabilities. contracts are generally standardized contracts traded on an exchange and cleared by the CCP, which is JPMorgan Chase Interest rate contracts are used to minimize fluctuations in Bank, N.A.’s counterparty from the inception of the earnings that are caused by changes in interest rates. Fixed- transactions. OTC-cleared derivatives are traded on a rate assets and liabilities appreciate or depreciate in market bilateral basis and then novated to the CCP for clearing. value as interest rates change. Similarly, interest income and expense increases or decreases as a result of variable- Derivative clearing services rate assets and liabilities resetting to current market rates, JPMorgan Chase Bank, N.A. provides clearing services for and as a result of the repayment and subsequent clients in which JPMorgan Chase Bank, N.A. acts as a origination or issuance of fixed-rate assets and liabilities at clearing member at certain derivative exchanges and current market rates. Gains or losses on the derivative clearing houses. JPMorgan Chase Bank, N.A. does not instruments that are related to such assets and liabilities reflect the clients’ derivative contracts in its Consolidated are expected to substantially offset this variability in Financial Statements. For further information on JPMorgan earnings. JPMorgan Chase Bank, N.A. generally uses Chase Bank, N.A.’s clearing services, see Note 25. interest rate swaps, forwards and futures to manage the Accounting for derivatives impact of interest rate fluctuations on earnings. All free-standing derivatives that JPMorgan Chase Bank, Foreign currency forward contracts are used to manage the N.A. executes for its own account are required to be foreign exchange risk associated with certain foreign recorded on the Consolidated balance sheets at fair value. currency–denominated (i.e., non-U.S. dollar) assets and As permitted under U.S. GAAP JPMorgan Chase Bank, N.A. liabilities and forecasted transactions, as well as JPMorgan nets derivative assets and liabilities, and the related cash Chase Bank, N.A.’s net investments in certain non-U.S. collateral receivables and payables, when a legally subsidiaries or branches whose functional currencies are enforceable master netting agreement exists between not the U.S. dollar. As a result of fluctuations in foreign JPMorgan Chase Bank, N.A. and the derivative counterparty. currencies, the U.S. dollar–equivalent values of the foreign For further discussion of the offsetting of assets and currency–denominated assets and liabilities or the liabilities, see Note 1. The accounting for changes in value forecasted revenues or expenses increase or decrease. of a derivative depends on whether or not the transaction Gains or losses on the derivative instruments related to has been designated and qualifies for hedge accounting. these foreign currency–denominated assets or liabilities, or Derivatives that are not designated as hedges are reported forecasted transactions, are expected to substantially offset and measured at fair value through earnings. The tabular this variability. disclosures on pages 47–53 of this Note provide additional information on the amount of, and reporting for, derivative

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 43 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) assets, liabilities, gains and losses. For further discussion of There are three types of hedge accounting designations: fair derivatives embedded in structured notes, see Notes 3 value hedges, cash flow hedges and net investment hedges. and 4. JPMorgan Chase Bank, N.A. uses fair value hedges primarily Derivatives designated as hedges to hedge fixed-rate long-term debt, AFS securities and JPMorgan Chase Bank, N.A. applies hedge accounting to certain commodities inventories. For qualifying fair value certain derivatives executed for risk management purposes hedges, the changes in the fair value of the derivative, and – generally interest rate, foreign exchange and commodity in the value of the hedged item for the risk being hedged, derivatives. However, JPMorgan Chase Bank, N.A. does not are recognized in earnings. If the hedge relationship is seek to apply hedge accounting to all of the derivatives terminated, then the adjustment to the hedged item involved in its risk management activities. For example, continues to be reported as part of the basis of the hedged JPMorgan Chase Bank, N.A. does not apply hedge item, and for benchmark interest rate hedges, is amortized accounting to purchased CDS used to manage the credit risk to earnings as a yield adjustment. Derivative amounts of loans and lending-related commitments, because of the affecting earnings are recognized consistent with the difficulties in qualifying such contracts as hedges. For the classification of the hedged item – primarily net interest same reason, JPMorgan Chase Bank, N.A. does not apply income and principal transactions revenue. hedge accounting to certain interest rate and foreign JPMorgan Chase Bank, N.A. uses cash flow hedges primarily exchange derivatives used for risk management purposes. to hedge the exposure to variability in forecasted cash flows To qualify for hedge accounting, a derivative must be highly from floating-rate assets and liabilities and foreign effective at reducing the risk associated with the exposure currency–denominated revenue and expense. For qualifying being hedged. In addition, for a derivative to be designated cash flow hedges, the effective portion of the change in the as a hedge, the risk management objective and strategy fair value of the derivative is recorded in OCI and recognized must be documented. Hedge documentation must identify in the Consolidated statements of income when the hedged the derivative hedging instrument, the asset or liability or cash flows affect earnings. Derivative amounts affecting forecasted transaction and type of risk to be hedged, and earnings are recognized consistent with the classification of how the effectiveness of the derivative is assessed the hedged item – primarily interest income, interest prospectively and retrospectively. To assess effectiveness, expense, noninterest revenue and compensation expense. JPMorgan Chase Bank, N.A. uses statistical methods such as The ineffective portions of cash flow hedges are regression analysis, as well as nonstatistical methods immediately recognized in earnings. If the hedge including dollar-value comparisons of the change in the fair relationship is terminated, then the value of the derivative value of the derivative to the change in the fair value or recorded in accumulated other comprehensive income/ cash flows of the hedged item. The extent to which a (loss) (“AOCI”) is recognized in earnings when the cash derivative has been, and is expected to continue to be, flows that were hedged affect earnings. For hedge effective at offsetting changes in the fair value or cash flows relationships that are discontinued because a forecasted of the hedged item must be assessed and documented at transaction is not expected to occur according to the least quarterly. Any hedge ineffectiveness (i.e., the amount original hedge forecast, any related derivative values by which the gain or loss on the designated derivative recorded in AOCI are immediately recognized in earnings. instrument does not exactly offset the change in the hedged JPMorgan Chase Bank, N.A. uses net investment hedges to item attributable to the hedged risk) must be reported in protect the value of JPMorgan Chase Bank, N.A.’s net current-period earnings. If it is determined that a derivative investments in certain non-U.S. subsidiaries or branches is not highly effective at hedging the designated exposure, whose functional currencies are not the U.S. dollar. For hedge accounting is discontinued. foreign currency qualifying net investment hedges, changes in the fair value of the derivatives are recorded in the translation adjustments account within AOCI.

44 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The following table outlines JPMorgan Chase Bank, N.A.’s primary uses of derivatives and the related hedge accounting designation or disclosure category.

Page Type of Derivative Use of Derivative Designation and disclosure reference Manage specifically identified risk exposures in qualifying hedge accounting relationships: • Interest rate Hedge fixed rate assets and liabilities Fair value hedge 51 • Interest rate Hedge floating-rate assets and liabilities Cash flow hedge 52 • Foreign exchange Hedge foreign currency-denominated assets and liabilities Fair value hedge 51 • Foreign exchange Hedge foreign currency-denominated forecasted revenue and expense Cash flow hedge 52 • Foreign exchange Hedge the value of JPMorgan Chase Bank, N.A.’s investments in non-U.S. Net investment hedge 53 subsidiaries • Commodity Hedge commodity inventory Fair value hedge 51 Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships: • Interest rate Manage the risk of the mortgage pipeline, warehouse loans and MSRs Specified risk management 53 • Credit Manage the credit risk of wholesale lending exposures Specified risk management 53 • Interest rate and Manage the risk of certain other specified assets and liabilities Specified risk management 53 foreign exchange Market-making derivatives and other activities: • Various Market-making and related risk management Market-making and other 53 • Various Other derivatives Market-making and other 53

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 45 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Notional amount of derivative contracts While the notional amounts disclosed above give an The following table summarizes the notional amount of indication of the volume of JPMorgan Chase Bank, N.A.’s derivative contracts outstanding as of December 31, 2017 derivatives activity, the notional amounts significantly and 2016. exceed, in JPMorgan Chase Bank, N.A.’s view, the possible losses that could arise from such transactions. For most (b) Notional amounts derivative transactions, the notional amount is not December 31, (in billions) 2017 2016 exchanged; it is used simply as a reference to calculate Interest rate contracts payments. Swaps $ 21,371 $ 22,261 Futures and forwards 4,519 4,917 Written options 3,582 3,101 Purchased options 4,003 3,514 Total interest rate contracts 33,475 33,793 Credit derivatives(a) 1,498 2,010 Foreign exchange contracts Cross-currency swaps 3,978 3,379 Spot, futures and forwards 5,962 5,385 Written options 788 735 Purchased options 777 721 Total foreign exchange contracts 11,505 10,220 Equity contracts Swaps 497 360 Futures and forwards 75 47 Written options 543 442 Purchased options 508 415 Total equity contracts 1,623 1,264 Commodity contracts Swaps 516 448 Spot, futures and forwards 173 131 Written options 113 98 Purchased options 106 109 Total commodity contracts 908 786 Total derivative notional amounts $ 49,009 $ 48,073 (a) For more information on volumes and types of credit derivative contracts, see the Credit derivatives discussion on pages 53–56. (b) Represents the sum of gross long and gross short notional derivative contracts with third-parties and JPMorgan Chase affiliates. For additional information on related party derivatives, see Note 20.

46 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Impact of derivatives on the Consolidated balance sheets The tables below include derivative receivables and payables with affiliates on a net basis. See Note 20 for information regarding our derivative activities with affiliates. The following table summarizes information on derivative receivables and payables (before and after netting adjustments) that are reflected on JPMorgan Chase Bank, N.A.’s Consolidated balance sheets as of December 31, 2017 and 2016, by accounting designation (e.g., whether the derivatives were designated in qualifying hedge accounting relationships or not) and contract type. Gross derivative balances as of December 31, 2017, reflect JPMorgan Chase Bank, N.A.’s adoption of rulebook changes made by two CCPs, that require or allow JPMorgan Chase Bank, N.A. to treat certain OTC-cleared derivative transactions with that CCP as settled each day. If such rulebook changes had been in effect as of December 31, 2016, the impact would have been a reduction in gross derivative receivables and payables of $227.1 billion and $224.7 billion, respectively, and a corresponding decrease in amounts netted, with no impact to the Consolidated balance sheets.

Free-standing derivative receivables and payables(a) Gross derivative receivables Gross derivative payables Not Total Net Not Total Net December 31, 2017 designated Designated derivative derivative designated Designated derivative derivative (in millions) as hedges as hedges receivables receivables(b) as hedges as hedges payables payables(b) Trading assets and liabilities Interest rate $ 319,044 $ 838 $ 319,882 $ 24,442 $ 289,658 $ 92 $ 289,750 $ 7,014 Credit 22,195 — 22,195 714 22,268 — 22,268 1,085 Foreign exchange 160,914 359 161,273 16,058 155,837 962 156,799 12,598 Equity 57,507 — 57,507 7,103 63,186 — 63,186 9,251 Commodity 40,085 19 40,104 6,308 40,433 403 40,836 6,321 Total fair value of trading assets and liabilities $ 599,745 $ 1,216 $ 600,961 $ 54,625 $ 571,382 $ 1,457 $ 572,839 $ 36,269

Gross derivative receivables Gross derivative payables Not Total Net Not Total Net December 31, 2016 designated Designated derivative derivative designated Designated derivative derivative (in millions) as hedges as hedges receivables receivables(b) as hedges as hedges payables payables(b) Trading assets and liabilities Interest rate $ 608,615 $ 1,725 $ 610,340 $ 28,020 $ 575,626 $ 1,520 $ 577,146 $ 10,545 Credit 29,149 — 29,149 1,233 28,336 — 28,336 1,298 Foreign exchange 234,301 1,297 235,598 23,319 235,409 490 235,899 20,466 Equity 50,905 — 50,905 5,026 54,839 — 54,839 8,532 Commodity 35,287 3 35,290 6,320 35,268 1 35,269 7,794 Total fair value of trading assets and liabilities $ 958,257 $ 3,025 $ 961,282 $ 63,918 $ 929,478 $ 2,011 $ 931,489 $ 48,635

(a) Balances exclude structured notes for which the fair value option has been elected. See Note 4 for further information. (b) As permitted under U.S. GAAP, JPMorgan Chase Bank, N.A. has elected to net derivative receivables and derivative payables and the related cash collateral receivables and payables when a legally enforceable master netting agreement exists.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 47 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Derivatives netting The following tables present, as of December 31, 2017 and 2016, gross and net derivative receivables and payables by contract and settlement type. Derivative receivables and payables, as well as the related cash collateral from the same counterparty, have been netted on the Consolidated balance sheets where JPMorgan Chase Bank, N.A. has obtained an appropriate legal opinion with respect to the master netting agreement. Where such a legal opinion has not been either sought or obtained, amounts are not eligible for netting on the Consolidated balance sheets, and those derivative receivables and payables are shown separately in the tables below. In addition to the cash collateral received and transferred that is presented on a net basis with derivative receivables and payables, JPMorgan Chase Bank, N.A. receives and transfers additional collateral (financial instruments and cash). These amounts mitigate counterparty credit risk associated with JPMorgan Chase Bank, N.A.’s derivative instruments, but are not eligible for net presentation: • collateral that consists of non-cash financial instruments (generally U.S. government and agency securities and other G7 government securities) and cash collateral held at third party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount. • the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as of the date presented, which is excluded from the tables below; and • collateral held or transferred that relates to derivative receivables or payables where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement, which is excluded from the tables below.

2017 2016 Amounts netted Amounts netted Gross on the Net Gross on the Net derivative Consolidated derivative derivative Consolidated derivative December 31, (in millions) receivables balance sheets receivables receivables balance sheets receivables U.S. GAAP nettable derivative receivables Interest rate contracts: OTC $ 309,464 $ (289,039) $ 20,425 $ 368,159 $ (347,647) $ 20,512 OTC–cleared 6,531 (6,318) 213 234,525 (234,446) 79 Exchange-traded(a) 185 (84) 101 241 (227) 14 Total interest rate contracts 316,180 (295,441) 20,739 602,925 (582,320) 20,605 Credit contracts: OTC 14,393 (14,311) 82 22,638 (22,177) 461 OTC–cleared 7,225 (7,170) 55 5,746 (5,739) 7 Total credit contracts 21,618 (21,481) 137 28,384 (27,916) 468 Foreign exchange contracts: OTC 156,415 (143,554) 12,861 228,427 (211,087) 17,340 OTC–cleared 1,696 (1,654) 42 1,238 (1,165) 73 Exchange-traded(a) 141 (7) 134 104 (27) 77 Total foreign exchange contracts 158,252 (145,215) 13,037 229,769 (212,279) 17,490 Equity contracts: OTC 43,606 (41,322) 2,284 39,097 (38,298) 799 Exchange-traded(a) 10,072 (9,081) 991 9,075 (7,581) 1,494 Total equity contracts 53,678 (50,403) 3,275 48,172 (45,879) 2,293 Commodity contracts: OTC 30,971 (25,096) 5,875 28,255 (22,206) 6,049 Exchange-traded(a) 8,853 (8,700) 153 6,792 (6,764) 28 Total commodity contracts 39,824 (33,796) 6,028 35,047 (28,970) 6,077 Derivative receivables with appropriate legal opinion $ 589,552 $ (546,336) (b) $ 43,216 $ 944,297 $ (897,364) (b) $ 46,933 Derivative receivables where an appropriate legal opinion has not been either sought or obtained 11,409 11,409 16,985 16,985 Total derivative receivables recognized on the Consolidated balance sheets $ 600,961 $ 54,625 $ 961,282 $ 63,918 Collateral not nettable on the Consolidated balance sheets(c)(d) (13,234) (18,594)

Net amounts $ 41,391 $ 45,324

48 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 2017 2016 Amounts netted Amounts netted Gross on the Net Gross on the Net derivative Consolidated derivative derivative Consolidated derivative December 31, (in millions) payables balance sheets payables payables balance sheets payables U.S. GAAP nettable derivative payables Interest rate contracts: OTC $ 282,317 $ (276,723) $ 5,594 $ 345,931 $ (336,778) $ 9,153 OTC–cleared 6,005 (5,929) 76 229,649 (229,648) 1 Exchange-traded(a) 127 (84) 43 196 (175) 21 Total interest rate contracts 288,449 (282,736) 5,713 575,776 (566,601) 9,175 Credit contracts: OTC 15,209 (14,398) 811 21,944 (21,397) 547 OTC–cleared 6,801 (6,784) 17 5,641 (5,641) — Total credit contracts 22,010 (21,182) 828 27,585 (27,038) 547 Foreign exchange contracts: OTC 151,968 (142,641) 9,327 229,290 (214,266) 15,024 OTC–cleared 1,555 (1,553) 2 1,158 (1,158) — Exchange-traded(a) 98 (7) 91 328 (9) 319 Total foreign exchange contracts 153,621 (144,201) 9,420 230,776 (215,433) 15,343 Equity contracts: OTC 49,146 (44,861) 4,285 43,013 (38,743) 4,270 Exchange-traded(a) 9,560 (9,074) 486 8,154 (7,564) 590 Total equity contracts 58,706 (53,935) 4,771 51,167 (46,307) 4,860 Commodity contracts: OTC 31,614 (25,807) 5,807 27,729 (20,624) 7,105 Exchange-traded(a) 8,855 (8,709) 146 7,089 (6,851) 238 Total commodity contracts 40,469 (34,516) 5,953 34,818 (27,475) 7,343 Derivative payables with appropriate legal opinion $ 563,255 $ (536,570) (b) $ 26,685 $ 920,122 $ (882,854) (b) $ 37,268 Derivative payables where an appropriate legal opinion has not been either sought or obtained 9,584 9,584 11,367 11,367 Total derivative payables recognized on the Consolidated balance sheets $ 572,839 $ 36,269 $ 931,489 $ 48,635 Collateral not nettable on the Consolidated balance sheets(c)(d) (4,180) (8,926)

Net amounts $ 32,089 $ 39,709

(a) Exchange-traded derivative balances that relate to futures contracts are settled daily. (b) Net derivatives receivable included cash collateral netted of $55.9 billion and $71.4 billion at December 31, 2017 and 2016, respectively. Net derivatives payable included cash collateral netted of $46.1 billion and $56.9 billion related to OTC and OTC-cleared derivatives at December 31, 2017 and 2016, respectively. (c) Represents liquid security collateral as well as cash collateral held at third-party custodians related to derivative instruments where an appropriate legal opinion has been obtained. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty. (d) Derivative collateral relates only to OTC and OTC-cleared derivative instruments.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 49 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Liquidity risk and credit-related contingent features collateral or termination features that may be triggered In addition to the specific market risks introduced by each upon a ratings downgrade, and the associated collateral derivative contract type, derivatives expose JPMorgan JPMorgan Chase Bank, N.A. has posted in the normal course Chase Bank, N.A. to credit risk — the risk that derivative of business, at December 31, 2017 and 2016. counterparties may fail to meet their payment obligations under the derivative contracts and the collateral, if any, OTC and OTC-cleared derivative payables containing held by JPMorgan Chase Bank, N.A. proves to be of downgrade triggers insufficient value to cover the payment obligation. It is the December 31, (in millions) 2017 2016 policy of JPMorgan Chase Bank, N.A. to actively pursue, Aggregate fair value of net derivative where possible, the use of legally enforceable master payables $ 11,669 $ 21,200 netting arrangements and collateral agreements to mitigate Collateral posted 9,947 19,195 derivative counterparty credit risk. The amount of derivative receivables reported on the Consolidated balance The following table shows the impact of a single-notch and sheets is the fair value of the derivative contracts after two-notch downgrade of the long-term issuer ratings of giving effect to legally enforceable master netting JPMorgan Chase Bank, N.A. and its subsidiaries at agreements and cash collateral held by JPMorgan Chase December 31, 2017 and 2016, related to OTC and OTC- Bank, N.A. cleared derivative contracts with contingent collateral or While derivative receivables expose JPMorgan Chase Bank, termination features that may be triggered upon a ratings N.A. to credit risk, derivative payables expose JPMorgan downgrade. Derivatives contracts generally require Chase Bank, N.A. to liquidity risk, as the derivative contracts additional collateral to be posted or terminations to be typically require JPMorgan Chase Bank, N.A. to post cash or triggered when the predefined threshold rating is breached. securities collateral with counterparties as the fair value of A downgrade by a single rating agency that does not result the contracts moves in the counterparties’ favor or upon in a rating lower than a preexisting corresponding rating specified downgrades in JPMorgan Chase Bank, N.A.’s and provided by another major rating agency will generally not its subsidiaries’ respective credit ratings. Certain derivative result in additional collateral (except in certain instances in contracts also provide for termination of the contract, which additional initial margin may be required upon a generally upon a downgrade of either JPMorgan Chase ratings downgrade), nor in termination payments Bank, N.A. or the counterparty, at the fair value of the requirements. The liquidity impact in the table is calculated derivative contracts. The following table shows the based upon a downgrade below the lowest current rating of aggregate fair value of net derivative payables related to the rating agencies referred to in the derivative contract. OTC and OTC-cleared derivatives that contain contingent

Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives 2017 2016 Single-notch Two-notch Single-notch Two-notch December 31, (in millions) downgrade downgrade downgrade downgrade Amount of additional collateral to be posted upon downgrade(a) $ 79 $ 1,982 $ 560 $ 2,489 Amount required to settle contracts with termination triggers upon downgrade(b) 320 649 606 1,049 (a) Includes the additional collateral to be posted for initial margin. (b) Amounts represent fair values of derivative payables, and do not reflect collateral posted.

Derivatives executed in contemplation of a sale of the underlying financial asset In certain instances JPMorgan Chase Bank, N.A. enters into transactions in which it transfers financial assets but maintains the economic exposure to the transferred assets by entering into a derivative with the same counterparty in contemplation of the initial transfer. JPMorgan Chase Bank, N.A. generally accounts for such transfers as collateralized financing transactions as described in Note 12, but in limited circumstances they may qualify to be accounted for as a sale and a derivative under U.S. GAAP. There were no such transfers accounted for as a sale where the associated derivative was outstanding at December 31, 2017, and such transfers at December 31, 2016 were not material.

50 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Impact of derivatives on the Consolidated statements of income The following tables provide information related to gains and losses recorded on derivatives based on their hedge accounting designation or purpose. See Note 20 for information regarding our derivative activities with affiliates. Fair value hedge gains and losses The following tables present derivative instruments, by contract type, used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the years ended December 31, 2017, 2016 and 2015, respectively. JPMorgan Chase Bank, N.A. includes gains/(losses) on the hedging derivative and the related hedged item in the same line item in the Consolidated statements of income.

Gains/(losses) recorded in income Income statement impact due to: Total income statement Hedge Excluded Year ended December 31, 2017 (in millions) Derivatives Hedged items impact ineffectiveness(e) components(f) Contract type Interest rate(a)(b) $ 52 $ (253) $ (201) $ 2 $ (203) Foreign exchange(c) (3,159) 3,523 364 — 364 Commodity(d) (85) 96 11 — 11 Total $ (3,192) $ 3,366 $ 174 $ 2 $ 172

Gains/(losses) recorded in income Income statement impact due to: Total income statement Hedge Excluded Year ended December 31, 2016 (in millions) Derivatives Hedged items impact ineffectiveness(e) components(f) Contract type Interest rate(a)(b) $ 435 $ (706) $ (271) $ 2 $ (273) Foreign exchange(c) 2,556 (2,258) 298 — 298 Commodity(d) (81) 96 15 — 15 Total $ 2,910 $ (2,868) $ 42 $ 2 $ 40

Gains/(losses) recorded in income Income statement impact due to: Total income statement Hedge Excluded Year ended December 31, 2015 (in millions) Derivatives Hedged items impact ineffectiveness(e) components(f) Contract type Interest rate(a)(b) $ (123) $ (233) $ (356) $ 26 $ (382) Foreign exchange(c) 6,900 (6,921) (21) — (21) Commodity(d) 600 (638) (38) (11) (27) Total $ 7,377 $ (7,792) $ (415) $ 15 $ (430) (a) Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate AFS securities. Gains and losses were recorded in net interest income. (b) Excludes the amortization expense associated with the inception hedge accounting adjustment applied to the hedged item. This expense is recorded in net interest income and substantially offsets the income statement impact of the excluded components. (c) Primarily consists of hedges of the foreign currency risk of AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items, due to changes in foreign currency rates, were recorded primarily in principal transactions revenue and net interest income. (d) Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or net realizable value (net realizable value approximates fair value). Gains and losses were recorded in principal transactions revenue. (e) Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk. (f) The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts and time values.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 51 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Cash flow hedge gains and losses The following tables present derivative instruments, by contract type, used in cash flow hedge accounting relationships, and the pre-tax gains/(losses) recorded on such derivatives, for the years ended December 31, 2017, 2016 and 2015, respectively. JPMorgan Chase Bank, N.A. includes the gain/(loss) on the hedging derivative and the change in cash flows on the hedged item in the same line item in the Consolidated statements of income.

Gains/(losses) recorded in income and other comprehensive income/(loss) Hedge Derivatives – ineffectiveness effective portion recorded Total income Derivatives – Total change Year ended December 31, 2017 reclassified from directly in statement effective portion in OCI (in millions) AOCI to income income(c) impact recorded in OCI for period Contract type Interest rate(a) $ (17) $ — $ (17) $ 12 $ 29 Foreign exchange(b) (117) — (117) 135 252 Total $ (134) $ — $ (134) $ 147 $ 281

Gains/(losses) recorded in income and other comprehensive income/(loss) Hedge Derivatives – ineffectiveness effective portion recorded Total income Derivatives – Total change Year ended December 31, 2016 reclassified from directly in statement effective portion in OCI (in millions) AOCI to income income(c) impact recorded in OCI for period Contract type Interest rate(a) $ (74) $ — $ (74) $ (55) $ 19 Foreign exchange(b) (286) — (286) (394) (108) Total $ (360) $ — $ (360) $ (449) $ (89)

Gains/(losses) recorded in income and other comprehensive income/(loss) Hedge Derivatives – ineffectiveness effective portion recorded Total income Derivatives – Total change Year ended December 31, 2015 reclassified from directly in statement effective portion in OCI (in millions) AOCI to income income(c) impact recorded in OCI for period Contract type Interest rate(a) $ (93) $ — $ (93) $ (44) $ 49 Foreign exchange(b) (81) — (81) (53) 28 Total $ (174) $ — $ (174) $ (97) $ 77

(a) Primarily consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income. (b) Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense. (c) Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk.

JPMorgan Chase Bank, N.A. did not experience any forecasted transactions that failed to occur for the years ended 2017 and 2016. In 2015, JPMorgan Chase Bank, N.A. reclassified approximately $150 million of net losses from AOCI to other income because JPMorgan Chase Bank, N.A. determined that it was probable that the forecasted interest payment cash flows would not occur as a result of the planned reduction in wholesale non-operating deposits. Over the next 12 months, JPMorgan Chase Bank, N.A. expects that approximately $96 million (after-tax) of net gains recorded in AOCI at December 31, 2017, related to cash flow hedges will be recognized in income. For terminated cash flow hedges, the maximum length of time over which forecasted transactions are remaining is approximately five years. For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately seven years. JPMorgan Chase Bank, N.A.’s longer-dated forecasted transactions relate to core lending and borrowing activities.

52 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Net investment hedge gains and losses The following table presents hedging instruments, by contract type, that were used in net investment hedge accounting relationships, and the pre-tax gains/(losses) recorded on such instruments for the years ended December 31, 2017, 2016 and 2015.

Gains/(losses) recorded in income and other comprehensive income/(loss) 2017 2016 2015 Excluded Excluded Excluded components components components recorded Effective recorded Effective recorded Effective Year ended December 31, directly in portion directly in portion directly in portion (in millions) income(a) recorded in OCI income(a) recorded in OCI income(a) recorded in OCI Foreign exchange derivatives $ (172) $ (847) $ (247) $ (109) $ (317) $ 1,541 (a) Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. Amounts related to excluded components are recorded in other income. JPMorgan Chase Bank, N.A. measures the ineffectiveness of net investment hedge accounting relationships based on changes in spot foreign currency rates, and therefore there was no significant ineffectiveness for net investment hedge accounting relationships during 2017, 2016 and 2015.

Gains and losses on derivatives used for specified risk Credit derivatives management purposes Credit derivatives are financial instruments whose value is The following table presents pre-tax gains/(losses) recorded derived from the credit risk associated with the debt of a on a limited number of derivatives, not designated in hedge third-party issuer (the reference entity) and which allow accounting relationships, that are used to manage risks one party (the protection purchaser) to transfer that risk to associated with certain specified assets and liabilities, another party (the protection seller). Credit derivatives including certain risks arising from the mortgage pipeline, expose the protection purchaser to the creditworthiness of warehouse loans, MSRs, wholesale lending exposures and the protection seller, as the protection seller is required to foreign currency denominated assets and liabilities. make payments under the contract when the reference entity experiences a credit event, such as a bankruptcy, a Derivatives gains/(losses) recorded in income failure to pay its obligation or a restructuring. The seller of credit protection receives a premium for providing Year ended December 31, (in millions) 2017 2016 2015 protection but has the risk that the underlying instrument Contract type referenced in the contract will be subject to a credit event. Interest rate(a) $ 331 $ 1,174 $ 853 JPMorgan Chase Bank, N.A. is both a purchaser and seller of Credit(b) (74) (283) 70 protection in the credit derivatives market and uses these Foreign exchange(c) (40) 34 17 derivatives for two primary purposes. First, in its capacity Total $ 217 $ 925 $ 940 as a market-maker, JPMorgan Chase Bank, N.A. actively (a) Primarily represents interest rate derivatives used to hedge the interest manages a portfolio of credit derivatives by purchasing and rate risk inherent in the mortgage pipeline, warehouse loans and MSRs, as selling credit protection, predominantly on corporate debt well as written commitments to originate warehouse loans. Gains and obligations, to meet the needs of customers. Second, as an losses were recorded predominantly in mortgage fees and related income. end-user, JPMorgan Chase Bank, N.A. uses credit derivatives (b) Relates to credit derivatives used to mitigate credit risk associated with lending exposures in JPMorgan Chase Bank, N.A.’s wholesale businesses. to manage credit risk associated with lending exposures These derivatives do not include credit derivatives used to mitigate (loans and unfunded commitments) and derivatives counterparty credit risk arising from derivative receivables, which is counterparty exposures in JPMorgan Chase Bank, N.A.’s included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal wholesale businesses, and to manage the credit risk arising transactions revenue. from certain financial instruments in JPMorgan Chase Bank, (c) Primarily relates to derivatives used to mitigate foreign exchange risk of N.A.’s market-making businesses. Following is a summary of specified foreign currency-denominated assets and liabilities. Gains and various types of credit derivatives. losses were recorded in principal transactions revenue. Credit default swaps Gains and losses on derivatives related to market-making Credit derivatives may reference the credit of either a single activities and other derivatives reference entity (“single-name”) or a broad-based index. JPMorgan Chase Bank, N.A. makes markets in derivatives in JPMorgan Chase Bank, N.A. purchases and sells protection order to meet the needs of customers and uses derivatives on both single- name and index-reference obligations. to manage certain risks associated with net open risk positions from its market-making activities, including the Single-name CDS and index CDS contracts are either OTC or counterparty credit risk arising from derivative receivables. OTC-cleared derivative contracts. Single-name CDS are used All derivatives not included in the hedge accounting or to manage the default risk of a single reference entity, while specified risk management categories above are included in index CDS contracts are used to manage the credit risk this category. Gains and losses on these derivatives are associated with the broader credit markets or credit market primarily recorded in principal transactions revenue. See segments. Like the S&P 500 and other market indices, a Note 7 for information on principal transactions revenue. CDS index consists of a portfolio of CDS across many

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 53 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) reference entities. New series of CDS indices are periodically Credit-related notes established with a new underlying portfolio of reference A credit-related note is a funded credit derivative where the entities to reflect changes in the credit markets. If one of issuer of the credit-related note purchases from the note the reference entities in the index experiences a credit investor credit protection on a reference entity or an index. event, then the reference entity that defaulted is removed Under the contract, the investor pays the issuer the par from the index. CDS can also be referenced against specific value of the note at the inception of the transaction, and in portfolios of reference names or against customized return, the issuer pays periodic payments to the investor, exposure levels based on specific client demands: for based on the credit risk of the referenced entity. The issuer example, to provide protection against the first $1 million also repays the investor the par value of the note at of realized credit losses in a $10 million portfolio of maturity unless the reference entity (or one of the entities exposure. Such structures are commonly known as tranche that makes up a reference index) experiences a specified CDS. credit event. If a credit event occurs, the issuer is not obligated to repay the par value of the note, but rather, the For both single-name CDS contracts and index CDS issuer pays the investor the difference between the par contracts, upon the occurrence of a credit event, under the value of the note and the fair value of the defaulted terms of a CDS contract neither party to the CDS contract reference obligation at the time of settlement. Neither party has recourse to the reference entity. The protection to the credit-related note has recourse to the defaulting purchaser has recourse to the protection seller for the reference entity. difference between the face value of the CDS contract and the fair value of the reference obligation at settlement of The following tables present a summary of the notional the credit derivative contract, also known as the recovery amounts of credit derivatives and credit-related notes value. The protection purchaser does not need to hold the JPMorgan Chase Bank, N.A. sold and purchased as of debt instrument of the underlying reference entity in order December 31, 2017 and 2016. Upon a credit event, to receive amounts due under the CDS contract when a JPMorgan Chase Bank, N.A. as a seller of protection would credit event occurs. typically pay out only a percentage of the full notional amount of net protection sold, as the amount actually required to be paid on the contracts takes into account the recovery value of the reference obligation at the time of settlement. JPMorgan Chase Bank, N.A. manages the credit risk on contracts to sell protection by purchasing protection with identical or similar underlying reference entities. Other purchased protection referenced in the following tables includes credit derivatives bought on related, but not identical, reference positions (including indices, portfolio coverage and other reference points) as well as protection purchased through credit-related notes.

54 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements JPMorgan Chase Bank, N.A. does not use notional amounts of credit derivatives as the primary measure of risk management for such derivatives, because the notional amount does not take into account the probability of the occurrence of a credit event, the recovery value of the reference obligation, or related cash instruments and economic hedges, each of which reduces, in JPMorgan Chase Bank, N.A.’s view, the risks associated with such derivatives. Total credit derivatives and credit-related notes

Maximum payout/Notional amount Protection purchased Net protection Other Protection with identical (sold)/ protection December 31, 2017 (in millions) sold underlyings(b) purchased(c) purchased(d) Credit derivatives Credit default swaps $ (676,017) $ 686,171 $ 10,154 $ 4,948 Other credit derivatives(a) (59,001) 60,595 1,594 11,747 Total credit derivatives (735,018) 746,766 11,748 16,695 Credit-related notes (18) — (18) 7,906 Total $ (735,036) $ 746,766 $ 11,730 $ 24,601

Maximum payout/Notional amount Protection purchased Net protection Other Protection with identical (sold)/ protection December 31, 2016 (in millions) sold underlyings(b) purchased(c) purchased(d) Credit derivatives Credit default swaps $ (950,474) $ 962,598 $ 12,123 $ 7,935 Other credit derivatives(a) (37,415) 38,671 1,256 13,179 Total credit derivatives (987,889) 1,001,269 13,379 21,114 Credit-related notes (36) — (36) 4,113 Total $ (987,925) $ 1,001,269 $ 13,343 $ 25,227

(a) Other credit derivatives largely consists of credit swap options. (b) Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold. (c) Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value. (d) Represents protection purchased by JPMorgan Chase Bank, N.A. on referenced instruments (single-name, portfolio or index) where JPMorgan Chase Bank, N.A. has not sold any protection on the identical reference instrument.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 55 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following tables summarize the notional amounts by the ratings, maturity profile, and total fair value, of credit derivatives and credit-related notes as of December 31, 2017 and 2016, where JPMorgan Chase Bank, N.A. is the seller of protection. The maturity profile is based on the remaining contractual maturity of the credit derivative contracts. The ratings profile is based on the rating of the reference entity on which the credit derivative contract is based. The ratings and maturity profile of credit derivatives and credit-related notes where JPMorgan Chase Bank, N.A. is the purchaser of protection are comparable to the profile reflected below.

Protection sold – credit derivatives and credit-related notes ratings(a)/maturity profile Total Fair value December 31, 2017 notional Fair value of of Net fair (in millions) <1 year 1–5 years >5 years amount receivables(b) payables(b) value Risk rating of reference entity Investment-grade $ (163,593) $ (320,201) $ (30,463) $ (514,257) $ 8,516 $ (858) $ 7,658 Noninvestment-grade (73,687) (134,156) (12,936) (220,779) 7,391 (4,638) 2,753 Total $ (237,280) $ (454,357) $ (43,399) $ (735,036) $ 15,907 $ (5,496) $ 10,411

Total Fair value December 31, 2016 notional Fair value of of Net fair (in millions) <1 year 1–5 years >5 years amount receivables(b) payables(b) value Risk rating of reference entity Investment-grade $ (274,489) $ (383,580) $ (34,440) $ (692,509) $ 7,838 $ (2,981) $ 4,857 Noninvestment-grade (107,933) (170,021) (17,462) (295,416) 8,175 (8,255) (80) Total $ (382,422) $ (553,601) $ (51,902) $ (987,925) $ 16,013 $ (11,236) $ 4,777

(a) The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s. (b) Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by JPMorgan Chase Bank, N.A.

56 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 7 – Noninterest revenue and noninterest expense Investment banking fees Principal transactions This revenue category includes debt and equity Principal transactions revenue is driven by many factors, underwriting and advisory fees. As an underwriter, including the bid-offer spread, which is the difference JPMorgan Chase Bank, N.A. helps clients raise capital via between the price at which JPMorgan Chase Bank, N.A. is public offering and private placement of various types of willing to buy a financial or other instrument and the price debt instruments and equity securities. Underwriting fees at which JPMorgan Chase Bank, N.A. is willing to sell that are primarily based on the issuance price and quantity of instrument. It also consists of the realized (as a result of the the underlying instruments, and are recognized as revenue sale of instruments, closing out or termination of typically upon execution of the client’s transaction. transactions, or interim cash payments) and unrealized (as JPMorgan Chase Bank, N.A. also manages and syndicates a result of changes in valuation) gains and losses on loan arrangements. Credit arrangement and syndication financial and other instruments (including those accounted fees, included within debt underwriting fees, are recorded for under the fair value option) primarily used in client- as revenue after satisfying certain retention, timing and driven market-making activities and on private equity yield criteria. investments. In connection with its client-driven market- JPMorgan Chase Bank, N.A. also provides advisory services, making activities, JPMorgan Chase Bank, N.A. transacts in assisting its clients with mergers and acquisitions, debt and equity instruments, derivatives and commodities divestitures, restructuring and other complex transactions. (including physical commodities inventories and financial Advisory fees are recognized as revenue typically upon instruments that reference commodities). execution of the client’s transaction. Principal transactions revenue also includes certain realized Year ended December 31, and unrealized gains and losses related to hedge accounting (in millions) 2017 2016 2015 and specified risk-management activities, including: (a) Underwriting certain derivatives designated in qualifying hedge Equity $ 540 $ 410 $ 517 accounting relationships (primarily fair value hedges of Debt 2,136 1,722 750 commodity and foreign exchange risk), (b) certain Total underwriting 2,676 2,132 1,267 derivatives used for specific risk management purposes, Advisory 743 567 664 primarily to mitigate credit risk and foreign exchange risk, Total investment banking fees $ 3,419 $ 2,699 $ 1,931 and (c) other derivatives. For further information on the income statement classification of gains and losses from derivatives activities, see Note 6. In the financial commodity markets, JPMorgan Chase Bank, N.A. transacts in OTC derivatives (e.g., swaps, forwards, options) and ETD that reference a wide range of underlying commodities. In the physical commodity markets, JPMorgan Chase Bank, N.A. primarily purchases and sells precious and base metals and may hold other commodities inventories under financing and other arrangements with clients.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 57 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table presents all realized and unrealized Asset management, administration and commissions gains and losses recorded in principal transactions revenue. This revenue category includes fees from investment This table excludes interest income and interest expense on management and related services, custody, brokerage trading assets and liabilities, which are an integral part of services and other products. JPMorgan Chase Bank, N.A. the overall performance of JPMorgan Chase Bank, N.A.’s manages assets on behalf of its clients, including investors client-driven market-making activities. See Note 8 for in JPMorgan Chase Bank, N.A.-sponsored funds and owners further information on interest income and interest of separately managed investment accounts. Management expense. Trading revenue is presented primarily by fees are typically based on the value of assets under instrument type. JPMorgan Chase Bank, N.A.’s client-driven management and are collected and recognized at the end of market-making businesses generally utilize a variety of each period over which the management services are instrument types in connection with their market-making provided and the value of the managed assets is known. and related risk-management activities; accordingly, the JPMorgan Chase Bank, N.A. also receives performance- trading revenue presented in the table below is not based management fees, which are earned based on representative of the total revenue of any individual line of exceeding certain benchmarks or other performance business. targets and are accrued and recognized when the probability of reversal is remote, typically at the end of the Year ended December 31, (in millions) 2017 2016 2015 related billing period. JPMorgan Chase Bank, N.A. has Trading revenue by instrument contractual arrangements with third parties to provide type distribution and other services in connection with its asset Interest rate $ 3,200 $ 2,841 $ 2,782 management activities. Amounts paid to third-party service Credit 653 1,229 930 providers are recorded in professional and outside services Foreign exchange 2,826 2,944 2,700 expense.

Equity 2,784 2,357 2,043 Year ended December 31, Commodity 415 504 610 (in millions) 2017 2016 2015 Total trading revenue 9,878 9,875 9,065 Asset management fees Private equity gains 2 88 20 Investment management fees $ 2,039 $ 1,994 $ 2,086 Principal transactions $ 9,880 $ 9,963 $ 9,085 All other asset management fees(a) 52 58 40 Total asset management fees 2,091 2,052 2,126

Lending- and deposit-related fees Total administration fees(b) 2,026 1,914 2,027 Lending-related fees include fees earned from loan commitments, standby letters of credit, financial Commissions and other fees guarantees, and other loan-servicing activities. Deposit- Brokerage commissions(c) 1,115 982 1,033 related fees include fees earned in lieu of compensating All other commissions and fees 6,498 6,185 6,077 balances, and fees earned from performing cash Total commissions and fees 7,613 7,167 7,110 management activities and other deposit account services. Total asset management, Lending- and deposit-related fees in this revenue category administration and commissions $ 11,730 $ 11,133 $ 11,263 are recognized over the period in which the related service is provided. (a) JPMorgan Chase Bank, N.A. receives other asset management fees for services that are ancillary to investment management services, including commissions earned on sales or distribution of mutual funds to clients. Year ended December 31, (in millions) 2017 2016 2015 These fees are recorded as revenue at the time the service is rendered or, in Lending-related fees $ 1,117 $ 1,121 $ 1,148 the case of certain distribution fees based on the underlying fund’s asset Deposit-related fees 4,823 4,659 4,545 value and/or investor redemption, recorded over time as the investor remains in the fund or upon investor redemption. Total lending- and deposit-related fees $ 5,940 $ 5,780 $ 5,693 (b) JPMorgan Chase Bank, N.A. receives administrative fees predominantly from custody, securities lending, fund services and securities clearance fees. These fees are recorded as revenue over the period in which the related service is provided. (c) JPMorgan Chase Bank, N.A. acts as a broker, facilitating its clients’ purchase and sale of securities and other financial instruments. It collects and recognizes brokerage commissions as revenue upon occurrence of the client transaction. JPMorgan Chase Bank, N.A. reports certain costs paid to third-party clearing houses and exchanges net against commission revenue.

58 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements In addition, included in all other commissions and fees are Other income fees earned by JPMorgan Chase Bank, N.A. for providing Other income on JPMorgan Chase Bank, N.A.’s Consolidated operational support and services to JPMorgan Chase and its statements of income included the following: subsidiaries. See Note 20 for further information on related party transactions. Year ended December 31, (in millions) 2017 2016 2015 Operating lease income $ 3,605 $ 2,714 $ 2,075 Mortgage fees and related income This revenue category primarily reflects the consumer & Operating lease income is recognized on a straight–line community banking business’s home lending production basis over the lease term. and servicing revenue, including fees and income derived from mortgages originated with the intent to sell; mortgage Noninterest expense sales and servicing including losses related to the Other expense repurchase of previously sold loans; the impact of risk- Other expense on JPMorgan Chase Bank, N.A.’s Consolidated management activities associated with the mortgage statements of income included the following: pipeline, warehouse loans and MSRs; and revenue related to Year ended December 31, any residual interests held from mortgage securitizations. (in millions) 2017 2016 2015 This revenue category also includes gains and losses on Legal expense/(benefit) $ (139) $ (289) $ 2,035 sales and lower of cost or fair value adjustments for Federal Deposit Insurance mortgage loans held-for-sale, as well as changes in fair Corporation (“FDIC”)-related expense 1,396 1,217 1,157 value for mortgage loans originated with the intent to sell and measured at fair value under the fair value option. Changes in the fair value of MSRs are reported in mortgage fees and related income. For a further discussion of MSRs, see Note 16. Net interest income from mortgage loans is recorded in interest income. Card income This revenue category includes interchange income from credit and debit cards and fees earned from processing card transactions for merchants, both of which are recognized when purchases are made by a cardholder. Card income also includes other lending fees and related costs. The card income earned by JPMorgan Chase Bank, N.A. results from activity in the merchant services business and from a participation arrangement with a bank affiliate of JPMorgan Chase Bank, N.A.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 59 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 8 – Interest income and Interest expense Interest income and interest expense are recorded in the Interest income and interest expense includes the current- Consolidated statements of income and classified based on period interest accruals for financial instruments measured the nature of the underlying asset or liability. at fair value, except for derivatives and financial The following table presents the components of interest instruments containing embedded derivatives that would be income and interest expense: separately accounted for in accordance with U.S. GAAP, absent the fair value option election; for those instruments, Year ended December 31, all changes in fair value including any interest elements, are (in millions) 2017 2016 2015 reported in principal transactions revenue. For financial Interest income instruments that are not measured at fair value, the related Loans $30,316 $26,506 $22,925 interest is included within interest income or interest Taxable securities 5,520 5,519 6,522 expense, as applicable. For further information on Non-taxable securities(a) 1,718 1,632 1,562 accounting for interest income and interest expense related Total securities 7,238 7,151 8,084 to loans, securities, securities financing (i.e. securities Trading assets 4,700 4,578 4,097 purchased or sold under resale or repurchase agreements; Federal funds sold and securities borrowed; and securities loaned) and long-term securities purchased under debt, see Notes 13, 11, 12 and 19, respectively. resale agreements 1,252 1,370 960 Securities borrowed(b) 67 2 (10) Deposits with banks 4,071 1,753 1,176 All other interest-earning assets 455 224 193 Total interest income 48,099 41,584 37,425 Interest expense Interest-bearing deposits 3,785 1,744 1,409 Federal funds purchased and securities loaned or sold under repurchase agreements 524 408 253 Trading liabilities - debt, short-term and all other interest-bearing liabilities 1,366 1,295 1,311 Long-term debt 1,299 1,091 682 Beneficial interests issued by consolidated VIEs 93 104 81 Total interest expense 7,067 4,642 3,736 Net interest income 41,032 36,942 33,689 Provision for credit losses 1,845 2,486 1,376 Net interest income after provision for credit losses $39,187 $34,456 $32,313

(a) Represents securities that are tax-exempt for U.S. federal income tax purposes. (b) Negative interest income is related to client-driven demand for certain securities combined with the impact of low interest rates. This is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense.

60 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 9 – Pension and other postretirement benefit cost over subsequent periods as discussed in the employee benefit plans Gains and losses section of this Note. Additionally, service cost, interest cost, and investment returns that would JPMorgan Chase Bank, N.A. has various defined benefit otherwise be classified separately are aggregated and pension plans and other postretirement employee benefit reported net within compensation expense. (“OPEB”) plans that provide benefits to its employees. Substantially all of JPMorgan Chase Bank, N.A.’s U.S. The following table presents the changes in benefit employees are provided pension benefits through JPMorgan obligations, plan assets, the net funded status, and the pre- Chase’s qualified noncontributory U.S. defined benefit tax pension amounts recorded in AOCI on the Consolidated pension plan. In addition, JPMorgan Chase Bank, N.A. offers balance sheets for JPMorgan Chase Bank, N.A.’s significant postretirement medical and life insurance benefits to defined benefit pension plans, and the weighted-average certain U.S. retirees and postretirement medical benefits to actuarial annualized assumptions for the projected and qualifying U.S. employees through JPMorgan Chase plans. accumulated postretirement benefit obligations.

Consolidated disclosures of information about the defined Defined benefit benefit pension and OPEB plans of JPMorgan Chase, As of or for the year ended pension plans including the funded status of the plans, components of December 31, (in millions) 2017 2016 benefit cost and weighted-average actuarial assumptions Change in benefit obligation are included in Note 8 on pages 195–200 of the 2017 Form Benefit obligation, beginning of year $ (3,490) $ (3,462) 10-K. Benefits earned during the year (29) (36) JPMorgan Chase Bank, N.A.’s U.S. defined benefit pension Interest cost on benefit obligations (83) (104) expense and postretirement medical benefit expense are Employee contributions (7) (7) determined based upon employee participation in the Net gain/(loss) (127) (540) JPMorgan Chase plans and effected through an intercompany charge from JPMorgan Chase, which is cash Benefits paid 163 132 settled monthly. Plan settlements 30 21 JPMorgan Chase Bank, N.A. was charged $195 million, Foreign exchange impact and other (314) 506 $180 million and $194 million in 2017, 2016 and 2015, Benefit obligation, end of year(a) $ (3,857) $ (3,490) respectively, for its share of the U.S. qualified defined Change in plan assets benefit pension plan expense; and it was charged $1 million Fair value of plan assets, beginning of for each of the years 2017, 2016 and 2015, for its share of year $ 3,431 $ 3,511 the U.S. OPEB plan expense. Actual return on plan assets 294 537 JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. also offers benefits through contributions 52 58 defined benefit pension plans to qualifying employees in Employee contributions 7 7 certain non-U.S. locations. Benefits paid (163) (132) It is JPMorgan Chase Bank, N.A.’s policy to fund the pension Plan settlements (30) (21) plans in amounts sufficient to meet the requirements under applicable laws. The 2018 contributions to the non-U.S. Foreign exchange impact and other 330 (529) defined benefit pension plans are expected to be $46 Fair value of plan assets, end of year(a) $ 3,921 $ 3,431 million of which $30 million are contractually required. Net funded/(unfunded) status(b) $ 64 $ (59) JPMorgan Chase Bank, N.A. also offers certain qualifying Accumulated benefit obligation, end of year $ (3,857) $ (3,490) employees in the U.S. the ability to participate in a number of nonqualified noncontributory defined benefit pension Pretax pension amounts recorded in AOCI plans that are unfunded. These plans provide supplemental Net gain/(loss) $ (550) $ (567) defined pension benefits to certain employees. Prior service credit/(loss) 6 8 JPMorgan Chase Bank, N.A. employees may also participate Accumulated other comprehensive income/(loss), pretax, end of year $ (544) $ (559) in one of the two qualified defined contribution plans offered by JPMorgan Chase in the U.S. and other similar Weighted-average assumptions used to determine benefit obligations (c) arrangements offered by JPMorgan Chase Bank, N.A. in Discounted rate 0.60 - 3.70% 0.60 - 4.30% certain non-U.S. locations. Rate of compensation increase 2.25 - 3.00 2.25 - 3.00 Pension and OPEB accounting generally requires that the (a) At December 31, 2017 and 2016, included U.S. benefit obligation of difference between plan assets at fair value and the benefit $(107) million and $(113) million, respectively. There are no assets obligation be measured and recorded on the balance sheet. for the U.S. plans. (b) Represents plans with an aggregate overfunded balance of $293 Plans that are overfunded (excess of plan assets over million and $204 million at December 31, 2017 and 2016, benefit obligation) are recorded in other assets and plans respectively, and plans with an aggregate underfunded balance of that are underfunded (excess benefit obligation over plan $229 million and $263 million at December 31, 2017 and 2016, assets) are recorded within other liabilities. Gains or losses respectively. resulting from changes in the benefit obligation and the (c) For the non-U.S. defined benefit pension plans, the discount rate assumption ranges are 0.60 - 2.40% and 0.60 - 2.60% for 2017 and value of plan assets are recorded in other comprehensive 2016, respectively. income (“OCI”) and recognized as part of the net periodic

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 61 Gains and losses For JPMorgan Chase Bank, N.A.’s defined benefit pension The estimated pretax amounts that will be amortized from plans, fair value is used to determine the expected return AOCI into net periodic benefit cost in 2018 are as follows. on plan assets. Amortization of net gains and losses is included in annual net periodic benefit cost if, as of the Defined benefit (in millions) pension plans beginning of the year, the net gain or loss exceeds 10% of Net loss/(gain) $ 23 the greater of the PBO or the fair value of the plan assets. Any excess is amortized over the average future service Prior service cost/(credit) (2) period of defined benefit pension plan participants, which Total $ 21 for the non-U.S. defined benefit pension plans is the period appropriate for the affected plan. In addition, prior service Plan assumptions costs are amortized over the average remaining service For the U.K. defined benefit pension plans, which represent period of active employees expected to receive benefits the most significant of JPMorgan Chase Bank, N.A.’s non- under the plan when the prior service cost is first U.S. defined benefit pension plans, procedures are used to recognized. develop the expected long-term rate of return on plan The following table presents the components of net periodic assets, taking into consideration local market conditions benefit costs reported in the Consolidated statements of and the specific allocation of plan assets. The expected income for JPMorgan Chase Bank, N.A.’s significant defined long-term rate of return on U.K. plan assets is an average of benefit pension and defined contribution plans, and in other projected long-term returns for each asset class. The return comprehensive income for the significant defined benefit on equities has been selected by reference to the yield on pension plans, and the weighted-average annualized long-term U.K. government bonds plus an equity risk actuarial assumptions for the net periodic benefit cost. premium above the risk-free rate. The expected return on “AA” rated long-term corporate bonds is based on an Defined benefit pension plans implied yield for similar bonds. Year ended December 31, (in millions) 2017 2016 2015 The discount rate for the U.K. defined benefit pension plan Components of net periodic benefit represents a rate of appropriate duration from the analysis cost of yield curves provided by JPMorgan Chase Bank, N.A.’s Benefits earned during the year $ 29 $ 36 $ 38 Interest cost on benefit obligations 83 104 116 actuaries. Expected return on plan assets (136) (139) (150) JPMorgan Chase Bank, N.A.’s non-U.S. defined benefit Amortization: pension plans expense is sensitive to the discount rate. A Net (gain)/loss 34 25 40 25-basis point decline in the discount rates for the non-U.S. Prior service cost/(credit) (2) (2) (2) plans would result in an increase in the 2018 non-U.S. Special termination benefits — — 1 defined benefit pension plan expense of approximately $15 Settlement loss 2 4 — million. Net periodic defined benefit cost 10 28 43 Other defined benefit pension plans(a) 15 15 18 Total defined benefit plans 25 43 61 Total defined contribution plans 680 676 667 Total pension and OPEB cost included in compensation expense $ 705 $ 719 $ 728 Changes in plan assets and benefit obligations recognized in other comprehensive income Net (gain)/loss arising during the year $ (33) $ 139 $ (54) Amortization of net loss (34) (25) (40) Amortization of prior service (cost)/ credit 2 2 2 Settlement loss (2) (4) — Foreign exchange impact and other 52 (80) (132) Total recognized in other comprehensive income $ (15) $ 32 $ (224) Total recognized in net periodic benefit cost and other comprehensive income $ (5) $ 60 $ (181)

Weighted-average assumptions used to determine net periodic benefit costs Discount rate(b) 0.60 - 4.30% 0.90 - 4.50% 1.00 - 4.00% Expected long-term rate of return on plan assets 0.70 - 4.30 0.80 - 4.60 0.90 - 4.80 Rate of compensation increase 2.25 - 3.00 2.25 - 4.30 2.75 - 4.20 (a) Includes various defined benefit pension plans which are individually immaterial. (b) For the non-U.S. defined benefit pension plans, the discount rate assumption ranges are 0.60 - 2.50%, 0.90 - 3.70% and 1.00- 3.60% for 2017, 2016 and 2015, respectively.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 62 Investment strategy and asset allocation The investment policy for the U.K. defined benefit pension plans, which represent the most significant of the non-U.S. defined benefit pension plans, is to maximize returns subject to an appropriate level of risk relative to the plans’ liabilities. To reduce the volatility in returns relative to the plans’ liability profiles, the U.K. defined benefit pension plans’ largest asset allocations are to debt securities of appropriate durations. Other assets, mainly equity securities, are then invested for capital appreciation, to provide long-term investment growth. Asset allocations and asset managers for the U.K. defined benefit pension plans are reviewed regularly and the portfolios are rebalanced when deemed necessary. As of December 31, 2017, assets held by JPMorgan Chase Bank, N.A.’s non-U.S. defined benefit pension plans do not include JPMorgan Chase common stock, except through indirect exposures through investments in third-party stock- index funds. The non-U.S. plans hold investments in funds that are sponsored or managed by affiliates of JPMorgan Chase Bank, N.A. in the amount of $1.5 billion and $1.2 billion as of December 31, 2017 and 2016, respectively. The following table presents the weighted-average asset allocation of the fair values of total plan assets at December 31 for the years indicated, as well as the respective approved asset allocation ranges by asset class, for JPMorgan Chase Bank, N.A.’s non-U.S. defined benefit pension plans.

% of plan assets Asset December 31, Allocation 2017 2016 Asset class Debt securities(a) 58% 60% 60% Equity securities 40 38 39 Real Estate 1 1 — Alternatives 1 1 1 Total 100% 100% 100%

(a) Debt securities primarily include cash, corporate debt and non-U.S. government debt securities.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 63 Fair value measurement of the plans’ assets and liabilities For information on fair value measurements, including descriptions of level 1 and 2 of the fair value hierarchy and the valuation methods employed by JPMorgan Chase Bank, N.A., see Note 3.

Pension plan assets and liabilities measured at fair value Defined benefit pension plans 2017 2016 December 31, Total fair Total fair (in millions) Level 1 Level 2 value Level 1 Level 2 value Cash and cash equivalents $ 118 $ 1 $ 119 $ 122 $ 2 $ 124 Equity securities 1,047 183 1,230 980 154 1,134 Mutual funds 87 — 87 — — — Common/collective trust funds 169 — 169 118 — 118 Corporate debt securities(a) — 775 775 — 715 715 Non-U.S. government debt securities 235 696 931 213 570 783 Mortgage-backed securities 5 8 13 3 10 13 Derivative receivables — 179 179 — 219 219 Other(b) 155 60 215 223 53 276 Total assets measured at fair value(c) $ 1,816 $ 1,902 $ 3,718 $ 1,659 $ 1,723 $ 3,382 Derivative payables $ — $ (131) $ (131) $ — $ (194) $ (194) Total liabilities measured at fair value $ — $ (131) $ (131) $ — $ (194) $ (194) (a) Corporate debt securities include debt securities of U.S. and non-U.S. corporations. (b) Other consists primarily of money market funds and insurance contracts. Money market funds are primarily classified within level 1 of the fair value hierarchy given they are valued using market observable prices. Insurance contracts are guaranteed return investments subject to the credit risk of the insurance company and are classified in level 2 of the valuation hierarchy. (c) At December 31, 2017 and 2016, excludes $334 million and $243 million, respectively, of certain non-U.S. defined benefit pension plan investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient, which are not required to be classified in the fair value hierarchy.

Estimated future benefit payments The following table presents benefit payments expected to be paid, which include the effect of expected future service, for the years indicated.

Defined Year ended December 31, benefit (in millions) pension plans 2018 $ 125 2019 123 2020 130 2021 135 2022 139 Years 2023–2027 761

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 64 Note 10 – Employee share-based incentives Employee share-based awards Once the PSUs have vested, the shares of common stock JPMorgan Chase Bank, N.A.’s employees receive annual that are delivered, after applicable tax withholding, must be incentive compensation based on their performance, the held for an additional two-year period, typically for a total performance of their business and JPMorgan Chase’s combined vesting and holding period of five years from the consolidated operating results. JPMorgan Chase Bank, N.A.’s grant date. employees participate, to the extent they meet minimum eligibility requirements, in various share-based incentive Under the LTI Plans, stock options and stock appreciation plans sponsored by JPMorgan Chase. For additional rights (“SARs”) have generally been granted with an information regarding JPMorgan Chase’s employee share- exercise price equal to the fair value of JPMorgan Chase’s based incentives, see Note 9 on pages 201-202 of the 2017 common stock on the grant date. JPMorgan Chase Form 10-K. periodically grants employee stock options to individual employees. There were no material grants of stock options In 2017, 2016 and 2015, JPMorgan Chase granted long- or SARs in 2017, 2016 and 2015. SARs generally expire ten term share-based awards to certain employees under its years after the grant date. Long-Term Incentive Plan (“LTIP”), as amended and restated effective May 19, 2015. Under the terms of the LTIP, as of JPMorgan Chase Bank, N.A. separately recognizes December 31, 2017, 67 million shares of JPMorgan Chase’s compensation expense for each tranche of each award, net common stock were available for issuance through of estimated forfeitures, as if it were a separate award with May 2019. The LTIP is the only active plan under which its own vesting date. Generally, for each tranche granted, JPMorgan Chase is currently granting share-based incentive compensation expense is recognized on a straight-line basis awards. In the following discussion, the LTIP, plus prior from the grant date until the vesting date of the respective JPMorgan Chase plans and plans assumed as the result of tranche, provided that the employees will not become full- acquisitions, are referred to collectively as the “LTI Plans,” career eligible during the vesting period. For awards with and such plans constitute JPMorgan Chase’s share-based full-career eligibility provisions and awards granted with no incentive plans. future substantive service requirement, JPMorgan Chase Bank, N.A. accrues the estimated value of awards expected Restricted stock units (“RSUs”) are awarded at no cost to to be awarded to employees as of the grant date without the recipient upon their grant. Generally, RSUs are granted giving consideration to the impact of post-employment annually and vest at a rate of 50% after two years and restrictions. For each tranche granted to employees who 50% after three years and are converted into shares of will become full-career eligible during the vesting period, common stock as of the vesting date. In addition, RSUs compensation expense is recognized on a straight-line basis typically include full-career eligibility provisions, which from the grant date until the earlier of the employee’s full- allow employees to continue to vest upon voluntary career eligibility date or the vesting date of the respective termination based on age or service-related requirements, tranche. subject to post-employment and other restrictions. All RSU awards are subject to forfeiture until vested and contain In January 2008, JPMorgan Chase awarded to its Chairman clawback provisions that may result in cancellation under and Chief Executive Officer up to 2 million SARs. The terms certain specified circumstances. Generally, RSUs entitle the of this award are distinct from, and more restrictive than, recipient to receive cash payments equivalent to any other equity grants regularly awarded by JPMorgan Chase. dividends paid on the underlying common stock during the On July 15, 2014, the Compensation & Management period the RSUs are outstanding. Development Committee and Board of Directors determined that all requirements for the vesting of the 2 million SAR In January 2017 and 2016, JPMorgan Chase’s Board of awards had been met and thus, the awards became Directors approved the grant of performance share units exercisable. The SARs, which had an expiration date of (“PSUs”) to members of JPMorgan Chase’s Operating January 2018, were exercised by Mr. Dimon in October Committee under the variable compensation program for 2017 at the exercise price of $39.83 per share (the price of performance years 2016 and 2015. PSUs are subject to JPMorgan Chase common stock on the date of grant). JPMorgan Chase’s achievement of specified performance criteria over a three-year period. The number of awards that vest can range from zero to 150% of the grant amount. The awards vest and are converted into shares of common stock in the quarter after the end of the performance period, which is generally three years. In addition, dividends are notionally reinvested in JPMorgan Chase’s common stock and will be delivered only in respect of any earned shares.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 65 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

RSUs, PSUs, employee stock options and SARs activity Generally, compensation expense for RSUs and PSUs is measured based on the number of units granted multiplied by the stock price at the grant date, and for employee stock options and SARs, is measured at the grant date using the Black-Scholes valuation model. Compensation expense for these awards is recognized in net income as described previously. The following table summarizes JPMorgan Chase Bank, N.A.’s RSUs, PSUs, employee stock options and SARs activity for 2017.

RSUs/PSUs Options/SARs

Year ended December 31, 2017 Weighted- Weighted-average Weighted- average remaining Aggregate (in thousands, except weighted-average data, and Number of average grant Number of exercise contractual life intrinsic where otherwise stated) units date fair value awards price (in years) value Outstanding, January 1 56,868 $ 57.20 24,975 $ 40.71 Granted 18,829 84.21 96 90.71 Exercised or vested (23,069) 58.08 (10,911) 40.52 Forfeited (1,522) 62.58 (48) 56.94 Canceled NA NA (8) 252.04 Transferred 238 57.20 222 40.71 Outstanding, December 31 51,344 $ 66.51 14,326 $ 40.89 3.5 $ 955,826 Exercisable, December 31 NA NA 12,842 40.07 3.3 867,309

The total fair value of RSUs that vested during the years ended December 31, 2017, 2016 and 2015, was $2.0 billion, $1.5 billion and $1.9 billion, respectively. The total intrinsic value of options exercised during the years ended December 31, 2017, 2016 and 2015, was $553 million, $278 million and $284 million, respectively.

Compensation expense Tax benefits JPMorgan Chase Bank, N.A. recognized the following Effective January 1, 2016, JPMorgan Chase adopted new compensation expense related to its various employee accounting guidance related to employee share-based share-based incentive plans in its Consolidated statements payments. As a result of the adoption of this new guidance, of income. JPMorgan Chase Bank, N.A. is recognizing its share of excess tax benefits (including tax benefits from dividends or Year ended December 31, (in millions) 2017 2016 2015 dividend equivalents) on share-based payment awards are Cost of prior grants of RSUs, PSUs and recognized within income tax expense in the Consolidated SARs that are amortized over their statements of income. Income tax benefits related to share- applicable vesting periods $ 802 $ 705 $ 730 based incentive arrangements recognized in JPMorgan Accrual of estimated costs of share- based awards to be granted in future Chase Bank, N.A.’s Consolidated statements of income for periods including those to full-career the years ended December 31, 2017, 2016 and 2015, were eligible employees 687 627 597 $739 million, $626 million and $498 million, respectively. Total compensation expense related to employee share-based incentive plans $ 1,489 $ 1,332 $ 1,327

At December 31, 2017, approximately $516 million (pretax) of compensation expense related to unvested awards had not yet been charged to net income. That cost is expected to be amortized into compensation expense over a weighted-average period of 1.1 years. JPMorgan Chase Bank, N.A. does not capitalize any compensation expense related to share-based compensation awards to employees.

66 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 11 – Securities Securities are classified as trading, AFS or HTM. Securities classified as trading assets are discussed in Note 3. Predominantly all of JPMorgan Chase Bank, N.A.’s AFS and HTM securities are held by the corporate function in connection with its asset-liability management activities. At December 31, 2017, the investment securities portfolio consisted of debt securities with an average credit rating of AA+ (based upon external ratings where available, and where not available, based primarily upon internal ratings which correspond to ratings as defined by S&P and Moody’s). AFS securities are carried at fair value on the Consolidated balance sheets. Unrealized gains and losses, after any applicable hedge accounting adjustments, are reported as net increases or decreases to AOCI. The specific identification method is used to determine realized gains and losses on AFS securities, which are included in securities gains/(losses) on the Consolidated statements of income. HTM debt securities, which management has the intent and ability to hold until maturity, are carried at amortized cost on the Consolidated balance sheets. For both AFS and HTM debt securities, purchase discounts or premiums are generally amortized into interest income over the contractual life of the security. The amortized cost and estimated fair value of the investment securities portfolio were as follows for the dates indicated.

2017 2016 Gross Gross Gross Gross Amortized unrealized unrealized Fair Amortized unrealized unrealized Fair December 31, (in millions) cost gains losses value cost gains losses value Available-for-sale debt securities Mortgage-backed securities: U.S. government agencies(a) $ 69,879 $ 736 $ 335 $ 70,280 $ 63,367 $ 1,112 $ 474 $ 64,005 Residential: U.S.(b) 8,193 185 14 8,364 8,171 100 28 8,243 Non-U.S. 2,882 122 1 3,003 6,049 158 7 6,200 Commercial 4,791 94 5 4,880 8,602 108 19 8,691 Total mortgage-backed securities 85,745 1,137 355 86,527 86,189 1,478 528 87,139 U.S. Treasury and government agencies(a) 22,510 266 31 22,745 44,822 75 796 44,101 Obligations of U.S. states and municipalities 28,444 1,764 33 30,175 27,769 1,311 183 28,897 Certificates of deposit 59 — — 59 106 — — 106 Non-U.S. government debt securities 26,900 426 32 27,294 34,497 836 45 35,288 Corporate debt securities 2,657 101 1 2,757 4,916 64 22 4,958 Asset-backed securities: Collateralized loan obligations 20,928 69 1 20,996 27,352 75 26 27,401 Other 8,725 72 24 8,773 6,913 59 46 6,926 Total available-for-sale debt securities 195,968 3,835 477 199,326 232,564 3,898 1,646 234,816 Available-for-sale equity securities 38 — — 38 42 12 — 54 Total available-for-sale securities $ 196,006 $ 3,835 $ 477 $ 199,364 $ 232,606 $ 3,910 $ 1,646 $ 234,870 Held-to-maturity debt securities Mortgage-backed securities: U.S. government agencies(c) 27,577 558 40 28,095 29,910 638 37 30,511 Commercial 5,783 1 74 5,710 5,783 — 129 5,654 Total mortgage-backed securities 33,360 559 114 33,805 35,693 638 166 36,165 Obligations of U.S. states and municipalities 14,373 554 80 14,847 14,475 374 125 14,724 Total held-to-maturity securities 47,733 1,113 194 48,652 50,168 1,012 291 50,889 Total securities $ 243,739 $ 4,948 $ 671 $ 248,016 $ 282,774 $ 4,922 $ 1,937 $ 285,759

(a) Includes total U.S. government-sponsored enterprise obligations with a fair value of $45.8 billion for the years ended December 31, 2017 and 2016, which were predominantly mortgage-related. (b) Prior period amounts have been revised to conform with the current period presentation. (c) Included total U S. government-sponsored enterprise obligations with amortized cost of $22.0 billion and $25.6 billion at December 31, 2017 and 2016, respectively, which were mortgage-related.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 67 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Securities impairment The following tables present the fair value and gross unrealized losses for the investment securities portfolio by aging category at December 31, 2017 and 2016.

Securities with gross unrealized losses Less than 12 months 12 months or more Gross unrealized Gross unrealized Total fair Total gross December 31, 2017 (in millions) Fair value losses Fair value losses value unrealized losses Available-for-sale debt securities Mortgage-backed securities: U.S. government agencies $ 36,037 $ 139 $ 7,711 $ 196 $ 43,748 $ 335 Residential: U.S. 1,112 5 596 9 1,708 14 Non-U.S. — — 266 1 266 1 Commercial 528 4 335 1 863 5 Total mortgage-backed securities 37,677 148 8,908 207 46,585 355 U.S. Treasury and government agencies 1,834 11 373 20 2,207 31 Obligations of U.S. states and municipalities 931 7 1,652 26 2,583 33 Certificates of deposit — — — — — — Non-U.S. government debt securities 6,500 15 811 17 7,311 32 Corporate debt securities — — 52 1 52 1 Asset-backed securities: Collateralized loan obligations — — 276 1 276 1 Other 3,521 20 720 4 4,241 24 Total available-for-sale debt securities 50,463 201 12,792 276 63,255 477 Available-for-sale equity securities — — — — — — Held-to-maturity debt securities Mortgage-backed securities: U.S. government agencies 4,070 38 205 2 4,275 40 Commercial 3,706 41 1,882 33 5,588 74 Total mortgage-backed securities 7,776 79 2,087 35 9,863 114 Obligations of U.S. states and municipalities 584 9 2,131 71 2,715 80 Total held-to-maturity securities 8,360 88 4,218 106 12,578 194 Total securities with gross unrealized losses $ 58,823 $ 289 $ 17,010 $ 382 $ 75,833 $ 671

68 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Securities with gross unrealized losses Less than 12 months 12 months or more Gross unrealized Gross unrealized Total fair Total gross December 31, 2016 (in millions) Fair value losses Fair value losses value unrealized losses Available-for-sale debt securities Mortgage-backed securities: U.S. government agencies $ 29,856 $ 463 $ 506 $ 11 $ 30,362 $ 474 Residential: U.S.(a) 1,373 6 1,073 22 2,446 28 Non-U.S. — — 886 7 886 7 Commercial 2,328 16 1,056 3 3,384 19 Total mortgage-backed securities 33,557 485 3,521 43 37,078 528 U.S. Treasury and government agencies 23,543 796 — — 23,543 796 Obligations of U.S. states and municipalities 7,147 180 55 3 7,202 183 Certificates of deposit — — — — — — Non-U.S. government debt securities 4,436 36 421 9 4,857 45 Corporate debt securities 797 2 829 20 1,626 22 Asset-backed securities: Collateralized loan obligations 766 2 5,263 24 6,029 26 Other 739 6 1,992 40 2,731 46 Total available-for-sale debt securities 70,985 1,507 12,081 139 83,066 1,646 Available-for-sale equity securities — — — — — — Held-to-maturity debt securities Mortgage-backed securities: U.S. government agencies 3,129 37 — — 3,129 37 Commercial 5,163 114 441 15 5,604 129 Total mortgage-backed securities 8,292 151 441 15 8,733 166 Obligations of U.S. states and municipalities 4,702 125 — — 4,702 125 Total held-to-maturity securities 12,994 276 441 15 13,435 291 Total securities with gross unrealized losses $ 83,979 $ 1,783 $ 12,522 $ 154 $ 96,501 $ 1,937 (a) Prior period amounts have been revised to conform with the current period presentation.

Gross unrealized losses JPMorgan Chase Bank, N.A. has recognized unrealized recorded investment, JPMorgan Chase Bank, N.A. considers losses on securities that it intends to sell as OTTI. JPMorgan an impairment to be other-than-temporary when there is an Chase Bank, N.A. does not intend to sell any of the adverse change in expected cash flows. For AFS equity remaining securities with an unrealized loss in AOCI as of securities, JPMorgan Chase Bank, N.A. considers a decline in December 31, 2017, and it is not likely that JPMorgan fair value to be other-than-temporary if it is probable that Chase Bank, N.A. will be required to sell these securities JPMorgan Chase Bank, N.A. will not recover its cost basis. before recovery of their amortized cost basis. Except for the Potential OTTI is considered using a variety of factors, securities for which credit losses have been recognized in including the length of time and extent to which the market income, JPMorgan Chase Bank, N.A. believes that the value has been less than cost; adverse conditions securities with an unrealized loss in AOCI are not other- specifically related to the industry, geographic area or than-temporarily impaired as of December 31, 2017. financial condition of the issuer or underlying collateral of a Other-than-temporary impairment security; payment structure of the security; changes to the AFS debt and equity securities and HTM debt securities in rating of the security by a rating agency; the volatility of the unrealized loss positions are analyzed as part of JPMorgan fair value changes; and JPMorgan Chase Bank, N.A.’s intent Chase Bank, N.A.’s ongoing assessment of OTTI. For most and ability to hold the security until recovery. types of debt securities, JPMorgan Chase Bank, N.A. For AFS debt securities, JPMorgan Chase Bank, N.A. considers a decline in fair value to be other-than-temporary recognizes OTTI losses in earnings if JPMorgan Chase Bank, when JPMorgan Chase Bank, N.A. does not expect to N.A. has the intent to sell the debt security, or if it is more recover the entire amortized cost basis of the security. For likely than not that JPMorgan Chase Bank, N.A. will be beneficial interests in securitizations that are rated below required to sell the debt security before recovery of its “AA” at their acquisition, or that can be contractually amortized cost basis. In these circumstances the prepaid or otherwise settled in such a way that JPMorgan impairment loss is equal to the full difference between the Chase Bank, N.A. would not recover substantially all of its amortized cost basis and the fair value of the securities. For

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 69 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) debt securities in an unrealized loss position that JPMorgan Securities gains and losses Chase Bank, N.A. has the intent and ability to hold, the The following table presents realized gains and losses and expected cash flows to be received from the securities are OTTI from AFS securities that were recognized in income. evaluated to determine if a credit loss exists. In the event of Year ended December 31, a credit loss, only the amount of impairment associated (in millions) 2017 2016 2015 with the credit loss is recognized in income. Amounts Realized gains $ 1,007 $ 388 $ 351 relating to factors other than credit losses are recorded in Realized losses (1,073) (230) (127) OCI. OTTI losses(a) (7) (28) (22) JPMorgan Chase Bank, N.A.’s cash flow evaluations take into Net securities gains/(losses) $ (73) $ 130 $ 202 account the factors noted above and expectations of relevant market and economic data as of the end of the OTTI losses reporting period. For securities issued in a securitization, Credit losses recognized in income $ — $ (1) $ (1) JPMorgan Chase Bank, N.A. estimates cash flows Securities JPMorgan Chase Bank, N.A. intends to sell(a) (7) (27) (21) considering underlying loan-level data and structural Total OTTI losses recognized in features of the securitization, such as subordination, excess income $ (7) $ (28) $ (22) spread, overcollateralization or other forms of credit enhancement, and compares the losses projected for the (a) Excludes realized losses on securities sold of $6 million, $24 million and $5 million for the years ended December 31, 2017, 2016 and underlying collateral (“pool losses”) against the level of 2015, respectively, that had been previously reported as an OTTI loss credit enhancement in the securitization structure to due to the intention to sell the securities. determine whether these features are sufficient to absorb Changes in the credit loss component of credit-impaired the pool losses, or whether a credit loss exists. JPMorgan debt securities Chase Bank, N.A. also performs other analyses to support The cumulative credit loss component, including any its cash flow projections, such as first-loss analyses or stress changes therein, of OTTI losses that have been recognized in scenarios. income related to AFS debt securities was not material as of For equity securities, OTTI losses are recognized in earnings and during the years ended December 31, 2017, 2016 and if JPMorgan Chase Bank, N.A.intends to sell the security. In 2015. other cases JPMorgan Chase Bank, N.A. considers the relevant factors noted above, as well as JPMorgan Chase Bank, N.A.’s intent and ability to retain its investment for a period of time sufficient to allow for any anticipated recovery in market value, and whether evidence exists to support a realizable value equal to or greater than the cost basis. Any impairment loss on an equity security is equal to the full difference between the cost basis and the fair value of the security.

70 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Contractual maturities and yields The following table presents the amortized cost and estimated fair value at December 31, 2017, of JPMorgan Chase Bank, N.A.’s investment securities portfolio by contractual maturity.

By remaining maturity Due in one Due after one year Due after five years Due after December 31, 2017 (in millions) year or less through five years through 10 years 10 years(c) Total Available-for-sale debt securities Mortgage-backed securities(a) Amortized cost $ 3 $ 698 $ 6,119 $ 78,925 $ 85,745 Fair value 3 708 6,278 79,538 86,527 Average yield(b) 4.76% 2.10% 3.09% 3.34% 3.32% U.S. Treasury and government agencies Amortized cost $ 60 $ — $ 17,437 $ 5,013 $ 22,510 Fair value 60 — 17,542 5,143 22,745 Average yield(b) 1.72% —% 1.96% 1.76% 1.91% Obligations of U.S. states and municipalities Amortized cost $ 73 $ 611 $ 999 $ 26,761 $ 28,444 Fair value 72 620 1,047 28,436 30,175 Average yield(b) 1.78% 2.65% 5.15% 5.44% 5.36% Certificates of deposit Amortized cost $ 59 $ — $ — $ — $ 59 Fair value 59 — — — 59 Average yield(b) 0.50% —% —% —% 0.50% Non-U.S. government debt securities Amortized cost $ 5,020 $ 13,665 $ 8,215 $ — $ 26,900 Fair value 5,022 13,845 8,427 — 27,294 Average yield(b) 3.09% 1.55% 1.19% —% 1.73% Corporate debt securities Amortized cost $ 150 $ 1,159 $ 1,203 $ 145 $ 2,657 Fair value 151 1,197 1,255 154 2,757 Average yield(b) 3.07% 3.60% 3.58% 3.22% 3.54% Asset-backed securities Amortized cost $ — $ 3,372 $ 13,046 $ 13,235 $ 29,653 Fair value — 3,353 13,080 13,336 29,769 Average yield(b) —% 2.14% 2.58% 2.35% 2.43% Total available-for-sale debt securities Amortized cost $ 5,365 $ 19,505 $ 47,019 $ 124,079 $ 195,968 Fair value 5,367 19,723 47,629 126,607 199,326 Average yield(b) 3.03% 1.83% 2.25% 3.63% 3.10% Available-for-sale equity securities Amortized cost $ — $ — $ — $ 38 $ 38 Fair value — — — 38 38 Average yield(b) —% —% —% 0.43% 0.43% Total available-for-sale securities Amortized cost $ 5,365 $ 19,505 $ 47,019 $ 124,117 $ 196,006 Fair value 5,367 19,723 47,629 126,645 199,364 Average yield(b) 3.03% 1.83% 2.25% 3.63% 3.10% Held-to-maturity debt securities Mortgage-backed securities(a) Amortized Cost $ — $ — $ 49 $ 33,311 $ 33,360 Fair value — — 49 33,756 33,805 Average yield(b) —% —% 2.88% 3.27% 3.27% Obligations of U.S. states and municipalities Amortized cost $ — $ 66 $ 2,019 $ 12,288 $ 14,373 Fair value — 65 2,067 12,715 14,847 Average yield(b) —% 4.74% 4.30% 4.72% 4.66% Total held-to-maturity securities Amortized cost $ — $ 66 $ 2,068 $ 45,599 $ 47,733 Fair value — 65 2,116 46,471 48,652 Average yield(b) —% 4.75% 4.26% 3.66% 3.69%

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 71 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

(a) As of December 31, 2017, mortgage-backed securities issued by Fannie Mae exceeded 10% of JPMorgan Chase Bank, N.A.’s total stockholder’s equity; the amortized cost and fair value of such securities was $55.1 billion and $56.0 billion, respectively. (b) Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable and reflect the estimated impact of the enactment of the Tax Cuts and Jobs Act (“TCJA”). The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid. (c) Includes securities with no stated maturity. Substantially all of JPMorgan Chase Bank, N.A.’s U.S. residential MBS and collateralized mortgage obligations are due in 10 years years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately six years for agency residential MBS, three years for agency residential collateralized mortgage obligations and three years for nonagency residential collateralized mortgage obligations.

Note 12 – Securities financing activities JPMorgan Chase Bank, N.A. enters into resale agreements, Securities financing transactions expose JPMorgan Chase repurchase agreements, securities borrowed transactions Bank, N.A. primarily to credit and liquidity risk. To manage and securities loaned transactions (collectively, “securities these risks, JPMorgan Chase Bank, N.A. monitors the value financing agreements”) primarily to finance JPMorgan of the underlying securities (predominantly high-quality Chase Bank, N.A.’s inventory positions, acquire securities to securities collateral, including government-issued debt and cover short positions, accommodate customers’ financing agency MBS) that it has received from or provided to its needs, settle other securities obligations and to deploy counterparties compared to the value of cash proceeds and JPMorgan Chase Bank, N.A.’s excess cash. exchanged collateral, and either requests additional collateral or returns securities or collateral when Securities financing agreements are treated as appropriate. Margin levels are initially established based collateralized financings on JPMorgan Chase Bank, N.A.’s upon the counterparty, the type of underlying securities, Consolidated balance sheets. Resale and repurchase and the permissible collateral, and are monitored on an agreements are generally carried at the amounts at which ongoing basis. the securities will be subsequently sold or repurchased. In resale agreements and securities borrowed transactions, Securities borrowed and securities loaned transactions are JPMorgan Chase Bank, N.A. is exposed to credit risk to the generally carried at the amount of cash collateral advanced extent that the value of the securities received is less than or received. Where appropriate under applicable accounting initial cash principal advanced and any collateral amounts guidance, resale and repurchase agreements with the same exchanged. In repurchase agreements and securities loaned counterparty are reported on a net basis. For further transactions, credit risk exposure arises to the extent that discussion of the offsetting of assets and liabilities, see the value of underlying securities exceeds the value of the Note 1. Fees received and paid in connection with securities initial cash principal advanced, and any collateral amounts financing agreements are recorded in interest income and exchanged. interest expense on the Consolidated statements of income. Additionally, JPMorgan Chase Bank, N.A. typically enters JPMorgan Chase Bank, N.A. has elected the fair value option into master netting agreements and other similar for certain securities financing agreements. For further arrangements with its counterparties, which provide for the information regarding the fair value option, see Note 4. The right to liquidate the underlying securities and any securities financing agreements for which the fair value collateral amounts exchanged in the event of a option has been elected are reported within securities counterparty default. It is also JPMorgan Chase Bank, N.A.’s purchased under resale agreements, securities loaned or policy to take possession, where possible, of the securities sold under repurchase agreements, and securities borrowed underlying resale agreements and securities borrowed on the Consolidated balance sheets. Generally, for transactions. For further information regarding assets agreements carried at fair value, current-period interest pledged and collateral received in securities financing accruals are recorded within interest income and interest agreements, see Note 26. expense, with changes in fair value reported in principal As a result of JPMorgan Chase Bank, N.A.’s credit risk transactions revenue. However, for financial instruments mitigation practices with respect to resale and securities containing embedded derivatives that would be separately borrowed agreements as described above, JPMorgan Chase accounted for in accordance with accounting guidance for Bank, N.A. did not hold any reserves for credit impairment hybrid instruments, all changes in fair value, including any with respect to these agreements as of December 31, 2017 interest elements, are reported in principal transactions and 2016. revenue.

72 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The table below summarizes the gross and net amounts of JPMorgan Chase Bank, N.A.’s securities financing agreements, as of December 31, 2017, and 2016. When JPMorgan Chase Bank, N.A. has obtained an appropriate legal opinion with respect to the master netting agreement with a counterparty and where other relevant netting criteria under U.S. GAAP are met, JPMorgan Chase Bank, N.A. nets, on the Consolidated balance sheets, the balances outstanding under its securities financing agreements with the same counterparty. In addition, JPMorgan Chase Bank, N.A. exchanges securities and/or cash collateral with its counterparties; this collateral also reduces the economic exposure with the counterparty. Such collateral, along with securities financing balances that do not meet all these relevant netting criteria under U.S. GAAP, is presented as “Amounts not nettable on the Consolidated balance sheets,” and reduces the “Net amounts” presented below, if JPMorgan Chase Bank, N.A. has an appropriate legal opinion with respect to the master netting agreement with the counterparty. Where a legal opinion has not been either sought or obtained, the securities financing balances are presented gross in the “Net amounts” below, and related collateral does not reduce the amounts presented.

2017 Amounts netted on Amounts presented Amounts not nettable the Consolidated on the Consolidated on the Consolidated December 31, (in millions) Gross amounts balance sheets balance sheets(b) balance sheets(c) Net amounts(d) Assets Securities purchased under resale agreements $ 346,606 $ (191,712) $ 154,894 $ (146,035) $ 8,859 Securities borrowed 40,349 (1,340) 39,009 (36,386) 2,623 Liabilities Securities sold under repurchase agreements $ 275,452 $ (191,712) $ 83,740 $ (80,769) $ 2,971 Securities loaned and other(a) 17,534 (1,340) 16,194 (16,017) 177

2016 Amounts netted on Amounts presented Amounts not nettable the Consolidated on the Consolidated on the Consolidated December 31, (in millions) Gross amounts balance sheets balance sheets(b) balance sheets(c) Net amounts(d) Assets Securities purchased under resale agreements $ 320,678 $ (148,236) $ 172,442 $ (165,651) $ 6,791 Securities borrowed 32,497 — 32,497 (30,175) 2,322 Liabilities Securities sold under repurchase agreements $ 214,823 $ (148,236) $ 66,587 $ (64,082) $ 2,505 Securities loaned and other(a) 14,996 — 14,996 (14,093) 903

(a) Includes securities-for-securities lending transactions of $7.5 billion at both December 31, 2017 and 2016, accounted for at fair value, where JPMorgan Chase Bank, N.A. is acting as lender. These amounts are presented within accounts payable and other liabilities in the Consolidated balance sheets. (b) Includes securities financing agreements accounted for at fair value. At December 31, 2017 and 2016, included securities purchased under resale agreements of $2.9 billion and $5.3 billion, respectively, and securities sold under agreements to repurchase of $3.4 billion and $399 million, respectively. There were $3.0 billion of securities borrowed at December 31, 2017, and there were no securities borrowed at December 31, 2016. There were no securities loaned accounted for at fair value in either period. (c) In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related asset or liability with that counterparty. (d) Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At December 31, 2017 and 2016, included $6.9 billion and $4.5 billion, respectively, of securities purchased under resale agreements; $1.6 billion and $1.9 billion, respectively, of securities borrowed; $441 million and $523 million, respectively, of securities sold under agreements to repurchase; and $2 million and $11 million, respectively, of securities loaned and other.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 73 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The tables below present as of December 31, 2017, and 2016 the types of financial assets pledged in securities financing agreements and the remaining contractual maturity of the securities financing agreements.

Gross liability balance 2017 2016 Securities sold Securities sold under repurchase Securities loaned under repurchase Securities loaned December 31, (in millions) agreements and other(b) agreements and other(b) Mortgage-backed securities: U.S. government agencies(a) $ 3,046 $ — $ 783 $ — Residential - nonagency 832 — 2,076 — Commercial - nonagency 46 — 139 — U.S. Treasury and government agencies(a) 88,982 7,010 52,023 7,036 Non-U.S. government debt 172,197 2,585 150,599 1,617 Corporate debt securities 9,910 411 8,097 465 Asset-backed securities 439 1 1,106 — Equity securities — 7,527 — 5,878 Total $ 275,452 $ 17,534 $ 214,823 $ 14,996

Remaining contractual maturity of the agreements

Overnight and Greater than 2017 (in millions) continuous Up to 30 days 30 – 90 days 90 days Total Total securities sold under repurchase agreements $ 65,759 $ 145,226 $ 43,892 $ 20,575 $ 275,452 Total securities loaned and other(b) 15,683 166 — 1,685 17,534

Remaining contractual maturity of the agreements

Overnight and Greater than 2016 (in millions) continuous Up to 30 days 30 – 90 days 90 days Total Total securities sold under repurchase agreements $ 31,776 $ 122,979 $ 39,398 $ 20,670 $ 214,823 Total securities loaned and other(b) 12,880 1,388 520 208 14,996

(a) Prior period amounts were revised to conform with the current period presentation. (b) Includes securities-for-securities lending transactions of $7.5 billion at both December 31, 2017 and 2016, accounted for at fair value, where JPMorgan Chase Bank, N.A. is acting as lender. These amounts are presented within accounts payable and other liabilities on the Consolidated balance sheets. Transfers not qualifying for sale accounting At December 31, 2017 and 2016, JPMorgan Chase Bank, N.A. held $1.5 billion and $5.8 billion, respectively, of financial assets for which the rights have been transferred to third parties; however, the transfers did not qualify as a sale in accordance with U.S. GAAP. These transfers have been recognized as collateralized financing transactions. The transferred assets are recorded in trading assets and loans, and the corresponding liabilities are recorded predominantly in short-term borrowings on the Consolidated balance sheets.

74 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 13 – Loans Loan accounting framework balance, all interest cash receipts are applied to reduce the The accounting for a loan depends on management’s carrying value of the loan (the cost recovery method). For strategy for the loan, and on whether the loan was credit- consumer loans, application of this policy typically results in impaired at the date of acquisition. JPMorgan Chase Bank, JPMorgan Chase Bank, N.A. recognizing interest income on N.A. accounts for loans based on the following categories: nonaccrual consumer loans on a cash basis. • Originated or purchased loans held-for-investment (i.e., A loan may be returned to accrual status when repayment is “retained”), other than PCI loans reasonably assured and there has been demonstrated • Loans held-for-sale performance under the terms of the loan or, if applicable, the terms of the restructured loan. • Loans at fair value • PCI loans held-for-investment As permitted by regulatory guidance, credit card loans are generally exempt from being placed on nonaccrual status; The following provides a detailed accounting discussion of accordingly, interest and fees related to credit card loans these loan categories: continue to accrue until the loan is charged off or paid in Loans held-for-investment (other than PCI loans) full. However, JPMorgan Chase Bank, N.A. separately Originated or purchased loans held-for-investment, other establishes an allowance, which is offset against loans and than PCI loans, are recorded at the principal amount charged to interest income, for the estimated uncollectible outstanding, net of the following: charge-offs; interest portion of accrued and billed interest and fee income on applied to principal (for loans accounted for on the cost credit card loans. The allowance is established with a charge recovery method); unamortized discounts and premiums; to interest income and is reported as an offset to loans. and net deferred loan fees or costs. Credit card loans also Allowance for loan losses include billed finance charges and fees net of an allowance The allowance for loan losses represents the estimated for uncollectible amounts. probable credit losses inherent in the held-for-investment Interest income loan portfolio at the balance sheet date and is recognized Interest income on performing loans held-for-investment, on the balance sheet as a contra asset, which brings the other than PCI loans, is accrued and recognized as interest recorded investment to the net carrying value. Changes in income at the contractual rate of interest. Purchase price the allowance for loan losses are recorded in the provision discounts or premiums, as well as net deferred loan fees or for credit losses on JPMorgan Chase Bank, N.A.’s costs, are amortized into interest income over the Consolidated statements of income. See Note 14 for further contractual life of the loan to produce a level rate of return. information on JPMorgan Chase Bank, N.A.’s accounting policies for the allowance for loan losses. Nonaccrual loans Nonaccrual loans are those on which the accrual of interest Charge-offs has been suspended. Loans (other than credit card loans Consumer loans, other than risk-rated business banking and and certain consumer loans insured by U.S. government auto loans, and PCI loans, are generally charged off or agencies) are placed on nonaccrual status and considered charged down to the net realizable value of the underlying nonperforming when full payment of principal and interest collateral (i.e., fair value less costs to sell), with an offset to is not expected, regardless of delinquency status, or when the allowance for loan losses, upon reaching specified principal and interest has been in default for a period of 90 stages of delinquency in accordance with standards days or more, unless the loan is both well-secured and in established by the Federal Financial Institutions the process of collection. A loan is determined to be past Examination Council (“FFIEC”). Residential real estate loans due when the minimum payment is not received from the and non-modified credit card loans are generally charged borrower by the contractually specified due date or for off no later than 180 days past due. Scored auto, student certain loans (e.g., residential real estate loans), when a and modified credit card loans are charged off no later than monthly payment is due and unpaid for 30 days or more. 120 days past due. Finally, collateral-dependent loans are typically maintained Certain consumer loans will be charged off or charged down on nonaccrual status. to their net realizable value earlier than the FFIEC charge- On the date a loan is placed on nonaccrual status, all off standards in certain circumstances as follows: interest accrued but not collected is reversed against • Loans modified in a troubled debt restructuring (“TDR”) interest income. In addition, the amortization of deferred that are determined to be collateral-dependent. amounts is suspended. Interest income on nonaccrual loans may be recognized as cash interest payments are received • Loans to borrowers who have experienced an event that (i.e., on a cash basis) if the recorded loan balance is suggests a loss is either known or highly certain are deemed fully collectible; however, if there is doubt subject to accelerated charge-off standards (e.g., regarding the ultimate collectibility of the recorded loan residential real estate and auto loans are charged off

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 75 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

within 60 days of receiving notification of a bankruptcy Loans held-for-sale filing). Held-for-sale loans are measured at the lower of cost or fair value, with valuation changes recorded in noninterest • Auto loans upon repossession of the automobile. revenue. For consumer loans, the valuation is performed on Other than in certain limited circumstances, JPMorgan a portfolio basis. For wholesale loans, the valuation is Chase Bank, N.A. typically does not recognize charge-offs performed on an individual loan basis. on government-guaranteed loans. Interest income on loans held-for-sale is accrued and Wholesale loans, risk-rated business banking loans and risk- recognized based on the contractual rate of interest. rated auto loans are charged off when it is highly certain Loan origination fees or costs and purchase price discounts that a loss has been realized, including situations where a or premiums are deferred in a contra loan account until the loan is determined to be both impaired and collateral- related loan is sold. The deferred fees or costs and dependent. The determination of whether to recognize a discounts or premiums are an adjustment to the basis of the charge-off includes many factors, including the loan and therefore are included in the periodic prioritization of JPMorgan Chase Bank, N.A.’s claim in determination of the lower of cost or fair value adjustments bankruptcy, expectations of the workout/restructuring of and/or the gain or loss recognized at the time of sale. the loan and valuation of the borrower’s equity or the loan collateral. Held-for-sale loans are subject to the nonaccrual policies described above. When a loan is charged down to the estimated net realizable value, the determination of the fair value of the collateral Because held-for-sale loans are recognized at the lower of depends on the type of collateral (e.g., securities, real cost or fair value, JPMorgan Chase Bank, N.A.’s allowance estate). In cases where the collateral is in the form of liquid for loan losses and charge-off policies do not apply to these securities, the fair value is based on quoted market prices loans. or broker quotes. For illiquid securities or other financial Loans at fair value assets, the fair value of the collateral is estimated using a Loans used in a market-making strategy or risk managed on discounted cash flow model. a fair value basis are measured at fair value, with changes For residential real estate loans, collateral values are based in fair value recorded in noninterest revenue. upon external valuation sources. When it becomes likely Interest income on these loans is accrued and recognized that a borrower is either unable or unwilling to pay, based on the contractual rate of interest. Changes in fair JPMorgan Chase Bank, N.A. obtains a broker’s price opinion value are recognized in noninterest revenue. Loan of the home based on an exterior-only valuation (“exterior origination fees are recognized upfront in noninterest opinions”), which is then updated at least every six months revenue. Loan origination costs are recognized in the thereafter. As soon as practicable after JPMorgan Chase associated expense category as incurred. Bank, N.A. receives the property in satisfaction of a debt (e.g., by taking legal title or physical possession), JPMorgan Because these loans are recognized at fair value, JPMorgan Chase Bank, N.A. generally obtains an appraisal based on an Chase Bank, N.A.’s allowance for loan losses and charge-off inspection that includes the interior of the home (“interior policies do not apply to these loans. appraisals”). Exterior opinions and interior appraisals are See Note 4 for further information on JPMorgan Chase discounted based upon JPMorgan Chase Bank, N.A.’s Bank, N.A.’s elections of fair value accounting under the fair experience with actual liquidation values as compared with value option. See Note 3 and Note 4 for further information the estimated values provided by exterior opinions and on loans carried at fair value and classified as trading interior appraisals, considering state-specific factors. assets. For commercial real estate loans, collateral values are PCI loans generally based on appraisals from internal and external PCI loans held-for-investment are initially measured at fair valuation sources. Collateral values are typically updated value. PCI loans have evidence of credit deterioration since every six to twelve months, either by obtaining a new the loan’s origination date and therefore it is probable, at appraisal or by performing an internal analysis, in acquisition, that all contractually required payments will not accordance with JPMorgan Chase Bank, N.A.’s policies. be collected. Because PCI loans are initially measured at fair JPMorgan Chase Bank, N.A. also considers both borrower- value, which includes an estimate of future credit losses, no and market-specific factors, which may result in obtaining allowance for loan losses related to PCI loans is recorded at appraisal updates or broker price opinions at more frequent the acquisition date. See page 87 of this Note for intervals. information on accounting for PCI loans subsequent to their acquisition.

76 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Loan classification changes Loans, except for credit card loans, modified in a TDR are Loans in the held-for-investment portfolio that management generally placed on nonaccrual status, although in many decides to sell are transferred to the held-for-sale portfolio cases such loans were already on nonaccrual status prior to at the lower of cost or fair value on the date of transfer. modification. These loans may be returned to performing Credit-related losses are charged against the allowance for status (the accrual of interest is resumed) if the following loan losses; non-credit related losses such as those due to criteria are met: (i) the borrower has performed under the changes in interest rates or foreign currency exchange rates modified terms for a minimum of six months and/or six are recognized in noninterest revenue. payments, and (ii) JPMorgan Chase Bank, N.A. has an expectation that repayment of the modified loan is In the event that management decides to retain a loan in reasonably assured based on, for example, the borrower’s the held-for-sale portfolio, the loan is transferred to the debt capacity and level of future earnings, collateral values, held-for-investment portfolio at the lower of cost or fair LTV ratios, and other current market considerations. In value on the date of transfer. These loans are subsequently certain limited and well-defined circumstances in which the assessed for impairment based on JPMorgan Chase Bank, loan is current at the modification date, such loans are not N.A.’s allowance methodology. For a further discussion of placed on nonaccrual status at the time of modification. the methodologies used in establishing JPMorgan Chase Bank, N.A.’s allowance for loan losses, see Note 14. Because loans modified in TDRs are considered to be impaired, these loans are measured for impairment using Loan modifications JPMorgan Chase Bank, N.A.’s established asset-specific JPMorgan Chase Bank, N.A. seeks to modify certain loans in allowance methodology, which considers the expected re- conjunction with its loss-mitigation activities. Through the default rates for the modified loans. A loan modified in a modification, JPMorgan Chase Bank, N.A. grants one or TDR generally remains subject to the asset-specific more concessions to a borrower who is experiencing allowance methodology throughout its remaining life, financial difficulty in order to minimize JPMorgan Chase regardless of whether the loan is performing and has been Bank, N.A.’s economic loss and avoid foreclosure or returned to accrual status and/or the loan has been repossession of the collateral, and to ultimately maximize removed from the impaired loans disclosures (i.e., loans payments received by JPMorgan Chase Bank, N.A. from the restructured at market rates). For further discussion of the borrower. The concessions granted vary by program and by methodology used to estimate JPMorgan Chase Bank, N.A.’s borrower-specific characteristics, and may include interest asset-specific allowance, see Note 14. rate reductions, term extensions, payment deferrals, principal forgiveness, or the acceptance of equity or other Foreclosed property assets in lieu of payments. JPMorgan Chase Bank, N.A. acquires property from borrowers through loan restructurings, workouts, and Such modifications are accounted for and reported as TDRs. foreclosures. Property acquired may include real property A loan that has been modified in a TDR is generally (e.g., residential real estate, land, and buildings) and considered to be impaired until it matures, is repaid, or is commercial and personal property (e.g., automobiles, otherwise liquidated, regardless of whether the borrower aircraft, railcars, and ships). performs under the modified terms. In certain limited cases, the effective interest rate applicable to the modified JPMorgan Chase Bank, N.A. recognizes foreclosed property loan is at or above the current market rate at the time of upon receiving assets in satisfaction of a loan (e.g., by the restructuring. In such circumstances, and assuming that taking legal title or physical possession). For loans the loan subsequently performs under its modified terms collateralized by real property, JPMorgan Chase Bank, N.A. and JPMorgan Chase Bank, N.A. expects to collect all generally recognizes the asset received at foreclosure sale contractual principal and interest cash flows, the loan is or upon the execution of a deed in lieu of foreclosure disclosed as impaired and as a TDR only during the year of transaction with the borrower. Foreclosed assets are the modification; in subsequent years, the loan is not reported in other assets on the Consolidated balance sheets disclosed as an impaired loan or as a TDR so long as and initially recognized at fair value less costs to sell. Each repayment of the restructured loan under its modified quarter the fair value of the acquired property is reviewed terms is reasonably assured. and adjusted, if necessary, to the lower of cost or fair value. Subsequent adjustments to fair value are charged/credited to noninterest revenue. Operating expense, such as real estate taxes and maintenance, are charged to other expense.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 77 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Loan portfolio JPMorgan Chase Bank, N.A.’s loan portfolio is divided into three portfolio segments, which are the same segments used by JPMorgan Chase Bank, N.A. to determine the allowance for loan losses: Consumer, excluding credit card; Credit card; and Wholesale. Within each portfolio segment JPMorgan Chase Bank, N.A. monitors and assesses the credit risk in the following classes of loans, based on the risk characteristics of each loan class.

Consumer, excluding Credit card Wholesale(g) credit card(a) Residential real estate – excluding PCI • Credit card loans(f) • Commercial and industrial • Residential mortgage(b) • Real estate • Home equity(c) • Financial institutions • Government agencies Other consumer loans (h) • Auto(d) • Other • Consumer & business banking(d)(e) • Student Residential real estate – PCI • Home equity • Prime mortgage • Subprime mortgage • Option ARMs

(a) Includes loans held in the consumer & community banking business, prime mortgage and home equity loans held in the asset & wealth management business and prime mortgage loans held in the corporate function. (b) Predominantly includes prime (including option ARMs) and subprime loans. (c) Includes senior and junior lien home equity loans. (d) Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by the consumer & community banking business, and therefore, for consistency in presentation, are included with the other consumer loan classes. (e) Predominantly includes business banking loans. (f) Predominantly includes credit card loans acquired pursuant to a participation agreement with Chase Bank USA, N.A., a related-party, and subsequent draws on revolving credit lines associated with the participation agreement. (g) Includes loans held in the corporate & investment banking, commercial banking and asset & wealth management businesses and in the corporate function. Excludes prime mortgage and home equity loans held in the asset & wealth management businesses and prime mortgage loans held in the corporate function. Classes are internally defined and may not align with regulatory definitions. (h) Includes loans to: individuals; SPEs; and private education and civic organizations. For more information on SPEs, see Note 15.

The following tables summarize JPMorgan Chase Bank, N.A.’s loan balances by portfolio segment.

December 31, 2017 Consumer, excluding (in millions) credit card Credit card(a) Wholesale Total Retained $ 372,517 $ 40,911 $ 406,926 $ 820,354 (b) Held-for-sale 128 124 3,099 3,351 At fair value — — 2,508 2,508 Total $ 372,645 $ 41,035 $ 412,533 $ 826,213

December 31, 2016 Consumer, excluding (in millions) credit card Credit card(a) Wholesale Total Retained $ 364,360 $ 35,773 $ 387,132 $ 787,265 (b) Held-for-sale 238 105 2,283 2,626 At fair value — — 2,228 2,228 Total $ 364,598 $ 35,878 $ 391,643 $ 792,119 (a) Includes accrued interest and fees net of an allowance for the uncollectible portion of accrued interest and fee income. (b) Loans (other than PCI loans and those for which the fair value option has been elected) are presented net of unamortized discounts and premiums and net deferred loan fees or costs. These amounts were not material as of December 31, 2017 and 2016.

78 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The following table provides information about the carrying value of retained loans purchased, sold and reclassified to held- for-sale during the periods indicated. This table excludes loans recorded at fair value. JPMorgan Chase Bank, N.A. manages its exposure to credit risk on an ongoing basis. Selling loans is one way that JPMorgan Chase Bank, N.A. reduces its credit exposures.

2017 Year ended December 31, Consumer, excluding (in millions) credit card Credit card Wholesale Total Purchases $ 3,461 (a)(b) $ — $ 1,799 $ 5,260 Sales 3,405 — 11,063 14,468 (c) Retained loans reclassified to held-for-sale 6,340 — 1,229 7,569

2016 Year ended December 31, Consumer, excluding (in millions) credit card Credit card Wholesale Total Purchases $ 4,116 (a)(b) $ — $ 1,448 $ 5,564 Sales 6,368 — 8,739 15,107 Retained loans reclassified to held-for-sale 321 — 2,381 2,702

2015 Year ended December 31, Consumer, excluding (in millions) credit card Credit card Wholesale Total Purchases $ 5,279 (a)(b) $ — $ 1,066 $ 6,345 Sales 5,049 — 9,195 14,244 Retained loans reclassified to held-for-sale 1,439 79 642 2,160

(a) Purchases predominantly represent JPMorgan Chase Bank, N.A.’s voluntary repurchase of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines. JPMorgan Chase Bank, N.A. typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, the Federal Housing Administration (“FHA”), Rural Housing Service (“RHS”) and/or the U.S. Department of Veterans Affairs (“VA”). (b) Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with JPMorgan Chase Bank, N.A.’s standards. Such purchases were $23.5 billion, $30.4 billion and $50.3 billion for the years ended December 31, 2017, 2016 and 2015, respectively. (c) Includes the JPMorgan Chase Bank, N.A.’s student loan portfolio which was sold in 2017.

The following table provides information about gains and losses on loan sales, including lower of cost or fair value adjustments, on loan sales by portfolio segment.

Year ended December 31, (in millions) 2017 2016 2015 Net gains/(losses) on sales of loans (including lower of cost or fair value adjustments)(a) Consumer, excluding credit card(b) $ (126) $ 231 $ 305 Credit card (8) (12) (3) Wholesale 38 26 15 Total net gains/(losses) on sales of loans (including lower of cost or fair value adjustments) $ (96) $ 245 $ 317

(a) Excludes sales related to loans accounted for at fair value. (b) Includes amounts related to JPMorgan Chase Bank, N.A.’s student loan portfolio which was sold in 2017.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 79 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Consumer, excluding credit card, loan portfolio Consumer loans, excluding credit card loans, consist Delinquency rates are a primary credit quality indicator for primarily of residential mortgages, home equity loans and consumer loans. Loans that are more than 30 days past due lines of credit, auto loans, consumer and business banking provide an early warning of borrowers who may be loans and student loans, with a focus on serving the prime experiencing financial difficulties and/or who may be unable consumer credit market. The portfolio also includes home or unwilling to repay the loan. As the loan continues to age, equity loans secured by junior liens, prime mortgage loans it becomes more clear whether the borrower is likely either with an interest-only payment period, and certain payment- unable or unwilling to pay. In the case of residential real option loans that may result in negative amortization. estate loans, late-stage delinquencies (greater than 150 days past due) are a strong indicator of loans that will The table below provides information about retained ultimately result in a foreclosure or similar liquidation consumer loans, excluding credit card, by class. In 2017, transaction. In addition to delinquency rates, other credit JPMorgan Chase Bank, N.A sold its student loan portfolio. quality indicators for consumer loans vary based on the December 31, (in millions) 2017 2016 class of loan, as follows: Residential real estate – excluding PCI For residential real estate loans, including both non-PCI and Residential mortgage(a) $ 216,468 $ 192,455 PCI portfolios, the current estimated LTV ratio, or the Home equity 33,442 39,049 combined LTV ratio in the case of junior lien loans, is an Other consumer loans indicator of the potential loss severity in the event of Auto 66,242 65,814 default. Additionally, LTV or combined LTV ratios can Consumer & business banking(a) 25,789 24,306 provide insight into a borrower’s continued willingness to Student(a) — 7,057 pay, as the delinquency rate of high-LTV loans tends to be greater than that for loans where the borrower has equity Residential real estate – PCI in the collateral. The geographic distribution of the loan Home equity 10,799 12,902 collateral also provides insight as to the credit quality of the Prime mortgage 6,479 7,602 portfolio, as factors such as the regional economy, home Subprime mortgage 2,609 2,941 price changes and specific events such as natural disasters, Option ARMs 10,689 12,234 will affect credit quality. The borrower’s current or Total retained loans $ 372,517 $ 364,360 “refreshed” FICO score is a secondary credit-quality indicator for certain loans, as FICO scores are an indication (a) Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation. of the borrower’s credit payment history. Thus, a loan to a borrower with a low FICO score (less than 660) is considered to be of higher risk than a loan to a borrower with a higher FICO score. Further, a loan to a borrower with a high LTV ratio and a low FICO score is at greater risk of default than a loan to a borrower that has both a high LTV ratio and a high FICO score. • For scored auto and scored business banking loans, geographic distribution is an indicator of the credit performance of the portfolio. Similar to residential real estate loans, geographic distribution provides insights into the portfolio performance based on regional economic activity and events. • Risk-rated business banking and auto loans are similar to wholesale loans in that the primary credit quality indicators are the risk rating that is assigned to the loan and whether the loans are considered to be criticized and/or nonaccrual. Risk ratings are reviewed on a regular and ongoing basis by Credit Risk Management and are adjusted as necessary for updated information about borrowers’ ability to fulfill their obligations. For further information about risk-rated wholesale loan credit quality indicators, see page 92 of this Note.

80 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Residential real estate — excluding PCI loans The following table provides information by class for residential real estate — excluding retained PCI loans.

Residential real estate – excluding PCI loans Total residential real estate – Residential mortgage(g) Home equity December 31, excluding PCI (in millions, except ratios) 2017 2016 2017 2016 2017 2016 Loan delinquency(a) Current $ 208,692 $ 184,109 $ 32,383 $ 37,927 $ 241,075 $ 222,036 30–149 days past due 4,230 3,824 671 646 4,901 4,470 150 or more days past due 3,546 4,522 388 476 3,934 4,998 Total retained loans $ 216,468 $ 192,455 $ 33,442 $ 39,049 $ 249,910 $ 231,504 % of 30+ days past due to total retained loans(b) 0.77% 0.75% 3.17% 2.87% 1.09% 1.11% 90 or more days past due and government guaranteed(c) $ 4,170 $ 4,856 $ — $ — $ 4,170 $ 4,856 Nonaccrual loans 2,172 2,253 1,610 1,844 3,782 4,097 Current estimated LTV ratios(d)(e)

Greater than 125% and refreshed FICO scores: Equal to or greater than 660 $ 37 $ 30 $ 10 $ 70 $ 47 $ 100 Less than 660 19 48 3 15 22 63

101% to 125% and refreshed FICO scores: Equal to or greater than 660 36 135 296 668 332 803 Less than 660 88 177 95 220 183 397

80% to 100% and refreshed FICO scores: Equal to or greater than 660 4,369 4,025 1,675 2,960 6,044 6,985 Less than 660 483 717 569 945 1,052 1,662 Less than 80% and refreshed FICO scores: Equal to or greater than 660 194,752 169,570 25,255 27,307 220,007 196,877 Less than 660 6,945 6,753 3,850 4,380 10,795 11,133 No FICO/LTV available 1,257 1,649 1,689 2,484 2,946 4,133 U.S. government-guaranteed 8,482 9,351 — — 8,482 9,351 Total retained loans $ 216,468 $ 192,455 $ 33,442 $ 39,049 $ 249,910 $ 231,504 Geographic region California $ 68,855 $ 59,802 $ 6,580 $ 7,641 $ 75,435 $ 67,443 New York 27,470 24,912 6,864 7,975 34,334 32,887 Illinois 14,501 13,125 2,520 2,946 17,021 16,071 Texas 12,507 10,771 2,021 2,224 14,528 12,995 Florida 9,596 8,393 1,847 2,132 11,443 10,525 New Jersey 7,142 6,374 1,957 2,252 9,099 8,626 Washington 6,962 5,450 1,026 1,228 7,988 6,678 Colorado 7,335 6,306 631 677 7,966 6,983 Massachusetts 6,323 5,834 295 371 6,618 6,205 Arizona 4,109 3,595 1,438 1,771 5,547 5,366 All other(f) 51,668 47,893 8,263 9,832 59,931 57,725 Total retained loans $ 216,468 $ 192,455 $ 33,442 $ 39,049 $ 249,910 $ 231,504 (a) Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $2.4 billion and $2.5 billion; 30–149 days past due included $3.2 billion and $3.1 billion; and 150 or more days past due included $2.9 billion and $3.8 billion at December 31, 2017 and 2016, respectively. (b) At December 31, 2017 and 2016, residential mortgage loans excluded mortgage loans insured by U.S. government agencies of $6.1 billion and $6.9 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee. (c) These balances, which are 90 days or more past due, were excluded from nonaccrual loans as the loans are guaranteed by U.S. government agencies. Typically, the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed-upon servicing guidelines. At December 31, 2017, and 2016, these balances included $1.5 billion and $2.2 billion, respectively, of loans that are no longer accruing interest based on the agreed-upon servicing guidelines. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate. There were no loans that were not guaranteed by U.S. government agencies that are 90 or more days past due and still accruing interest at December 31, 2017, and 2016. (d) Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. (e) Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by JPMorgan Chase Bank, N.A. on at least a quarterly basis. (f) At December 31, 2017 and 2016, included mortgage loans insured by U.S. government agencies of $8.5 billion and $9.4 billion, respectively. (g) Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 81 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table represents JPMorgan Chase Bank, N.A.’s delinquency statistics for junior lien home equity loans and lines as of December 31, 2017 and 2016.

Total loans Total 30+ day delinquency rate December 31, (in millions, except ratios) 2017 2016 2017 2016 HELOCs:(a) Within the revolving period(b) $ 6,360 $ 10,297 0.50% 1.27% Beyond the revolving period 13,527 13,265 3.56 3.05 HELOANs 1,371 1,861 3.50 2.85 Total $ 21,258 $ 25,423 2.64% 2.32%

(a) These HELOCs are predominantly revolving loans for a 10-year period, after which time the HELOC converts to a loan with a 20-year amortization period, but also include HELOCs that allow interest-only payments beyond the revolving period. (b) JPMorgan Chase Bank, N.A. 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 experiencing financial difficulty.

HELOCs beyond the revolving period and HELOANs have higher delinquency rates than HELOCs within the revolving period. That is primarily because the fully-amortizing payment that is generally required for those products is higher than the minimum payment options available for HELOCs within the revolving period. The higher delinquency rates associated with amortizing HELOCs and HELOANs are factored into JPMorgan Chase Bank, N.A.’s allowance for loan losses.

Impaired loans The table below sets forth information about JPMorgan Chase Bank, N.A.’s residential real estate impaired loans, excluding PCI loans. These loans are considered to be impaired as they have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note 14.

Total residential real estate Residential mortgage Home equity – excluding PCI December 31, (in millions) 2017 2016 2017 2016 2017 2016 Impaired loans With an allowance $ 4,402 $ 4,681 $ 1,236 $ 1,266 $ 5,638 $ 5,947 Without an allowance(a) 1,211 1,341 882 998 2,093 2,339 Total impaired loans(b)(c) $ 5,613 $ 6,022 $ 2,118 $ 2,264 $ 7,731 $ 8,286 Allowance for loan losses related to impaired loans $ 62 $ 68 $ 111 $ 121 $ 173 $ 189 Unpaid principal balance of impaired loans(d) 7,732 8,274 3,701 3,846 11,433 12,120 Impaired loans on nonaccrual status(e) 1,741 1,752 1,031 1,116 2,772 2,868

(a) Represents collateral-dependent residential real estate loans that are charged off to the fair value of the underlying collateral less costs to sell. JPMorgan Chase Bank, N.A. reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status. At December 31, 2017, Chapter 7 residential real estate loans included approximately 12% of home equity and 15% of residential mortgages that were 30 days or more past due. (b) At December 31, 2017 and 2016, $3.8 billion and $3.4 billion, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., FHA, VA, RHS) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure. (c) Predominantly all residential real estate impaired loans, excluding PCI loans, are in the U.S. (d) Represents the contractual amount of principal owed at December 31, 2017 and 2016. The unpaid principal balance differs from the impaired loan balances due to various factors including charge-offs, net deferred loan fees or costs, and unamortized discounts or premiums on purchased loans. (e) As of December 31, 2017 and 2016, nonaccrual loans included $2.2 billion and $2.3 billion, respectively, of TDRs for which the borrowers were less than 90 days past due. For additional information about loans modified in a TDR that are on nonaccrual status refer to the Loan accounting framework on pages 75–77 of this Note.

82 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The following table presents average impaired loans and the related interest income reported by JPMorgan Chase Bank, N.A.

Interest income on Interest income on impaired Year ended December 31, Average impaired loans impaired loans(a) loans on a cash basis(a) (in millions) 2017 2016 2015 2017 2016 2015 2017 2016 2015 Residential mortgage $ 5,789 $ 6,365 $ 7,092 $ 287 $ 305 $ 325 $ 75 $ 77 $ 84 Home equity 2,189 2,311 2,340 127 124 128 80 80 84 Total residential real estate – excluding PCI $ 7,978 $ 8,676 $ 9,432 $ 414 $ 429 $ 453 $ 155 $ 157 $ 168 (a) Generally, interest income on loans modified in TDRs is recognized on a cash basis until such time as the borrower has made a minimum of six payments under the new terms, unless the loan is deemed to be collateral-dependent. Loan modifications Modifications of residential real estate loans, excluding PCI loans, are generally accounted for and reported as TDRs. There were no additional commitments to lend to borrowers whose residential real estate loans, excluding PCI loans, have been modified in TDRs. The following table presents new TDRs reported by JPMorgan Chase Bank, N.A.

Year ended December 31, (in millions) 2017 2016 2015 Residential mortgage $ 373 $ 254 $ 259 Home equity 321 385 394 Total residential real estate – excluding PCI $ 694 $ 639 $ 653

Nature and extent of modifications The U.S. Treasury’s Making Home Affordable programs, as well as JPMorgan Chase Bank, N.A.’s proprietary modification programs, generally provide various concessions to financially troubled borrowers including, but not limited to, interest rate reductions, term or payment extensions and deferral of principal and/or interest payments that would otherwise have been required under the terms of the original agreement. The following table provides information about how residential real estate loans, excluding PCI loans, were modified under JPMorgan Chase Bank, N.A.’s loss mitigation programs described above during the periods presented. This table excludes Chapter 7 loans where the sole concession granted is the discharge of debt.

Total residential real estate Residential mortgage Home equity – excluding PCI Year ended Dec. 31, 2017 2016 2015 2017 2016 2015 2017 2016 2015 Number of loans approved for a trial modification 1,281 1,936 2,662 2,321 3,744 3,916 3,602 5,680 6,578 Number of loans permanently modified 2,624 3,320 3,080 5,624 4,824 4,248 8,248 8,144 7,328 Concession granted:(a) Interest rate reduction 63% 76% 71% 59% 75% 66% 60% 76% 68% Term or payment extension 72 90 81 69 83 89 70 86 86 Principal and/or interest deferred 15 16 26 10 19 23 12 18 24 Principal forgiveness 16 26 28 13 9 7 14 16 16 Other(b) 33 25 11 31 6 — 32 13 5

(a) Represents concessions granted in permanent modifications as a percentage of the number of loans permanently modified. The sum of the percentages exceeds 100% because predominantly all of the modifications include more than one type of concession. A significant portion of trial modifications include interest rate reductions and/or term or payment extensions. (b) Predominantly represents variable interest rate to fixed interest rate modifications.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 83 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Financial effects of modifications and redefaults The following table provides information about the financial effects of the various concessions granted in modifications of residential real estate loans, excluding PCI, under the loss mitigation programs described above and about redefaults of certain loans modified in TDRs for the periods presented. The following table presents only the final financial effects of permanent modifications and does not include temporary concessions offered through trial modifications. This table also excludes Chapter 7 loans where the sole concession granted is the discharge of debt.

Year ended Total residential real estate – December 31, Residential mortgage Home equity excluding PCI (in millions, except weighted- average data and number of loans) 2017 2016 2015 2017 2016 2015 2017 2016 2015 Weighted-average interest rate of loans with interest rate reductions – before TDR 5.15% 5.59% 5.69% 4.95% 4.99% 5.21% 5.06% 5.36% 5.52% Weighted-average interest rate of loans with interest rate reductions – after TDR 2.99 2.93 2.81 2.64 2.34 2.35 2.83 2.69 2.65 Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR 24 24 25 21 18 18 23 22 22 Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR 38 38 37 39 38 35 38 38 36 Charge-offs recognized upon permanent modification $ 2 $ 4 $ 11 $ 1 $ 1 $ 4 $ 3 $ 5 $ 15 Principal deferred 12 30 55 10 23 26 22 53 81 Principal forgiven 20 44 66 13 7 6 33 51 72 Balance of loans that redefaulted within one year of permanent modification(a) $ 124 $ 98 $ 131 $ 56 $ 39 $ 21 $ 180 $ 137 $ 152

(a) Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes two contractual payments past due. In the event that a modified loan redefaults, it is probable that the loan will ultimately be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12 months may not be representative of ultimate redefault levels.

At December 31, 2017, the weighted-average estimated Active and suspended foreclosure remaining lives of residential real estate loans, excluding At December 31, 2017 and 2016, JPMorgan Chase Bank, PCI loans, permanently modified in TDRs were 14 years for N.A. had non-PCI residential real estate loans, excluding residential mortgage and 10 years for home equity. The those insured by U.S. government agencies, with a carrying estimated remaining lives of these loans reflect estimated value of $787 million and $931 million, respectively, that prepayments, both voluntary and involuntary (i.e., were not included in REO, but were in the process of active foreclosures and other forced liquidations). or suspended foreclosure.

84 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Other consumer loans The table below provides information for other consumer retained loan classes, including auto and business banking loans. This table excludes student loans that were sold in 2017.

Auto Consumer & business banking(c) December 31, (in millions, except ratios) 2017 2016 2017 2016 Loan delinquency(a) Current $ 65,651 $ 65,029 $ 25,454 $ 23,919 30–119 days past due 584 773 213 247 120 or more days past due 7 12 122 140 Total retained loans $ 66,242 $ 65,814 $ 25,789 $ 24,306 % of 30+ days past due to total retained loans 0.89% 1.19% 1.30% 1.59% Nonaccrual loans(a) 141 214 283 287 Geographic region California $ 8,445 $ 7,975 $ 5,032 $ 4,426 Texas 7,013 7,041 2,916 2,954 New York 4,023 4,078 4,195 3,979 Illinois 3,916 3,984 2,017 1,758 Florida 3,350 3,374 1,424 1,195 Arizona 2,221 2,209 1,383 1,307 Ohio 2,105 2,194 1,380 1,402 Michigan 1,418 1,567 1,357 1,343 New Jersey 2,044 2,031 721 623 Louisiana 1,656 1,814 849 979 All other 30,051 29,547 4,515 4,340 Total retained loans $ 66,242 $ 65,814 $ 25,789 $ 24,306 Loans by risk ratings(b) Noncriticized $ 15,604 $ 13,899 $ 17,938 $ 16,858 Criticized performing 93 201 791 816 Criticized nonaccrual 9 94 213 217 (a) There were no loans that were 90 or more days past due and still accruing interest at December 31, 2017 and 2016. (b) For risk-rated business banking and auto loans, the primary credit quality indicator is the risk rating of the loan, including whether the loans are considered to be criticized and/or nonaccrual. (c) Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 85 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Other consumer impaired loans and loan Loan modifications modifications Certain other consumer loan modifications are considered The following table sets forth information about JPMorgan to be TDRs as they provide various concessions to Chase Bank, N.A.’s other consumer impaired loans, including borrowers who are experiencing financial difficulty. All of risk-rated business banking and auto loans that have been placed these TDRs are reported as impaired loans. The following on nonaccrual status, and loans that have been modified in TDRs. table provides information about JPMorgan Chase Bank, N.A.’s other consumer loans modified in TDRs. New TDRs December 31, (in millions) 2017 2016 were not material for the years ended December 31, 2017 Impaired loans and 2016. With an allowance $ 272 $ 614 Without an allowance(a) 26 30 December 31, (in millions) 2017 2016 Total impaired loans(b)(c) $ 298 $ 644 Loans modified in TDRs(a)(b) $ 102 $ 362 Allowance for loan losses related to TDRs on nonaccrual status 72 226 impaired loans $ 73 $ 119 (a) The impact of these modifications was not material to JPMorgan Chase Unpaid principal balance of impaired Bank, N.A. for the years ended December 31, 2017 and 2016. loans(d) 402 753 (b) Additional commitments to lend to borrowers whose loans have been Impaired loans on nonaccrual status 268 508 modified in TDRs as of December 31, 2017 and 2016 were (a) When discounted cash flows, collateral value or market price equals or immaterial. exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged off and/or there have been interest payments received and applied to the loan balance. (b) Predominantly all other consumer impaired loans are in the U.S. (c) Other consumer average impaired loans were $427 million, $635 million and $566 million for the years ended December 31, 2017, 2016 and 2015, respectively. The related interest income on impaired loans, including those on a cash basis, was not material for the years ended December 31, 2017, 2016 and 2015. (d) Represents the contractual amount of principal owed at December 31, 2017 and 2016. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs, interest payments received and applied to the principal balance, net deferred loan fees or costs and unamortized discounts or premiums on purchased loans.

86 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Purchased credit-impaired loans PCI loans are initially recorded at fair value at acquisition. The excess of cash flows expected to be collected over the PCI loans acquired in the same fiscal quarter may be carrying value of the underlying loans is referred to as the aggregated into one or more pools, provided that the loans accretable yield. This amount is not reported on JPMorgan have common risk characteristics. A pool is then accounted Chase Bank, N.A.’s Consolidated balance sheets but is for as a single asset with a single composite interest rate accreted into interest income at a level rate of return over and an aggregate expectation of cash flows. With respect to the remaining estimated lives of the underlying pools of the Washington Mutual transaction, all of the consumer PCI loans. loans were aggregated into pools of loans with common risk If the timing and/or amounts of expected cash flows on PCI characteristics. loan pools were determined not to be reasonably estimable, On a quarterly basis, JPMorgan Chase Bank, N.A. estimates no interest would be accreted and the loan pools would be the total cash flows (both principal and interest) expected reported as nonaccrual loans; however, since the timing and to be collected over the remaining life of each pool. These amounts of expected cash flows for JPMorgan Chase Bank, estimates incorporate assumptions regarding default rates, N.A.’s PCI consumer loan pools are reasonably estimable, loss severities, the amounts and timing of prepayments and interest is being accreted and the loan pools are being other factors that reflect then-current market conditions. reported as performing loans. Probable decreases in expected cash flows (i.e., increased The liquidation of PCI loans, which may include sales of credit losses) trigger the recognition of impairment, which loans, receipt of payment in full from the borrower, or is then measured as the present value of the expected foreclosure, results in removal of the loans from the principal loss plus any related forgone interest cash flows, underlying PCI pool. When the amount of the liquidation discounted at the pool’s effective interest rate. Impairments proceeds (e.g., cash, real estate), if any, is less than the are recognized through the provision for credit losses and unpaid principal balance of the loan, the difference is first an increase in the allowance for loan losses. Probable and applied against the PCI pool’s nonaccretable difference for significant increases in expected cash flows (e.g., decreased principal losses (i.e., the lifetime credit loss estimate credit losses, the net benefit of modifications) would first established as a purchase accounting adjustment at the reverse any previously recorded allowance for loan losses acquisition date). When the nonaccretable difference for a with any remaining increases recognized prospectively as a particular loan pool has been fully depleted, any excess of yield adjustment over the remaining estimated lives of the the unpaid principal balance of the loan over the liquidation underlying loans. The impacts of (i) prepayments, (ii) proceeds is written off against the PCI pool’s allowance for changes in variable interest rates, and (iii) any other loan losses. Write-offs of PCI loans also include other changes in the timing of expected cash flows are generally adjustments, primarily related to interest forgiveness recognized prospectively as adjustments to interest income. modifications. Because JPMorgan Chase Bank, N.A.’s PCI JPMorgan Chase Bank, N.A. continues to modify certain PCI loans are accounted for at a pool level, JPMorgan Chase loans. The impact of these modifications is incorporated Bank, N.A. does not recognize charge-offs of PCI loans when into JPMorgan Chase Bank, N.A.’s quarterly assessment of they reach specified stages of delinquency (i.e., unlike non- whether a probable and significant change in expected cash PCI consumer loans, these loans are not charged off based flows has occurred, and the loans continue to be accounted on FFIEC standards). for and reported as PCI loans. In evaluating the effect of The PCI portfolio affects JPMorgan Chase Bank, N.A.’s modifications on expected cash flows, JPMorgan Chase results of operations primarily through: (i) contribution to Bank, N.A. incorporates the effect of any forgone interest net interest margin; (ii) expense related to defaults and and also considers the potential for redefault. JPMorgan servicing resulting from the liquidation of the loans; and Chase Bank, N.A. develops product-specific probability of (iii) any provision for loan losses. The PCI loans acquired in default estimates, which are used to compute expected the Washington Mutual transaction were funded based on credit losses. In developing these probabilities of default, the interest rate characteristics of the loans. For example, JPMorgan Chase Bank, N.A. considers the relationship variable-rate loans were funded with variable-rate liabilities between the credit quality characteristics of the underlying and fixed-rate loans were funded with fixed-rate liabilities loans and certain assumptions about home prices and with a similar maturity profile. A net spread will be earned unemployment based upon industry-wide data. JPMorgan on the declining balance of the portfolio, which is estimated Chase Bank, N.A. also considers its own historical loss as of December 31, 2017, to have a remaining weighted- experience to-date based on actual redefaulted modified average life of 9 years. PCI loans.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 87 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Residential real estate – PCI loans The table below sets forth information about JPMorgan Chase Bank, N.A.’s consumer, excluding credit card, PCI loans.

Home equity Prime mortgage Subprime mortgage Option ARMs Total PCI December 31, (in millions, except ratios) 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 Carrying value(a) $10,799 $12,902 $ 6,479 $ 7,602 $ 2,609 $ 2,941 $10,689 $12,234 $30,576 $35,679 Related allowance for loan losses(b) 1,133 1,433 863 829 150 — 79 49 2,225 2,311 Loan delinquency (based on unpaid principal balance) Current $10,272 $12,423 $ 5,839 $ 6,840 $ 2,640 $ 3,005 $ 9,662 $11,074 $28,413 $33,342 30–149 days past due 356 291 336 336 381 361 547 555 1,620 1,543 150 or more days past due 392 478 327 451 176 240 689 917 1,584 2,086 Total loans $11,020 $13,192 $ 6,502 $ 7,627 $ 3,197 $ 3,606 $10,898 $12,546 $31,617 $36,971 % of 30+ days past due to total loans 6.79% 5.83% 10.20% 10.32% 17.42% 16.67% 11.34% 11.73% 10.13% 9.82% Current estimated LTV ratios (based on unpaid principal balance)(c)(d) Greater than 125% and refreshed FICO scores: Equal to or greater than 660 $ 33 $ 69 $ 4 $ 6 $ 2 $ 7 $ 6 $ 12 $ 45 $ 94 Less than 660 21 39 16 17 20 31 9 18 66 105 101% to 125% and refreshed FICO scores: Equal to or greater than 660 274 555 16 52 20 39 43 83 353 729 Less than 660 132 256 42 84 75 135 71 144 320 619 80% to 100% and refreshed FICO scores: Equal to or greater than 660 1,195 1,860 221 442 119 214 316 558 1,851 3,074 Less than 660 559 804 230 381 309 439 371 609 1,469 2,233 Lower than 80% and refreshed FICO scores: Equal to or greater than 660 6,134 6,676 3,551 3,967 895 919 6,113 6,754 16,693 18,316 Less than 660 2,095 2,183 2,103 2,287 1,608 1,645 3,499 3,783 9,305 9,898 No FICO/LTV available 577 750 319 391 149 $ 177 $ 470 $ 585 1,515 1,903 Total unpaid principal balance $11,020 $13,192 $ 6,502 $ 7,627 $ 3,197 $ 3,606 $10,898 $12,546 $31,617 $36,971 Geographic region (based on unpaid principal balance) California $ 6,555 $ 7,899 $ 3,716 $ 4,396 $ 797 $ 899 $ 6,225 $ 7,128 $17,293 $20,322 Florida 1,137 1,306 428 501 296 332 878 1,026 2,739 $ 3,165 New York 607 697 457 515 330 363 628 711 2,022 $ 2,286 Washington 532 673 135 167 61 68 238 290 966 $ 1,198 Illinois 273 314 200 226 161 178 249 282 883 $ 1,000 New Jersey 242 280 178 210 110 125 336 401 866 $ 1,016 Massachusetts 79 94 149 173 98 110 307 346 633 $ 723 Maryland 57 64 129 144 132 145 232 267 550 $ 620 Arizona 203 241 106 124 60 68 156 181 525 $ 614 Virginia 66 77 123 142 51 56 280 314 520 $ 589 All other 1,269 1,547 881 1,029 1,101 1,262 1,369 1,600 4,620 $ 5,438 Total unpaid principal balance $11,020 $13,192 $ 6,502 $ 7,627 $ 3,197 $ 3,606 $10,898 $12,546 $31,617 $36,971

(a) Carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition. (b) Management concluded as part of JPMorgan Chase Bank, N.A.’s regular assessment of the PCI loan pools, that it was probable that higher expected credit losses would result in a decrease in expected cash flows. As a result, an allowance for loan losses for impairment of these pools has been recognized. (c) Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. (d) Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by JPMorgan Chase Bank, N.A. on at least a quarterly basis.

88 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Approximately 25% of the PCI home equity portfolio are senior lien loans; the remaining balance are junior lien HELOANs or HELOCs. The following table sets forth delinquency statistics for PCI junior lien home equity loans and lines of credit based on the unpaid principal balance as of December 31, 2017 and 2016.

December 31, Total loans Total 30+ day delinquency rate (in millions, except ratios) 2017 2016 2017 2016 HELOCs:(a) Within the revolving period(b) $ 51 $ 2,126 1.96% 3.67% Beyond the revolving period 7,875 7,452 4.63 4.03 HELOANs 360 465 5.28 5.38 Total $ 8,286 $ 10,043 4.65% 4.01%

(a) In general, these HELOCs are revolving loans for a 10-year period, after which time the HELOC converts to an interest-only loan with a balloon payment at the end of the loan’s term. (b) Substantially all undrawn HELOCs within the revolving period have been closed. (c) Includes loans modified into fixed rate amortizing loans.

The table below sets forth the accretable yield activity for JPMorgan Chase Bank, N.A.’s PCI consumer loans for the years ended December 31, 2017, 2016 and 2015, and represents JPMorgan Chase Bank, N.A.’s estimate of gross interest income expected to be earned over the remaining life of the PCI loan portfolios. The table excludes the cost to fund the PCI portfolios, and therefore the accretable yield does not represent net interest income expected to be earned on these portfolios.

Total PCI Year ended December 31, (in millions, except ratios) 2017 2016 2015 Beginning balance $ 11,768 $ 13,491 $ 14,592 Accretion into interest income (1,396) (1,555) (1,700) Changes in interest rates on variable-rate loans 503 260 279 Other changes in expected cash flows(a) 284 (428) 230 Reclassification from nonaccretable difference(b) — — $ 90 Balance at December 31 $ 11,159 $ 11,768 $ 13,491 Accretable yield percentage 4.53% 4.35% 4.20%

(a) Other changes in expected cash flows may vary from period to period as JPMorgan Chase Bank, N.A. continues to refine its cash flow model, for example cash flows expected to be collected due to the impact of modifications and changes in prepayment assumptions. (b) Reclassifications from the nonaccretable difference in the year ended December 31, 2015 were driven by continued improvement in home prices and delinquencies, as well as increased granularity in the impairment estimates.

Active and suspended foreclosure At December 31, 2017 and 2016, JPMorgan Chase Bank, N.A. had PCI residential real estate loans with an unpaid principal balance of $1.3 billion and $1.7 billion, respectively, that were not included in REO, but were in the process of active or suspended foreclosure.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 89 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Credit card loan portfolio The credit card portfolio predominantly includes credit card The table below sets forth information about JPMorgan loans acquired pursuant to a participation agreement with Chase Bank, N.A.’s credit card loans. Chase Bank USA, N.A., a related-party, and subsequent As of or for the year ended December 31, draws on revolving credit lines associated with the (in millions, except ratios) 2017 2016 participation agreement. Delinquency rates are the primary Net charge-offs $ 1,140 $ 876 credit quality indicator for credit card loans as they provide % of net charge-offs to retained loans 3.08% 2.66% an early warning that borrowers may be experiencing Loan delinquency difficulties (30 days past due); information on those Current and less than 30 days past due borrowers that have been delinquent for a longer period of and still accruing $ 40,092 $ 35,137 time (90 days past due) is also considered. In addition to 30–89 days past due and still accruing 397 315 delinquency rates, the geographic distribution of the loans 90 or more days past due and still accruing 422 321 provides insight as to the credit quality of the portfolio Total retained credit card loans $ 40,911 $ 35,773 based on the regional economy. Loan delinquency ratios % of 30+ days past due to total retained While the borrower’s credit score is another general loans 2.00% 1.78% indicator of credit quality, JPMorgan Chase Bank, N.A. does % of 90+ days past due to total retained 1.03 0.90 not view credit scores as a primary indicator of credit loans Credit card loans by geographic region quality because the borrower’s credit score tends to be a lagging indicator. The distribution of such scores provides a California $ 6,428 $ 5,483 Texas 4,121 3,574 general indicator of credit quality trends within the New York 3,689 3,197 portfolio; however, the score does not capture all factors Florida 2,581 2,238 that would be predictive of future credit performance. Illinois 2,294 2,022 Refreshed FICO score information, which is obtained at least New Jersey 1,762 1,574 quarterly, for a statistically significant random sample of Ohio 1,268 1,145 the credit card portfolio is indicated in the following table. Pennsylvania 1,256 1,140 FICO is considered to be the industry benchmark for credit Colorado 1,141 971 scores. Michigan 992 889 All other 15,379 13,540 The credit card portfolio generally includes accounts to Total retained credit card loans $ 40,911 $ 35,773 prime consumer borrowers. However, certain cardholders’ Percentage of portfolio based on carrying FICO scores may decrease over time, depending on the value with estimated refreshed FICO performance of the cardholder and changes in credit score scores Equal to or greater than 660 84.2% 84.7% calculation. Less than 660 14.4 13.9 No FICO available 1.4 1.4

90 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Credit card impaired loans and loan modifications Loan modifications The table below sets forth information about JPMorgan Credit card borrowers, who are experiencing financial Chase Bank, N.A.’s impaired credit card loans. All of these difficulty may be offered a number of loan modification loans are considered to be impaired as they have been programs. Modifications under long-term programs involve modified in TDRs. placing the customer on a fixed payment plan, generally for 60 months. Short-term programs may be offered for December 31, (in millions) 2017 2016 borrowers who may be in need of temporary relief; Impaired credit card loans with an allowance(a)(b) however, none are currently being offered. Modifications under all short- and long-term programs typically include Credit card loans with modified payment terms(c) $ 297 $ 254 reducing the interest rate on the credit card. Substantially Modified credit card loans that have all modifications are considered to be TDRs. reverted to pre-modification payment terms(d) 16 31 If the cardholder does not comply with the modified Total impaired credit card loans(e) $ 313 $ 285 payment terms, then the credit card loan continues to age Allowance for loan losses related to and will ultimately be charged-off in accordance with impaired credit card loans $ 99 $ 83 JPMorgan Chase Bank, N.A.’s standard charge-off policy. In (a) The carrying value and the unpaid principal balance are the same for credit most cases, JPMorgan Chase Bank, N.A. does not reinstate card impaired loans. the borrower’s line of credit. (b) There were no impaired loans without an allowance. (c) Represents credit card loans outstanding to borrowers enrolled in a credit New enrollments in these loan modification programs for card modification program as of the date presented. the years ended December 31, 2017, 2016 and 2015, were (d) Represents credit card loans that were modified in TDRs but that have subsequently reverted back to the loans’ pre-modification payment terms. $184 million, $139 million and $111 million, respectively. At both December 31, 2017 and 2016, $10 million and $22 million, respectively, of loans have reverted back to the pre-modification payment Financial effects of modifications and redefaults terms of the loans due to noncompliance with the terms of the modified The following table provides information about the financial loans. The remaining $7 million and $9 million at December 31, 2017 and effects of the concessions granted on credit card loans 2016, respectively, of these loans are to borrowers who have successfully completed a short-term modification program. JPMorgan Chase Bank, N.A. modified in TDRs and redefaults for the periods presented. continues to report these loans as TDRs since the borrowers’ credit lines remain closed. (e) Predominantly all impaired credit card loans are in the U.S. Year ended December 31, (in millions, except The following table presents average balances of impaired weighted-average data) 2017 2016 2015 credit card loans and interest income recognized on those Weighted-average interest rate of loans – before TDR 16.59% 15.56% 14.77% loans. Weighted-average interest rate of loans – after TDR 4.89 4.76 4.40 Year ended December 31, (in millions) 2017 2016 2015 Loans that redefaulted within one year of modification(a) $ 18 $ 17 $ 16 Average impaired credit card loans $ 295 $ 288 $ 325 Interest income on (a) Represents loans modified in TDRs that experienced a payment default in impaired credit card loans 14 14 15 the periods presented, and for which the payment default occurred within one year of the modification. The amounts presented represent the balance of such loans as of the end of the interim period in which they defaulted. For credit card loans modified in TDRs, a substantial portion of these loans are expected to be charged-off in accordance with JPMorgan Chase Bank, N.A.’s standard charge-off policy. Based on historical experience, the estimated weighted-average default rate for modified credit card loans was expected to be 31.54%, 28.87% and 25.08% as of December 31, 2017, 2016 and 2015, respectively.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 91 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Wholesale loan portfolio Wholesale loans include loans made to a variety of clients, Risk ratings are reviewed on a regular and ongoing basis by ranging from large corporate and institutional clients to Credit Risk Management and are adjusted as necessary for high-net-worth individuals. updated information affecting the obligor’s ability to fulfill its obligations. The primary credit quality indicator for wholesale loans is the risk rating assigned to each loan. Risk ratings are used As noted above, the risk rating of a loan considers the to identify the credit quality of loans and differentiate risk industry in which the obligor conducts its operations. As within the portfolio. Risk ratings on loans consider the part of the overall credit risk management framework, probability of default (“PD”) and the loss given default JPMorgan Chase Bank, N.A. focuses on the management (“LGD”). The PD is the likelihood that a loan will default. The and diversification of its industry and client exposures, with LGD is the estimated loss on the loan that would be realized particular attention paid to industries with actual or upon the default of the borrower and takes into potential credit concern. See Note 5 for further detail on consideration collateral and structural support for each industry concentrations. credit facility. Management considers several factors to determine an appropriate risk rating, including the obligor’s debt capacity and financial flexibility, the level of the obligor’s earnings, the amount and sources for repayment, the level and nature of contingencies, management strength, and the industry and geography in which the obligor operates. JPMorgan Chase Bank, N.A.’s definition of criticized aligns with the banking regulatory definition of criticized exposures, which consist of special mention, substandard and doubtful categories. Risk ratings generally represent ratings profiles similar to those defined by S&P and Moody’s. Investment- grade ratings range from “AAA/Aaa” to “BBB-/Baa3.” Noninvestment-grade ratings are classified as noncriticized (“BB+/Ba1 and B-/B3”) and criticized (“CCC+”/“Caa1 and below”), and the criticized portion is further subdivided into performing and nonaccrual loans, representing management’s assessment of the collectibility of principal and interest. Criticized loans have a higher probability of default than noncriticized loans.

92 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The table below provides information by class of receivable for the retained loans in the Wholesale portfolio segment. In 2017 JPMorgan Chase Bank, N.A. revised its methodology for the assignment of industry classifications, to better monitor and manage concentrations. This largely resulted in the re-assignment of holding companies from Other to the industry of risk category based on the primary business activity of the holding company's underlying entities. In the tables and industry discussions below, the prior period amounts have been revised to conform with the current period presentation. Below are summaries of JPMorgan Chase Bank, N.A’s exposures as of December 31, 2017 and 2016. For additional information on industry concentrations, see Note 5.

As of or for the Commercial Financial Total year ended and industrial Real estate institutions Government agencies Other(d) retained loans December 31, (in millions, except ratios) 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 Loans by risk ratings Investment- grade $ 67,378 $ 64,832 $ 98,467 $ 88,649 $ 32,559 $ 29,403 $14,440 $ 15,053 $103,186 $ 95,317 $316,030 $293,254 Noninvestment- grade: Noncriticized 46,499 47,330 14,329 16,149 12,880 10,961 342 423 10,066 9,708 84,116 84,571 Criticized performing 3,933 6,187 710 798 206 200 — 6 259 162 5,108 7,353 Criticized nonaccrual 1,296 1,490 136 200 2 9 — — 238 255 1,672 1,954 Total noninvestment- grade 51,728 55,007 15,175 17,147 13,088 11,170 342 429 10,563 10,125 90,896 93,878 Total retained loans $119,106 $119,839 $ 113,642 $105,796 $ 45,647 $ 40,573 $14,782 $ 15,482 $113,749 $105,442 $406,926 $387,132 % of total criticized to total retained loans 4.39% 6.41% 0.74% 0.94 % 0.46% 0.52% —% 0.04% 0.44% 0.40% 1.67% 2.40% % of nonaccrual loans to total retained loans 1.09 1.24 0.12 0.19 — 0.02 — — 0.21 0.24 0.41 0.50 Loans by geographic distribution(a) Total non-U.S. $ 28,470 $ 30,564 $ 3,101 $ 3,303 $ 16,786 $ 15,138 $ 2,905 $ 3,726 $ 44,111 $ 38,774 $ 95,373 $ 91,505 Total U.S. 90,636 89,275 110,541 102,493 28,861 25,435 11,877 11,756 69,638 66,668 311,553 295,627 Total retained loans $119,106 $119,839 $113,642 $105,796 $45,647 $40,573 $14,782 $15,482 $113,749 $105,442 $406,926 $387,132

Net charge-offs/ (recoveries) $ 117 $ 345 $ (4) $ (7) $ 6 $ (1) $ 5 $ (1) $ (5) $ 6 $ 119 $ 342 % of net charge-offs/ (recoveries) to end-of-period retained loans 0.10% 0.28% —% (0.01)% 0.01% —% 0.03% —% —% 0.01% 0.03% 0.09%

Loan delinquency(b) Current and less than 30 days past due and still accruing $117,486 $117,995 $ 113,251 $105,390 $ 45,615 $ 40,518 $14,770 $ 15,371 $112,612 $104,591 $403,734 $383,865 30–89 days past due and still accruing 216 268 242 204 15 25 8 107 898 582 1,379 1,186 90 or more days past due and still accruing(c) 108 86 13 2 15 21 4 4 1 14 141 127 Criticized nonaccrual 1,296 1,490 136 200 2 9 — — 238 255 1,672 1,954 Total retained loans $119,106 $119,839 $ 113,642 $105,796 $ 45,647 $ 40,573 $14,782 $ 15,482 $113,749 $105,442 $406,926 $387,132

(a) The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower. (b) The credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor’s ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. (c) Represents loans that are considered well-collateralized and therefore still accruing interest. (d) Other includes: individuals; SPEs; holding companies; and private education and civic organizations. For more information on exposures to SPEs, see Note 15.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 93 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table presents additional information on the real estate class of loans within the Wholesale portfolio for the periods indicated. Exposure consists primarily of secured commercial loans, of which multifamily is the largest segment. Multifamily lending finances acquisition, leasing and construction of apartment buildings, and includes exposure to real estate investment trusts (“REITs”). Other commercial lending largely includes financing for acquisition, leasing and construction, largely for office, retail and industrial real estate, and includes exposure to REITs. Included in real estate loans is $10.8 billion and $9.2 billion as of December 31, 2017 and 2016, respectively, of construction and development exposure consisting of loans originally purposed for construction and development, general purpose loans for builders, as well as loans for land subdivision and pre-development.

Multifamily Other Commercial Total real estate loans December 31, (in millions, except ratios) 2017 2016 2017 2016 2017 2016 Real estate retained loans $ 77,597 $ 72,143 $ 36,045 $ 33,653 $ 113,642 $ 105,796 Criticized 491 539 355 459 846 998 % of criticized to total real estate retained loans 0.63% 0.75% 0.98% 1.36% 0.74% 0.94% Criticized nonaccrual $ 44 $ 57 $ 92 $ 143 $ 136 $ 200 % of criticized nonaccrual to total real estate retained loans 0.06% 0.08% 0.26% 0.42% 0.12% 0.19%

Wholesale impaired loans and loan modifications Wholesale impaired loans consist of loans that have been placed on nonaccrual status and/or that have been modified in a TDR. All impaired loans are evaluated for an asset-specific allowance as described in Note 14. The table below sets forth information about JPMorgan Chase Bank, N.A.’s wholesale impaired loans.

Commercial Financial Government Total and industrial Real estate institutions agencies Other retained loans December 31, (in millions) 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 2017 2016 Impaired loans With an allowance $ 1,111 $ 1,127 $ 79 $ 124 $ 93 $ 9 $ — $ — $ 168 $ 180 $ 1,451 $ 1,440 Without an allowance(a) 227 414 60 87 — — — — 70 76 357 577

Total impaired loans $ 1,338 $ 1,541 $ 139 $ 211 $ 93 $ 9 $ — $ — $ 238 $ 256 $ 1,808 (c) $ 2,017 (c) Allowance for loan losses related to impaired loans $ 372 $ 258 $ 11 $ 18 $ 4 $ 3 $ — $ — $ 43 $ 63 $ 430 $ 342 Unpaid principal balance of impaired loans(b) 1,604 1,754 201 295 94 12 — — 255 284 2,154 2,345

(a) When the discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance. (b) Represents the contractual amount of principal owed at December 31, 2017 and 2016. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and unamortized discount or premiums on purchased loans. (c) Based upon the domicile of the borrower, largely consists of loans in the U.S.

The following table presents JPMorgan Chase Bank, N.A.’s Certain loan modifications are considered to be TDRs as average impaired loans for the years ended 2017, 2016 they provide various concessions to borrowers who are and 2015. experiencing financial difficulty. All TDRs are reported as impaired loans in the tables above. TDRs were $614 million Year ended December 31, (in millions) 2017 2016 2015 and $733 million as of December 31, 2017 and 2016. Commercial and industrial $ 1,145 $ 1,478 $ 453 Real estate 164 210 249 Financial institutions 20 13 13 Government agencies — — 1 Other 231 213 129 Total(a) $ 1,560 $ 1,914 $ 845 (a) The related interest income on accruing impaired loans and interest income recognized on a cash basis were not material for the years ended December 31, 2017, 2016 and 2015.

94 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 14 – Allowance for credit losses JPMorgan Chase Bank, N.A.’s allowance for loan losses equivalent amounts of pools of loan exposures with similar represents management’s estimate of probable credit losses risk characteristics over a loss emergence period to arrive inherent in the JPMorgan Chase Bank, N.A.’s retained loan at an estimate of incurred credit losses. Estimated loss portfolio, which consists of the two consumer portfolio emergence periods may vary by product and may change segments (primarily scored) and the wholesale portfolio over time; management applies judgment in estimating loss segment (risk-rated). JPMorgan Chase Bank, N.A.’s The emergence periods, using available credit information and allowance for loan losses includes a formula-based trends. In addition, management applies judgment to the component, an asset-specific component, and a component statistical loss estimates for each loan portfolio category, related to PCI loans, as described below. Management also using delinquency trends and other risk characteristics to estimates an allowance for wholesale and certain consumer estimate the total incurred credit losses in the portfolio. lending-related commitments using methodologies similar Management uses additional statistical methods and to those used to estimate the allowance on the underlying considers actual portfolio performance, including actual loans. losses recognized on defaulted loans and collateral valuation trends, to review the appropriateness of the During the first half of 2017, JPMorgan Chase Bank, N.A primary statistical loss estimate. The economic impact of refined its credit loss estimates relating to the wholesale potential modifications of residential real estate loans is not portfolio by incorporating the use of internal historical data included in the statistical calculation because of the versus external credit rating agency default statistics to uncertainty regarding the type and results of such estimate Probability of Default (“PD”). In addition, an modifications. adjustment to the statistical calculation for wholesale lending-related commitments was incorporated similar to The statistical calculation is then adjusted to take into the adjustment applied for wholesale loans. The impacts of consideration model imprecision, external factors and these refinements were not material to the allowance for current economic events that have occurred but that are not credit losses. JPMorgan Chase Bank, N.A.’s policies used to yet reflected in the factors used to derive the statistical determine its allowance for credit losses are described in calculation; these adjustments are accomplished in part by the following paragraphs. analyzing the historical loss experience for each major Determining the appropriateness of the allowance is product segment. However, it is difficult to predict whether complex and requires judgment by management about the historical loss experience is indicative of future loss levels. effect of matters that are inherently uncertain. Subsequent Management applies judgment in making this adjustment, evaluations of the loan portfolio, in light of the factors then taking into account uncertainties associated with current prevailing, may result in significant changes in the macroeconomic and political conditions, quality of allowances for loan losses and lending-related underwriting standards, borrower behavior, and other commitments in future periods. At least quarterly, the relevant internal and external factors affecting the credit allowance for credit losses is reviewed by the CRO, the Chief quality of the portfolio. In certain instances, the Financial Officer (“CFO”) and the Controller of JPMorgan interrelationships between these factors create further Chase and discussed with the DRPC and the Audit uncertainties. The application of different inputs into the Committee JPMorgan Chase Bank, N.A. As of December 31, statistical calculation, and the assumptions used by 2017, JPMorgan Chase Bank, N.A. deemed the allowance management to adjust the statistical calculation, are subject for credit losses to be appropriate (i.e., sufficient to absorb to management judgment, and emphasizing one input or probable credit losses inherent in the portfolio). assumption over another, or considering other inputs or assumptions, could affect the estimate of the allowance for Formula-based component credit losses for the consumer credit portfolio. The formula-based component is based on a statistical calculation to provide for incurred credit losses in all Overall, the allowance for credit losses for consumer consumer loans and performing risk-rated loans. All loans portfolios is sensitive to changes in the economic restructured in TDRs as well as any impaired risk-rated environment (e.g., unemployment rates), delinquency rates, loans have an allowance assessed as part of the asset- the realizable value of collateral (e.g., housing prices), FICO specific component, while PCI loans have an allowance scores, borrower behavior and other risk factors. While all assessed as part of the PCI component. See Note 13 for of these factors are important determinants of overall more information on TDRs, Impaired loans and PCI loans. allowance levels, changes in the various factors may not occur at the same time or at the same rate, or changes may Formula-based component - Consumer loans and certain be directionally inconsistent such that improvement in one lending-related commitments factor may offset deterioration in another. In addition, The formula-based allowance for credit losses for the changes in these factors would not necessarily be consistent consumer portfolio segments is calculated by applying across all geographies or product types. Finally, it is difficult statistical credit loss factors (estimated PD and loss to predict the extent to which changes in these factors severities) to the recorded investment balances or loan-

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 95 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) would ultimately affect the frequency of losses, the severity In addition to the statistical credit loss estimates applied to of losses or both. the wholesale portfolio, management applies its judgment to adjust the statistical estimates for wholesale loans and Formula-based component - Wholesale loans and lending- lending-related commitments, taking into consideration related commitments model imprecision, external factors and economic events JPMorgan Chase Bank, N.A.’s methodology for determining that have occurred but are not yet reflected in the loss the allowance for loan losses and the allowance for lending- factors. Historical experience of both LGD and PD are related commitments involves the early identification of considered when estimating these adjustments. Factors credits that are deteriorating. The formula-based related to concentrated and deteriorating industries also component of the allowance for wholesale loans and are incorporated where relevant. These estimates are based lending-related commitments is calculated by applying on management’s view of uncertainties that relate to statistical credit loss factors (estimated PD and LGD) to the current macroeconomic conditions, quality of underwriting recorded investment balances or loan-equivalent over a loss standards and other relevant internal and external factors emergence period to arrive at an estimate of incurred credit affecting the credit quality of the current portfolio. losses in the portfolio. Estimated loss emergence periods may vary by funded versus unfunded status of the Asset-specific component instrument and may change over time. The asset-specific component of the allowance relates to loans considered to be impaired, which includes loans that JPMorgan Chase Bank, N.A. assesses the credit quality of its have been modified in TDRs as well as risk-rated loans that borrower or counterparty and assigns a risk rating. Risk have been placed on nonaccrual status. To determine the ratings are assigned at origination or acquisition, and if asset-specific component of the allowance, larger risk-rated necessary, adjusted for changes in credit quality over the loans (primarily loans in the wholesale portfolio segment) life of the exposure. In assessing the risk rating of a are evaluated individually, while smaller loans (both risk- particular loan or lending-related commitment, among the rated and scored) are evaluated as pools using historical factors considered are the obligor’s debt capacity and loss experience for the respective class of assets. financial flexibility, the level of the obligor’s earnings, the amount and sources for repayment, the level and nature of JPMorgan Chase Bank, N.A. generally measures the asset- contingencies, management strength, and the industry and specific allowance as the difference between the recorded geography in which the obligor operates. These factors are investment in the loan and the present value of the cash based on an evaluation of historical and current information flows expected to be collected, discounted at the loan’s and involve subjective assessment and interpretation. original effective interest rate. Subsequent changes in Determining risk ratings involves significant judgment; impairment are reported as an adjustment to the allowance emphasizing one factor over another or considering for loan losses. In certain cases, the asset-specific allowance additional factors could affect the risk rating assigned by is determined using an observable market price, and the JPMorgan Chase Bank, N.A. allowance is measured as the difference between the recorded investment in the loan and the loan’s fair value. A PD estimate is determined based on the JPMorgan Chase Collateral-dependent loans are charged down to the fair Bank, N.A.’s history of defaults over more than one credit value of collateral less costs to sell. For any of these cycle. impaired loans, the amount of the asset-specific allowance LGD estimate is a judgment-based estimate assigned to required to be recorded, if any, is dependent upon the each loan or lending-related commitment. The estimate recorded investment in the loan (including prior charge- represents the amount of economic loss if the obligor were offs), and either the expected cash flows or fair value of to default. The type of obligor, quality of collateral, and the collateral. See Note 13 for more information about charge- seniority of JPMorgan Chase Bank, N.A.’s lending exposure offs and collateral-dependent loans. in the obligor’s capital structure affect LGD. The asset-specific component of the allowance for impaired JPMorgan Chase Bank, N.A. applies judgment in estimating loans that have been modified in TDRs (including forgone PD, LGD, loss emergence period and loan-equivalent used in interest, principal forgiveness, as well as other concessions) calculating the allowance for credit losses. Estimates of PD, incorporates the effect of the modification on the loan’s LGD, loss emergence period and loan-equivalent used are expected cash flows, which considers the potential for subject to periodic refinement based on any changes to redefault. For residential real estate loans modified in TDRs, underlying external or JPMorgan Chase Bank, N.A.-specific JPMorgan Chase Bank, N.A. develops product-specific historical data. Changes to the time period used for PD and probability of default estimates, which are applied at a loan LGD estimates could also affect the allowance for credit level to compute expected losses. In developing these losses. The use of different inputs, estimates or probabilities of default, JPMorgan Chase Bank, N.A. methodologies could change the amount of the allowance considers the relationship between the credit quality for credit losses determined appropriate by JPMorgan characteristics of the underlying loans and certain Chase Bank, N.A. assumptions about home prices and unemployment, based

96 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements upon industry-wide data. JPMorgan Chase Bank, N.A. also PCI loans considers its own historical loss experience to-date based In connection with the acquisition of certain PCI loans, on actual redefaulted modified loans. For credit card loans which are accounted for as described in Note 13, the modified in TDRs, expected losses incorporate projected allowance for loan losses for the PCI portfolio is based on redefaults based on JPMorgan Chase Bank, N.A.’s historical quarterly estimates of the amount of principal and interest experience by type of modification program. For wholesale cash flows expected to be collected over the estimated loans modified in TDRs, expected losses incorporate remaining lives of the loans. management’s expectation of the borrower’s ability to These cash flow projections are based on estimates repay under the modified terms. regarding default rates (including redefault rates on Estimating the timing and amounts of future cash flows is modified loans), loss severities, the amounts and timing of highly judgmental as these cash flow projections rely upon prepayments and other factors that are reflective of current estimates such as loss severities, asset valuations, default and expected future market conditions. These estimates are rates (including redefault rates on modified loans), the dependent on assumptions regarding the level of future amounts and timing of interest or principal payments home prices, and the duration of current overall economic (including any expected prepayments) or other factors that conditions, among other factors. These estimates and are reflective of current and expected market conditions. assumptions require significant management judgment and These estimates are, in turn, dependent on factors such as certain assumptions are highly subjective. the duration of current overall economic conditions, industry-, portfolio-, or borrower-specific factors, the expected outcome of insolvency proceedings as well as, in certain circumstances, other economic factors, including the level of future home prices. All of these estimates and assumptions require significant management judgment and certain assumptions are highly subjective.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 97 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Allowance for credit losses and related information The table below summarizes information about the allowances for loan losses and lending-relating commitments, and includes a breakdown of loans and lending-related commitments by impairment methodology.

2017 Consumer, Year ended December 31, excluding (in millions) credit card Credit card Wholesale Total Allowance for loan losses Beginning balance at January 1, $ 5,195 $ 1,042 $ 4,478 $ 10,715 Gross charge-offs 1,779 1,250 213 3,242 Gross recoveries (634) (110) (93) (837) Net charge-offs 1,145 1,140 120 2,405 Write-offs of PCI loans(a) 86 — — 86 Provision for loan losses 613 1,519 (277) 1,855 Other — — 2 2 Ending balance at December 31, $ 4,577 $ 1,421 $ 4,083 $ 10,081

Allowance for loan losses by impairment methodology Asset-specific(b) $ 246 $ 99 (c) $ 430 $ 775 Formula-based 2,106 1,322 3,653 7,081 PCI 2,225 — — 2,225 Total allowance for loan losses $ 4,577 $ 1,421 $ 4,083 $ 10,081

Loans by impairment methodology Asset-specific $ 8,029 $ 313 $ 1,808 $ 10,150 Formula-based 333,912 40,598 405,115 779,625 PCI 30,576 — 3 30,579 Total retained loans $ 372,517 $ 40,911 $ 406,926 $ 820,354

Impaired collateral-dependent loans Net charge-offs $ 65 $ — $ 31 $ 96 Loans measured at fair value of collateral less cost to sell 2,131 — 233 2,364

Allowance for lending-related commitments Beginning balance at January 1, $ 26 $ — $ 1,052 $ 1,078 Provision for lending-related commitments 7 — (17) (10) Other — — — — Ending balance at December 31, $ 33 $ — $ 1,035 $ 1,068

Allowance for lending-related commitments by impairment methodology Asset-specific $ — $ — $ 187 $ 187 Formula-based 33 — 848 881 Total allowance for lending-related commitments $ 33 $ — $ 1,035 $ 1,068

Lending-related commitments by impairment methodology Asset-specific $ — $ — $ 731 $ 731 Formula-based 48,553 12,127 368,528 429,208 Total lending-related commitments $ 48,553 $ 12,127 $ 369,259 $ 429,939

(a) Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan is recognized when the underlying loan is removed from a pool. (b) Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR. (c) The asset-specific credit card allowance for loan losses is related to loans that have been modified in a TDR; such allowance is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates. (d) The prior period amounts have been revised to conform to current period presentation.

98 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements (table continued from previous page) 2016 2015 Consumer, Consumer, excluding excluding credit card Credit card Wholesale Total credit card Credit card Wholesale Total

$ 5,803 $ 727 $ 4,277 $ 10,807 $ 6,969 $ 735 $ 3,648 $ 11,352 1,502 967 398 2,867 1,640 752 88 2,480 (588) (91) (56) (735) (674) (79) (106) (859) 914 876 342 2,132 966 673 (18) 1,621 156 — — 156 208 — — 208 471 1,191 541 2,203 (64) 670 604 1,210 (9) — 2 (7) 72 (5) 7 74 $ 5,195 $ 1,042 $ 4,478 $ 10,715 $ 5,803 $ 727 $ 4,277 $ 10,807

$ 308 $ 83 (c) $ 342 $ 733 $ 364 $ 91 (c) $ 273 $ 728 2,576 959 4,136 7,671 2,697 636 4,004 7,337 2,311 — — 2,311 2,742 — — 2,742 $ 5,195 $ 1,042 $ 4,478 $ 10,715 $ 5,803 $ 727 $ 4,277 $ 10,807

$ 8,930 $ 285 $ 2,017 $ 11,232 $ 9,595 $ 288 $ 1,015 $ 10,898 319,751 35,488 385,112 740,351 293,707 30,701 355,012 679,420 35,679 — 3 35,682 40,998 — 4 41,002 $ 364,360 $ 35,773 $ 387,132 $ 787,265 $ 344,300 $ 30,989 $ 356,031 $ 731,320

$ 97 $ — $ 7 $ 104 $ 104 $ — $ 16 $ 120 2,390 — 300 2,690 2,564 — 283 2,847

$ 14 $ — $ 772 $ 786 $ 13 $ — $ 606 $ 619 — — 283 283 1 — 165 166 12 — (3) 9 — — 1 1 $ 26 $ — $ 1,052 $ 1,078 $ 14 $ — $ 772 $ 786

$ — $ — $ 169 $ 169 $ — $ — $ 73 $ 73 26 — 883 909 14 — 699 713 $ 26 $ — $ 1,052 $ 1,078 $ 14 $ — $ 772 $ 786

$ — $ — $ 506 $ 506 $ — $ — $ 193 $ 193 53,461 (d) 11,198 363,455 428,114 (d) 57,027 (d) 10,386 360,589 428,002 (d) $ 53,461 (d) $ 11,198 $ 363,961 $ 428,620 (d) $ 57,027 (d) $ 10,386 $ 360,782 $ 428,195 (d)

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 99 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

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

JPMorgan Chase Consolidated Financial Bank, N.A. Statements page business Transaction Type Activity reference Consumer & Mortgage securitization trusts Servicing and securitization of both originated and community banking purchased residential mortgages 100-102 Mortgage and other securitization trusts Securitization of both originated and purchased residential and commercial mortgages and other 100-102 consumer loans Corporate & investment banking Multi-seller conduits Assist clients in accessing the financial markets in a cost- efficient manner and structures transactions to meet 102-103 investor needs Municipal bond vehicles Financing municipal bond investments 103

JPMorgan Chase Bank, N.A.’s other businesses are also involved with VIEs (both third-party and JPMorgan Chase Bank, N.A.- sponsored), but to a lesser extent, as follows: • Commercial banking business: The commercial banking business provides financing and lending-related services to a wide spectrum of clients, including certain third party-sponsored entities that may meet the definition of a VIE. The commercial banking business does not control the activities of these entities and does not consolidate these entities. The commercial banking business’ maximum loss exposure, regardless of whether the entity is a VIE, is generally limited to loans and lending-related commitments which are reported and disclosed in the same manner as any other third-party transaction. • Corporate function: The corporate function is involved with entities that may meet the definition of VIEs; however these entities are generally subject to specialized investment company accounting, which does not require the consolidation of investments, including VIEs. In addition, the corporate function invests in securities generally issued by third parties which may meet the definition of VIEs (e.g., issuers of asset-backed securities). In general, JPMorgan Chase Bank, N.A. does not have the power to direct the significant activities of these entities and therefore does not consolidate these entities. See Note 11 for further information on JPMorgan Chase Bank, N.A.’s investment securities portfolio. In addition, the corporate & investment banking business also invests in and provides financing and other services to VIEs sponsored by third parties. See page 105 of this Note for more information on the VIEs sponsored by third parties.

Significant JPMorgan Chase Bank, N.A.-sponsored variable interest entities Mortgage and other securitization trusts JPMorgan Chase Bank, N.A. securitizes (or has securitized) originated and purchased residential mortgages, commercial mortgages and other consumer loans primarily in its consumer & community banking and corporate & investment banking businesses. Depending on the particular transaction, as well as the respective business involved, JPMorgan Chase Bank, N.A. may act as the servicer of the loans and/or retain certain beneficial interests in the securitization trusts.

100 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The following table presents the total unpaid principal amount of assets held in JPMorgan Chase Bank, N.A.-sponsored private- label securitization entities, including those in which JPMorgan Chase Bank, N.A. has continuing involvement, and those that are consolidated by JPMorgan Chase Bank, N.A. Continuing involvement includes servicing the loans, holding senior interests or subordinated interests (including amounts required to be held pursuant to credit risk retention rules), recourse or guarantee arrangements, and derivative transactions. In certain instances, JPMorgan Chase Bank, N.A.’s only continuing involvement is servicing the loans. See Securitization activity on page 106 of this Note for further information regarding JPMorgan Chase Bank, N.A.’s cash flows with and interests retained in nonconsolidated VIEs, and pages 106-107 of this Note for information on JPMorgan Chase Bank, N.A.’s loan sales to U.S. government agencies.

JPMorgan Chase Bank, N.A. interest in securitized assets in Principal amount outstanding nonconsolidated VIEs(c)(d)

Assets held in Total interests Total assets Assets nonconsolidated held by held in securitization held by consolidated VIEs with Other JPMorgan securitization securitization continuing financial Chase Bank, December 31, 2017 (in millions) VIEs VIEs involvement Trading assets Securities assets N.A. Securitization-related(a) Residential mortgage: Prime/Alt-A and option ARMs $ 48,599 $ 3,615 $ 39,370 $ 215 $ 845 $ — $ 1,060 Subprime 12,716 — 11,978 — — — — Commercial and other(b) 92,278 63 23,604 61 1,042 157 1,260 Total $ 153,593 $ 3,678 $ 74,952 $ 276 $ 1,887 $ 157 $ 2,320

JPMorgan Chase Bank, N.A. interest in securitized assets in Principal amount outstanding nonconsolidated VIEs(c)(d)

Assets held in Total interests Total assets Assets nonconsolidated held by held in securitization held by consolidated VIEs with Other JPMorgan securitization securitization continuing financial Chase Bank, December 31, 2016 (in millions) VIEs VIEs involvement Trading assets Securities assets N.A. Securitization-related(a) Residential mortgage: Prime/Alt-A and option ARMs $ 52,258 $ 4,209 $ 42,881 (e) $ 124 $ 1,203 $ — $ 1,327 Subprime 14,260 — 13,421 — — — — Commercial and other(b) 91,084 107 22,989 (e) 3 1,712 — 1,715 Total $ 157,602 $ 4,316 $ 79,291 (e) $ 127 $ 2,915 $ — $ 3,042

(a) Excludes U.S. government agency securitizations. See pages 106-107 of this Note for information on JPMorgan Chase Bank, N.A.’s loan sales to U.S. government agencies. (b) Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. (c) Excludes the following: retained servicing (see Note 16 for a discussion of MSRs); securities retained from loan sales to U.S. government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (See Note 6 for further information on derivatives). There were no senior and subordinated securities purchased in connection with the corporate & investment banking business’s secondary market-making activities at December 31, 2017 and 2016, respectively. (d) As of December 31, 2017 and 2016, 67% and 88%, respectively, of JPMorgan Chase Bank, N.A.’s retained securitization interests, which are predominantly carried at fair value and include amounts required to be held pursuant to credit risk retention rules, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $1.0 billion and $1.3 billion of investment-grade and $23 million and $44 million of noninvestment-grade retained interests at December 31, 2017 and 2016, respectively. The retained interests in commercial and other securitizations trusts consisted of $1.0 billion and $1.7 billion of investment-grade and $212 million and zero of noninvestment-grade retained interests at December 31, 2017 and 2016, respectively. (e) Prior period results were revised to conform with the current period presentation.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 101 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Residential mortgage Commercial mortgages and other consumer securitizations JPMorgan Chase Bank, N.A. securitizes residential mortgage The corporate & investment banking business originates loans originated by the consumer & community banking and securitizes commercial mortgage loans, and engages in business, as well as residential mortgage loans purchased underwriting and trading activities involving the securities from third parties by either the consumer & community issued by securitization trusts. The corporate & investment banking business or the corporate & investment banking banking business may retain unsold senior and/or business. The consumer & community banking business subordinated interests (including amounts required to be generally retains servicing for all residential mortgage loans held pursuant to credit risk retention rules) in commercial it originated or purchased, and for certain mortgage loans mortgage securitizations at the time of securitization but, purchased by the corporate & investment banking business. generally, JPMorgan Chase Bank, N.A. does not service For securitizations of loans serviced by the consumer & commercial loan securitizations. For commercial mortgage community banking business, JPMorgan Chase Bank, N.A. securitizations the power to direct the significant activities has the power to direct the significant activities of the VIE of the VIE generally is held by the servicer or investors in a because it is responsible for decisions related to loan specified class of securities (“controlling class”). JPMorgan modifications and workouts. The consumer & community Chase Bank, N.A. generally does not retain an interest in the banking business may also retain an interest upon controlling class in its sponsored commercial mortgage securitization. securitization transactions. See the table on page 104 of this Note for more information on the consolidated In addition, the corporate & investment banking business commercial mortgage securitizations, and the table on the engages in underwriting and trading activities involving previous page of this Note for further information on securities issued by JPMorgan Chase Bank, N.A.-sponsored interests held in nonconsolidated securitizations. securitization trusts. As a result, the corporate & investment banking business at times retains senior and/or Multi-seller conduits subordinated interests (including residual interests and Multi-seller conduit entities are separate bankruptcy amounts required to be held pursuant to credit risk remote entities that provide secured financing, retention rules) in residential mortgage securitizations at collateralized by pools of receivables and other financial the time of securitization, and/or reacquires positions in the assets, to customers of JPMorgan Chase Bank, N.A. The secondary market in the normal course of business. In conduits fund their financing facilities through the issuance certain instances, as a result of the positions retained or of highly rated commercial paper. The primary source of reacquired by the corporate & investment banking business repayment of the commercial paper is the cash flows from or held by the consumer & community banking business, the pools of assets. In most instances, the assets are when considered together with the servicing arrangements structured with deal-specific credit enhancements provided entered into by the consumer & community banking to the conduits by the customers (i.e., sellers) or other third business, JPMorgan Chase Bank, N.A. is deemed to be the parties. Deal-specific credit enhancements are generally primary beneficiary of certain securitization trusts. See the structured to cover a multiple of historical losses expected table on page 104 of this Note for more information on on the pool of assets, and are typically in the form of consolidated residential mortgage securitizations. overcollateralization provided by the seller. The deal- specific credit enhancements mitigate JPMorgan Chase JPMorgan Chase Bank, N.A. does not consolidate a Bank, N.A.’s potential losses on its agreements with the residential mortgage securitization (JPMorgan Chase Bank, conduits. N.A.-sponsored or third-party-sponsored) when it is not the servicer (and therefore does not have the power to direct To ensure timely repayment of the commercial paper, and the most significant activities of the trust) or does not hold to provide the conduits with funding to provide financing to a beneficial interest in the trust that could potentially be customers in the event that the conduits do not obtain significant to the trust. See the table on page 104 of this funding in the commercial paper market, each asset pool Note for more information on the consolidated residential financed by the conduits has a minimum 100% deal- mortgage securitizations, and the table on the previous specific liquidity facility associated with it provided by page of this Note for further information on interests held JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A. also in nonconsolidated residential mortgage securitizations. provides the multi-seller conduit vehicles with uncommitted program-wide liquidity facilities and program-wide credit enhancement in the form of standby letters of credit. The amount of program-wide credit enhancement required is based upon commercial paper issuance and approximates 10% of the outstanding balance of commercial paper.

102 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements JPMorgan Chase Bank, N.A. consolidates its JPMorgan Chase Municipal bond vehicles Bank, N.A.-administered multi-seller conduits, as it has both Municipal bond vehicles or tender option bond (“TOB”) trusts the power to direct the significant activities of the conduits allow institutions to finance their municipal bond investments and a potentially significant economic interest in the at short-term rates. In a typical TOB transaction, the trust conduits. As administrative agent and in its role in purchases highly rated municipal bond(s) of a single issuer structuring transactions, JPMorgan Chase Bank, N.A. makes and funds the purchase by issuing two types of securities: (1) decisions regarding asset types and credit quality, and puttable floating-rate certificates (“Floaters”) and (2) inverse manages the commercial paper funding needs of the floating-rate residual interests (“Residuals”). The Floaters are conduits. JPMorgan Chase Bank, N.A.’s interests that could typically purchased by money market funds or other short- potentially be significant to the VIEs include the fees term investors and may be tendered, with requisite notice, to received as administrative agent and liquidity and program- the TOB trust. The Residuals are retained by the investor wide credit enhancement provider, as well as the potential seeking to finance its municipal bond investment. TOB exposure created by the liquidity and credit enhancement transactions where the Residual is held by a third party facilities provided to the conduits. See page 104 of this investor are typically known as Customer TOB trusts, and Non- Note for further information on consolidated VIE assets and Customer TOB trusts are transactions where the Residual is liabilities. retained by JPMorgan Chase Bank, N.A. Customer TOB trusts are sponsored by a third party; see page 105 on this Note for In the normal course of business, JPMorgan Chase Bank, further information. JPMorgan Chase Bank, N.A. serves as N.A. makes markets in and invests in commercial paper sponsor for all Non-Customer TOB transactions. JPMorgan issued by JPMorgan Chase Bank, N.A.-administered multi- Chase Bank, N.A. may provide various services to a TOB trust, seller conduits. JPMorgan Chase Bank, N.A. held $20.4 including liquidity or tender option provider, and/or sponsor. billion and $21.2 billion of the commercial paper issued by JPMorgan Chase Bank, N.A.-administered multi-seller JPMorgan Chase Bank, N.A. often serves as the sole liquidity conduits at December 31, 2017 and 2016, respectively, or tender option provider for the TOB trusts. The liquidity which have been eliminated in consolidation. JPMorgan provider’s obligation to perform is conditional and is limited Chase Bank, N.A.’s investments reflect its funding needs and by certain events (“Termination Events”), which include capacity and were not driven by market illiquidity. Other bankruptcy or failure to pay by the municipal bond issuer or than the amounts required to be held pursuant to credit risk credit enhancement provider, an event of taxability on the retention rules, JPMorgan Chase Bank, N.A. is not obligated municipal bonds or the immediate downgrade of the under any agreement to purchase the commercial paper municipal bond to below investment grade. In addition, the issued by JPMorgan Chase Bank, N.A.-administered multi- liquidity provider’s exposure is typically further limited by seller conduits. the high credit quality of the underlying municipal bonds, the excess collateralization in the vehicle, or, in certain JPMorgan Chase Bank, N.A. provides deal-specific liquidity transactions, the reimbursement agreements with the as well as program-wide liquidity and credit enhancement Residual holders. to its administered multi-seller conduits, which have been eliminated in consolidation. The administered multi-seller Holders of the Floaters may “put,” or tender, their Floaters conduits then provide certain of their clients with lending- to the TOB trust. If the remarketing agent cannot related commitments. The unfunded commitments were successfully remarket the Floaters to another investor, the $8.8 billion and $7.4 billion at December 31, 2017 and liquidity provider either provides a loan to the TOB trust for 2016, respectively, and are reported as off-balance sheet the TOB trust’s purchase of the Floaters, or it directly lending-related commitments. For more information on off- purchases the tendered Floaters. balance sheet lending-related commitments, see Note 25. TOB trusts are considered to be variable interest entities. JPMorgan Chase Bank, N.A. consolidates Non-Customer TOB trusts because as the Residual holder, JPMorgan Chase Bank, N.A. has the right to make decisions that significantly impact the economic performance of the municipal bond vehicle, and it has the right to receive benefits and bear losses that could potentially be significant to the municipal bond vehicle. See page 104 of this Note for further information on consolidated municipal bond vehicles.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 103 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Consolidated VIE assets and liabilities The following table presents information on assets and liabilities related to VIEs consolidated by JPMorgan Chase Bank, N.A. as of December 31, 2017 and 2016.

Assets Liabilities Beneficial Trading Total interests in Total December 31, 2017 (in millions) assets Loans Other(d) assets(e) VIE assets(f) Other(g) liabilities VIE program type(a) JPMorgan Chase Bank, N.A.-administered multi-seller conduits $ — $ 23,411 $ 48 $ 23,459 $ 3,045 $ 53 $ 3,098 Municipal bond vehicles 1,278 — 3 1,281 1,360 2 1,362 Mortgage securitization entities(b) — 3,661 55 3,716 314 199 513 Student loan securitization entities(c) — — — — — — — Other 102 — 1,592 1,694 134 — 134 Total $ 1,380 $ 27,072 $ 1,698 $ 30,150 $ 4,853 $ 254 $ 5,107

Assets Liabilities Beneficial Trading Total interests in Total December 31, 2016 (in millions) assets Loans Other(d) assets(e) VIE assets(f) Other(g) liabilities VIE program type(a) JPMorgan Chase Bank, N.A.-administered multi-seller conduits $ — $ 23,760 $ 43 $ 23,803 $ 2,719 $ 56 $ 2,775 Municipal bond vehicles 2,540 — 5 2,545 2,673 2 2,675 Mortgage securitization entities(b) — 4,246 103 4,349 355 313 668 Student loan securitization entities(c) — 1,689 59 1,748 1,527 4 1,531 Other 115 — 1,940 2,055 177 2 179 Total $ 2,655 $ 29,695 $ 2,150 $ 34,500 $ 7,451 $ 377 $ 7,828 (a) Excludes intercompany transactions, which are eliminated in consolidation. (b) Includes residential and commercial mortgage securitizations. (c) JPMorgan Chase Bank, N.A. deconsolidated the student loan securitization entities in the first half of 2017 as it no longer had a controlling financial interest in these entities as a result of the sale of the student loan portfolio. (d) Includes assets classified as cash and other assets on the Consolidated balance sheets. (e) The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The difference between total assets and total liabilities recognized for consolidated VIEs represents JPMorgan Chase Bank, N.A.’s interest in the consolidated VIEs for each program type. (f) The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated balance sheets titled, “Beneficial interests issued by consolidated variable interest entities.” The holders of these beneficial interests do not have recourse to the general credit of JPMorgan Chase Bank, N.A. Included in beneficial interests in VIE assets are long-term beneficial interests of $447 million and $2.1 billion at December 31, 2017 and 2016, respectively. For additional information on interest bearing long-term beneficial interest, see Note 19. (g) Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.

104 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements VIEs sponsored by third parties JPMorgan Chase Bank, N.A. enters into transactions with the Residual holder. In those transactions, upon the VIEs structured by other parties. These include, for termination of the vehicle, JPMorgan Chase Bank, N.A. has example, acting as a derivative counterparty, liquidity recourse to the third party Residual holders for any provider, investor, underwriter, placement agent, shortfall. JPMorgan Chase Bank, N.A. does not have any remarketing agent, trustee or custodian. These transactions intent to protect Residual holders from potential losses on are conducted at arm’s-length, and individual credit any of the underlying municipal bonds. JPMorgan Chase decisions are based on the analysis of the specific VIE, Bank, N.A. does not consolidate Customer TOB trusts, since taking into consideration the quality of the underlying JPMorgan Chase Bank, N.A. does not have the power to assets. Where JPMorgan Chase Bank, N.A. does not have the make decisions that significantly impact the economic power to direct the activities of the VIE that most performance of the municipal bond vehicle. JPMorgan significantly impact the VIE’s economic performance, or a Chase Bank, N.A. maximum exposure as a liquidity provider variable interest that could potentially be significant, to Customer TOB trusts at December 31, 2017 and 2016, JPMorgan Chase Bank, N.A. generally does not consolidate was $5.3 billion and $5.0 billion, respectively. The fair the VIE, but it records and reports these positions on its value of assets held by such VIEs at December 31, 2017 Consolidated balance sheets in the same manner it would and 2016 was $9.0 billion and 8.6 billion, respectively. For record and report positions in respect of any other third- more information on off-balance sheet lending-related party transaction. commitments, see Note 25. Tax credit vehicles Loan securitizations JPMorgan Chase Bank, N.A. holds investments in JPMorgan Chase Bank, N.A. has securitized and sold a unconsolidated tax credit vehicles, which are limited variety of loans, including residential mortgage, credit card, partnerships and similar entities that construct, own and student and commercial (primarily related to real estate) operate affordable housing and wind projects. These loans, as well as debt securities. The purposes of these entities are primarily considered VIEs. A third party is securitization transactions were to satisfy investor demand typically the general partner or managing member and has and to generate liquidity for JPMorgan Chase Bank, N.A. control over the significant activities of the tax credit For loan securitizations in which JPMorgan Chase Bank, N.A. vehicles, and accordingly JPMorgan Chase Bank, N.A. does is not required to consolidate the trust, JPMorgan Chase not consolidate tax credit vehicles. JPMorgan Chase Bank, Bank, N.A. records the transfer of the loan receivable to the N.A. generally invests in these partnerships as a limited trust as a sale when all of the following accounting criteria partner and earns a return primarily through the receipt of for a sale are met: (1) the transferred financial assets are tax credits allocated to the projects. The maximum loss legally isolated from JPMorgan Chase Bank, N.A.’s creditors; exposure, represented by equity investments and funding (2) the transferee or beneficial interest holder can pledge commitments, was $7.8 billion and $8.6 billion, of which or exchange the transferred financial assets; and $2.4 billion and $2.7 billion was unfunded at December 31, (3) JPMorgan Chase Bank, N.A. does not maintain effective 2017 and 2016 respectively. In order to reduce the risk of control over the transferred financial assets (e.g., JPMorgan loss, JPMorgan Chase Bank, N.A. assesses each project and Chase Bank, N.A. cannot repurchase the transferred assets withholds varying amounts of its capital investment until before their maturity and it does not have the ability to qualification of the project for tax credits. See Note 22 for unilaterally cause the holder to return the transferred further information on affordable housing tax credits. For assets). more information on off-balance sheet lending-related commitments, see Note 25. For loan securitizations accounted for as a sale, JPMorgan Chase Bank, N.A. recognizes a gain or loss based on the Customer municipal bond vehicles (TOB trusts) difference between the value of proceeds received JPMorgan Chase Bank, N.A. may provide various services to (including cash, beneficial interests, or servicing assets Customer TOB trusts, including remarketing agent, liquidity received) and the carrying value of the assets sold. Gains or tender option provider. In certain Customer TOB and losses on securitizations are reported in noninterest transactions, JPMorgan Chase Bank, N.A. as liquidity revenue. provider, has entered into a reimbursement agreement with

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 105 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Securitization activity The following table provides information related to JPMorgan Chase Bank, N.A.’s securitization activities for the years ended December 31, 2017, 2016 and 2015, related to assets held in JPMorgan Chase Bank, N.A.-sponsored securitization entities that were not consolidated by JPMorgan Chase Bank, N.A., and where sale accounting was achieved at the time of the securitization.

2017 2016 2015

Year ended December 31, Credit Residential Commercial Credit Residential Commercial Credit Residential Commercial (in millions, except rates) card(b) mortgage(c) and other(d) card(b) mortgage(c) and other(d) card(b) mortgage(c) and other(d) Principal securitized $ — $ 5,532 $ 10,252 $ 3,320 $ 1,817 $ 8,964 $ 3,330 $ 3,008 $ 11,983

Pretax gain/(loss) — — (e) — (e) (1) — (e) — (e) (2) — (e) — (e) All cash flows during the period: Proceeds received from loan sales as cash $ — $ 5,627 $ 10,123 $ 3,320 $ 1,760 $ 9,094 $ 3,330 $ 2,077 $ 11,661 Proceeds received from loan sales as securities or other financial assets — 34 214 — 71 — — 945 350 Total proceeds received from loan sales $ — $ 5,661 $ 10,337 $ 3,320 $ 1,831 $ 9,094 $ 3,330 $ 3,022 $ 12,011 Servicing fees collected — 525 2 — 477 3 — 528 3 Proceeds from collections reinvested in revolving securitizations — — — 38,991 — — 44,734 — —

Purchases of previously transferred financial assets (or the underlying collateral)(a) — 1 — — 37 — — 2 — Cash flows received on interests — 383 632 9,317 408 830 15,309 321 533

(a) Includes cash paid by JPMorgan Chase Bank, N.A. to reacquire assets from off–balance sheet, nonconsolidated entities – for example, loan repurchases due to representation and warranties and servicer clean-up calls. (b) For the years ended December 31, 2016 and 2015, includes securitization activity related to JPMorgan Chase Bank, N.A.’s undivided interest in credit card securitization trusts. On November 1, 2016, JPMorgan Chase Bank, N.A. sold its undivided interests in the Trusts to an affiliate. (c) Includes prime/Alt-A, subprime, and option ARMs. Excludes certain loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac. (d) Includes commercial mortgage and other consumer loans. (e) JPMorgan Chase Bank, N.A. elected the fair value option for loans pending securitization. The carrying value of these loans accounted for at fair value approximated the proceeds received from securitization.

Key assumptions used to value retained interests originated Loans and excess MSRs sold to U.S. government- during the year are shown in the table below. sponsored enterprises, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other Year ended December 31, 2017 2016 2015 third-party-sponsored securitization entities Residential mortgage retained interest: In addition to the amounts reported in the securitization Weighted-average life (in years) 3.8 4.1 — activity tables above, JPMorgan Chase Bank, N.A., in the Weighted-average discount rate 3.0% 2.9% —% normal course of business, sells originated and purchased Commercial mortgage retained interest: mortgage loans and certain originated excess MSRs on a Weighted-average life (in years) 5.3 — — nonrecourse basis, predominantly to U.S. government Weighted-average discount rate 4.7% —% —% sponsored enterprises (“U.S. GSEs”). These loans and excess MSRs are sold primarily for the purpose of securitization by the U.S. GSEs, who provide certain guarantee provisions (e.g., credit enhancement of the loans). JPMorgan Chase Bank, N.A.also sells loans into securitization transactions pursuant to Ginnie Mae guidelines; these loans are typically insured or guaranteed by another U.S. government agency. JPMorgan Chase Bank, N.A. does not consolidate the securitization vehicles underlying these transactions as it is not the primary beneficiary. For a limited number of loan sales, JPMorgan Chase Bank, N.A. is obligated to share a portion of the credit risk associated with the sold loans with the purchaser. See Note 25 for additional information about JPMorgan Chase Bank, N.A.’s loan sales- and securitization- related indemnifications.

106 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements See Note 16 for additional information about the impact of Options to repurchase delinquent loans JPMorgan Chase Bank, N.A.’s sale of certain excess MSRs. In addition to JPMorgan Chase Bank, N.A.’s obligation to repurchase certain loans due to material breaches of The following table summarizes the activities related to representations and warranties as discussed in Note 25. loans sold to the U.S. GSEs, loans in securitization JPMorgan Chase Bank, N.A. also has the option to transactions pursuant to Ginnie Mae guidelines, and other repurchase delinquent loans that it services for Ginnie Mae third-party-sponsored securitization entities. loan pools, as well as for other U.S. government agencies Year ended December 31, under certain arrangements. JPMorgan Chase Bank, N.A. (in millions) 2017 2016 2015 typically elects to repurchase delinquent loans from Ginnie Carrying value of loans sold $ 64,542 $ 52,869 $ 42,161 Mae loan pools as it continues to service them and/or Proceeds received from loan manage the foreclosure process in accordance with the sales as cash $ 117 $ 592 $ 313 applicable requirements, and such loans continue to be Proceeds from loans sales as insured or guaranteed. When JPMorgan Chase Bank, N.A.’s (a) securities 63,542 51,852 41,615 repurchase option becomes exercisable, such loans must be Total proceeds received from loan sales(b) $ 63,659 $ 52,444 $ 41,928 reported on the Consolidated balance sheets as a loan with a corresponding liability. Gains on loan sales(c)(d) $ 163 $ 222 $ 299

(a) Predominantly includes securities from U.S. GSEs and Ginnie Mae that December 31, are generally sold shortly after receipt. (in millions) 2017 2016 (b) Excludes the value of MSRs retained upon the sale of loans. Loans repurchased or option to (c) Gains on loan sales include the value of MSRs. repurchase(a) $ 8,617 $ 9,543 (d) The carrying value of the loans accounted for at fair value Real estate owned 95 142 approximated the proceeds received upon loan sale. Foreclosed government-guaranteed residential mortgage loans(b) 527 1,007

(a) Predominantly all of these amounts relate to loans that have been repurchased from Ginnie Mae loan pools. (b) Relates to voluntary repurchases of loans, which are included in accrued interest and accounts receivable.

Loan delinquencies and liquidation losses The table below includes information about components of nonconsolidated securitized financial assets held in JPMorgan Chase Bank, N.A.-sponsored private-label securitization entities, in which JPMorgan Chase Bank, N.A. has continuing involvement, and delinquencies as of December 31, 2017 and 2016.

Securitized assets 90 days past due Liquidation losses As of or for the year ended December 31, (in millions) 2017 2016 2017 2016 2017 2016 Securitized loans Residential mortgage: Prime/ Alt-A & option ARMs $ 39,370 $ 42,881 (a) $ 3,178 $ 4,026 (a) $ 479 $ 677 (a) Subprime 11,978 13,421 2,070 2,635 418 720 (a) Commercial and other 23,604 22,989 (a) 78 653 (a) 1 372 (a) Total loans securitized $ 74,952 $ 79,291 $ 5,326 $ 7,314 $ 898 $ 1,769 (a) Prior period results were revised to conform with the current period presentation.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 107 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 16 – Goodwill and Mortgage servicing rights Goodwill material impairment charge to earnings in a future period Goodwill is recorded upon completion of a business related to some portion of the associated goodwill. combination as the difference between the purchase price Mortgage servicing rights and the fair value of the net assets acquired. Subsequent to MSRs represent the fair value of expected future cash flows initial recognition, goodwill is not amortized but is tested for performing servicing activities for others. The fair value for impairment during the fourth quarter of each fiscal year, considers estimated future servicing fees and ancillary or more often if events or circumstances, such as adverse revenue, offset by estimated costs to service the loans, and changes in the business climate, indicate there may be generally declines over time as net servicing cash flows are impairment. received, effectively amortizing the MSR asset against The following table presents changes in the carrying contractual servicing and ancillary fee income. MSRs are amount of goodwill. either purchased from third parties or recognized upon sale or securitization of mortgage loans if servicing is retained. Year ended December 31, 2017 2016 2015 (in millions) As permitted by U.S. GAAP, JPMorgan Chase Bank, N.A. has (a) Balance at beginning of period $ 27,130 $ 27,100 $ 27,282 elected to account for its MSRs at fair value. JPMorgan Changes during the period from: Chase Bank, N.A. treats its MSRs as a single class of (b) Business combinations 199 — 28 servicing assets based on the availability of market inputs Dispositions — — (59) used to measure the fair value of its MSR asset and its (c) Other 21 30 (151) treatment of MSRs as one aggregate pool for risk (a) Balance at December 31, $ 27,350 $ 27,130 $ 27,100 management purposes. JPMorgan Chase Bank, N.A. (a) Reflects gross goodwill balances as JPMorgan Chase Bank, N.A. has not estimates the fair value of MSRs using an option-adjusted recognized any impairment losses to date. spread (“OAS”) model, which projects MSR cash flows over (b) For 2017, represents consumer & community banking business goodwill in connection with an acquisition. multiple interest rate scenarios in conjunction with (c) Includes foreign currency translation adjustments and other tax- JPMorgan Chase Bank, N.A.’s prepayment model, and then related adjustments. discounts these cash flows at risk-adjusted rates. The model Impairment testing considers portfolio characteristics, contractually specified Goodwill was not impaired at December 31, 2017, 2016 servicing fees, prepayment assumptions, delinquency rates, and 2015. costs to service, late charges and other ancillary revenue, and other economic factors. JPMorgan Chase Bank, N.A. The goodwill impairment test is performed in two steps. In compares fair value estimates and assumptions to the first step, the current fair value of JPMorgan Chase observable market data where available, and also considers Bank, N.A. is compared with its carrying value, including recent market activity and actual portfolio experience. goodwill and other intangible assets. If the fair value is in The fair value of MSRs is sensitive to changes in interest excess of the carrying value, then the goodwill is considered rates, including their effect on prepayment speeds. MSRs to be not impaired. If the fair value is less than the carrying typically decrease in value when interest rates decline value, then a second step is performed. In the second step, because declining interest rates tend to increase the implied current fair value of the goodwill is determined prepayments and therefore reduce the expected life of the by comparing the fair value of JPMorgan Chase Bank, N.A. net servicing cash flows that comprise the MSR asset. (as determined in step one) to the fair value of the net Conversely, securities (e.g., mortgage-backed securities), assets of JPMorgan Chase Bank, N.A. as if it was being principal-only certificates and certain derivatives (i.e., those acquired in a business combination. The resulting implied for which JPMorgan Chase Bank, N.A. receives fixed-rate current fair value of goodwill is then compared with the interest payments) increase in value when interest rates carrying value of JPMorgan Chase Bank, N.A.’s goodwill. If decline. JPMorgan Chase Bank, N.A. uses combinations of the carrying value of the goodwill exceeds its implied derivatives and securities to manage the risk of changes in current fair value, then an impairment charge is recognized the fair value of MSRs. The intent is to offset any interest- for the excess. If the carrying value of goodwill is less than rate related changes in the fair value of MSRs with changes its implied current fair value, then no goodwill impairment in the fair value of the related risk management is recognized. instruments. Declines in business performance, increases in credit losses, increases in capital requirements, as well as deterioration in economic or market conditions, estimates of adverse regulatory or legislative changes or increases in the estimated market cost of equity, could cause the estimated fair values of JPMorgan Chase Bank, N.A.’s, or its associated goodwill to decline in the future, which could result in a

108 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The following table summarizes MSR activity for the years The table below outlines the key economic assumptions ended December 31, 2017, 2016 and 2015. used to determine the fair value of JPMorgan Chase Bank, N.A.’s MSRs at December 31, 2017 and 2016, and outlines As of or for the year ended December 31, (in millions, except where the sensitivities of those fair values to immediate adverse otherwise noted) 2017 2016 2015 changes in those assumptions, as defined below. Fair value at beginning of period $ 6,096 $ 6,608 $ 7,436 December 31, MSR activity: (in millions, except rates) 2017 2016 Originations of MSRs 1,103 679 550 Weighted-average prepayment speed Purchase of MSRs — — 435 assumption (“CPR”) 9.35% 9.41% Disposition of MSRs(a) (140) (109) (486) Impact on fair value of 10% adverse change $ (221) $ (231) Net additions 963 570 499 Impact on fair value of 20% adverse change (427) (445) Changes due to collection/realization of Weighted-average option adjusted spread 9.04% 8.55% expected cash flows (797) (919) (922) Impact on fair value of 100 basis points adverse change $ (250) $ (248) Changes in valuation due to inputs and assumptions: Impact on fair value of 200 basis points adverse change (481) (477) Changes due to market interest rates (b) (202) (72) (160) and other CPR: Constant prepayment rate. Changes in valuation due to other inputs and assumptions: Changes in fair value based on variation in assumptions Projected cash flows (e.g., cost to generally cannot be easily extrapolated, because the service) (102) (35) (112) Discount rates (19) 7 (10) relationship of the change in the assumptions to the change Prepayment model changes and in fair value are often highly interrelated and may not be other(c) 91 (63) (123) linear. In this table, the effect that a change in a particular Total changes in valuation due to assumption may have on the fair value is calculated without other inputs and assumptions (30) (91) (245) changing any other assumption. In reality, changes in one Total changes in valuation due to factor may result in changes in another, which would either inputs and assumptions $ (232) $ (163) $ (405) magnify or counteract the impact of the initial change. Fair value at December 31, $ 6,030 $ 6,096 $ 6,608 Change in unrealized gains/(losses) included in income related to MSRs held at December 31, $ (232) $ (163) $ (405) Contractual service fees, late fees and other ancillary fees included in income $ 1,886 $ 2,124 $ 2,533 Third-party mortgage loans serviced at December 31, (in billions) $ 555.0 $ 593.3 $ 677.0 Servicer advances, net of an allowance for uncollectible amounts, at December 31, (in billions)(d) $ 4.0 $ 4.7 $ 6.5

(a) Includes excess MSRs transferred to agency-sponsored trusts in exchange for stripped mortgage backed securities (“SMBS”). In each transaction, a portion of the SMBS was acquired by third parties at the transaction date; JPMorgan Chase Bank, N.A. acquired the remaining balance of those SMBS as trading securities. (b) Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments. (c) Represents changes in prepayments other than those attributable to changes in market interest rates. (d) Represents amounts JPMorgan Chase Bank, N.A. pays as the servicer (e.g., scheduled principal and interest, taxes and insurance), which will generally be reimbursed within a short period of time after the advance from future cash flows from the trust or the underlying loans. JPMorgan Chase Bank, N.A.’s credit risk associated with these servicer advances is minimal because reimbursement of the advances is typically senior to all cash payments to investors. In addition, JPMorgan Chase Bank, N.A. maintains the right to stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable if they were not made in accordance with applicable rules and agreements.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 109 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 17 – Premises and equipment Note 18 – Deposits Premises and equipment, including leasehold At December 31, 2017 and 2016, noninterest-bearing and improvements, are carried at cost less accumulated interest-bearing deposits were as follows. depreciation and amortization. JPMorgan Chase Bank, N.A. computes depreciation using the straight-line method over December 31, (in millions) 2017 2016 the estimated useful life of an asset. For leasehold U.S. offices improvements, JPMorgan Chase Bank, N.A. uses the Noninterest-bearing $ 397,080 $ 405,536 Interest-bearing (included $15,006 and straight-line method computed over the lesser of the $12,298 at fair value)(a) 874,806 830,735 remaining term of the leased facility or the estimated useful Total deposits in U.S. offices 1,271,886 1,236,271 life of the leased asset. Non-U.S. offices JPMorgan Chase Bank, N.A. capitalizes certain costs Noninterest-bearing 16,282 15,072 associated with the acquisition or development of internal- Interest-bearing (included $6,374 and (a) use software. Once the software is ready for its intended $1,667 at fair value) 246,739 228,895 use, these costs are amortized on a straight-line basis over Total deposits in non-U.S. offices 263,021 243,967 the software’s expected useful life and reviewed for Total deposits $1,534,907 $1,480,238 impairment on an ongoing basis. (a) Includes structured notes classified as deposits for which the fair value option has been elected. For further discussion, see Note 4. At December 31, 2017 and 2016, time deposits in denominations of $250,000 or more were as follows.

December 31, (in millions) 2017 2016 U.S. offices $ 40,377 $ 39,598 Non-U.S. offices(a) 30,103 31,678 Total(a) $ 70,480 $ 71,276

(a) The prior period amounts have been revised to conform with the current period presentation. At December 31, 2017, the maturities of interest-bearing time deposits were as follows.

December 31, 2017 (in millions) U.S. Non-U.S. Total 2018 $ 36,926 $ 28,506 $ 65,432 2019 13,941 540 14,481 2020 2,341 22 2,363 2021 4,283 26 4,309 2022 2,305 443 2,748 After 5 years 3,395 1,697 5,092 Total $ 63,191 $ 31,234 $ 94,425

110 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 19 – Long-term debt JPMorgan Chase Bank, N.A. issues long-term debt denominated in various currencies, predominantly U.S. dollars, with both fixed and variable interest rates. Included in senior and subordinated debt below are various equity-linked or other indexed instruments, which JPMorgan Chase Bank, N.A. has elected to measure at fair value. Changes in fair value are recorded in principal transactions revenue in the Consolidated statements of income, except for unrealized gains/(losses) due to DVA which are recorded in OCI. The following table is a summary of long-term debt carrying values (including unamortized premiums and discounts, issuance costs, valuation adjustments and fair value adjustments, where applicable) by remaining contractual maturity as of December 31, 2017.

By remaining maturity at December 31, 2017 2016 (in millions, except rates) Under 1 year 1-5 years After 5 years Total Total Long-term debt payable to JPMorgan Chase & Co. and affiliates Senior debt: Variable rate $ 381 $ 20,249 $ 91 $ 20,721 $ 21,380 Interest rates(a) —% 1.71% —% 1.71% 0.91% Subordinated debt: Variable rate $ — $ — $ — $ — $ 250 Interest rates(a) —% —% —% —% 2.80% Subtotal $ 381 $ 20,249 $ 91 $ 20,721 $ 21,630 Long-term debt issued to unrelated parties Federal Home Loan Banks (“FHLB”) advances: Fixed rate $ 4 $ 34 $ 130 $ 168 $ 179 Variable rate 10,450 24,800 11,000 46,250 58,040 Interest rates(a) 1.58-1.75% 1.46-1.80% 1.18-1.47% 1.18-1.80% 0.41-1.13% Senior debt: Fixed rate $ 1,053 $ 3,743 $ 6,676 $ 11,472 $ 7,877 Variable rate 6,916 8,511 3,360 18,787 15,521 Interest rates(a) 0.22-2.09% 1.65-2.26% 1.00-7.28% 0.22-7.28% 0.00-7.28% Subordinated debt: Fixed rate $ — $ — $ 313 $ 313 $ 3,884 Variable rate — — — — — Interest rates(a) —% —% 8.25% 8.25% 6.00-8.25% Subtotal $ 18,423 $ 37,088 $ 21,479 $ 76,990 $ 85,501 Total long-term debt(b)(c)(d) $ 18,804 $ 57,337 $ 21,570 $ 97,711 (f)(g) $ 107,131 Long-term beneficial interests: Fixed rate $ 78 $ 14 $ — $ 92 $ 107 Variable rate — 42 314 356 1,952 Interest rates 2.5% 2.83-3.38% 1.98-3.75% 1.98-3.75% 1.07-3.75% Total long-term beneficial interests(e) $ 78 $ 56 $ 314 $ 448 $ 2,059

(a) The interest rates shown are the range of contractual rates in effect at December 31, 2017 and 2016, respectively, including non-U.S. dollar fixed- and variable-rate issuances, which excludes the effects of the associated derivative instruments used in hedge accounting relationships, if applicable. The use of these derivative instruments modifies JPMorgan Chase Bank, N.A.’s exposure to the contractual interest rates disclosed in the table above. Including the effects of the hedge accounting derivatives, the range of modified rates in effect at December 31, 2017, for total long-term debt was 0.22% to 7.28%, versus the contractual range of 0.22% to 8.25% presented in the table above. The interest rate ranges shown exclude structured notes accounted for at fair value. (b) Included long-term debt of $49.3 billion and $60.4 billion secured by assets totaling $208.4 billion and $205.1 billion at December 31, 2017 and 2016, respectively. The amount of long-term debt secured by assets does not include amounts related to hybrid instruments. (c) Included $21.4 billion and $14.9 billion of long-term debt accounted for at fair value at December 31, 2017 and 2016, respectively. (d) Included $2.0 billion and $1.5 billion of outstanding zero-coupon notes at December 31, 2017 and 2016, respectively. The aggregate principal amount of these notes at their respective maturities is $4.0 billion and $2.9 billion, respectively. The aggregate principal amount reflects the contractual principal payment at maturity, which may exceed the contractual principal payment at JPMorgan Chase Bank, N.A.’s next call date, if applicable. (e) Included on the Consolidated balance sheets in beneficial interests issued by consolidated VIEs. Excluded short-term commercial paper and other short-term beneficial interests of $4.4 billion and $5.4 billion at December 31, 2017 and 2016, respectively. (f) At December 31, 2017, long-term debt in the aggregate of $38.6 billion was redeemable at the option of JPMorgan Chase Bank, N.A., in whole or in part, prior to maturity, based on the terms specified in the respective instruments. (g) The aggregate carrying values of debt that matures in each of the five years subsequent to 2017 is $18.8 billion in 2018, $39.4 billion in 2019, $9.5 billion in 2020, $6.4 billion in 2021 and $2.0 billion in 2022.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 111 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The weighted-average contractual interest rates for total JPMorgan Chase Bank, N.A’s unsecured debt does not long-term debt excluding structured notes accounted for at contain requirements that would call for an acceleration of fair value were 1.60% and 1.20% as of December 31, payments, maturities or changes in the structure of the 2017 and 2016, respectively. In order to modify exposure existing debt, provide any limitations on future borrowings to interest rate movements, JPMorgan Chase Bank, N.A. or require additional collateral, based on unfavorable utilizes derivative instruments, primarily interest rate changes in JPMorgan Chase Bank, N.A’s credit ratings, swaps, in conjunction with some of its debt issuances. The financial ratios or earnings. use of these instruments modifies JPMorgan Chase Bank, N.A.’s interest expense on the associated debt. The modified weighted-average interest rates for total long-term debt, including the effects of related derivative instruments, were 1.59% and 1.06% as of December 31, 2017 and 2016, respectively. Note 20 – Related party transactions JPMorgan Chase Bank, N.A. regularly enters into transactions with JPMorgan Chase and its various subsidiaries. Significant revenue- and expense-related transactions with these related parties are listed below.

Year ended December 31, (in millions) 2017 2016 2015 Interest income $ 1,046 $ 615 $ 150 Interest expense 1,379 656 298 Net interest expense (333) (41) (148)

Noninterest revenue(a) Principal transactions 1,871 2,433 (3,637) All other income 6,125 6,769 6,906 Total noninterest revenue 7,996 9,202 3,269

Noninterest expense 5,806 5,692 3,875

Total net revenue $ 1,857 $ 3,469 $ (754)

Significant balances with these related parties are listed below.

December 31, (in millions) 2017 2016 Assets Deposits with banks(b) $ 51,001 $ 32,500 Federal funds sold and securities purchased under resale agreements 41,014 72,097 Accrued interest and accounts receivable 13,479 11,936 All other assets 11,990 12,305

Liabilities Deposits(c) 92,385 107,749 Federal funds purchased and securities loaned or sold under repurchase agreements 19,213 14,501 Accounts payable and other liabilities 11,826 12,118 Long-term debt 20,716 21,630

(a) The prior period amounts have been revised to conform with the current presentation. (b) Primarily includes deposits placed with Chase Bank USA, N.A. (c) At both December 31, 2017 and 2016, included $20.0 billion that was pledged to support extensions of credit and other transactions requiring collateral with affiliates as defined by Section 23A under the Federal Reserve Act, which defines the constraints that apply to U.S. banks in certain of their interactions with affiliates.

112 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Derivative transactions In addition to the information presented in the tables above, JPMorgan Chase Bank, N.A. executes derivative transactions with affiliates as part of its client driven market-making activities and to facilitate hedging certain risks for its affiliates. To accomplish this, JPMorgan Chase Bank, N.A. enters into substantially offsetting derivative transactions with third-parties and records both the third party and related-party gains and losses in principal transactions revenue. The following table summarizes information on derivative receivables and payables with affiliates before and after netting adjustments for legally enforceable master netting agreements as of December 31, 2017 and December 31, 2016.

2017 2016 Gross derivative Net derivative Gross derivative Net derivative December 31, (in billions) receivable/payable receivable/payable receivable/payable receivable/payable Derivative receivables from affiliates $ 48,110 $ 140 $ 44,023 $ 1,363 Derivative payables to affiliates 48,115 94 44,185 1,524

Servicing agreements and fee arrangements Through servicing agreements, JPMorgan Chase Bank, N.A. provides and receives operational support and services to and from JPMorgan Chase and its subsidiaries. These servicing agreements cover certain occupancy, marketing, communication and technology services, and other shared corporate service costs. JPMorgan Chase Bank, N.A. is allocated or allocates a share of the cost of the services over the relevant service period based on the agreed methodology. Fees earned by JPMorgan Chase Bank, N.A. for services provided to affiliates are recorded in all other income, and fees incurred by JPMorgan Chase Bank, N.A. for services from affiliates are recorded in noninterest expense.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 113 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 21 – Accumulated other comprehensive income/(loss) AOCI includes the after-tax change in unrealized gains and losses on investment securities, foreign currency translation adjustments (including the impact of related derivatives), cash flow hedging activities, and net loss and prior service costs/(credit) related to JPMorgan Chase Bank, N.A.’s defined benefit pension and OPEB plans.

Unrealized DVA on fair gains/(losses) Translation value option Accumulated other Year ended December 31, on investment adjustments, Cash flow Defined benefit pension elected comprehensive (in millions) securities(b) net of hedges hedges and OPEB plans liabilities income/(loss) Balance at December 31, 2014 $ 4,537 $ (23) $ (91) $ (467) $ — $ 3,956 Net change (2,104) (17) 46 139 — (1,936) Balance at December 31, 2015 $ 2,433 $ (40) $ (45) $ (328) $ — $ 2,020 Cumulative effect of change in accounting principle(a) — — — — 11 11 Net change (1,037) 4 (55) (27) (51) (1,166) Balance at December 31, 2016 $ 1,396 $ (36) $ (100) $ (355) (40) $ 865 Net change 687 (309) 176 11 (55) 510 Balance at December 31, 2017 $ 2,083 $ (345) $ 76 $ (344) $ (95) $ 1,375

(a) Effective January 1, 2016, JPMorgan Chase Bank, N.A. adopted new accounting guidance related to the recognition and measurement of financial liabilities where the fair value option has been elected. This guidance requires the portion of the total change in fair value caused by changes in JPMorgan Chase Bank, N.A. own credit risk (DVA) to be presented separately in OCI; previously these amounts were recognized in net income. (b) Represents the after-tax difference between the fair value and amortized cost of securities accounted for as AFS, including net unamortized unrealized gains and losses related to AFS securities transferred to HTM.

The following table presents the pre-tax and after-tax changes in the components of OCI.

2017 2016 2015 Tax After- Tax After- Tax After- Year ended December 31, (in millions) Pretax effect tax Pretax effect tax Pretax effect tax Unrealized gains/(losses) on investment securities: Net unrealized gains/(losses) arising during the period $ 1,012 $ (371) $ 641 $(1,528) $ 572 $ (956) $(3,247) $ 1,269 $(1,978) Reclassification adjustment for realized (gains)/losses included in net income(a) 73 (27) 46 (130) 49 (81) (202) 76 (126) Net change 1,085 (398) 687 (1,658) 621 (1,037) (3,449) 1,345 (2,104) Translation adjustments(b): Translation 844 (616) 228 118 (43) 75 (1,542) 562 (980) Hedges (847) 310 (537) (109) 38 (71) 1,541 (578) 963 Net change (3) (306) (309) 9 (5) 4 (1) (16) (17) Cash flow hedges: Net unrealized gains/(losses) arising during the period 147 (55) 92 (449) 168 (281) (97) 36 (61) Reclassification adjustment for realized (gains)/losses included in net income(c)(d) 134 (50) 84 360 (134) 226 174 (67) 107 Net change 281 (105) 176 (89) 34 (55) 77 (31) 46 Defined benefit pension and OPEB plans: Net gains/(losses) arising during the period 38 (14) 24 (150) 54 (96) 57 (21) 36 Reclassification adjustments included in net income(e): Amortization of net loss 34 (12) 22 25 (10) 15 40 (15) 25 Prior service costs/(credits) (2) 1 (1) (2) 1 (1) (2) 1 (1) Settlement loss/(gain) 2 (1) 1 4 (1) 3 — — — Foreign exchange and other (52) 17 (35) 80 (28) 52 132 (53) 79 Net change 20 (9) 11 (43) 16 (27) 227 (88) 139 DVA on fair value option elected liabilities, net change: $ (86) $ 31 $ (55) $ (83) $ 32 $ (51) $ — $ — $ — Total other comprehensive income/(loss) $ 1,297 $ (787) $ 510 $(1,864) $ 698 $(1,166) $(3,146) $ 1,210 $(1,936) (a) The pre-tax amount is reported in securities gains/(losses) in the Consolidated statements of income. (b) Reclassifications of pretax realized gains/(losses) on translation adjustments and related hedges are reported in other income/expense in the Consolidated statements of income. The amounts were not material for the periods presented. (c) The pre-tax amounts are primarily recorded in noninterest revenue, net interest income and compensation expense in the Consolidated statements of income. (d) In 2015, JPMorgan Chase Bank, N.A. reclassified approximately $150 million of net losses from AOCI to other income because JPMorgan Chase Bank, N.A. determined that it is probable that the forecasted interest payment cash flows would not occur. For additional information, see Note 6. (e) The pre-tax amount is reported in compensation expense in the Consolidated statements of income.

114 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Note 22 – Income taxes The results of operations of JPMorgan Chase Bank, N.A. are Impact of the TCJA included in the consolidated federal, New York State, New On December 22, 2017, the TCJA was signed into law. York City and other state income tax returns filed by JPMorgan Chase Bank, N.A.’s effective tax rate increased in JPMorgan Chase. Pursuant to a tax sharing agreement, 2017 driven by a $2.1 billion income tax expense JPMorgan Chase allocates to JPMorgan Chase Bank, N.A. its representing the estimated impact of the enactment of the share of the consolidated income tax expense or benefit TCJA. The $2.1 billion tax expense was predominantly based upon statutory rates applied to JPMorgan Chase driven by a deemed repatriation of JPMorgan Chase Bank, Bank, N.A.’s earnings as if it were filing separate income tax N.A.’s unremitted non-U.S. earnings and adjustments to the returns. JPMorgan Chase Bank, N.A. uses the asset and value of certain tax-oriented investments partially offset by liability method to provide for income taxes on all a benefit from the revaluation of JPMorgan Chase Bank, transactions recorded in the Consolidated Financial N.A.’s net deferred tax liability. Statements. Valuation allowances are established when necessary to reduce deferred tax assets to an amount that The deemed repatriation of JPMorgan Chase Bank, N.A.’s in the opinion of management, is more likely than not to be unremitted non-U.S. earnings is based on the post-1986 realized. State and local income taxes are provided on earnings and profits of each controlled foreign JPMorgan Chase Bank, N.A.’s taxable income at the effective corporation. The calculation resulted in an estimated income tax rate applicable to the consolidated JPMorgan income tax expense of $3.9 billion. Furthermore, Chase entity. accounting for income taxes requires the remeasurement of The tax sharing arrangement between JPMorgan Chase and certain deferred tax assets and liabilities based on the rates JPMorgan Chase Bank, N.A. allows for intercompany at which they are expected to reverse in the payments to or from JPMorgan Chase for outstanding future. JPMorgan Chase Bank, N.A. remeasured its deferred current tax assets or liabilities. tax asset and liability balances in December of 2017 to the Due to the inherent complexities arising from the nature of new statutory U.S. federal income tax rate of 21% as well JPMorgan Chase Bank, N.A.’s businesses, and from as any federal benefit associated with state and local conducting business and being taxed in a substantial deferred income taxes. The remeasurement resulted in an number of jurisdictions, significant judgments and estimated income tax benefit of $2.2 billion. estimates are required to be made. Agreement of tax liabilities between JPMorgan Chase Bank, N.A. and the The deemed repatriation and remeasurement of deferred many tax jurisdictions in which JPMorgan Chase Bank, N.A. taxes were calculated based on all available information files tax returns may not be finalized for several years. Thus, and published legislative guidance. These amounts are JPMorgan Chase Bank, N.A.’s final tax-related assets and considered to be estimates under SEC Staff Accounting liabilities may ultimately be different from those currently Bulletin No. 118 as JPMorgan Chase Bank, N.A. anticipates reported. refinements to both calculations. Anticipated refinements will result from the issuance of future legislative and Effective tax rate and expense accounting guidance as well as those in the normal course A reconciliation of the applicable statutory U.S. federal of business, including true-ups to the tax liability on the tax income tax rate to the effective tax rate for each of the return as filed and the resolution of tax audits. years ended December 31, 2017, 2016 and 2015, is presented in the following table. Adjustments were also recorded to income tax expense for certain tax-oriented investments. These adjustments were Effective tax rate due to changes to affordable housing proportional Year ended December 31, 2017 2016 2015 amortization resulting from the reduction of the federal Statutory U.S. federal tax rate 35.0% 35.0% 35.0% income tax rate under the TCJA. SEC Staff Accounting Increase/(decrease) in tax rate Bulletin No. 118 does not apply to these adjustments. resulting from: U.S. state and local income taxes, net of U.S. federal income tax benefit 1.7 2.0 2.8 Tax-exempt income (3.0) (3.0) (3.3) Non-U.S. subsidiary earnings(a) (2.2) (2.3) (5.2) Business tax credits (2.3) (2.2) (2.6) Nondeductible legal expense — 0.4 0.7 Impact of the TCJA 7.2 — — Other, net (0.2) (1.0) (1.3) Effective tax rate 36.2% 28.9% 26.1%

(a) Predominantly includes earnings of U.K. subsidiaries that were deemed to be reinvested indefinitely through December 31, 2017.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 115 The components of income tax expense/(benefit) included Prior to December 31, 2017, U.S. federal income taxes had in the Consolidated statements of income were as follows not been provided on the undistributed earnings of certain for each of the years ended December 31, 2017, 2016, and non-U.S. subsidiaries, to the extent that such earnings had 2015. been reinvested abroad for an indefinite period of time. JPMorgan Chase Bank, N.A. will no longer maintain the Income tax expense/(benefit) indefinite reinvestment assertion on the undistributed Year ended December 31, earnings of those non-U.S. subsidiaries in light of the (in millions) 2017 2016 2015 enactment of the TCJA. The U.S. federal and state and local Current income tax expense/(benefit) income taxes associated with the undistributed and U.S. federal $ 8,111 $ 3,683 $ 3,109 previously untaxed earnings of those non-U.S. subsidiaries Non-U.S. 2,151 1,565 963 was included in the deemed repatriation charge recorded as U.S. state and local 577 656 858 of December 31, 2017. Total current income tax expense/ (benefit) 10,839 5,904 4,930 JPMorgan Chase Bank, N.A. will treat any tax it may incur on Deferred income tax expense/(benefit) global intangible low tax income as a period cost to tax U.S. federal (73) 1,865 1,013 expense when the tax is incurred. Non-U.S. (146) (73) (94) Affordable housing tax credits U.S. state and local 114 172 131 JPMorgan Chase Bank, N.A. recognized $1.7 billion, $1.6 Total deferred income tax expense/ billion and $1.5 billion of tax credits and other tax benefits (benefit) (105) 1,964 1,050 associated with investments in affordable housing projects Total income tax expense $ 10,734 $ 7,868 $ 5,980 within income tax expense for the years 2017, 2016 and 2015, respectively. The amount of amortization of such Total income tax expense includes $199 million, $34 investments reported in income tax expense under the million and $311 million of tax benefits recorded in 2017, current period presentation during these years was $1.6 2016, and 2015, respectively, as a result of tax audit billion, $1.1 billion and $1.0 billion, respectively. The resolutions. carrying value of these investments, which are reported in Tax effect of items recorded in Stockholder’s equity other assets on JPMorgan Chase Bank, N.A.’s Consolidated The preceding table does not reflect the tax effect of certain balance sheets, was $7.7 billion and $8.5 billion at items that are recorded each period directly in stockholder’s December 31, 2017 and 2016, respectively. The amount of equity. The tax effect of all items recorded directly to commitments related to these investments, which are stockholder’s equity resulted in an decrease of $785 million reported in accounts payable and other liabilities on in 2017, an increase of $695 million in 2016, and an JPMorgan Chase Bank, N.A.’s Consolidated balance sheets, increase of $1.2 billion in 2015. was $2.4 billion and $2.7 billion at December 31, 2017 and 2016, respectively. The results are inclusive of any impacts Results from Non-U.S. earnings from the TJCA. The following table presents the U.S. and non-U.S. components of income before income tax expense for the Deferred taxes years ended December 31, 2017, 2016 and 2015. Deferred income tax expense/(benefit) results from differences between assets and liabilities measured for Year ended December 31, (in millions) 2017 2016 2015 financial reporting purposes versus income tax return U.S. $ 22,296 $ 20,203 $ 16,691 purposes. Deferred tax assets are recognized if, in management’s judgment, their realizability is determined to Non-U.S.(a) 7,368 7,037 6,217 be more likely than not. If a deferred tax asset is Income before income tax expense $ 29,664 $ 27,240 $ 22,908 determined to be unrealizable, a valuation allowance is (a) For purposes of this table, non-U.S. income is defined as income established. The significant components of deferred tax generated from operations located outside the U.S. assets and liabilities are reflected in the following table as of December 31, 2017 and 2016.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 116 December 31, (in millions) 2017 2016 As JPMorgan Chase Bank, N.A. is presently under audit by a Deferred tax assets number of taxing authorities, it is reasonably possible that Allowance for loan losses $ 2,565 $ 4,385 over the next 12 months the resolution of these Employee benefits 469 1,539 examinations may increase or decrease the gross balance of unrecognized tax benefits by as much as approximately Accrued expenses and other 1,622 3,399 $1.3 million. Upon settlement of an audit, the change in the Non-U.S. operations 322 3,640 unrecognized tax benefit would result from payment or Tax attribute carryforwards 49 40 income statement recognition. Gross deferred tax assets 5,027 13,003 Valuation allowance (27) (14) The following table presents a reconciliation of the beginning and ending amount of unrecognized tax benefits Deferred tax assets, net of valuation allowance $ 5,000 $ 12,989 for the years ended December 31, 2017, 2016 and 2015. Deferred tax liabilities Year ended December 31, Depreciation and amortization $ 1,339 $ 2,058 (in millions) 2017 2016 2015 Mortgage servicing rights, net of Balance at January 1, $ 2,416 $ 2,032 $ 2,195 hedges 2,757 4,807 Increases based on tax positions Leasing transactions 3,317 3,852 related to the current period 805 103 265 Non-U.S. operations 319 3,357 Increases based on tax positions Other, net 1,406 2,035 related to prior periods 494 452 393 Decreases based on tax positions Gross deferred tax liabilities 9,138 16,109 related to prior periods (183) (130) (672) Net deferred tax (liabilities)/assets $ (4,138) $ (3,120) Decreases related to cash settlements with taxing authorities (327) (3) (149) JPMorgan Chase Bank has recorded deferred tax assets of Decreases related to a lapse of $49 million at December 31, 2017, in connection applicable statute of limitations — (38) — with U.S. federal and non-U.S. net operating loss (“NOL”) Balance at December 31, $ 3,204 $ 2,416 $ 2,032 carryforwards. At December 31, 2017, total U.S. federal NOL carryforwards were approximately $47 million and After-tax interest expense/(benefit) and penalties related to non-U.S. NOL carryforwards were approximately $128 income tax liabilities recognized in income tax expense were million. If not utilized, the U.S. federal NOL carryforwards $79 million, $94 million and $4 million in 2017, 2016 and will expire between 2029 and 2036. Certain non-U.S. NOL 2015, respectively. carryforwards will expire between 2028 and 2034 whereas At December 31, 2017 and 2016, in addition to the liability others have an unlimited carryforward period. for unrecognized tax benefits, JPMorgan Chase Bank, N.A. had accrued $414 million and $493 million, respectively, The valuation allowance at December 31, 2017, was due to for income tax-related interest and penalties. certain non-U.S. NOL carryforwards. Tax examination status Unrecognized tax benefits JPMorgan Chase Bank, N.A. is continually under At December 31, 2017, 2016 and 2015, JPMorgan Chase examination by the Internal Revenue Service, by taxing Bank, N.A.’s unrecognized tax benefits, excluding related authorities throughout the world, and by many state and interest expense and penalties, were $3.2 billion $2.4 local jurisdictions throughout the U.S. The following table billion and $2.0 billion, respectively, of which $2.4 billion, summarizes the status of significant income tax $1.9 billion and $1.6 billion, respectively, if recognized, examinations of JPMorgan Chase Bank, N.A. and its would reduce the annual effective tax rate. Included in the consolidated subsidiaries as of December 31, 2017. amount of unrecognized tax benefits are certain items that would not affect the effective tax rate if they were Periods under recognized in the Consolidated statements of income. These December 31, 2017 examination Status unrecognized items include the tax effect of certain JPMorgan Chase – U.S. 2003 – 2005 At Appellate level temporary differences, the portion of gross state and local JPMorgan Chase – U.S. 2006 – 2010 Field examination of unrecognized tax benefits that would be offset by the amended returns; certain matters at benefit from associated U.S. federal income tax deductions, Appellate level and the portion of gross non-U.S. unrecognized tax benefits JPMorgan Chase – U.S. 2011 – 2013 Field Examination that would have offsets in other jurisdictions. JPMorgan JPMorgan Chase – 2011 – 2012 Field Examination Chase is presently under audit by a number of taxing California authorities, most notably by the Internal Revenue Service as JPMorgan Chase – U.K. 2006 – 2015 Field examination of summarized in the Tax examination status table below. certain select entities

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 117 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 23 – Restrictions on cash and Note 24 – Regulatory capital intercompany funds transfers JPMorgan Chase Bank, N.A.’s banking regulator, the OCC, The business of JPMorgan Chase Bank, N.A. is subject to establishes capital requirements, including well-capitalized examination and regulation by the OCC. JPMorgan Chase standards for national banks. Bank, N.A. is a member of the U.S. Federal Reserve System, Basel III overview and its deposits in the U.S. are insured by the FDIC, subject Basel III capital rules for JPMorgan Chase Bank, N.A., set to applicable limits. forth two comprehensive approaches for calculating risk- The Federal Reserve requires depository institutions to weighted assets (“RWA”): a standardized approach (“Basel maintain cash reserves with a Federal Reserve Bank. The III Standardized”) and an advanced approach (“Basel III average required amount of reserve balances deposited by Advanced”). Certain of the requirements of Basel III are JPMorgan Chase Bank, N.A. with a Federal Reserve Bank subject to phase-in periods that began on January 1, 2014 was approximately $24.9 billion and $19.3 billion in 2017 and 2016, respectively. and continue through the end of 2018 (“transitional period”). Restrictions imposed by U.S. federal law prohibit JPMorgan Chase & Co. and certain of its affiliates from borrowing from The three categories of risk-based capital and their JPMorgan Chase Bank, N.A. and other banking subsidiaries predominant components under the Basel III Transitional unless the loans are secured in specified amounts. Such rules are illustrated below: secured loans by JPMorgan Chase Bank, N.A. to any particular affiliate, together with certain other transactions with such affiliate (collectively referred to as “covered transactions”), are generally limited to 10% of JPMorgan Chase Bank, N.A.’s total capital, as determined by the risk- based capital guidelines; the aggregate amount of covered transactions between JPMorgan Chase Bank, N.A. and all affiliates is limited to 20% of JPMorgan Chase Bank, N.A.’s total capital. In addition to dividend restrictions set forth in statutes and regulations, the OCC, and under certain circumstances the FDIC, have authority under the Financial Institutions Supervisory Act to prohibit or to limit the payment of dividends by the banking organizations they supervise, including JPMorgan Chase Bank, N.A. if, in the banking regulator’s opinion, payment of a dividend would constitute an unsafe or unsound practice in light of the financial condition of the banking organization. At January 1, 2018, JPMorgan Chase Bank, N.A. could pay, in the aggregate, approximately $15 billion in dividends to JPMorgan Chase without the prior approval of its relevant banking regulators. The capacity to pay dividends in 2018 Risk-weighted assets will be supplemented by JPMorgan Chase Bank, N.A.’s Basel III establishes capital requirements for calculating earnings during the year. credit risk RWA and market risk RWA, and in the case of Basel III Advanced, operational risk RWA. Key differences in In compliance with rules and regulations established by U.S. the calculation of credit risk RWA between the Standardized and non-U.S. regulators, as of December 31, 2017 and and Advanced approaches are that for Basel III Advanced, 2016, cash in the amount of $8.9 billion and $6.1 billion, credit risk RWA is based on risk-sensitive approaches which respectively, were segregated in special bank accounts for largely rely on the use of internal credit models and the benefit of securities and futures brokerage customers. parameters, whereas for Basel III Standardized, credit risk Also, as of December 31, 2017 and 2016, JPMorgan Chase RWA is generally based on supervisory risk-weightings Bank, N.A. had: which vary primarily by counterparty type and asset class. • Receivables of $3.1 billion and $4.0 billion, respectively, Market risk RWA is calculated on a generally consistent consisting of cash pledged with clearing organizations for basis between Basel III Standardized and Basel III Advanced. the benefit of customers. In addition to the RWA calculated under these approaches, In addition, as of December 31, 2017 and 2016, JPMorgan JPMorgan Chase Bank, N.A. may supplement such amounts Chase Bank, N.A. had other restricted cash of $2.8 billion to incorporate management judgment and feedback from and $3.0 billion, respectively, primarily representing cash its bank regulators. reserves held at non-U.S. central banks and held for other general purposes.

118 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Supplementary leverage ratio (“SLR”) The following table presents the minimum ratios to which Basel III also includes a requirement for Advanced Approach JPMorgan Chase Bank, N.A. is subject as of December 31, banking organizations to calculate a SLR. The SLR is defined 2017. as Tier 1 capital under Basel III divided by JPMorgan Chase Minimum capital Well-capitalized Bank, N.A.’s total leverage exposure. Total leverage ratios(a)(c) ratios(b) exposure is calculated by taking JPMorgan Chase Bank, Capital ratios N.A.’s total average on-balance sheet assets, less amounts CET1 5.75% 6.50% permitted to be deducted for Tier 1 capital, and adding Tier 1 7.25 8.00 certain off-balance sheet exposures, such as undrawn commitments and derivatives potential future exposure. As Total 9.25 10.00 a well-capitalized IDI, JPMorgan Chase Bank, N.A. is Tier 1 leverage 4.00 5.00 required to have a minimum SLR of at least 6%, effective Note: The table above is as defined by the regulations issued by the OCC and FDIC and January 1, 2018. to which JPMorgan Chase Bank, N.A. and its IDI subsidiaries are subject. (a) Represents requirements for JPMorgan Chase Bank, N.A. and its subsidiaries. The Risk-based capital regulatory minimums CET1 minimum capital ratio includes 1.25% resulting from the phase-in of the 2.5% capital conservation buffer that is applicable to IDI subsidiaries. The Basel III rules include minimum capital ratio (b) Represents requirements for IDI subsidiaries pursuant to regulations issued requirements that are subject to phase-in periods through under the FDIC Improvement Act. (c) For the period ended December 31, 2016, the CET1, Tier 1, Total and Tier 1 the end of 2018. leverage minimum capital ratios applicable to JPMorgan Chase Bank, N.A. were 5.125%, 6.625%, 8.625% and 4.0%, respectively. JPMorgan Chase Bank, N.A. is required to hold additional amounts of capital to serve as a “capital conservation As of December 31, 2017, and 2016, JPMorgan Chase buffer”. The capital conservation buffer is intended to be Bank, N.A. was well-capitalized and met all capital used to absorb potential losses in times of financial or requirements to which it was subject. economic stress. If not maintained, JPMorgan Chase Bank, N.A. could be limited in the amount of capital that may be distributed. The capital conservation buffer is subject to a phase-in period that began January 1, 2016 and continues through the end of 2018. When fully phased-in, JPMorgan Chase Bank, N.A. will be required to hold a 2.5% capital conservation buffer. The countercyclical capital buffer takes into account the macro financial environment in which large, internationally active banks function. On September 8, 2016 the Federal Reserve published the framework that will apply to the setting of the countercyclical capital buffer. As of December 1, 2017, the Federal Reserve reaffirmed setting the U.S. countercyclical capital buffer at 0%, and stated that it will review the amount at least annually. The countercyclical capital buffer can be increased if the Federal Reserve, FDIC and OCC determine that credit growth in the economy has become excessive and can be set at up to an additional 2.5% of RWA subject to a 12-month implementation period. Under the risk-based capital guidelines of the OCC, JPMorgan Chase Bank, N.A. is required to maintain minimum ratios of CET1, Tier 1 and Total capital to RWA, as well as a minimum leverage ratio (which is defined as Tier 1 capital divided by adjusted quarterly average assets). Failure to meet these minimum requirements could cause the OCC to take action.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 119 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

The following table presents the regulatory capital, assets Note 25 – Off–balance sheet lending-related and risk-based capital ratios for JPMorgan Chase Bank, N.A. financial instruments, guarantees, and other under both Basel III Standardized Transitional and Basel III commitments Advanced Transitional at December 31, 2017 and 2016. JPMorgan Chase Bank, N.A. provides lending-related JPMorgan Chase Bank, N.A. financial instruments (e.g., commitments and guarantees) Basel III Standardized Basel III Advanced to meet the financing needs of its clients or customers. The Transitional Transitional contractual amount of these financial instruments (in millions, Dec 31, Dec 31, Dec 31, Dec 31, represents the maximum possible credit risk to JPMorgan except ratios) 2017 2016 2017 2016 Chase Bank, N.A. should the counterparty draw upon the Regulatory capital commitment or JPMorgan Chase Bank, N.A. be required to fulfill its obligation under the guarantee, and should the CET1 capital $ 184,375 $ 179,319 $ 184,375 $ 179,319 counterparty subsequently fail to perform according to the Tier 1 capital(a) 184,375 179,341 184,375 179,341 terms of the contract. Most of these commitments and Total capital 195,839 191,662 189,419 184,637 guarantees are refinanced, extended, cancelled, or expire Assets without being drawn or a default occurring. As a result, the

Risk-weighted 1,335,809 1,311,240 (e) 1,226,534 1,262,613 total contractual amount of these instruments is not, in JPMorgan Chase Bank, N.A.’s view, representative of its Adjusted average(b) 2,116,031 2,088,851 2,116,031 2,088,851 expected future credit exposure or funding requirements.

Capital ratios(c) To provide for probable credit losses inherent in wholesale

CET1 13.8% 13.7% (e) 15.0% 14.2% and certain consumer lending-commitments, an allowance

Tier 1(a) 13.8 13.7 (e) 15.0 14.2 for credit losses on lending-related commitments is maintained. See Note 14 for further information regarding Total 14.7 14.6 (e) 15.4 14.6 the allowance for credit losses on lending-related Tier 1 leverage(d) 8.7 8.6 8.7 8.6 commitments. The following table summarizes the (a) Includes the deduction associated with the permissible holdings of contractual amounts and carrying values of off-balance covered funds (as defined by the Volcker Rule). The deduction was not material as of December 31, 2017 and 2016. sheet lending-related financial instruments, guarantees and (b) Adjusted average assets, for purposes of calculating the Tier 1 leverage other commitments at December 31, 2017 and 2016. The ratio, includes total quarterly average assets adjusted for unrealized amounts in the table below for credit card and home equity gains/(losses) on AFS securities, less deductions for goodwill and other intangible assets, defined benefit pension plan assets, and deferred tax lending-related commitments represent the total available assets related to tax attributes, including NOLs. credit for these products. JPMorgan Chase Bank, N.A. has (c) For each of the risk-based capital ratios, the capital adequacy of JPMorgan not experienced, and does not anticipate, that all available Chase Bank, N.A. and its IDI subsidiaries is evaluated against the lower of the two ratios as calculated under Basel III approaches (Standardized or lines of credit for these products will be utilized at the same Advanced) as required by the Collins Amendment of the Dodd-Frank Act time. JPMorgan Chase Bank, N.A. can reduce or cancel (the “Collins Floor”). credit card lines of credit by providing the borrower notice (d) The Tier 1 leverage ratio is not a risk-based measure of capital. This ratio is calculated by dividing Tier 1 capital by adjusted average assets. or, in some cases as permitted by law, without notice. In (e) The prior period amounts have been revised to conform with the current addition, JPMorgan Chase Bank, N.A. typically closes credit period presentation. card lines when the borrower is 60 days or more past due. JPMorgan Chase Bank, N.A. may reduce or close HELOCs when there are significant decreases in the value of the underlying property, or when there has been a demonstrable decline in the creditworthiness of the borrower.

120 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Off–balance sheet lending-related financial instruments, guarantees and other commitments Contractual amount Carrying value(i) 2017 2016 2017 2016 Expires Expires after after Expires in 1 year 3 years Expires By remaining maturity at December 31, 1 year or through through after 5 (in millions) less 3 years 5 years years Total Total Lending-related Consumer, excluding credit card: Home equity $ 2,165 $ 1,370 $ 1,379 $ 15,446 $ 20,360 $ 21,713 $ 12 $ 12 Residential mortgage(a)(b) 5,723 — — 13 5,736 10,332 — — Auto 8,007 872 292 84 9,255 8,476 2 2 Consumer & business banking (b) 11,642 926 112 522 13,202 12,940 19 12 Total consumer, excluding credit card 27,537 3,168 1,783 16,065 48,553 53,461 (h) 33 26 Credit card 12,127 — — — 12,127 11,198 — — Total consumer(c) 39,664 3,168 1,783 16,065 60,680 64,659 (h) 33 26 Wholesale: Other unfunded commitments to extend credit(d)(e) 60,795 118,793 138,289 12,428 330,305 324,221 840 905 Standby letters of credit and other financial guarantees(d) 15,294 9,905 7,963 2,080 35,242 36,170 636 586 Other letters of credit(d) 3,459 114 139 — 3,712 3,570 3 2 Total wholesale 79,548 128,812 146,391 14,508 369,259 363,961 1,479 1,493 Total lending-related $ 119,212 $131,980 $ 148,174 $ 30,573 $ 429,939 $ 428,620 (h) $ 1,512 $ 1,519 Other guarantees and commitments Securities lending indemnification agreements and guarantees(f) $ 191,302 $ — $ — $ — $ 191,302 $ 149,533 $ — $ — Derivatives qualifying as guarantees 5,011 206 12,479 40,065 57,761 51,278 310 48 Unsettled reverse repurchase and securities borrowing agreements 61,610 — — — 61,610 46,801 — — Unsettled repurchase and securities lending agreements 32,750 — — — 32,750 23,429 — — Loan sale and securitization-related indemnifications: Mortgage repurchase liability NA NA NA NA NA NA 111 129 Loans sold with recourse NA NA NA NA 766 2,274 8 31 Other guarantees and commitments(g) 7,045 7,260 6,415 2,166 22,886 25,962 (82) (131) (a) Includes certain commitments to purchase loans from correspondents. (b) Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation. (c) Predominantly all consumer lending-related commitments are in the U.S. (d) At December 31, 2017 and 2016, reflected the contractual amount net of risk participations totaling $334 million and $328 million, respectively, for other unfunded commitments to extend credit; $10.4 billion and $11.1 billion, respectively, for standby letters of credit and other financial guarantees; and $405 million and $265 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations. (e) At both December 31, 2017 and 2016, included commitments to affiliates of $16 million. (f) At December 31, 2017 and 2016, collateral held by JPMorgan Chase Bank, N.A. in support of securities lending indemnification agreements was $200.9 billion and $155.9 billion, respectively. Securities lending collateral consist of primarily cash and securities issued by governments that are members G7 and U.S. government agencies. (g) At December 31, 2017 and 2016, included guarantees of the obligations of affiliates of $14.2 billion and $21.3 billion, which predominantly relate to obligations arising under the affiliates’ borrowing facilities at the FHLBs; and unfunded equity investment commitments of $32 million and $15 million, respectively. In addition, at both December 31, 2017 and 2016, included letters of credit hedged by derivative transactions and managed on a market risk basis of $4.5 billion and $4.6 billion. (h) The prior period amounts have been revised to conform with the current period presentation. (i) For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative-related products, the carrying value represents the fair value.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 121 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Other unfunded commitments to extend credit As required by U.S. GAAP, JPMorgan Chase Bank, N.A. Other unfunded commitments to extend credit generally initially records guarantees at the inception date fair value consist of commitments for working capital and general of the obligation assumed (e.g., the amount of corporate purposes, extensions of credit to support consideration received or the net present value of the commercial paper facilities and bond financings in the event premium receivable). For certain types of guarantees, that those obligations cannot be remarketed to new JPMorgan Chase Bank, N.A. records this fair value amount investors, as well as committed liquidity facilities to clearing in other liabilities with an offsetting entry recorded in cash organizations. JPMorgan Chase Bank, N.A. also issues (for premiums received), or other assets (for premiums commitments under multipurpose facilities which could be receivable). Any premium receivable recorded in other drawn upon in several forms, including the issuance of a assets is reduced as cash is received under the contract, and standby letter of credit. the fair value of the liability recorded at inception is amortized into income as lending and deposit-related fees JPMorgan Chase Bank, N.A. acts as a settlement and over the life of the guarantee contract. For indemnifications custody bank in the U.S. tri-party repurchase transaction provided in sales agreements, a portion of the sale market. In its role as settlement and custody bank, proceeds is allocated to the guarantee, which adjusts the JPMorgan Chase Bank, N.A. is exposed to the intra-day gain or loss that would otherwise result from the credit risk of its cash borrower clients, usually broker- transaction. For these indemnifications, the initial liability is dealers. This exposure arises under secured clearance amortized to income as JPMorgan Chase Bank, N.A.’s risk is advance facilities that JPMorgan Chase Bank, N.A. extends reduced (i.e., over time or when the indemnification to its clients (i.e. cash borrowers); these facilities expires). Any contingent liability that exists as a result of contractually limit JPMorgan Chase Bank, N.A.’s intra-day issuing the guarantee or indemnification is recognized when credit risk to the facility amount and must be repaid by the it becomes probable and reasonably estimable. The end of the day. As of December 31, 2017 and 2016, the contingent portion of the liability is not recognized if the secured clearance advance facility maximum outstanding estimated amount is less than the carrying amount of the commitment amount was $3.5 billion and $4.4 billion, liability recognized at inception (adjusted for any respectively. amortization). The recorded amounts of the liabilities Guarantees related to guarantees and indemnifications at U.S. GAAP requires that a guarantor recognize, at the December 31, 2017 and 2016, excluding the allowance for inception of a guarantee, a liability in an amount equal to credit losses on lending-related commitments, are the fair value of the obligation undertaken in issuing the discussed below. guarantee. U.S. GAAP defines a guarantee as a contract that Standby letters of credit and other financial guarantees contingently requires the guarantor to pay a guaranteed Standby letters of credit and other financial guarantees are party based upon: (a) changes in an underlying asset, conditional lending commitments issued by JPMorgan Chase liability or equity security of the guaranteed party; or (b) a Bank, N.A. to guarantee the performance of a client or third party’s failure to perform under a specified customer to a third party under certain arrangements, such agreement. JPMorgan Chase Bank, N.A. considers the as commercial paper facilities, bond financings, acquisition following off–balance sheet lending-related arrangements financings, trade and similar transactions. The carrying to be guarantees under U.S. GAAP: standby letters of credit values of standby and other letters of credit were and other financial guarantees, securities lending $639 million and $588 million at December 31, 2017 and indemnifications, certain indemnification agreements 2016, respectively, which were classified in accounts included within third-party contractual arrangements and payable and other liabilities on the Consolidated balance certain derivative contracts. sheets; these carrying values included $195 million and $147 million, respectively, for the allowance for lending- related commitments, and $444 million and $441 million, respectively, for the guarantee liability and corresponding asset.

122 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The following table summarizes the types of facilities under which standby letters of credit and other letters of credit arrangements are outstanding by the ratings profiles of JPMorgan Chase Bank, N.A.’s clients, as of December 31, 2017 and 2016. Standby letters of credit, other financial guarantees and other letters of credit

2017 2016 Standby letters of Standby letters of December 31, credit and other Other letters credit and other Other letters (in millions) financial guarantees of credit financial guarantees of credit Investment-grade(a) $ 28,492 $ 2,646 $ 28,245 $ 2,781 Noninvestment-grade(a) 6,750 1,066 7,702 789 Total contractual amount $ 35,242 $ 3,712 $ 35,947 $ 3,570 Allowance for lending-related commitments $ 192 $ 3 $ 145 $ 2 Guarantee liability 444 — 441 — Total carrying value $ 636 $ 3 $ 586 $ 2 Commitments with collateral $ 17,421 $ 878 $ 19,346 $ 940

(a) The ratings scale is based on JPMorgan Chase Bank, N.A.’s internal ratings, which generally correspond to ratings as defined by S&P and Moody’s.

Securities lending indemnifications realize investment returns with less volatility than an Through JPMorgan Chase Bank, N.A.’s securities lending unprotected portfolio. These contracts are typically longer- program, counterparties’ securities, via custodial and non- term or may have no stated maturity, but allow JPMorgan custodial arrangements, may be lent to third parties. As Chase Bank, N.A. to elect to terminate the contract under part of this program, JPMorgan Chase Bank, N.A. provides certain conditions. an indemnification in the lending agreements which protects the lender against the failure of the borrower to The notional value of derivatives guarantees generally return the lent securities. To minimize its liability under represents JPMorgan Chase Bank, N.A.’s maximum these indemnification agreements, JPMorgan Chase Bank, exposure. However, exposure to certain stable value N.A. obtains cash or other highly liquid collateral with a products is contractually limited to a substantially lower market value exceeding 100% of the value of the securities percentage of the notional amount. on loan from the borrower. Collateral is marked to market The fair value of derivative guarantees reflects the daily to help assure that collateralization is adequate. probability, in JPMorgan Chase Bank, N.A.’s view, of whether Additional collateral is called from the borrower if a JPMorgan Chase Bank, N.A. will be required to perform shortfall exists, or collateral may be released to the under the contract. JPMorgan Chase Bank, N.A. reduces borrower in the event of overcollateralization. If a borrower exposures to these contracts by entering into offsetting defaults, JPMorgan Chase Bank, N.A. would use the transactions, or by entering into contracts that hedge the collateral held to purchase replacement securities in the market or to credit the lending client or counterparty with market risk related to the derivative guarantees. the cash equivalent thereof. The following table summarizes the derivatives qualifying as Derivatives qualifying as guarantees guarantees as of December 31, 2017 and 2016. JPMorgan Chase Bank, N.A. transacts certain derivative December 31, (in millions) 2017 2016 contracts that have the characteristics of a guarantee under Notional amounts U.S. GAAP. These contracts include written put options that require JPMorgan Chase Bank, N.A. to purchase assets upon Derivative guarantees 57,761 51,278 Stable value contracts with exercise by the option holder at a specified price by a contractually limited exposure 29,104 28,665 specified date in the future. JPMorgan Chase Bank, N.A.may Maximum exposure of stable enter into written put option contracts in order to meet value contracts with client needs, or for other trading purposes. The terms of contractually limited exposure 3,053 3,012 written put options are typically five years or less. Fair value Derivatives deemed to be guarantees also includes stable Derivative payables 310 64 value contracts, commonly referred to as “stable value Derivative receivables — 16 products”, that require JPMorgan Chase Bank, N.A. to make In addition to derivative contracts that meet the a payment of the difference between the market value and characteristics of a guarantee, JPMorgan Chase Bank, N.A. the book value of a counterparty’s reference portfolio of is both a purchaser and seller of credit protection in the assets in the event that market value is less than book value credit derivatives market. For a further discussion of credit and certain other conditions have been met. Stable value derivatives, see 6. products are transacted in order to allow investors to

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 123 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Unsettled reverse repurchase and securities borrowing Loans sold with recourse agreements, and unsettled repurchase and securities JPMorgan Chase Bank, N.A. provides servicing for lending agreements mortgages and certain commercial lending products on In the normal course of business, JPMorgan Chase Bank, both a recourse and nonrecourse basis. In nonrecourse N.A. enters into reverse repurchase agreements and servicing, the principal credit risk to JPMorgan Chase Bank, securities borrowing agreements, which are secured N.A. is the cost of temporary servicing advances of funds financing agreements. Such agreements settle at a future (i.e., normal servicing advances). In recourse servicing, the date. At settlement, these commitments result in JPMorgan servicer agrees to share credit risk with the owner of the Chase Bank, N.A. advancing cash to and receiving securities mortgage loans, such as Fannie Mae or Freddie Mac or a collateral from the counterparty. JPMorgan Chase Bank, private investor, insurer or guarantor. Losses on recourse N.A. also enters into repurchase agreements and securities servicing predominantly occur when foreclosure sales lending agreements. At settlement, these commitments proceeds of the property underlying a defaulted loan are result in JPMorgan Chase Bank N.A. receiving cash from and less than the sum of the outstanding principal balance, plus providing securities collateral to the counterparty. These agreements generally do not meet the definition of a accrued interest on the loan and the cost of holding and derivative, and therefore, are not recorded on the disposing of the underlying property. JPMorgan Chase Bank, Consolidated balance sheets until settlement date. These N.A.’s securitizations are predominantly nonrecourse, agreements predominantly consist of agreements with thereby effectively transferring the risk of future credit regular-way settlement periods. For a further discussion of losses to the purchaser of the mortgage-backed securities securities purchased under resale agreements and issued by the trust. At December 31, 2017 and 2016, the securities borrowed, and securities sold under repurchase unpaid principal balance of loans sold with recourse totaled agreements and securities loaned, see Note 12. $766 million and $2.3 billion, respectively. The carrying value of the related liability that JPMorgan Chase Bank, N.A. Loan sales- and securitization-related indemnifications has recorded, which is representative of JPMorgan Chase Mortgage repurchase liability Bank, N.A.’s view of the likelihood it will have to perform In connection with JPMorgan Chase Bank, N.A.’s mortgage under its recourse obligations, was $8 million and $31 loan sale and securitization activities with GSEs, as million at December 31, 2017 and 2016, respectively. described in Note 15, JPMorgan Chase Bank, N.A. has made representations and warranties that the loans sold meet Other off-balance sheet arrangements certain requirements that may require JPMorgan Chase Indemnification agreements – general Bank, N.A. to repurchase mortgage loans and/or indemnify In connection with issuing securities to investors outside the the loan purchaser. Further, although JPMorgan Chase U.S., JPMorgan Chase Bank, N.A. may agree to pay Bank, N.A.’s securitizations are predominantly nonrecourse, additional amounts to the holders of the securities in the JPMorgan Chase Bank, N.A. does provide recourse servicing event that, due to a change in tax law, certain types of in certain limited cases where it agrees to share credit risk withholding taxes are imposed on payments on the with the owner of the mortgage loans. To the extent that securities. The terms of the securities may also give repurchase demands that are received relate to loans that JPMorgan Chase Bank, N.A. the right to redeem the JPMorgan Chase Bank, N.A. purchased from third parties securities if such additional amounts are payable. The that remain viable, JPMorgan Chase Bank, N.A. typically will have the right to seek a recovery of related repurchase enactment of the TCJA will not cause JPMorgan Chase Bank, losses from the third party. Generally, the maximum amount N.A. to become obligated to pay any such additional of future payments JPMorgan Chase Bank, N.A. would be amounts. JPMorgan Chase Bank, N.A. may also enter into required to make for breaches of these representations and indemnification clauses in connection with the licensing of warranties would be equal to the unpaid principal balance software to clients (“software licensees”) or when it sells a of such loans that are deemed to have defects that were business or assets to a third party (“third-party sold to purchasers (including securitization-related SPEs) purchasers”), pursuant to which it indemnifies software plus, in certain circumstances, accrued interest on such licensees for claims of liability or damages that may occur loans and certain expenses. subsequent to the licensing of the software, or third-party purchasers for losses they may incur due to actions taken Private label securitizations by JPMorgan Chase Bank, N.A. prior to the sale of the The liability related to repurchase demands associated with business or assets. It is difficult to estimate JPMorgan Chase private label securitizations is separately evaluated by Bank, N.A.’s maximum exposure under these JPMorgan Chase Bank, N.A. in establishing its litigation indemnification arrangements, since this would require an reserves. assessment of future changes in tax law and future claims For additional information regarding litigation, see Note 27. that may be made against JPMorgan Chase Bank, N.A. that have not yet occurred. However, based on historical experience, management expects the risk of loss to be remote.

124 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Card charge-backs As a clearing member, JPMorgan Chase Bank, N.A. is Under the rules of Visa USA, Inc., and MasterCard exposed to the risk of nonperformance by its clients, but is International, JPMorgan Chase Bank, N.A., is primarily liable not liable to clients for the performance of the CCPs. Where for the amount of each processed card sales transaction possible, JPMorgan Chase Bank, N.A. seeks to mitigate its that is the subject of a dispute between a cardmember and risk to the client through the collection of appropriate a merchant. If a dispute is resolved in the cardmember’s amounts of margin at inception and throughout the life of favor, the merchant services business will (through the the transactions. JPMorgan Chase Bank, N.A. can also cease cardmember’s issuing bank) credit or refund the amount to providing clearing services if clients do not adhere to their the cardmember and will charge back the transaction to the obligations under the clearing agreement. In the event of merchant. If the merchant services business is unable to nonperformance by a client, JPMorgan Chase Bank, N.A. collect the amount from the merchant, the merchant would close out the client’s positions and access available services business will bear the loss for the amount credited margin. The CCP would utilize any margin it holds to make or refunded to the cardmember. The merchant services itself whole, with any remaining shortfalls required to be business mitigates this risk by withholding future paid by JPMorgan Chase Bank, N.A. as a clearing member. settlements, retaining cash reserve accounts or by obtaining JPMorgan Chase Bank, N.A. reflects its exposure to other security. However, in the unlikely event that: (1) a nonperformance risk of the client through the recognition merchant ceases operations and is unable to deliver of margin receivables from clients and margin payables to products, services or a refund; (2) The merchant services CCPs; the clients’ underlying securities or derivative business does not have sufficient collateral from the contracts are not reflected in JPMorgan Chase Bank, N.A.’s merchant to provide cardmember refunds; and (3) The Consolidated Financial Statements. merchant services business does not have sufficient financial resources to provide cardmember refunds, It is difficult to estimate JPMorgan Chase Bank, N.A.’s JPMorgan Chase Bank, N.A., would recognize the loss. maximum possible exposure through its role as a clearing member, as this would require an assessment of The merchant services business incurred aggregate losses transactions that clients may execute in the future. of $28 million, $85 million, and $12 million on $1,191.7 However, based upon historical experience, and the credit billion, $1,063.4 billion, and $949.3 billion of aggregate risk mitigants available to JPMorgan Chase Bank, N.A., volume processed for the years ended December 31, 2017, management believes it is unlikely that JPMorgan Chase 2016 and 2015, respectively. Incurred losses from Bank, N.A. will have to make any material payments under merchant charge-backs are charged to other expense, with these arrangements and the risk of loss is expected to be the offset recorded in a valuation allowance against accrued remote. interest and accounts receivable on the Consolidated balance sheets. The carrying value of the valuation For information on the derivatives that JPMorgan Chase allowance was $7 million and $45 million at December 31, Bank, N.A. executes for its own account and records in its 2017 and 2016, respectively, which JPMorgan Chase Bank, Consolidated Financial Statements, see Note 6. N.A. believes, based on historical experience and the Exchange & Clearing House Memberships collateral held by the merchant services business of $141 JPMorgan Chase Bank, N.A. is a member of several million and $125 million at December 31, 2017 and 2016, securities and derivative exchanges and clearing houses, respectively, is representative of the payment or both in the U.S. and other countries, and it provides clearing performance risk to JPMorgan Chase Bank, N.A. related to services. Membership in some of these organizations charge-backs. requires JPMorgan Chase Bank, N.A. to pay a pro rata share Clearing Services – Client Credit Risk of the losses incurred by the organization as a result of the JPMorgan Chase Bank, N.A. provides clearing services for default of another member. Such obligations vary with clients by entering into securities purchases and sales and different organizations. These obligations may be limited to derivative transactions with CCPs, including ETDs such as members who dealt with the defaulting member or to the futures and options, as well as OTC-cleared derivative amount (or a multiple of the amount) of JPMorgan Chase contracts. As a clearing member, JPMorgan Chase Bank, Bank, N.A.’s contribution to the guarantee fund maintained N.A. stands behind the performance of its clients, collects by a clearing house or exchange as part of the resources cash and securities collateral (margin) as well as any available to cover any losses in the event of a member settlement amounts due from or to clients, and remits them default. Alternatively, these obligations may include a pro to the relevant CCP or client in whole or part. There are two rata share of the residual losses after applying the types of margin: variation margin is posted on a daily basis guarantee fund. Additionally, certain clearing houses based on the value of clients’ derivative contracts and initial require JPMorgan Chase Bank, N.A. as a member to pay a margin is posted at inception of a derivative contract, pro rata share of losses that may result from the clearing generally on the basis of the potential changes in the house’s investment of guarantee fund contributions and variation margin requirement for the contract. initial margin, unrelated to and independent of the default of another member. Generally a payment would only be

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 125 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) required should such losses exceed the resources of the The following table presents required future minimum clearing house or exchange that are contractually required rental payments under operating leases with noncancelable to absorb the losses in the first instance. It is difficult to lease terms that expire after December 31, 2017. estimate JPMorgan Chase Bank, N.A.’s maximum possible exposure under these membership agreements, since this Year ended December 31, (in millions) would require an assessment of future claims that may be 2018 $ 1,341 made against JPMorgan Chase Bank, N.A. that have not yet 2019 1,341 occurred. However, based on historical experience, 2020 1,228 management expects the risk of loss to be remote. 2021 991 2022 785 Guarantees of subsidiaries and affiliates After 2022 3,638 In the normal course of business, JPMorgan Chase Bank, Total minimum payments required 9,324 N.A. may provide counterparties with guarantees of certain Less: Sublease rentals under noncancelable subleases (853) of the trading and other obligations of its subsidiaries and Net minimum payment required $ 8,471 affiliates on a contract-by-contract basis, as negotiated with JPMorgan Chase Bank, N.A.’s counterparties. The Total rental expense was as follows. obligations of the subsidiaries are included on JPMorgan Year ended December 31, Chase Bank, N.A.’s Consolidated balance sheets or are (in millions) 2017 2016 2015 reflected as off-balance sheet commitments; therefore, Gross rental expense $ 1,667 $ 1,666 $ 1,672 JPMorgan Chase Bank, N.A. has not recognized a separate Sublease rental income (208) (198) (198) liability for these guarantees. As at December 31, 2017 and Net rental expense $ 1,459 $ 1,468 $ 1,474 2016, JPMorgan Chase Bank, N.A. had provided guarantees of $14.2 billion and $21.3 billion, respectively, of the Pledged assets obligations of affiliates. JPMorgan Chase Bank, N.A. believes JPMorgan Chase Bank, N.A. may pledge financial assets that that the occurrence of any event that would trigger it owns to maintain potential borrowing capacity with payments by JPMorgan Chase Bank, N.A. under these central banks and for other purposes, including to secure guarantees is remote. borrowings and public deposits, collateralize repurchase Note 26 – Commitments, pledged assets and and other securities financing agreements, and cover customer short sales. Certain of these pledged assets may collateral be sold or repledged or otherwise used by the secured Lease commitments parties and are identified as financial instruments owned At December 31, 2017, JPMorgan Chase Bank, N.A. and its (pledged to various parties) on the Consolidated balance subsidiaries were obligated under a number of sheets. noncancelable operating leases for premises and equipment used primarily for banking purposes. Certain leases contain The following table presents JPMorgan Chase Bank, N.A.’s renewal options or escalation clauses providing for pledged assets. increased rental payments based on maintenance, utility December 31, (in billions) 2017 2016 and tax increases, or they require JPMorgan Chase Bank, Assets that may be sold or repledged N.A. to perform restoration work on leased premises. No or otherwise used by secured parties $ 74.6 $ 71.8 lease agreement imposes restrictions on JPMorgan Chase Assets that may not be sold or Bank, N.A.’s ability to pay dividends, engage in debt or repledged or otherwise used by secured parties 39.0 37.8 equity financing transactions or enter into further lease Assets pledged at Federal Reserve agreements. banks and FHLBs 434.3 388.7 Total assets pledged $ 547.9 $ 498.3

Total assets pledged do not include assets of consolidated VIEs; these assets are used to settle the liabilities of those entities. See Note 15 for additional information on assets and liabilities of consolidated VIEs. For additional information on JPMorgan Chase Bank, N.A.’s securities financing activities, see Note 12, For additional information on the JPMorgan Chase Bank, N.A.’s long-term debt, see Note 19.

126 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements The significant components of JPMorgan Chase Bank, N.A.’s an estimate can be made, as of that date. JPMorgan Chase’s pledged assets were as follows. estimate of the aggregate range of reasonably possible losses involves significant judgment, given the number, December 31, (in billions) 2017 2016 variety and varying stages of the proceedings (including the Securities $ 91.4 $ 104.1 fact that many are in preliminary stages), the existence in Loans 378.1 321.4 many such proceedings of multiple defendants (including Trading assets and other 78.4 72.8 JPMorgan Chase and JPMorgan Chase Bank, N.A.) whose Total assets pledged $ 547.9 $ 498.3 share of liability has yet to be determined, the numerous yet-unresolved issues in many of the proceedings (including Collateral issues regarding class certification and the scope of many of JPMorgan Chase Bank, N.A. accepts financial assets as the claims) and the attendant uncertainty of the various collateral that it is permitted to sell or repledge, deliver or potential outcomes of such proceedings, including where otherwise use. This collateral is generally obtained under JPMorgan Chase has made assumptions concerning future resale agreements, securities borrowing agreements, rulings by the court or other adjudicator, or about the customer margin loans and derivative agreements behavior or incentives of adverse parties or regulatory Collateral is generally used under repurchase agreements, authorities, and those assumptions prove to be incorrect. In securities lending agreements or to cover customer short addition, the outcome of a particular proceeding may be a sales and to collateralize deposits and derivative result which JPMorgan Chase did not take into account in its agreements. estimate because JPMorgan Chase had deemed the The following table presents the fair value of collateral likelihood of that outcome to be remote. Accordingly, accepted. JPMorgan Chase’s estimate of the aggregate range of reasonably possible losses will change from time to time, December 31, (in billions) 2017 2016 and actual losses may vary significantly. Collateral permitted to be sold or repledged, delivered, or otherwise used $ 590.8 $ 491.0 (a) Set forth below are descriptions of JPMorgan Chase’s Collateral sold, repledged, delivered or material legal proceedings in which JPMorgan Chase and its otherwise used 482.9 396.6 subsidiaries (which in certain instances include JPMorgan Chase Bank, N.A.) are involved or have been named as (a) The prior period amount has been revised to conform with the current period presentation. parties. Foreign Exchange Investigations and Litigation. JPMorgan Note 27 – Litigation Chase previously reported settlements with certain Contingencies government authorities relating to its foreign exchange As of December 31, 2017, JPMorgan Chase and its (“FX”) sales and trading activities and controls related to subsidiaries, including but not limited to JPMorgan Chase those activities. FX-related investigations and inquiries by Bank, N.A., are defendants or putative defendants in government authorities, including competition authorities, numerous legal proceedings, including private, civil are ongoing, and JPMorgan Chase is cooperating with and litigations and regulatory/government investigations. The working to resolve those matters. In May 2015, JPMorgan litigations range from individual actions involving a single Chase pleaded guilty to a single violation of federal antitrust plaintiff to class action lawsuits with potentially millions of law. In January 2017, JPMorgan Chase was sentenced, with class members. Investigations involve both formal and judgment entered thereafter. The Department of Labor has informal proceedings, by both governmental agencies and granted JPMorgan Chase a five-year exemption of self-regulatory organizations. These legal proceedings are disqualification, effective upon expiration of a temporary at varying stages of adjudication, arbitration or one-year exemption previously granted, that allows investigation, and involve each of JPMorgan Chase’s lines of JPMorgan Chase and its affiliates to continue to rely on the business and geographies and a wide variety of claims Qualified Professional Asset Manager exemption under the (including common law tort and contract claims and Employee Retirement Income Security Act (“ERISA”). statutory antitrust, securities and consumer protection JPMorgan Chase will need to reapply in due course for a claims), some of which present novel legal theories. further exemption to cover the remainder of the ten-year JPMorgan Chase believes the estimate of the aggregate disqualification period. Separately, in February 2017 the range of reasonably possible losses, in excess of reserves South Africa Competition Commission referred its FX established, for JPMorgan Chase’s legal proceedings is from investigation of JPMorgan Chase and other banks to the $0 to approximately $1.7 billion at December 31, 2017. South Africa Competition Tribunal, which is conducting civil This estimated aggregate range of reasonably possible proceedings concerning that matter. losses was based upon currently available information for JPMorgan Chase is also one of a number of foreign those proceedings in which JPMorgan Chase believes that exchange dealers defending a class action filed in the an estimate of reasonably possible loss can be made. For United States District Court for the Southern District of New certain matters, JPMorgan Chase does not believe that such York by U.S.-based plaintiffs, principally alleging violations

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 127 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.) of federal antitrust laws based on an alleged conspiracy to concerning, among other things, the characterization and manipulate foreign exchange rates (the “U.S. class action”). value of the remaining additional collateral, in light of the In January 2015, JPMorgan Chase entered into a settlement Bankruptcy Court’s ruling regarding the representative agreement in the U.S. class action. Following this assets, as well as other issues, including the cross-claims. settlement, a number of additional putative class actions Hopper Estate Litigation. JPMorgan Chase is a defendant in were filed seeking damages for persons who transacted FX an action in connection with its role as an independent futures and options on futures (the “exchanged-based administrator of an estate. The plaintiffs sought in excess of actions”), consumers who purchased foreign currencies at $7 million in compensatory damages, primarily relating to allegedly inflated rates (the “consumer action”), attorneys’ fees incurred by the plaintiffs. After a trial in participants or beneficiaries of qualified ERISA plans (the probate court in Dallas, Texas that ended in September “ERISA actions”), and purported indirect purchasers of FX 2017, the jury returned a verdict against JPMorgan Chase, instruments (the “indirect purchaser action”). Since then, awarding plaintiffs their full compensatory damages and JPMorgan Chase has entered into a revised settlement multiple billions in punitive damages. Notwithstanding the agreement to resolve the consolidated U.S. class action, jury verdict, in light of legal limitations on the availability of including the exchange-based actions, and that agreement damages, certain of the plaintiffs moved for entry of has been preliminarily approved by the Court. The District judgment in the total amount of approximately $71 million, Court has dismissed one of the ERISA actions, and the including punitive damages, while another plaintiff has not plaintiffs have filed an appeal. The consumer action, a yet moved for judgment. The court has not yet entered a second ERISA action and the indirect purchaser action judgment in this matter. The parties are engaged in post- remain pending in the District Court. trial briefing. General Motors Litigation. JPMorgan Chase Bank, N.A. Interchange Litigation. A group of merchants and retail participated in, and was the Administrative Agent on behalf associations filed a series of class action complaints alleging of a syndicate of lenders on, a $1.5 billion syndicated Term that Visa and MasterCard, as well as certain banks, Loan facility (“Term Loan”) for General Motors Corporation conspired to set the price of credit and debit card (“GM”). In July 2009, in connection with the GM bankruptcy interchange fees and enacted respective rules in violation of proceedings, the Official Committee of Unsecured Creditors antitrust laws. The parties settled the cases for a cash of Motors Liquidation Company (“Creditors Committee”) payment of $6.1 billion to the class plaintiffs (of which filed a lawsuit against JPMorgan Chase Bank, N.A., in its JPMorgan Chase’s share is approximately 20%) and an individual capacity and as Administrative Agent for other amount equal to ten basis points of credit card interchange lenders on the Term Loan, seeking to hold the underlying for a period of 8 months to be measured from a date within lien invalid based on the filing of a UCC-3 termination 60 days of the end of the opt-out period. The settlement statement relating to the Term Loan. In January 2015, also provided for modifications to each credit card following several court proceedings, the United States Court network’s rules, including those that prohibit surcharging of Appeals for the Second Circuit reversed the Bankruptcy credit card transactions. In December 2013, the District Court’s dismissal of the Creditors Committee’s claim and Court granted final approval of the settlement. remanded the case to the Bankruptcy Court with instructions to enter partial summary judgment for the A number of merchants appealed to the United States Court Creditors Committee as to the termination statement. The of Appeals for the Second Circuit, which, in June 2016, proceedings in the Bankruptcy Court continue with respect vacated the District Court’s certification of the class action to, among other things, additional defenses asserted by and reversed the approval of the class settlement. In March JPMorgan Chase Bank, N.A. and the value of additional 2017, the U.S. Supreme Court declined petitions seeking collateral on the Term Loan that was unaffected by the filing review of the decision of the Court of Appeals. The case has of the termination statement at issue. In connection with been remanded to the District Court for further proceedings that additional collateral, a trial in the Bankruptcy Court consistent with the appellate decision. regarding the value of certain representative assets In addition, certain merchants have filed individual actions concluded in May 2017, and a ruling was issued in raising similar allegations against Visa and MasterCard, as September 2017. The Bankruptcy Court found that 33 of well as against JPMorgan Chase and other banks, and those the 40 representative assets are fixtures and that these actions are proceeding. fixtures generally should be valued on a “going concern” LIBOR and Other Benchmark Rate Investigations and basis. The Creditors Committee is seeking leave to appeal Litigation. JPMorgan Chase has received subpoenas and the Bankruptcy Court’s ruling that the fixtures should be requests for documents and, in some cases, interviews, valued on a “going concern” basis rather than on a from federal and state agencies and entities, including the liquidation basis. In addition, certain Term Loan lenders U.S. Commodity Futures Trading Commission (“CFTC”) and filed cross-claims in the Bankruptcy Court against JPMorgan various state attorneys general, as well as the European Chase Bank, N.A. seeking indemnification and asserting Commission (“EC”), the Swiss Competition Commission various claims. The parties are engaged in mediation (“ComCo”) and other regulatory authorities and banking

128 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements associations around the world relating primarily to the have standing to assert such claims, and permitted antitrust process by which interest rates were submitted to the claims, claims under the Commodity Exchange Act and British Bankers Association (“BBA”) in connection with the common law claims to proceed. The plaintiffs whose setting of the BBA’s London Interbank Offered Rate antitrust claims were dismissed for lack of standing have (“LIBOR”) for various currencies, principally in 2007 and filed an appeal. In May 2017, plaintiffs in three putative 2008. Some of the inquiries also relate to similar processes class actions moved in the District Court for class by which information on rates was submitted to the certification, and JPMorgan Chase and other defendants European Banking Federation (“EBF”) in connection with have opposed that motion. In January 2018, the District the setting of the EBF’s Euro Interbank Offered Rates Court heard oral arguments on the class certification (“EURIBOR”) and to the Japanese Bankers’ Association for motions and reserved decision. the setting of Tokyo Interbank Offered Rates (“TIBOR”) In an action related to the Singapore Interbank Offered Rate during similar time periods, as well as processes for the and the Singapore Swap Offer Rate, the District Court setting of U.S. dollar ISDAFIX rates and other reference dismissed without prejudice all claims except a single rates in various parts of the world during similar time antitrust claim, and dismissed without prejudice all periods, including through 2012. JPMorgan Chase continues defendants except JPMorgan Chase, Bank of America and to cooperate with these ongoing investigations, and is Citibank. The plaintiffs filed an amended complaint in currently engaged in discussions with the CFTC about September 2017, which JPMorgan Chase and other resolving its U.S. dollar ISDAFIX-related investigation with defendants have moved to dismiss. respect to JPMorgan Chase. There is no assurance that such discussions will result in a settlement. As previously JPMorgan Chase is one of the defendants in a number of reported, JPMorgan Chase has resolved EC inquiries relating putative class actions alleging that defendant banks and to Yen LIBOR and Swiss Franc LIBOR. In December 2016, ICAP conspired to manipulate the U.S. dollar ISDAFIX rates. JPMorgan Chase resolved ComCo inquiries relating to these In April 2016, JPMorgan Chase settled this litigation, along same rates. ComCo’s investigation relating to EURIBOR, to with certain other banks. Those settlements have been which JPMorgan Chase and other banks are subject, preliminarily approved by the Court. continues. In December 2016, the EC issued a decision Mortgage-Backed Securities and Repurchase Litigation and against JPMorgan Chase and other banks finding an Related Regulatory Investigations. JPMorgan Chase and infringement of European antitrust rules relating to affiliates (together, “JPMC”), Bear Stearns and affiliates EURIBOR. JPMorgan Chase has filed an appeal with the (together, “Bear Stearns”) and certain Washington Mutual European General Court. affiliates (together, “Washington Mutual”) have been named In addition, JPMorgan Chase has been named as a as defendants in a number of cases in their various roles in defendant along with other banks in a series of individual offerings of MBS. The remaining civil cases include one and putative class actions filed in various United States investor action and actions for repurchase of mortgage District Courts. These actions have been filed, or loans. JPMorgan Chase and certain of its current and former consolidated for pre-trial purposes, in the United States officers and Board members have also been sued in a District Court for the Southern District of New York. In these shareholder derivative action relating to JPMorgan Chase’s actions, plaintiffs make varying allegations that in various MBS activities, which remains pending. periods, starting in 2000 or later, defendants either Issuer Litigation - Individual Purchaser Actions. With the individually or collectively manipulated various benchmark exception of one remaining action, JPMorgan Chase has rates by submitting rates that were artificially low or high. resolved all of the individual actions brought against JPMC, Plaintiffs allege that they transacted in loans, derivatives or Bear Stearns and Washington Mutual as MBS issuers (and, other financial instruments whose values are affected by in some cases, also as underwriters of their own MBS changes in these rates and assert a variety of claims offerings). including antitrust claims seeking treble damages. These Repurchase Litigation. JPMorgan Chase is defending a few matters are in various stages of litigation. actions brought by trustees and/or securities administrators JPMorgan Chase has agreed to settle a putative class action of various MBS trusts on behalf of purchasers of securities related to Swiss franc LIBOR, and that settlement remains issued by those trusts. These cases generally allege subject to final court approval. breaches of various representations and warranties In an action related to EURIBOR, the District Court regarding securitized loans and seek repurchase of those dismissed all claims except a single antitrust claim and two loans or equivalent monetary relief, as well as common law claims, and dismissed all defendants except indemnification of attorneys’ fees and costs and other JPMorgan Chase and Citibank. remedies. The trustees and/or securities administrators have accepted settlement offers on these MBS transactions, In actions related to U.S. dollar LIBOR, the District Court and these settlements are subject to court approval. dismissed certain claims, including antitrust claims brought by some plaintiffs whom the District Court found did not

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 129 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

In addition, JPMorgan Chase and a group of 21 institutional to act as the counterparty for certain swaps executed by the MBS investors made a binding offer to the trustees of MBS County. The County filed for bankruptcy in November 2011. issued by JPMC and Bear Stearns providing for the payment In June 2013, the County filed a Chapter 9 Plan of of $4.5 billion and the implementation of certain servicing Adjustment, as amended (the “Plan of Adjustment”), which changes by JPMC, to resolve all repurchase and servicing provided that all the above-described actions against claims that have been asserted or could have been asserted JPMorgan Chase would be released and dismissed with with respect to 330 MBS trusts created between 2005 and prejudice. In November 2013, the Bankruptcy Court 2008. The offer does not resolve claims relating to confirmed the Plan of Adjustment, and in December 2013, Washington Mutual MBS. The trustees (or separate and certain sewer rate payers filed an appeal challenging the successor trustees) for this group of 330 trusts have confirmation of the Plan of Adjustment. All conditions to the accepted the settlement for 319 trusts in whole or in part Plan of Adjustment’s effectiveness, including the dismissal and excluded from the settlement 16 trusts in whole or in of the actions against JPMorgan Chase, were satisfied or part. The trustees’ acceptance received final approval from waived and the transactions contemplated by the Plan of the court and JPMorgan Chase paid the settlement in Adjustment occurred in December 2013. Accordingly, all December 2017. the above-described actions against JPMorgan Chase have Additional actions have been filed against third-party been dismissed pursuant to the terms of the Plan of trustees that relate to loan repurchase and servicing claims Adjustment. The appeal of the Bankruptcy Court’s order involving trusts sponsored by JPMC, Bear Stearns and confirming the Plan of Adjustment remains pending. Washington Mutual. Petters Bankruptcy and Related Matters. JPMorgan Chase In actions against JPMorgan Chase involving offerings of and certain of its affiliates, including One Equity Partners MBS issued by JPMorgan Chase, JPMorgan Chase has (“OEP”), were named as defendants in several actions filed contractual rights to indemnification from sellers of in connection with the receivership and bankruptcy mortgage loans that were securitized in such proceedings pertaining to Thomas J. Petters and certain offerings. However, certain of those indemnity rights may affiliated entities (collectively, “Petters”) and the Polaroid prove effectively unenforceable in various situations, such Corporation. The principal actions against JPMorgan Chase as where the loan sellers are now defunct. and its affiliates were brought by a court-appointed receiver for Petters and the trustees in bankruptcy proceedings for JPMorgan Chase has entered into agreements with a three Petters entities. These actions generally sought to number of MBS trustees or entities that purchased MBS that avoid certain putative transfers in connection with (i) the toll applicable statute of limitations periods with respect to 2005 acquisition by Petters of Polaroid, which at the time their claims, and has settled, and in the future may settle, was majority-owned by OEP; (ii) two credit facilities that tolled claims. There is no assurance that JPMorgan Chase JPMorgan Chase and other financial institutions entered will not be named as a defendant in additional MBS-related into with Polaroid; and (iii) a credit line and investment litigation. accounts held by Petters. In January 2017, the Court Derivative Action. A shareholder derivative action against substantially denied the defendants’ motion to dismiss an JPMorgan Chase, as nominal defendant, and certain of its amended complaint filed by the plaintiffs. In October 2017, current and former officers and members of its Board of JPMorgan Chase and its affiliates reached an agreement in Directors relating to JPMorgan Chase’s MBS activities was principle to settle the litigation brought by the Petters filed in California federal court in 2013. In June 2017, the bankruptcy trustees, or their successors, and the receiver court granted defendants’ motion to dismiss the cause of for Thomas J. Petters. The settlement is subject to final action that alleged material misrepresentations and documentation and Court approval. omissions in JPMorgan Chase’s proxy statement, found that Wendel. Since 2012, the French criminal authorities have the court did not have personal jurisdiction over the been investigating a series of transactions entered into by individual defendants with respect to the remaining causes senior managers of Wendel Investissement (“Wendel”) of action, and transferred that remaining portion of the during the period from 2004 through 2007 to restructure case to the United States District Court for the Southern their shareholdings in Wendel. JPMorgan Chase Bank, N.A., District of New York without ruling on the merits. The Paris branch provided financing for the transactions to a motion by the defendants to dismiss is pending. number of managers of Wendel in 2007. JPMorgan Chase Municipal Derivatives Litigation. Several civil actions were has cooperated with the investigation. The investigating commenced in New York and Alabama courts against judges issued an ordonnance de renvoi in November 2016, JPMorgan Chase relating to certain Jefferson County, referring JPMorgan Chase Bank, N.A. to the French tribunal Alabama (the “County”) warrant underwritings and swap correctionnel for alleged complicity in tax fraud. No date for transactions. The claims in the civil actions generally trial has been set by the court. JPMorgan Chase has been alleged that JPMorgan Chase made payments to certain successful in legal challenges made to the Court of third parties in exchange for being chosen to underwrite Cassation, France’s highest court, with respect to the more than $3.0 billion in warrants issued by the County and criminal proceedings. In January 2018, the Paris Court of

130 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Appeal issued a decision cancelling the mise en examen of currently pending against it should not have a material JPMorgan Chase Bank, N.A. JPMorgan Chase is requesting adverse effect on JPMorgan Chase Bank, N.A.’s consolidated clarification from the Court of Cassation concerning the financial condition. JPMorgan Chase Bank, N.A. notes, Court of Appeal’s decision before seeking direction on next however, that in light of the uncertainties involved in such steps in the criminal proceedings. In addition, a number of proceedings, there is no assurance that the ultimate the managers have commenced civil proceedings against resolution of these matters will not significantly exceed the JPMorgan Chase Bank, N.A. The claims are separate, involve reserves it has currently accrued or that a matter will not different allegations and are at various stages of have material reputational consequences. As a result, the proceedings. outcome of a particular matter may be material to * * * JPMorgan Chase Bank N.A.’s operating results for a particular period, depending on, among other factors, the In addition to the various legal proceedings discussed size of the loss or liability imposed and the level of above, JPMorgan Chase and its subsidiaries, including in JPMorgan Chase Bank, N.A.’s income for that period. certain cases, JPMorgan Chase Bank, N.A., are named as defendants or are otherwise involved in a substantial number of other legal proceedings. JPMorgan Chase and JPMorgan Chase Bank, N.A., each believe it has meritorious defenses to the claims asserted against it in its currently outstanding legal proceedings and it intends to defend itself vigorously. Additional legal proceedings may be initiated from time to time in the future. JPMorgan Chase Bank, N.A. has established reserves for several hundred of its currently outstanding legal proceedings. In accordance with the provisions of U.S. GAAP for contingencies, JPMorgan Chase Bank, N.A. accrues for a litigation-related liability when it is probable that such a liability has been incurred and the amount of the loss can be reasonably estimated. JPMorgan Chase Bank, N.A. evaluates its outstanding legal proceedings each quarter to assess its litigation reserves, and makes adjustments in such reserves, upwards or downward, as appropriate, based on management’s best judgment after consultation with counsel. During the years ended December 31, 2017, 2016 and 2015, JPMorgan Chase’s legal expense was a benefit of $(139) million, a benefit of $(289) million, and an expense of $2.0 billion, respectively. Where a particular litigation matter involves one or more subsidiaries or affiliates of JPMorgan Chase, JPMorgan Chase determines the appropriate allocation of legal expense among those subsidiaries or affiliates (including, where applicable, JPMorgan Chase Bank, N.A.). There is no assurance that JPMorgan Chase Bank N.A.’s litigation reserves will not need to be adjusted in the future. In view of the inherent difficulty of predicting the outcome of legal proceedings, particularly where the claimants seek very large or indeterminate damages, or where the matters present novel legal theories, involve a large number of parties or are in early stages of discovery, JPMorgan Chase and JPMorgan Chase Bank, N.A. cannot state with confidence what will be the eventual outcomes of the currently pending matters, the timing of their ultimate resolution or the eventual losses, fines, penalties or consequences related to those matters. JPMorgan Chase Bank, N.A. believes, based upon its current knowledge, after consultation with counsel and after taking into account its current litigation reserves, that the legal proceedings

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 131 Notes to consolidated financial statements JPMorgan Chase Bank, National Association (a wholly-owned subsidiary of JPMorgan Chase & Co.)

Note 28 – Business changes and developments Internal transfers of legal entities under common control Subsequent events From time to time there may be transfers of legal entities JPMorgan Chase Bank, N.A. has performed an evaluation of under common control between JPMorgan Chase Bank, N.A. events that have occurred subsequent to December 31, and JPMorgan Chase. Such transfers are accounted for at 2017, and through February 27, 2018 (the date of the historical cost in accordance with U.S. GAAP. However, all filing of this report). There have been no material transfers were reflected in the Consolidated Financial subsequent events that occurred during such period that Statements prospectively, and not as of the beginning of the would require disclosure or recognition in JPMorgan Chase applicable periods presented, because the impact of the Bank, N.A.’s Consolidated Financial Statements as of transfers was not material to JPMorgan Chase Bank, N.A.’s December 31, 2017. Consolidated Financial Statements. During the years ended December 31, 2017 and 2016, there were no significant transfers of legal entities. On August 31, 2015, JPMorgan Chase merged its wholly- owned subsidiary, JPMorgan Bank and Trust Company, N.A. (“JPMBT”), into JPMorgan Chase Bank, N.A. JPMBT’s principal activity was a borrowing relationship with the Federal Home Loan Bank of San Francisco (“FHLB SF”); and a custody business serving California insurance companies and other institutions. At the time of the merger, JPMBT had approximately $15.9 billion of assets, predominantly consisting of $9.9 billion of deposits with banks and $4.9 billion of loans; liabilities were $14.3 billion, consisting of long-term debt. There were no other significant transfers of legal entities for the year ended December 31, 2015.

132 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Supplementary information: Glossary of Terms and Acronyms

2017 Form 10-K: Annual report on Form 10-K for year obligations, or certain restructurings of the debt of the ended December 31, 2017, filed with the U.S. Securities reference entity, neither party has recourse to the reference and Exchange Commission. entity. The protection purchaser has recourse to the protection seller for the difference between the face value ABS: Asset-backed securities of the CDS contract and the fair value at the time of settling Active foreclosures: Loans referred to foreclosure where the credit derivative contract. The determination as to formal foreclosure proceedings are ongoing. Includes both whether a credit event has occurred is generally made by judicial and non-judicial states. the relevant International Swaps and Derivatives Association (“ISDA”) Determinations Committee. AFS: Available-for-sale Criticized: Criticized loans, lending-related commitments AOCI: Accumulated other comprehensive income/(loss) and derivative receivables that are classified as special mention, substandard and doubtful categories for ARM: Adjustable rate mortgage(s) regulatory purposes and are generally consistent with a Beneficial interests issued by consolidated VIEs: rating of CCC+/Caa1 and below, as defined by S&P and Represents the interest of third-party holders of debt, Moody’s. equity securities, or other obligations, issued by VIEs that CRO: Chief Risk Officer JPMorgan Chase Bank, N.A. consolidates. CVA: Credit valuation adjustments Benefit obligation: Refers to the projected benefit obligation for pension plans and the accumulated Dodd-Frank Act: Wall Street Reform and Consumer postretirement benefit obligation for OPEB plans. Protection Act BHC: Bank holding company DOJ: U.S. Department of Justice CCP: “Central counterparty” is a clearing house that DOL: U.S. Department of Labor interposes itself between counterparties to contracts traded in one or more financial markets, becoming the buyer to DRPC: Board of Directors’ Risk Policy Committee every seller and the seller to every buyer and thereby DVA: Debit valuation adjustment ensuring the future performance of open contracts. A CCP becomes counterparty to trades with market participants EC: European Commission through novation, an open offer system, or another legally binding arrangement. Embedded derivatives: are implicit or explicit terms or features of a financial instrument that affect some or all of CDS: Credit default swaps the cash flows or the value of the instrument in a manner similar to a derivative. An instrument containing such terms CET1 Capital: Common equity Tier 1 Capital or features is referred to as a “hybrid.” The component of CFO: Chief Financial Officer the hybrid that is the non-derivative instrument is referred to as the “host.” For example, callable debt is a hybrid CFTC: Commodity Futures Trading Commission instrument that contains a plain vanilla debt instrument (i.e., the host) and an embedded option that allows the CIO: Chief Investment Office issuer to redeem the debt issue at a specified date for a CLO: Collateralized loan obligations specified amount (i.e., the embedded derivative). However, a floating rate instrument is not a hybrid composed of a Collateral-dependent: A loan is considered to be collateral- fixed-rate instrument and an interest rate swap. dependent when repayment of the loan is expected to be provided solely by the underlying collateral, rather than by ERISA: Employee Retirement Income Security Act of 1974 cash flows from the borrower’s operations, income or other ETD: “Exchange-traded derivatives”: Derivative contracts resources. that are executed on an exchange and settled via a central Credit derivatives: Financial instruments whose value is clearing house. derived from the credit risk associated with the debt of a EU: European Union third-party issuer (the reference entity) which allow one party (the protection purchaser) to transfer that risk to Fannie Mae: Federal National Mortgage Association another party (the protection seller). Upon the occurrence FASB: Financial Accounting Standards Board of a credit event by the reference entity, which may include, among other events, the bankruptcy or failure to pay its FCA: Financial Conduct Authority

133 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Glossary of Terms

FDIA: Federal Depository Insurance Act Interchange income: A fee paid to a credit card issuer in the clearing and settlement of a sales or cash advance FDIC: Federal Deposit Insurance Corporation transaction. Federal Reserve: The Board of the Governors of the Federal Investment-grade: An indication of credit quality based on Reserve System JPMorgan Chase Bank, N.A.’s internal risk assessment FFIEC: Federal Financial Institutions Examination Council system. “Investment grade” generally represents a risk profile similar to a rating of a “BBB-”/“Baa3” or better, as FHA: Federal Housing Administration defined by independent rating agencies. FHLB: Federal Home Loan Bank ISDA: International Swaps and Derivatives Association FICO score: A measure of consumer credit risk provided by JPMorgan Chase: JPMorgan Chase & Co. credit bureaus, typically produced from statistical models by Fair Isaac Corporation utilizing data collected by the JPMorgan Chase Bank, N.A.: JPMorgan Chase Bank, credit bureaus. National Association FVA: Funding valuation adjustment LCR: Liquidity coverage ratio FX: Foreign exchange LGD: Loss given default G7: Group of Seven nations: Countries in the G7 are LIBOR: London Interbank Offered Rate Canada, France, Germany, Italy, Japan, the U.K. and the U.S. LLC: Limited Liability Company G7 government bonds: Bonds issued by the government of LTIP: Long-term incentive plan one of the G7 nations. LTV: “Loan-to-value”: For residential real estate loans, the Ginnie Mae: Government National Mortgage Association relationship, expressed as a percentage, between the GSE: Fannie Mae and Freddie Mac principal amount of a loan and the appraised value of the collateral (i.e., residential real estate) securing the loan. GSIB: Global systemically important banks Origination date LTV ratio HELOAN: Home equity loan The LTV ratio at the origination date of the loan. Origination HELOC: Home equity line of credit date LTV ratios are calculated based on the actual appraised values of collateral (i.e., loan-level data) at the origination Home equity – senior lien: Represents loans and date. commitments where JPMorgan Chase Bank, N.A. holds the first security interest on the property. Current estimated LTV ratio Home equity – junior lien: Represents loans and An estimate of the LTV as of a certain date. The current commitments where JPMorgan Chase Bank, N.A. holds a estimated LTV ratios are calculated using estimated security interest that is subordinate in rank to other liens. collateral values derived from a nationally recognized home price index measured at the metropolitan statistical area HTM: Held-to-maturity (“MSA”) level. These MSA-level home price indices consist of IDI: Insured depository institutions actual data to the extent available and forecasted data where actual data is not available. As a result, the estimated Impaired loan: Impaired loans are loans measured at collateral values used to calculate these ratios do not amortized cost, for which it is probable that JPMorgan represent actual appraised loan-level collateral values; as Chase Bank, N.A. will be unable to collect all amounts due, such, the resulting LTV ratios are necessarily imprecise and including principal and interest, according to the should therefore be viewed as estimates. contractual terms of the agreement. Impaired loans include the following: Combined LTV ratio • All wholesale nonaccrual loans The LTV ratio considering all available lien positions, as well as unused lines, related to the property. Combined LTV • All TDRs (both wholesale and consumer), including ones ratios are used for junior lien home equity products. that have returned to accrual status

134 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Glossary of Terms

Master netting agreement: A single agreement with a Subprime counterparty that permits multiple transactions governed by that agreement to be terminated or accelerated and Subprime loans are loans that, prior to mid-2008, were settled through a single payment in a single currency in the offered to certain customers with one or more high risk event of a default (e.g., bankruptcy, failure to make a characteristics, including but not limited to: (i) unreliable or required payment or securities transfer or deliver collateral poor payment histories; (ii) a high LTV ratio of greater than or margin when due). 80% (without borrower-paid mortgage insurance); (iii) a high debt-to-income ratio; (iv) an occupancy type for the Merchant services business: is a business that primarily loan is other than the borrower’s primary residence; or (v) a processes transactions for merchants. history of delinquencies or late payments on the loan. MBS: Mortgage-backed securities MSA: Metropolitan statistical areas Moody’s: Moody’s Investor Services MSR: Mortgage servicing rights Mortgage product types: NA: Data is not applicable or available for the period presented. Alt-A NAV: Net Asset Value Alt-A loans are generally higher in credit quality than subprime loans but have characteristics that would NOL: Net operating loss disqualify the borrower from a traditional prime loan. Alt-A lending characteristics may include one or more of the Nonaccrual loans: Loans for which interest income is not following: (i) limited documentation; (ii) a high combined recognized on an accrual basis. Loans (other than credit loan-to-value (“CLTV”) ratio; (iii) loans secured by non- card loans and certain consumer loans insured by U.S. owner occupied properties; or (iv) a debt-to-income ratio government agencies) are placed on nonaccrual status above normal limits. A substantial proportion of JPMorgan when full payment of principal and interest is not expected, Chase Bank, N.A.’s Alt-A loans are those where a borrower regardless of delinquency status, or when principal and does not provide complete documentation of his or her interest have been in default for a period of 90 days or assets or the amount or source of his or her income. more unless the loan is both well-secured and in the process of collection. Collateral-dependent loans are Option ARMs typically maintained on nonaccrual status. The option ARM real estate loan product is an adjustable- OAS: Option-adjusted spread rate mortgage loan that provides the borrower with the option each month to make a fully amortizing, interest-only OCC: Office of the Comptroller of the Currency or minimum payment. The minimum payment on an option OCI: Other comprehensive income/(loss) ARM loan is based on the interest rate charged during the introductory period. This introductory rate is usually OPEB: Other postretirement employee benefit significantly below the fully indexed rate. The fully indexed rate is calculated using an index rate plus a margin. Once Over-the-counter (“OTC”) derivatives: Derivative contracts the introductory period ends, the contractual interest rate that are negotiated, executed and settled bilaterally charged on the loan increases to the fully indexed rate and between two derivative counterparties, where one or both adjusts monthly to reflect movements in the index. The counterparties is a derivatives dealer. minimum payment is typically insufficient to cover interest Over-the-counter cleared (“OTC-cleared”) derivatives: accrued in the prior month, and any unpaid interest is Derivative contracts that are negotiated and executed deferred and added to the principal balance of the loan. bilaterally, but subsequently settled via a central clearing Option ARM loans are subject to payment recast, which house, such that each derivative counterparty is only converts the loan to a variable-rate fully amortizing loan exposed to the default of that clearing house. upon meeting specified loan balance and anniversary date triggers. OTTI: Other-than-temporary impairment Prime PCI: “Purchased credit-impaired” loans represents certain loans that were acquired and deemed to be credit-impaired Prime mortgage loans are made to borrowers with good on the acquisition date in accordance with the guidance of credit records who meet specific underwriting the FASB. The guidance allows purchasers to aggregate requirements, including prescriptive requirements related credit-impaired loans acquired in the same fiscal quarter to income and overall debt levels. New prime mortgage into one or more pools, provided that the loans have borrowers provide full documentation and generally have common risk characteristics(e.g., product type, LTV ratios, reliable payment histories. FICO scores, past due status, geographic location). A pool is

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 135 Glossary of Terms

then accounted for as a single asset with a single composite Risk-rated portfolio: Credit loss estimates are based on interest rate and an aggregate expectation of cash flows. estimates of the probability of default (“PD”) and loss severity given a default. The probability of default is the PD: Probability of default likelihood that a borrower will default on its obligation; the Principal transactions revenue: Principal transactions loss given default (“LGD”) is the estimated loss on the loan revenue is driven by many factors, including the bid-offer that would be realized upon the default and takes into spread, which is the difference between the price at which consideration collateral and structural support for each JPMorgan Chase Bank, N.A. is willing to buy a financial or credit facility. other instrument and the price at which JPMorgan Chase RWA: “Risk-weighted assets”: Basel III establishes two Bank, N.A. is willing to sell that instrument. It also consists comprehensive methodologies for calculating RWA (a of realized (as a result of closing out or termination of Standardized approach and an Advanced approach) which transactions, or interim cash payments) and unrealized (as include capital requirements for credit risk, market risk, and a result of changes in valuation) gains and losses on in the case of Basel III Advanced, also operational risk. Key financial and other instruments (including those accounted differences in the calculation of credit risk RWA between the for under the fair value option) primarily used in client- Standardized and Advanced approaches are that for Basel driven market-making activities and on private equity III Advanced, credit risk RWA is based on risk-sensitive investments. In connection with its client-driven market- approaches which largely rely on the use of internal credit making activities, JPMorgan Chase Bank, N.A. transacts in models and parameters, whereas for Basel III Standardized, debt and equity instruments, derivatives and commodities credit risk RWA is generally based on supervisory risk- (including physical commodities inventories and financial weightings which vary primarily by counterparty type and instruments that reference commodities). asset class. Market risk RWA is calculated on a generally Principal transactions revenue also includes certain realized consistent basis between Basel III Standardized and Basel III and unrealized gains and losses related to hedge accounting Advanced. and specified risk-management activities, including: (a) RSU(s): Restricted stock units certain derivatives designated in qualifying hedge accounting relationships (primarily fair value hedges of S&P: Standard and Poor’s 500 Index commodity and foreign exchange risk), (b) certain derivatives used for specific risk management purposes, SAR(s): Stock appreciation rights primarily to mitigate credit risk and foreign exchange risk, Scored portfolio: The scored portfolio predominantly and (c) other derivatives. includes residential real estate loans, credit card loans and PSU(s): Performance share units certain auto and business banking loans where credit loss estimates are based on statistical analysis of credit losses REIT: “Real estate investment trust”: A special purpose over discrete periods of time. The statistical analysis uses investment vehicle that provides investors with the ability to portfolio modeling, credit scoring and decision-support participate directly in the ownership or financing of real- tools. estate related assets by pooling their capital to purchase and manage income property (i.e., equity REIT) and/or SEC: Securities and Exchange Commission mortgage loans (i.e., mortgage REIT). REITs can be publicly SLR: Supplementary leverage ratio or privately held and they also qualify for certain favorable tax considerations. SMBS: Stripped mortgage-backed securities Receivables from customers: Primarily represents margin SOA: Society of Actuaries loans to brokerage customers that are collateralized through assets maintained in the clients’ brokerage SPEs: Special purpose entities accounts, as such no allowance is held against these Structured notes: Structured notes are predominantly receivables. These receivables are reported within accrued financial instruments containing embedded derivatives. interest and accounts receivable on JPMorgan Chase Bank, N.A.’s Consolidated balance sheets. TDR: “Troubled debt restructuring” is deemed to occur when JPMorgan Chase Bank, N.A. modifies the original REO: Real estate owned terms of a loan agreement by granting a concession to a Retained loans: Loans that are held-for-investment (i.e., borrower that is experiencing financial difficulty. excludes loans held-for-sale and loans at fair value). TLAC: Total Loss Absorbing Capacity RHS: Rural Housing Service of the U.S. Department of U.K.: United Kingdom Agriculture

136 JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements Glossary of Terms

Unaudited: Financial statements and information that have not been subjected to auditing procedures sufficient to permit an independent certified public accountant to express an opinion. U.S.: United States of America U.S. GAAP: Accounting principles generally accepted in the U.S. U.S. government-sponsored enterprises (“U.S. GSEs”) and U.S. GSE obligations: In the U.S., GSEs are quasi- governmental, privately held entities established by Congress to improve the flow of credit to specific sectors of the economy and provide certain essential services to the public. U.S. GSEs include Fannie Mae and Freddie Mac, but do not include Ginnie Mae, which is directly owned by the U.S. Department of Housing and Urban Development. U.S. GSE obligations are not explicitly guaranteed as to the timely payment of principal and interest by the full faith and credit of the U.S. government. U.S. LCR: Liquidity coverage ratio under the final U.S. rule. U.S. Treasury: U.S. Department of the Treasury VA: U.S. Department of Veterans Affairs VCG: Valuation Control Group VGF: Valuation Governance Forum VIEs: Variable interest entities Warehouse loans: Consist of prime mortgages originated with the intent to sell that are accounted for at fair value and classified as trading assets. Washington Mutual transaction: On September 25, 2008, JPMorgan Chase acquired certain of the assets of the banking operations of Washington Mutual Bank (“Washington Mutual”) from the FDIC.

JPMorgan Chase Bank, National Association/2017 Consolidated Financial Statements 137