PILLAR 3 REGULATORY CAPITAL DISCLOSURES

For the quarterly period ended September 30, 2020 Table of Contents

Disclosure map 1 Introduction 2 Report overview 2 Basel III overview 2 Firmwide management 3 Governance and oversight 3 Regulatory capital 4 Components of capital 4 Risk-weighted assets 5 Capital adequacy 6 Supplementary leverage ratio 8 Total Loss-Absorbing Capacity 8 9 Retail credit risk 11 Wholesale credit risk 13 Counterparty credit risk 14 15 in the banking book 19 20 Material portfolio of covered positions 20 Value-at-risk 20 Regulatory market risk capital models 21 Independent review 24 Stress testing 24 25 in the banking book 26 Supplementary leverage ratio 27 Appendix 28 Valuation process 28 References 28 DISCLOSURE MAP Pillar 3 Report page 3Q20 Form 10-Q 2019 Form 10-K Pillar 3 Requirement Description reference page reference page reference Capital structure Terms and conditions of capital instruments 5 1, 259, 261 Capital components 4 95 148, 259, 261 Capital adequacy Capital adequacy assessment process 6 52 86 Risk-weighted assets by risk stripe 5 Regulatory capital metrics 7 178 271 Credit risk: general Policies and practices 9 60 100, 178, 208, 219, disclosures 217, 272 Credit risk exposures 9 60, 85 100, 127 Retail Distribution of exposure 11 62, 149, 150, 180 103, 222, 232, 273 Allowance for Credit Losses 10 151, 159 223, 240 Wholesale Distribution of exposure 13 67, 136, 156, 180 108, 208, 234, 273 Allowance for Credit Losses 10 158, 161 236, 240 Credit risk: IRB Parameter estimation methods 11, 13 RWA 11, 13, 14, 16 Counterparty credit Parameter estimation methods 14 Policies and practices 9 178, 214, 278 Counterparty credit risk exposure 14 62, 67, 121, 141 103, 108, 180, 214 Credit derivatives purchased and sold 10 76, 131 114, 191 Credit risk mitigation Policies and practices 9 180, 217, 278 Exposure covered by guarantees and CDS 13, 14 Securitization Objectives, vehicles, accounting policies 15 24, 163 53, 61, 154, 180, 242 Securitization RWA 16 Securitization exposure 17 Assets securitized 17 Current year securitization activity 18 Market risk Material portfolio of covered positions 20 Value-at-risk 20 80 121 Regulatory market risk capital models 21 Stress testing 24 124 Operational risk Operational risk description 25 129 Equity investments in 19 84 Policies and practices 118, 151, 154, 159, the banking book 198, 208 Carrying value and fair value 19 101, 136 Realized and unrealized gains/(losses) 19 Equity investments by risk weight 19 Interest rate risk in Interest rate risk in the banking book the banking book 26 83 124 Supplementary Overview of SLR 8 50, 52 90 leverage ratio (SLR) Components of SLR 27

1 INTRODUCTION

JPMorgan Chase & Co. (“JPMorgan Chase” or the “Firm”) Basel III overview a financial holding company incorporated under Delaware The Basel framework consists of a three “Pillar” approach: law in 1968, is a leading global firm and • Pillar 1 establishes minimum capital requirements, one of the largest banking institutions in the United States defines eligible capital instruments, and prescribes of America (“U.S.”), with operations worldwide; JPMorgan rules for calculating RWA. Chase had $3.2 trillion in assets and $271.1 billion in • Pillar 2 requires to have an internal capital stockholders’ equity as of September 30, 2020. The Firm adequacy assessment process and requires that is a leader in investment banking, financial services for banking supervisors evaluate each ’s overall risk consumers and small businesses, commercial banking, profile as well as its and internal financial transaction processing and . control processes. Under the J.P. Morgan and Chase brands, the Firm serves millions of customers in the U.S. and many of the world’s • Pillar 3 encourages market discipline through most prominent corporate, institutional and government disclosure requirements which allow market clients. participants to assess the risk and capital profiles of banks. JPMorgan Chase’s principal bank subsidiary is JPMorgan The capital rules under Basel III establish minimum capital Chase Bank, National Association (“JPMorgan Chase Bank ratios and overall capital adequacy standards for large and N.A.”), a national banking association with U.S. branches in internationally active U.S. bank holding companies (“BHC”) 38 states and Washington, D.C. as of September 30, 2020. and banks, including the Firm and its insured depository JPMorgan Chase’s principal non-bank subsidiary is J.P. institution (“IDI”) subsidiaries, including JPMorgan Chase Morgan Securities LLC (“J.P. Morgan Securities”), a U.S. Bank, N.A. The minimum amount of regulatory capital that broker-dealer. The bank and non-bank subsidiaries of must be held by BHCs and banks is determined by JPMorgan Chase operate nationally as well as through calculating risk-weighted assets (“RWA”), which are on- overseas branches and subsidiaries, representative offices balance sheet assets and off-balance sheet exposures, and subsidiary foreign banks. The Firm’s principal weighted according to risk. Two comprehensive operating subsidiary outside the U.S. is J.P. Morgan approaches are prescribed for calculating RWA: a Securities plc, a U.K.-based subsidiary of JPMorgan Chase standardized approach (“Basel III Standardized”), and an Bank, N.A. advanced approach (“Basel III Advanced”). For each of the Ø For additional information, refer to the Supervision risk-based capital ratios, the capital adequacy of the Firm and Regulation section on pages 1-3 of the JPMorgan is evaluated against the lower of the Standardized or Chase's Annual Report on Form 10-K for the year Advanced approaches. ended December 31, 2019 ("2019 Form 10-K ") Basel III also includes a requirement for Advanced Pillar 3 report overview Approach banking organizations, including the Firm, to This report provides information on the Firm’s capital calculate the supplementary leverage ratio ("SLR"). structure, capital adequacy, risk exposures, and risk- Ø Refer to page 49 of the 3Q20 Form 10-Q and pages weighted assets (“RWA”) under the Basel III advanced 1–6 of the 2019 Form 10-K for information on Basel approach, except where explicitly noted. This report III Reforms. describes the internal models used to translate risk exposures into required capital. This report should be read in conjunction with JPMorgan Chase’s Pillar 3 Regulatory Capital Disclosures Report for the quarterly period ended December 31, 2019 (“4Q19 Pillar 3 Report”), as well as the Annual Report on Form 10-K for the year ended December 31, 2019 (“2019 Form 10-K”) and the Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2020 (“3Q20 Form 10-Q ”) which has been filed with the U.S. Securities and Exchange Commission (“SEC”).

2 FIRMWIDE RISK MANAGEMENT

Risk is an inherent part of JPMorgan Chase’s business activities. When the Firm extends a consumer or wholesale loan, advises customers and clients on their investment decisions, makes markets in securities, or offers other products or services, the Firm takes on some degree of risk. The Firm’s overall objective is to manage its businesses, and the associated , in a manner that balances serving the interests of its clients, customers and investors and protects the safety and soundness of the Firm. Ø For further discussion of Firmwide Risk Management governance and oversight, refer to pages 79-83 of the 2019 Form 10-K , page 48 of the 3Q20 Form 10-Q and page 3 of the 4Q19 Pillar 3 Report. Estimations and Management As stated on page 2 under ‘Pillar 3 report overview’, internal models are used to translate risk exposures into required capital. A dedicated independent function, Model Risk Governance and Review (“MRGR”), reviews and approves new models, as well as material changes to existing models. Ø Refer to page 135 of the 2019 Form 10-K and page 87 of the 3Q20 Form 10-Q for information on Estimations and Model Risk Management.

3 REGULATORY CAPITAL

The three components of regulatory capital under the Components of capital Basel III advanced rules are illustrated below: A reconciliation of total stockholders’ equity to Basel III Advanced CET1 capital, , and Total capital is presented in the table below. Ø Refer to the Consolidated balance sheets on page 96 of the 3Q20 Form 10-Q for the components of total stockholders’ equity.

Basel III Basel III September 30, 2020 Advanced CECL Advanced CECL (in millions) Transitional Fully Phased-In Total stockholders’ equity $ 271,113 $ 271,113 Less: Preferred stock 30,063 30,063 Common stockholders’ equity 241,050 241,050 Less: Goodwill 47,819 47,819 Other intangible assets 759 759 Other CET1 capital adjustments(a)(b) (2,842) 3,535 Add: Deferred tax liabilities(c) 2,405 2,405 CET1 capital 197,719 191,342

Preferred stock 30,063 30,063 Capital management Other Tier 1 capital adjustments 1 1 For additional information on regulatory capital, capital Less: Tier 1 capital deductions 297 297 actions and the regulatory capital outlook, refer to the Total Tier 1 capital 227,486 221,109 Capital Risk Management section on pages 49-54 of the Long-term debt and other 3Q20 Form 10-Q and Note 27 on pages 270–271 of the instruments qualifying as Tier 2 2019 Form 10-K. capital 16,965 16,965 Qualifying allowance for credit Key Regulatory Developments losses(d) 5,405 5,405 Current Expected Credit Losses (“CECL”). As disclosed in the Other Tier 2 capital adjustments 157 160 Firm’s 2019 Form 10-K, the Firm initially elected to phase- Less: Tier 2 capital deductions 66 66 in the January 1, 2020 (“day 1”) CECL adoption impact to Total Tier 2 capital 22,461 22,464 retained earnings of $2.7 billion to CET1 capital, at 25% Total capital $ 249,947 $ 243,573 per year in each of 2020 to 2023. As part of their (a) Includes adjustments for cash flow hedges and debit valuation response to the impact of the COVID-19 pandemic, on adjustments (“DVA ”) related to structured notes recorded in March 31, 2020, the federal banking agencies issued an accumulated other comprehensive income (“AOCI”). interim final rule (issued as final on August 26, 2020) that (b) The impact of the CECL capital transition provision was an increase in CET1 capital of $6.4 billion. provided the option to delay the effects of CECL on (c) Represents deferred tax liabilities related to tax-deductible goodwill and regulatory capital for two years, followed by a three-year to identifiable intangibles created in nontaxable transactions, which are transition period (“CECL capital transition provisions”). netted against goodwill and other intangibles when calculating CET1 capital. The Firm has elected to take the CECL capital transition (d) Represents qualifying eligible credit reserves that exceed expected credit provisions provided by the federal banking agencies. losses, up to a maximum of 0.6% of credit RWA, with any excess deducted from RWA. The amount deducted from RWA as of September 30, 2020 for Ø Refer to Capital Risk Management on pages 49-54 and Basel III Advanced CECL Transitional was $13.7bn and would have been Note 22 of the 3Q20 Form 10-Q for additional $16.5bn under Basel III Advanced CECL fully phased in. information on the CECL capital transition provisions and the impact to the Firm's capital metrics. Ø For information on regulatory actions and significant financing programs the U.S. government and regulators have introduced to address the effects of the COVID-19 pandemic, refer to the Regulatory Developments on pages 11-12 of 3Q20 Form 10-Q .

4 Terms of capital instruments Components of risk-weighted assets The terms and conditions of the Firm’s capital instruments The following table presents the components of the Firm’s are described in the Firm’s SEC filings. total risk-weighted assets under Basel III Advanced at September 30, 2020. Ø Refer to Note 21 on page 259 and Note 22 on page 261 of the 2019 Form 10-K, and Note 18 on page Basel III 173 of the 3Q20 Form 10-Q , for additional September 30, 2020 Advanced CECL information on preferred stock and common stock. (in millions) Transitional RWA Credit risk $ 953,993 Ø Refer to the Supervision and Regulation section in Market risk 94,378 Part 1, Item 1 on pages 1–3 of the 2019 Form 10-K. Operational risk 380,963 Restrictions on capital and transfer of funds Total RWA $ 1,429,334 Regulations govern the amount of dividends the Firm’s banking subsidiaries could pay without the prior approval Ø For information on the components of risk-weighted of their relevant banking regulators. Certain of the Firm’s assets, refer to Regulatory Capital on page 7 of the cash and other assets are restricted as to withdrawal or 4Q19 Pillar 3 Report. usage. These restrictions are imposed by various regulatory authorities based on the particular activities of RWA rollforward the Firm’s subsidiaries. The following table presents changes in the components of Ø Refer to Note 21 on page 177 of the 3Q20 Form 10-Q RWA under Basel III Advanced for the three months ended and refer to Note 26 on page 269 of the 2019 Form September 30, 2020. The amounts represented in the 10-K for information on restrictions on cash and rollforward categories are an approximation, based on the intercompany funds transfers. predominant driver of the change.

Risk-weighted assets Basel III Advanced CECL Transitional RWA Basel III establishes two comprehensive approaches for Three months ended September 30, 2020 Credit Market Operational Total calculating RWA (a Standardized approach and an risk risk risk Advanced approach) which include capital requirements (in millions) for credit risk, market risk, and in the case of Basel III Advanced, also operational risk. Key differences in the June 30, 2020 $ 955,718 $ 109,324 $ 385,545 $ 1,450,587 Model & data calculation of credit risk RWA between the Standardized (a) and Advanced approaches are that for Basel III Advanced, changes (1,450) (1,450) (b) credit risk RWA is based on risk-sensitive approaches Portfolio runoff (900) (900) Movement in which largely rely on the use of internal credit models and (c) parameters, whereas for Basel III Standardized, credit risk portfolio levels (825) (13,496) (4,582) (18,903) RWA is generally based on supervisory risk-weightings Changes in RWA (1,725) (14,946) (4,582) (21,253) September 30, which vary primarily by counterparty type and asset class. 2020 $ 953,993 $ 94,378 $ 380,963 $ 1,429,334 Market risk RWA is calculated on a generally consistent basis between Basel III Standardized and Basel III (a) Model & data changes refer to material movements in levels of RWA as a result of revised methodologies and/or treatment per regulatory guidance Advanced. (exclusive of rule changes). Covered position definition (b) Portfolio runoff for credit risk RWA primarily reflects reduced risk from position rolloffs in legacy portfolios in Home Lending business. The covered position definition determines which positions (c) Movement in portfolio levels (inclusive of rule changes) refers to: changes are subject to market risk RWA treatment and, in book size, composition, credit quality, and market movements for credit risk RWA; changes in position and market movements for market risk consequently, which positions are subject to credit risk RWA; updates to cumulative losses for operational risk RWA; and RWA treatment. deductions to credit risk RWA for excess eligible credit reserves not eligible for inclusion in Tier 2 capital. Ø For information on the definition of a covered position, refer to Regulatory Capital on page 6 of the 4Q19 Pillar 3 Report. Throughout this report, covered positions are also referred to as “trading book” positions. Similarly, non-covered positions are referred to as “banking book” positions. Both covered and non-covered derivative transactions are subject to counterparty credit risk RWA.

5 Capital requirements In addition, the Federal Reserve’s Total Loss Absorbing A strong capital position is essential to the Firm’s business Capacity ("TLAC") rule requires the U.S. global systemically strategy and competitive position. Maintaining a strong important bank (“GSIB”) top-tier holding companies, balance sheet to manage through economic volatility is including the Firm, to maintain minimum levels of external considered a strategic imperative of the Firm’s Board of TLAC and eligible long-term debt (“eligible LTD”). Directors, CEO and Operating Committee. The Firm’s fortress balance sheet philosophy focuses on risk-adjusted Ø For additional information on TLAC and external long- returns, strong capital and robust liquidity. The Firm’s term debt minimum requirements including applicable capital risk management strategy focuses on maintaining regulatory buffers, refer to the Capital Risk long-term stability to enable the Firm to build and invest in Management section on page 49 of the 3Q20 Form market-leading businesses, including in highly stressed 10-Q . environments. Failure to meet these minimum requirements would result Ø Refer to the Capital Risk Management section on in restriction on capital distributions and certain pages 49-54 of the 3Q20 Form 10-Q and pages 85– discretionary bonus payments based on a percentage of 92 of the 2019 Form 10-K for information on the the Firm's eligible retained income. Eligible retained Firm’s strategy and governance. income is defined as the greater of (a) net income for the The Basel III framework applies to the consolidated results four preceding quarters, net of any distributions and of JPMorgan Chase & Co. The basis of consolidation used associated tax effects not already reflected in net income, for regulatory reporting is the same as that used under and (b) the average of net income over the preceding four U.S. GAAP. There are no material entities within JPMorgan quarters, net of any associated tax effects not already Chase that are deconsolidated for regulatory capital reflected in net income. As of September 30, 2020, the purposes and whose capital is deducted. eligible retained income for the Firm and JPMorgan Chase Bank, N.A was $6.3 billion and $4.7 billion, respectively. Under the risk-based capital and leverage-based IDI subsidiaries are also subject to these capital guidelines of the Federal Reserve, JPMorgan Chase is requirements, with the exception of TLAC, established by required to maintain minimum ratios, which include their respective primary regulators. regulatory buffers, for CET1 capital, Tier 1 capital, Total capital, Tier 1 leverage and the SLR Capital adequacy and Capital conservation buffer As of September 30, 2020, JPMorgan Chase and its IDI The following table presents the minimum and well- subsidiaries were well-capitalized and met all capital capitalized risk-based and leverage-based ratios to which requirements to which each was subject. In addition, as of the Firm and its IDI subsidiaries were subject as of September 30, 2020, the capital conservation buffer of September 30, 2020. the Firm and JPMorgan Chase Bank, N.A. was 8.6% and Minimum capital ratios Well-capitalized ratios 8.8%, respectively, which exceeded the required capital BHC(a)(e) IDI(b)(e) BHC(c) IDI(d) conservation buffer of 6.0% (inclusive of the 3.5% GSIB Capital ratios surcharge) for the Firm and 2.5% for JPMorgan Chase CET1 capital 10.5 % 7.0 % N/A 6.5 % Bank, N.A. Therefore, the Firm and its IDI subsidiaries were not subject to any limitation on distributions and Tier 1 capital 12.0 8.5 6.0 8.0 discretionary bonuses during the third quarter of 2020. Total capital 14.0 10.5 10.0 10.0 Tier 1 leverage 4.0 4.0 N/A 5.0 The capital conservation buffer for the Firm and IDI SLR 5.0 6.0 N/A 6.0 subsidiaries is calculated as the lowest of the: Note: The table above is as defined by the regulations issued by the Federal (i) CET1 ratio less the CET1 minimum requirement of Reserve, OCC and FDIC and to which the Firm and its IDI subsidiaries are 4.5%, subject. (ii) Tier 1 ratio less the Tier1 minimum requirement of (a) Represents the minimum capital ratios applicable to the Firm under Basel III. The CET1, Tier 1 and Total capital minimum capital ratios include a 6.0% and capital conservation buffer requirement of 2.5% and GSIB surcharge of (iii) Total capital ratio less the Total capital minimum 3.5% as calculated under Method 2. requirement of 8.0% (b) Represents requirements for JPMorgan Chase’s IDI subsidiaries. The CET1, Tier 1 and Total capital minimum capital ratios include a capital Capital ratios for the Firm’s primary IDI subsidiary, conservation buffer requirement of 2.5% that is applicable to the IDI subsidiaries. The IDI subsidiaries are not subject to the GSIB surcharge. JPMorgan Chase Bank, N.A., are presented on this page. (c) Represents requirements for bank holding companies pursuant to In addition to its IDI subsidiaries, JPMorgan Chase also has regulations issued by the Federal Reserve. other regulated subsidiaries, all of which meet applicable (d) Represents requirements for IDI subsidiaries pursuant to regulations issued under the FDIC Improvement Act. capital requirements. (e) Represents minimum SLR requirement of 3.0%, as well as supplementary leverage buffer requirements of 2.0% and 3.0% for BHC and IDI, respectively.

6 The capital adequacy of the Firm and JPMorgan Chase JPMorgan Chase Bank, N.A.(e) Bank N.A. are evaluated against the Basel III approaches Basel III Basel III (Standardized or Advanced) which, for each quarter, September 30, 2020 Advanced CECL Advanced CECL (in millions, except ratios) Transitional Fully Phased-In results in the lower ratio as well as the supplementary (a) leverage ratio. The Firm’s Basel III Standardized-risk-based Risk-based capital metrics: ratios are currently more binding than the Basel III CET1 capital $ 225,547 $ 219,130 Advanced-risk-based ratios. Tier 1 capital 225,549 219,132 Total capital 230,846 224,429 Ø For information on the Firm’s Internal Capital Risk-weighted assets 1,298,354 1,295,633 Adequacy Assessment Process (“ICAAP”) and CET1 capital ratio 17.4 % 16.9 % Comprehensive Capital Analysis and Review (“CCAR”) Tier 1 capital ratio 17.4 16.9 processes, refer to Regulatory Capital on page 8 of the Total capital ratio 17.8 17.3 4Q19 Pillar 3 Report and page 52 of the 3Q20 Form 10-Q . Leverage-based capital metrics: Adjusted average assets(c) $ 2,852,307 $ 2,845,889 Regulatory capital metrics for JPMorgan Chase and Tier 1 leverage ratio 7.9 % 7.7 % JPMorgan Chase Bank, N.A. Total leverage exposure(d) $ 3,544,506 $ 3,538,089 The following tables present the risk-based and leverage- SLR(d) 6.4 % 6.2 % based capital metrics for JPMorgan Chase and JPMorgan (a) The capital adequacy of the Firm and JPMorgan Chase Bank, N.A. is Chase Bank, N.A. under both the Basel III Advanced CECL evaluated against the lower of the two ratios as calculated under Basel III approaches (Standardized or Advanced). Transitional and Fully Phased-In Approaches as of (b) Total regulatory capital for JPMorgan Chase & Co. includes $490 million of September 30, 2020. surplus regulatory capital in insurance subsidiaries. (c) Adjusted average assets, for purposes of calculating the leverage ratio, JPMorgan Chase & Co.(e) includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly Basel III Basel III goodwill and other intangible assets. September 30, 2020 Advanced CECL Advanced CECL (d) JPMorgan Chase’s total leverage exposure for purposes of calculating the (in millions, except ratios) Transitional Fully Phased-In SLR, excludes on-balance sheet amounts of U.S. Treasury securities and Risk-based capital metrics:(a) deposits at Federal Reserve Banks, as provided by the interim final rule issued by the Federal Reserve on April 1, 2020. On June 1, 2020, the CET1 capital $ 197,719 $ 191,342 Federal Reserve, OCC and FDIC issued an interim final rule that provides Tier 1 capital 227,486 221,109 IDI subsidiaries with an option to apply this temporary exclusion subject to Total capital(b) 249,947 243,573 certain restrictions. As of September 30, 2020, JPMorgan Chase Bank, N.A. has not elected to apply this exclusion. Risk-weighted assets 1,429,334 1,426,623 (e) Capital metrics for the Firm reflect the exclusion of assets purchased from CET1 capital ratio 13.8 % 13.4 % money market mutual fund clients pursuant to nonrecourse advances provided under the Money Market Mutual Fund Liquidity Facility (MMLF). Tier 1 capital ratio 15.9 15.5 Additionally, loans originated under the Paycheck Protection Program Total capital ratio 17.5 17.1 (PPP) in the Firm and JPMorgan Chase Bank, N.A. receive a zero percent Leverage-based capital metrics: risk weight. (c) Adjusted average assets $ 3,243,290 $ 3,236,912 Ø For information on Basel III Standardized CECL Tier 1 leverage ratio 7.0 % 6.8 % Transitional capital metrics, refer to the Capital Risk (d) Total leverage exposure $ 3,247,392 $ 3,241,015 Management section on pages 49-54 and Note 22 on SLR(d) 7.0 % 6.8 % pages 177-178 of the 3Q20 Form 10-Q

7 Supplementary leverage ratio (“SLR”) Total Loss-Absorbing Capacity ("TLAC") The following table presents the components of the Firm’s The following table presents the eligible external TLAC and SLR as of September 30, 2020. eligible LTD amounts, as well as a representation of the Basel III amounts as a percentage of the Firm’s total RWA and total Advanced CECL leverage exposure applying the impact of the CECL capital September 30, 2020 (in millions, except ratios) Transitional transition provisions as of September 30, 2020. Basel III Advanced Tier 1 capital $ 227,486 September 30, 2020 Total spot assets 3,246,076 Eligible Add: Adjustments for frequency of calculations(a) 44,081 (in billions, except ratio) external TLAC Eligible LTD Total average assets 3,290,157 Total eligible TLAC & LTD $ 405.4 $ 174.0 Less adjustments for: % of RWA 26.8 % 11.5 % Adjustments for deductions from tier 1 capital(b) 47,034 Surplus/(shortfall) $ 57.1 $ 30.2 Exclusions for U.S. Treasuries and Federal Reserve % of total leverage exposure 12.5 % 5.4 % Bank deposits 698,101 Surplus/(shortfall) $ 96.9 $ 27.9 Add adjustments for: Adjustment for derivative transactions 338,156 Ø For additional information on TLAC, refer to the Adjustment for repo-style transactions 37,291 Capital Risk Management section on page 49 of the Off-balance sheet exposures(c) 322,740 (d) 3Q20 Form 10-Q . For information on the financial Other 4,183 consequences to holders of the Firm’s debt and equity Total leverage exposure $ 3,247,392 securities in a resolution scenario, refer to Part I, Item Basel III Advanced SLR 7.0 % 1A: Risk Factors on pages 7-28 of the Firm’s 2019 Form 10-K. (a) The adjustment for frequency of calculations represents the difference between total spot assets at September 30, 2020 and total average assets for the three months ended September 30, 2020. (b) Adjustments that are subject to deduction from Tier 1 capital are predominantly goodwill and other intangible assets. (c) Off-balance sheet exposures are calculated as the average of the three month-end spot balances during the reporting quarter. (d) Includes adjustments for the CECL capital transition provisions and the exclusion of assets purchased from money market mutual fund clients pursuant to nonrecourse advances provided under the MMLF.

8 CREDIT RISK

Credit risk is the risk associated with the default or change Summary of credit risk RWA in credit profile of a client, counterparty or customer. The Credit risk RWA includes retail, wholesale and Firm provides credit to a variety of customers, ranging counterparty credit exposures described in this section as from large corporate and institutional clients to individual well as securitization and equity exposures in the banking consumers and small businesses. The consumer credit book. Other exposures such as non-material portfolios, portfolio consists of scored mortgage and home equity unsettled transactions and other assets that are not loans held in the Consumer & Community Banking ("CCB") classified elsewhere are also included. The following table and Asset & Wealth Management ("AWM") business presents the Firm’s total credit risk RWA including a 1.06 segments; scored mortgage loans held in the Corporate scaling factor excluding CVA at September 30, 2020. segment; scored credit card, auto and business banking September 30, 2020 Basel III Advanced loans, and overdrafts in CCB; and the associated lending- (in millions) CECL Transitional RWA related commitments in each of those business segments. Retail exposures $ 174,261 The wholesale credit portfolio refers primarily to Wholesale exposures 436,539 exposures held by the Corporate & Investment Bank Counterparty exposures 131,453 (“CIB”), Commercial Banking (“CB”), AWM and Corporate (a) business segments, as well as risk-rated business banking Securitization exposures 34,610 and auto dealer loans held in CCB. In addition to providing Equity exposures 46,220 (b) credit to clients, the Firm engages in client-related Other exposures 77,782 activities that give rise to counterparty credit risk such as CVA 66,868 securities financing, margin lending and market-making Less: Excess eligible credit reserves not included in Tier 2 capital 13,740 activities in derivatives. Finally, credit risk is also inherent in the Firm’s investment securities portfolio held by Total credit risk RWA $ 953,993 Treasury and Chief Investment Office (“CIO”) in connection (a) Represents banking book securitization RWA only. (b) Includes other assets, non-material portfolios, and unsettled transactions. with its asset-liability management objectives. Investment securities, as well as deposits with banks and cash due from banks, are classified as wholesale exposures for RWA reporting. Ø For information on counterparty default risk and credit valuation adjustments ("CVA"), refer page 10 of the 4Q19 Pillar 3 Report. Ø For information on internal model method ("IMM") and current exposure method ("CEM") ("EAD") Methodologies, refer to the Counterparty Credit Risk section on pages 18-19 of the 4Q19 Pillar 3 Report. For information on risk management policies and practices, governance and oversight and accounting policies related to these exposures: Ø Refer to Credit and Investment Risk Management on pages 100–118 of the 2019 Form 10-K and pages 60-66 of the 3Q20 Form 10-Q . Ø Refer to the Notes to the Consolidated Financial Statements beginning on page 151 of the 2019 Form 10-K, and page 98 of the 3Q20 Form 10-Q . Specific page references are contained in the Appendix of this report.

9 Credit risk exposures Investment securities Credit risk exposures for the three months ended Ø Refer to Credit and Investment Risk Management on September 30, 2020 are contained in the 3Q20 Form 10- pages 60-79 and Note 10 on pages 136-140 for the Q . Specific references to the 3Q20 Form 10-Q are listed investment securities portfolio by issuer type. below. Traditional credit products Ø Refer to page 85 for the top 20 country exposures Ø Refer to Credit Risk Management beginning on page (excluding the U.S.). 60 for credit-related information on the consumer and Allowance for credit losses wholesale portfolios. Ø Refer to Allowance for Credit Losses on pages 77-78 Ø Refer to Note 12 on pages 144-158 for the for a summary of changes in the allowance for loan distribution of loans by geographic region and losses and allowance for lending-related industry. commitments. Ø Refer to Note 23 on pages 179-182 for the Ø Refer to Note 23 on page 179-182 for the allowance contractual amount and geographic distribution of for credit losses and loans and lending-related lending-related commitments. commitments by impairment methodology. Ø Refer to Credit Portfolio on page 60 for additional information on the various forms of assistance the Ø Refer to Note 10 on page 136-140 for the allowance Firm has granted to customers and clients impacted for credit losses on held-to-maturity securities. by the COVID-19 pandemic. Average balances Counterparty credit risk Ø Refer to page 187 for the Consolidated average balance sheet. Ø Refer to the Consumer Credit Portfolio section on pages 62-66, and to the Wholesale Credit Portfolio Credit Risk Mitigation section on pages 67-76 for eligible margin loans Ø Refer to Credit and Investment Risk Management, Risk balances. management and monitoring, on page 101, Note 1, Ø Refer to Wholesale Credit Portfolio footnote (f) on Basis of presentation, Offsetting assets and liabilities, page 69, Country Risk on page 85. on page 152, Note 4, Credit risk concentrations, on page 178, Note 5, Derivative instruments, on pages Ø Refer to Note 3 on pages 115-118 for the gross 180-194, and Note 11, Securities financing activities positive fair value, netting benefits and net exposure on pages 214–216 of the 2019 Form 10-K for a of derivative receivables. discussion of processes for managing and recognizing Ø Refer to Derivative contracts on page 75 for credit credit risk mitigation and policies for on netting derivatives used in credit portfolio management benefit. activities. Ø Refer to Market Risk Management, Risk monitoring Ø Refer to Credit and Investment Risk Management, Risk and control, on page 119, Note 4, Credit risk management and monitoring on page 101, Note 4, concentrations, on page 178, Note 5, Derivative Credit risk concentration, on page 178, Note 5, instruments, on pages 180-194, and Note 11, Derivative instruments, on pages 180-194 and Note Securities financing activities, on pages 214–216 of 11, Securities financing activities, on pages 214–216 the 2019 Form 10-K for a discussion of market and of the 2019 Form 10-K for a discussion of credit limits credit risk concentrations and for counterparty credit exposures, policies for counterparties and their creditworthiness. securing collateral, valuing and managing collateral. Credit risk concentrations Ø Refer to Note 5, Derivative instruments, on pages Ø Refer to Note 4, Credit risk concentrations on page 180-194, Note 11, Securities financing activities, on 119-120 for additional information. pages 214–216 and Wholesale Credit Portfolio, Receivables from customers, on page 113 of the 2019 Form 10-K for a discussion of primary types of collateral taken for counterparty credit exposures. Ø Refer to Note 10 on pages 136-140 for information on gross and net securities purchased under resale agreements and securities borrowed transactions, and for information regarding the credit risk inherent in the securities financing portfolio.

10 RETAIL CREDIT RISK

The retail portfolio is comprised of exposures that are Risk-weighted assets scored and managed on a pool basis rather than on an The following table presents the Firm's retail RWA at individual-exposure basis. For the retail portfolio, credit September 30, 2020. loss estimates are based on statistical analysis of credit losses over discrete periods of time. The statistical analysis September 30, 2020 Basel III (in millions) Advanced RWA uses portfolio modeling, credit scoring, and decision- Residential mortgages $ 56,089 support tools, which consider loan-level factors such as Qualifying revolving 98,949 delinquency status, credit scores, collateral values, and other risk factors. Other retail 19,223 Total retail credit RWA $ 174,261 The population of exposures subject to retail capital treatment for regulatory reporting substantially overlaps Ø For information on risk-weighted assets and risk with the consumer credit portfolio reflected in the Firm’s parameter estimation methods for the retail credit SEC disclosures. The retail population consists of all scored portfolio, refer to Retail Credit Risk on page 13–15 of exposures (mainly in CCB business segment), certain the 4Q19 Pillar 3 Report. residential mortgages booked as trading assets (that do not meet the definition of a covered position) and certain wholesale loans under $1 million as required by the Basel III capital rules.

Residential mortgage exposures The following table includes first lien and junior lien mortgages and revolving home equity lines of credit. First lien mortgages were 89 % of the exposure amount, revolving exposures were 10 %, and the remaining exposures related to junior lien mortgages. Revolving exposures were largely originated prior to 2010 and drive approximately 24 % of the total risk weighted assets of this portfolio, with nearly 19 % of the exposures in the equal to or greater than 0.75% ("PD") ranges. Recent originations are primarily first lien mortgages and are predominantly reflected in the less than 0.75% PD ranges.

September 30, 2020 (in millions, except ratios) Exposure-weighted average Balance sheet Off balance sheet PD range (%) amount commitments EAD RWA PD LGD Risk weight 0.00 to <0.10 $ 121,509 $ 30,480 $ 135,587 $ 6,984 0.05 36.26 5.15 0.10 to <0.20 52,898 816 53,010 6,748 0.15 37.63 12.73 0.20 to <0.75 45,162 4,123 49,045 11,867 0.33 39.80 24.20 0.75 to <5.50 19,017 137 18,579 15,449 1.84 44.98 83.15 5.50 to <10.00 2,182 3 2,032 3,623 6.57 44.38 178.30 10.00 to < 100 3,286 2 3,105 5,519 37.03 38.05 177.76 100 (default) 6,226 25 5,943 5,899 100.00 N/A (a) 99.26 (b) Total $ 250,280 $ 35,586 $ 267,301 $ 56,089 2.94% 37.07% 20.98% (a) The ("LGD") rate is reported as N/A for residential mortgage exposures in default because at the point they are classified as defaulted per the Basel III capital rules definition they have been charged off to the fair value of any underlying collateral less cost to sell. Any balance remaining after the charge-off is risk weighted at 100%. (b) The exposure-weighted average risk weight for defaulted loans is less than 100% due to certain loans being insured and/or guaranteed by U.S. government agencies which attract lower than 100% risk weight.

11 Qualifying revolving exposures The following table includes exposures to individuals that are revolving, unsecured and unconditionally cancellable by JPMorgan Chase; and they have a maximum exposure amount of up to $100,000 (i.e. credit card and overdraft lines on individual checking accounts). September 30, 2020 (in millions, except ratios) Balance Off balance Exposure-weighted average sheet sheet PD range (%) amount commitments EAD RWA PD LGD Risk weight 0.00 to <0.50 $ 52,942 $ 590,000 $ 230,363 $ 11,783 0.09 91.57 5.11 0.50 to <2.00 33,121 46,044 41,916 16,595 1.07 94.00 39.59 2.00 to <3.50 15,497 8,699 16,652 12,977 2.63 94.16 77.93 3.50 to <5.00 14,207 2,338 14,348 14,282 3.72 94.09 99.54 5.00 to <8.00 6,688 1,549 6,758 10,071 6.91 94.37 149.02 8.00 to < 100 17,320 1,152 17,321 33,241 20.65 93.16 191.91 100 (default)(a) — — — — 100.00 N/A — Total $ 139,775 $ 649,782 $ 327,358 $ 98,949 1.73% 92.26% 30.23%

(a) Defaulted exposures in the qualifying revolving portfolio are charged off prior to reaching default as defined in the Basel III capital rules. Accordingly, no defaulted exposures are reported in the 100 (default) PD range.

Other retail exposures The following table includes other retail exposures to individuals that are not classified as residential mortgage or qualifying revolving exposures (e.g. includes scored auto loans, credit card accounts above $100,000, business card exposures without a personal guarantee, scored business banking loans and certain wholesale loans under $1 million).

September 30, 2020 (in millions, except ratios) Balance Off balance Exposure-weighted average sheet sheet PD range (%) amount commitments EAD RWA PD LGD Risk weight 0.00 to <0.50 $ 57,453 $ 12,915 $ 61,482 (b) $ 6,697 (b) 0.13 26.46 10.89 0.50 to <2.00 18,166 904 18,503 7,646 0.93 40.10 41.33 2.00 to <3.50 2,944 365 3,026 1,883 2.68 42.93 62.21 3.50 to <5.00 806 14 820 702 3.68 56.34 85.58 5.00 to <8.00 1,061 35 1,072 725 6.87 41.65 67.63 8.00 to < 10.00 1,246 9 1,256 1,305 23.13 50.33 103.89 100 (default) 233 17 250 265 100.00 N/A (a) 106.00 Total $ 81,909 $ 14,259 $ 86,409 $ 19,223 1.13% 30.70% 22.25% (a) The LGD rate is reported as N/A for retail exposures in default because at the point they are classified as defaulted per the Basel III capital rules definition they have been charged off to the fair value of any underlying collateral less cost to sell. Any balance remaining after the charge off is risk weighted at 100%. (b) As of September 30, 2020, EAD includes $20.3bn of loans originated under the PPP, which attract a zero percent risk weight.

12 WHOLESALE CREDIT RISK

The wholesale portfolio is a risk-rated portfolio. Risk-rated Risk-weighted assets portfolios are generally held in CIB, CB and AWM business The following table presents risk-weighted assets by Basel segments and in Corporate but also include certain reporting classification. The Corporate, Bank and business banking and auto dealer loans held in the CCB Sovereign classifications include credit or issuer exposure business segment that are risk-rated because they have to these entities. High volatility commercial real estate characteristics similar to commercial loans. (“HVCRE”) refers to acquisition, development and The population of risk-rated loans and lending-related construction lending. HVCRE is a separate Basel commitments receiving wholesale treatment for regulatory classification because these loans represent higher risk capital purposes predominantly overlaps with the than loans financing income-producing real estate wholesale credit portfolio reflected in the Firm’s SEC (“IPRE”). disclosures. In accordance with the Basel III capital rules, the wholesale population for regulatory capital consists of: September 30, 2020 Basel III (in millions) Advanced RWA • All risk-rated loans and commitments (excluding certain Corporate 354,297 wholesale loans under $1 million which receive retail Bank 10,258 regulatory capital treatment); Sovereign 19,501 • Deposits with banks, and cash and due from banks; Income-producing real estate 52,375 • Exposures to issuer risk for debt securities in the High volatility commercial real estate 108 banking book; Total wholesale credit RWA $ 436,539 • Certain exposures recorded as trading assets that do not meet the definition of a covered position; Ø For information on risk parameter estimation Certain off-balance sheet items, such as standby letters of methods for the wholesale credit portfolio, refer to credit and letters of credit, are reported net of risk Wholesale Credit Risk on page 16-17 of the 4Q19 participations for U.S. GAAP reporting, but are included Pillar 3 Report. gross of risk participations for regulatory reporting.

Wholesale exposures The following table presents exposures to wholesale clients and issuers by PD range. Exposures are comprised primarily of traditional credit products (i.e. loans and lending-related commitments), issuer risk for debt securities, and cash placed with various central banks, predominantly Federal Reserve Banks. Total EAD is $1.7 trillion, with 80% of this exposure in the first two PD ranges, which are predominantly investment-grade. Exposures meeting the Basel definition of default represent 0.3% of total EAD. The exposure-weighted average LGD for the wholesale portfolio is 27%.

September 30, 2020 (in millions, except ratios) Exposure-weighted average Balance sheet Off balance sheet PD range (%) amount commitments EAD RWA PD LGD Risk weight 0.00 to <0.15 $ 1,016,898 $ 120,271 $ 1,104,507 (b) $ 85,102 (b) 0.02 24.89 7.70 0.15 to <0.50 162,589 177,040 277,926 117,493 0.27 31.77 42.27 0.50 to <1.35 160,986 90,661 212,206 106,248 0.77 27.07 50.07 1.35 to <10.00 63,095 62,650 99,539 82,243 3.61 27.91 82.62 10.00 to <100 19,727 20,558 29,626 39,097 20.15 27.35 131.97 100 (default) 5,147 1,529 6,034 6,356 100.00 N/A (a) 105.33 Total $ 1,428,442 $ 472,709 $ 1,729,838 $ 436,539 1.06% 26.51% 25.24% (a) The LGD rate is reported as N/A for defaulted wholesale exposures because the RWA is calculated based on supervisor provided risk weights and does not depend on LGD estimates. (b) As of September 30, 2020, EAD includes $8.0bn of loans originated under the PPP, which attract a zero percent risk weight.

Credit risk mitigation The risk mitigating benefit of eligible guarantees and credit derivative hedges are reflected in the RWA calculation as permitted by the Basel III capital rules. At September 30, 2020, $81.1 billion of EAD for wholesale exposures is covered by eligible guarantees or credit derivatives.

13 COUNTERPARTY CREDIT RISK

Counterparty credit risk exposures arise from OTC Ø For information on risk-weighted assets, risk derivatives, repo-style transactions, eligible margin loans parameter estimation methods and wrong-way risk for and cleared transactions. counterparty credit risk, refer to Counterparty Credit Risk on page 18–19 of the 4Q19 Pillar 3 Report. Risk-weighted assets The following table presents risk-weighted assets by transaction type.

September 30, 2020 Basel III (in millions) Advanced RWA OTC derivatives $ 62,315 Repo-style transactions 37,261 Eligible margin loans 20,316 Cleared transactions 11,561 Total counterparty credit RWA $ 131,453

Counterparty credit exposures The following table presents counterparty credit risk exposures for OTC derivatives, repo-style transactions and eligible margin loans by PD range. The table does not include cleared transactions. Total EAD is $299.0 billion, with 75% of this exposure in the first two PD ranges, which are predominantly investment-grade. Exposures meeting the Basel definition of default represent 0.1% of total EAD. The exposure-weighted average LGD for this portfolio is 40%. The collateral benefit is reflected primarily in the EAD.

September 30, 2020 (in millions, except ratios) Exposure-weighted average PD range (%) EAD RWA PD LGD Risk weight 0.00 to <0.15 $ 151,809 $ 25,556 0.07 38.26 16.83 0.15 to <0.50 71,561 35,642 0.27 41.33 49.81 0.50 to <1.35 55,252 34,980 0.74 42.30 63.31 1.35 to <10.00 17,348 18,579 3.24 38.07 107.09 10.00 to <100 2,659 4,783 21.38 33.75 179.87 100 (default) 347 352 100.00 N/A (a) 101.42 Total $ 298,976 $ 119,892 0.73% 39.70% 40.10% (a) The LGD rate is reported as N/A for defaulted counterpart credit exposures because the RWA is calculated based on supervisor provided risk weights and does not depend on LGD estimates.

Credit risk mitigation The risk mitigating benefit of eligible guarantees and credit derivative hedges are reflected in the RWA calculation as permitted by the Basel III capital rules. At September 30, 2020, $4.3 billion of EAD for OTC derivatives is covered by eligible guarantees.

14 SECURITIZATION

Securitizations are transactions in which: This section includes both banking book and trading book • The credit risk of the underlying exposure is with the exception of modeled correlation transferred to third parties and has been separated trading positions which are included in the Market Risk into two or more tranches; section. • The performance of the securitization depends upon Ø Refer to pages 20-21 of the 4Q19 Pillar 3 Report for the performance of the underlying exposures or additional information on securitization exposures, reference assets; and due diligence, risk management and hierarchy of • All or substantially all of the underlying exposures or approaches. reference assets are financial exposures. Ø Refer to Note 1 & Note 14 on pages 151–153 and Securitizations are classified as either traditional or 242–249, respectively, of the 2019 Form 10-K for a synthetic. In a traditional securitization, the originator discussion of the accounting policies related to establishes a special purpose entity (“SPE”) and sells securitization activities and affiliated entities (i.e., assets (either originated or purchased) off its balance voting interest entities and variable interest entities sheet into the SPE, which issues securities to investors. In (including SPEs)). a synthetic securitization, credit risk is transferred to Ø Refer to Note 2 on pages 154–174 of the 2019 Form investors through the use of credit derivatives or 10-K for a discussion on the valuation of retained or guarantees. In a synthetic securitization, there is no purchased securitization interests. change in accounting treatment for the assets securitized. Ø Refer to Note 12, Loans held-for-sale, on page 218, Securitizations include on- or off-balance sheet exposures Note 1, the valuation methodology table on page 155, (including credit enhancements) that arise from a and Note 14, Loan securitizations on page 247, of the securitization or re-securitization transaction; or an 2019 Form 10-K for a discussion of the valuation of exposure that directly or indirectly references a loans that are intended to be securitized and securitization (e.g. credit derivative). A re-securitization is accounted for as securitization exposures. a securitization transaction in which one or more of the underlying exposures that have been securitized is itself a Ø Refer to Note 28, Loan sales- and securitization- securitization. related indemnifications on pages 275-276 of the 2019 Form 10-K for a discussion of the accounting policies for recognizing a liability associated with loan sales-and securitization-related indemnifications.

15 Risk-weighted assets The following table presents banking book and trading book exposures receiving securitization capital treatment (with the exception of modeled correlation trading positions which are presented in the Market Risk section). The amounts include traditional and synthetic securitization exposures with re-securitizations shown separately based on Supervisory Formula Approach ("SFA") and Simplified Supervisory Formula Approach ("SSFA").

Securitization SFA SSFA 1250% Total September 30, 2020 (in millions) Exposure RWA Exposure RWA Exposure RWA Exposure RWA Risk weight = 0% < 20% $ 56,719 $ 11,905 $ 84,223 $ 17,759 $ — $ — $ 140,942 $ 29,664 > 20% < 50% 2,148 575 5,143 1,848 — — 7,291 2,423 > 50% < 100% 209 159 680 482 — — 889 641 > 100% < 1250% 337 1,174 936 3,182 — — 1,273 4,356 = 1250% 8 101 53 693 61 809 122 1,603 Securitization, excluding re-securitization $ 59,421 $ 13,914 $ 91,035 $ 23,964 $ 61 $ 809 $ 150,517 $ 38,687

Re-securitization SFA SSFA 1250% Total September 30, 2020 (in millions) Exposure RWA Exposure RWA Exposure RWA Exposure RWA Risk weight = 0% < 20% $ 134 $ 28 $ 1,120 $ 238 $ — $ — $ 1,254 $ 266 > 20% < 50% — — — — — — — — > 50% < 100% — — — — — — — — > 100% < 1250% 4 35 — — — — 4 35 = 1250% — — 2 22 — — 2 22 Re-securitization(a) $ 138 $ 63 $ 1,122 $ 260 $ — $ — $ 1,260 $ 323

Total securitization (b) $ 59,559 $ 13,977 $ 92,157 $ 24,224 $ 61 $ 809 $ 151,777 $ 39,010

(a) As of September 30, 2020, there were no re-securitizations to which credit risk mitigation has been applied. (b) Total securitization RWA includes $4.4 billion of RWA on trading book exposure of $6.2 billion. The trading book RWA represents non-modeled securitization charges in the Market Risk section of this report.

Any gain-on-sale in connection with a securitization exposure must be deducted from CET1 capital. The amount deducted as of September 30, 2020 was immaterial.

16 Exposure by collateral type The following table presents banking book and trading book exposures receiving securitization capital treatment (with the exception of modeled correlation trading positions which are presented in the Market Risk section). The amounts below include traditional and synthetic securitization exposures.

Exposure September 30, 2020 (in millions) On-balance sheet Off-balance sheet(a) Total RWA Collateral type: Residential mortgages $ 31,979 $ 504 $ 32,483 $ 8,928 Commercial mortgages 17,176 412 17,588 4,891 Commercial and industrial loans 42,977 4,317 47,294 12,314 Consumer auto loans 19,241 5,069 24,310 5,375 Student loans 7,357 1,170 8,527 2,190 Municipal bonds 3 5,745 5,748 1,337 Other 11,628 4,199 15,827 3,975 Total securitization exposure $ 130,361 $ 21,416 $ 151,777 $ 39,010 (a) Includes the counterparty credit risk EAD associated with derivative transactions for which the counterparty credit risk is a securitization exposure.

Assets securitized The following table presents the total outstanding principal balance of JPMorgan Chase-sponsored securitizations in which the Firm has retained exposure in either the banking book or the trading book. Third-party assets in deals sponsored by JPMorgan Chase are shown separately. During the three months ended September 30, 2020, losses recognized on securitized assets were zero.

Principal amount outstanding JPMorgan Chase JPMorgan Chase Assets 90 days past September 30, 2020 assets held in traditional Third-party assets held in assets in synthetic due or on nonaccrual (in millions) securitizations(a) traditional securitizations(a) securitizations status (b) Collateral type: Residential mortgages $ 62,806 $ 6 $ 2,469 $ 8,773 Commercial mortgages 44,980 53,303 — 5,093 Commercial and industrial loans — — — — Consumer auto loans — — 1,744 Student loans 84 — — 1 Municipal bonds — — — — Other — 212 335 1 Total $ 107,870 $ 53,521 $ 4,548 $ 13,868 (a) Represents assets held in nonconsolidated securitization VIEs. (b) Represents assets 90 days or more past due or on nonaccrual status.

17 Securitization activity The following table presents assets pending securitization (i.e., assets held with the intent to securitize) at September 30, 2020, and the Firm’s securitization activities for the nine months ended September 30, 2020, related to assets either held in Firm-sponsored securitization entities that were not consolidated by the Firm or held on the Firm's consolidated balance sheet and synthetically securitized. The carrying value of the loans accounted for at fair value under U.S. GAAP approximated the proceeds upon loan sale as changes in fair value were recorded in noninterest revenue. Accordingly, there were no significant gains or losses associated with traditional securitization activities.

Carrying value Original principal amount Traditional securitization Synthetic securitIzation

Assets pending Assets securitized with Assets securitized without Assets securitized with securitization retained exposure retained exposure retained exposure (in millions) September 30, 2020 nine months ended September 30, 2020 Collateral type: Residential mortgages $ 9,930 $ 6,127 $ 323 $ 2,002 Commercial mortgages 4,033 4,825 554 — Commercial and industrial loans 4,800 — — — Consumer auto loans 2,000 — — 1,810 Student loans — — — — Municipal bonds — — — — Other — — — 335 Total $ 20,763 $ 10,952 $ 877 $ 4,147

18 EQUITY RISK IN THE BANKING BOOK

Equity investments in the banking book include principal Risk-weighted assets investments, investments in unconsolidated subsidiaries, The table below presents the exposure and RWA by risk- other equity investments classified within other assets and weight. certain equity investments classified within trading assets September 30, 2020 that do not meet the definition of a covered position. (in millions) These investments are held primarily for reasons other Risk-weight category Exposure(a) RWA than capital gains, including client relationships, strategic 0% $ 6,493 (b) $ — initiatives and employee benefits. 20% 784 166 Principal investments are typically private non-traded 100% 28,441 30,147 financial instruments representing ownership or other 250% 532 1,409 forms of junior capital and span multiple asset classes. 300% 11 35 These investments are made by dedicated investing 600% 70 447 businesses or as part of a broader business strategy. Asset Look-through 21,785 14,016 classes include tax-oriented investments (e.g., affordable Total 58,116 46,220 housing and alternative energy investments), private (a) Includes off-balance sheet unfunded commitments for equity investments equity, various debt and equity instruments, and real of $4.2 billion. assets and investment funds (including separate (b) Consists of Federal Reserve Bank stock. accounts). In general, new principal investments include tax-oriented Carrying value and fair value investments, as well as investments made to enhance or The following table presents the carrying value and fair accelerate LOB and Corporate strategic business value of equity investments in the banking book. initiatives. September 30, 2020 (in millions) Carrying value Fair value Investments in separate accounts are held in connection Publicly traded $ 25,196 $ 25,252 with corporate- and bank-owned life insurance (“COLI/ Non-publicly traded 28,099 37,116 BOLI”) and certain asset management activities. Total $ 53,295 $ 62,368 Ø Refer to Note 8 on pages 199–205 of the 2019 Form 10-K for a discussion of COLI and the related Realized gains/(losses) investment strategy and asset allocation. Cumulative realized gains/(losses) from sales and liquidations during the three months ended September 30, Accounting and valuation policies for equity investments 2020 were $41 million. This includes previously Ø Refer to Principal risk, on page 118 of the 2019 Form recognized unrealized gains/(losses) that have been 10-K for a discussion of investment risk management reversed and booked as realized gains/(losses). related to principal investments. Unrealized gains/(losses) Ø Refer to Note 1 on pages 151–153 of 2019 Form 10- Total net gains that have not been recognized on the K for a discussion of the accounting for investments in Consolidated balance sheet or through earnings on equity unconsolidated subsidiaries and other non-trading investments in the banking book that are accounted for (i.e., banking book) equity investments. under the cost, measurement alternative and equity method were $9.1 billion as of September 30, 2020. Ø Refer to Note 2 on pages 154–174 of the 2019 Form 10-K for more information on the Firm’s methodologies regarding the valuation of private equity direct investments and fund investments (i.e., mutual/collective investment funds, private equity funds, funds and real estate funds).

19 MARKET RISK

Market risk is the risk associated with the effect of changes Material portfolio of covered positions in market factors such as interest and foreign exchange The Firm’s portfolio of covered positions under the Basel rates, equity and commodity prices, credit spreads or III capital rules arise predominantly from activities in CIB, implied volatilities, on the value of assets and liabilities which makes markets in products across fixed income, held for both the short and long term. foreign exchange, equities, commodities and credit markets. Ø For a discussion of the Firm’s Market Risk Management organization, various metrics, both Ø Refer to pages 60-61 and 66-70 of the 2019 Form statistical and non-statistical, used to assess risk and 10-K for a discussion of CIB’s Business Segment risk monitoring and control, see Market Risk Results. Management on pages 119–126 of the 2019 Form 10-K and 3Q20 Form 10-Q pages 80-84. Value-at-Risk (“VaR”) VaR is a statistical risk measure used to estimate the Ø Refer to page 80 of 3Q20 Form 10-Q for a discussion potential loss from adverse market moves in the current of Managing Market Risks in response to the COVID-19 market environment. The Firm has a single VaR framework pandemic. used as a basis for calculating Risk Management VaR and Measures included in market risk RWA Regulatory VaR. The following table presents the Firm’s market risk-based Ø Refer to pages 119–126 of the 2019 Form 10-K capital and risk-weighted assets at September 30, 2020. Market Risk Management for information on the The components of market risk RWA are discussed in detail Firm’s VaR framework. in the Regulatory market risk capital models section on pages 20–24 of this report. RWA is calculated as risk- Risk management VaR comparison to Regulatory VaR based capital ("RBC") multiplied by 12.5; any calculation Risk Management VaR is calculated assuming a one-day differences are due to rounding. holding period and an expected tail-loss methodology which approximates a 95% confidence level. The Firm Three months ended September 30, 2020 Risk-based calculates Regulatory VaR assuming a 10-day holding (in millions) capital RWA period and an expected tail loss methodology, which Internal models: approximates a 99% confidence level. Value-at-Risk based measure (“VBM”) (a) $ 1,448 $ 18,097 Ø Refer to pages 26–27 of the 4Q19 Pillar 3 Report for Stressed Value-at-Risk based measure (“SVBM”) (a) 1,448 18,097 additional information on Risk Management VaR Incremental risk charge (“IRC”) 442 5,522 comparison to Regulatory VaR. Comprehensive risk measure (“CRM”) 66 823 Regulatory VaR is applied to “covered positions” as Total internal models 3,404 42,539 defined by the Basel III capital rules, which may be Non-modeled specific risk 4,039 50,484 different from the positions included in the Firm’s Risk Management VaR. For example, credit derivative hedges of Other charges 107 1,355 accrual loans are included in the Firm’s Risk Management Total Market risk $ 7,550 $ 94,378 VaR, while Regulatory VaR excludes these credit derivative (a) Currently, the firm uses the same historical observation period to calculate hedges. both VBM and SVBM.

20 Regulatory market risk capital models The following table presents the Firm’s VBM capital VaR-Based Measure (“VBM”) requirement, which is calculated as the higher of (1) the 60-day average measure scaled by the Firm’s regulatory The VBM is an aggregate loss measure that combines multiplier and (2) the quarter-end spot measure. As of Regulatory VaR and modeled specific risk (“SR”) assuming September 30, 2020, the Firm’s regulatory multiplier was a 10-day holding period and a 99% confidence level. 3, based on regulatory guidance. While Regulatory VaR measures the risk of loss from broad market movements, modeled SR captures risk factors such Three months ended September 30, 2020 Risk-based as event risk, idiosyncratic risk and default risk for a (in millions) capital RWA subset of covered positions for which the model is Firm modeled VBM $ 1,448 $ 18,097 approved by the Firm’s banking supervisors. CIB VaR-Based Measure (“VBM”) Ø Refer to pages 121–123 of the 2019 Form 10-K for additional information on Value-at-risk and Risk For the three months ended September 30, 2020, average CIB VBM was $475 million, compared with CIB average Management VaR in the Market Risk Management Risk Management VaR of $90 million. The CIB VBM was section. higher due to the longer holding period (10 days), the higher confidence level (99%), differences in population, and the exclusion of the diversification benefit for certain VaR models. The following table presents the average, minimum, maximum and period-end VBM by risk type for the CIB and total VBM for the Firm. In addition, the table presents the reduction of total risk resulting from the diversification of the portfolio, which is the sum of the CIB VBMs for each risk type less the total CIB VBM.

Three months ended September 30, 2020

September (in millions) Avg Min Max 30, 2020 CIB VBM by risk type Interest rate(a) $ 290 $ 230 $ 360 $ 298 Credit spread(a) 470 417 526 494 Foreign exchange 85 45 130 48 Equities 119 106 138 113 Commodities and other 211 146 334 262 Diversification benefit (700) (b) NM (c) NM (c) (725) (b) Total CIB VBM 475 359 570 490 Total Firm VBM $ 483 $ 364 $ 582 $ 498 (a) For certain products and portfolios, a full revaluation model is used to calculate VBM, which considers both interest rate and credit spread risks together. As such, the Firm allocates the results of the full revaluation model between interest rate and credit spread risk based on the predominant characteristics of the product or portfolio. (b) Average portfolio VBM and period-end portfolio VBM were less than the sum of the components described above due to portfolio diversification. (c) Designated as not meaningful (“NM”), because the minimum and maximum may occur on different days for different risk components, and hence it is not meaningful to compute a portfolio-diversification effect.

21 VBM backtesting As required by Basel III capital rules, the Firm performs The results in the chart below differ from the results of daily VBM model backtesting on covered positions, which backtesting disclosed in the Market Risk section of the compares the daily VBM results (for a one-day holding Firm’s Form 10-Q, which are based on the Firm’s Risk period and a 99% confidence level) with the daily gains Management VaR. For the 12 months ended September and losses that are utilized for VBM backtesting purposes. 30, 2020, the Firm observed eight backtesting exceptions The gains and losses in the chart below do not reflect the and posted backtesting gains on 150 of the 260 trading Firm’s revenue results as they exclude select components days. For the three months ended September 30, 2020, of total net revenue, such as those associated with the the Firm observed zero backtesting exceptions and posted execution of new transactions (i.e., intraday client-driven backtesting gains on 45 of the 66 trading days. The trading and intraday risk management activities), fees, number of VaR backtesting exceptions observed can differ commissions, certain valuation adjustments and net from the statistically expected number of backtesting interest income. These excluded components of total net exceptions if the current level of market volatility is revenue may more than offset backtesting gains and losses materially different from the level of market volatility on a particular day. The following chart compares during the historical period used to calibrate the VaR Firmwide daily backtesting gains and losses with the Firm’s model. VBM for the 12 months ended September 30, 2020.

Daily Firmwide VBM Backtesting Results 12 months ended September 30, 2020

Backtesting Gains and Losses

Firm VBM (1-day, 99% Confidence Level)

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Fourth Quarter First Quarter Second Quarter Third Quarter 2019 2020 2020 2020

22 Stressed VaR-Based Measure (“SVBM”) The SVBM is an aggregate loss measure based on The following table presents the IRC risk-based capital Regulatory VaR and SR models whose inputs are calibrated requirement for the CIB, which is the same as the risk using historical data from a continuous 12-month period measure itself. IRC reflects the higher of the quarterly that reflects a period of significant financial stress relevant average and period-end spot measure under the Basel III to the Firm’s current portfolio. SVBM is calculated at least capital rules. weekly assuming a 10-day holding period and a 99% Three months ended confidence level. The Firm’s selection of the one-year September 30, 2020 Risk-based period of significant financial stress is evaluated on an (in millions) capital RWA ongoing basis. Total CIB IRC $ 442 $ 5,522 The following table presents the average, minimum, maximum and final week of the quarter SVBM for the CIB Comprehensive Risk Measure (“CRM”) and the Firm. The CRM captures the material price risks of portfolios of correlation trading positions. Correlation trading positions Three months ended September 30, 2020 refer to client-driven, market-making activities in credit September index and bespoke tranche swaps that are hedged with (in millions) Avg. Min Max 30, 2020 single-name and index credit default swap positions. The Total CIB CRM risk-based is the greater of SVBM $ 475 $ 359 $ 570 $ 490 modeled CRM and a floor, which is equal to 8% of the total Total Firm SVBM $ 483 $ 364 $ 582 $ 498 specific risk add-on for such positions using a non-modeled approach.

The following table presents the Firm’s SVBM capital Similar to the IRC, the CRM model measures potential requirement, which is calculated as the higher of losses over a one-year holding period at a 99.9% (1) the 60-day average measure scaled by the Firm’s confidence level. The CRM is calculated at least weekly. regulatory multiplier and (2) the quarter-end spot Ø For information on the Firm’s CRM model, refer to measure. As of September 30, 2020, the Firm’s regulatory Market risk on page 29–30 of the 4Q19 Pillar 3 multiplier was 3, based on regulatory guidance. Report. Three months ended The following table presents the average, minimum, September 30, 2020 Risk-based (in millions) capital RWA maximum and period-end CRM for the CIB Firm modeled SVBM 1,448 $ 18,097 Three months ended September 30, 2020 September Incremental Risk Charge (“IRC”) (in millions) Avg. Min Max 30, 2020 The IRC measure captures the risks of issuer default and CIB CRM $ 66 $ 44 $ 89 $ 44 credit migration that are incremental to the risks already captured in the VBM. The model is intended to measure The following table presents the CRM risk-based capital the potential loss over a one-year holding period at a requirement for the CIB, which is the same as the risk 99.9% confidence level and is applicable to debt positions measure itself. CRM reflects the higher of the quarterly that are not correlation trading or securitization positions. average and period-end spot measure under the Basel III The IRC is calculated at least weekly. capital rules. Ø For information on the Firm’s IRC model, refer to Three months ended Risk-based Market risk on page 29 of the 4Q19 Pillar 3 Report. September 30, 2020 capital (in millions) RWA Total CIB CRM $ 66 $ 823 The following table presents the average, minimum, maximum and period-end IRC for the CIB.

Three months ended September 30, 2020 September (in millions) Avg. Min Max 30, 2020 CIB IRC on trading positions $ 265 $ 230 $ 442 $ 442

23 Aggregate securitization positions Independent review of market risk regulatory capital Ø For information on the aggregate amount of on- models balance sheet and off-balance sheet securitization Ø For information on the independent review of the positions with the exception of modelled correlation market risk regulatory capital models, refer to Market trading positions, which are included in this section by risk on page 31 of the 4Q19 Pillar 3 Report and to exposure type, refer to Securitization on page 17 of Estimations and Model Risk Management on pages this report. 135 of the 2019 Form 10-K . Aggregate correlation trading positions Stress testing Along with VaR, stress testing is an important tool used to The following table presents the net notional amount and assess risk. While VaR reflects the risk of loss due to fair value of the Firm’s aggregate correlation trading adverse changes in markets using recent historical market positions and the associated credit hedges. Credit hedges behavior, stress testing reflects the risk of loss from of the correlation trading positions are included as they hypothetical changes in the value of market risk sensitive are considered to be part of the aggregate correlation positions applied simultaneously. Stress testing measures trading positions. the Firm’s vulnerability to losses under a range of stressed September 30, 2020 Notional but possible economic and market scenarios. The results (a) (b) (in millions) amount Fair value are used to understand the exposures responsible for Positions modeled in CRM $ 2,094 $ 40 those potential losses and are measured against limits. Positions not modeled in CRM 178 — Total correlation trading positions $ 2,272 $ 40 Ø For information on the stress testing scenarios and framework, refer to Stress testing on page 124 of the (a) Reflects the net of the notional amount of the correlation trading portfolio, including credit hedges. Negative balances, if any, reflect 2019 Form 10-K. aggregate net short correlation trading positions. (b) Reflects the fair value of securities and derivatives, including credit Ø Refer to page 80 of 3Q20 Form 10-Q for a discussion hedges. of Managing Market Risks in response to the COVID-19 pandemic. Non-modeled specific risk Non-modeled specific risk is calculated using supervisory- prescribed risk weights and methodologies for covered debt, equity and securitization positions that are not included in modeled SR. The market risk-based capital and risk-weighted assets for non-modeled specific risk are shown in the table below.

September 30, 2020 Risk-based (in millions) capital RWA Securitization positions(a) $ 352 $ 4,400 Non-securitization positions 3,687 46,084 Total Non-modeled specific risk $ 4,039 $ 50,484 (a) Represents trading book securitization RWA only.

Other charges Other charges reflect exposures receiving alternative capital treatments.

September 30, 2020 Risk-based (in millions) capital RWA Total Firm other charges $ 107 $ 1,355

24 OPERATIONAL RISK MANAGEMENT

Operational risk is the risk associated with an adverse Operational Risk Measurement outcome resulting from inadequate or failed internal Ø Refer to Operational Risk Management on page 134– processes or systems; human factors; or external events 136 of the 2019 Form 10-K for information related to impacting the Firm’s processes or systems; it includes operational risk measurement. compliance, conduct, legal, and estimations and model Ø Refer to Capital Risk Management on page 85–94 of risk. Operational risk is inherent in the Firm’s activities and the 2019 Form 10-K and page 52 of the 3Q20 Form can manifest itself in various ways, including fraudulent 10-Q for operational risk RWA. acts, business interruptions, cybersecurity attacks, inappropriate employee behavior, failure to comply with Other operational risks applicable laws and regulations or failure of vendors to Ø Refer to Operational Risk Management on page 134– perform in accordance with their agreements. Operational 136 of the 2019 Form 10-K for information related to Risk Management attempts to manage operational risk at other operational risks that can lead to losses which appropriate levels in light of the Firm’s financial position, are captured through the Firm’s operational risk the characteristics of its businesses, and the markets and measurement processes. regulatory environments in which it operates.

Ø Refer to pages 129–131 of the 2019 Form 10-K and pages 86 of the 3Q20 Form 10-Q , for a discussion of Operational Risk Management and page 52 of Capital Risk Management for operational risk RWA.

25 INTEREST RATE RISK IN THE BANKING BOOK

Earnings-at-risk The effect of interest rate exposure on the Firm’s reported net income is important as interest rate risk represents one of the Firm’s significant market risks. Interest rate risk arises not only from trading activities but also from the Firm’s traditional banking activities, which include extension of loans and credit facilities, taking deposits and issuing debt as well as from the investment securities portfolio. Ø Refer to page 83-84 of the 3Q20 Form 10-Q and pages 124-126 of the 2019 Form 10-K for a detailed discussion of Earnings-at-risk. Ø Refer to the table on page 120 of the 2019 Form 10-K for a summary of positions included in earnings-at-risk.

26 SUPPLEMENTARY LEVERAGE RATIO

The SLR is defined as Tier 1 capital under the Basel III (b) Receivables for cash variation margin that are posted under a qualifying capital rules divided by the Firm’s total leverage exposure. derivative contract where the Firm has obtained an appropriate legal opinion with respect to master netting agreements with the same The tables below present the components of the Firm’s counterparty, and where other relevant criteria under U.S. GAAP are met, SLR as of September 30, 2020 with on-balance sheet are netted against derivative liabilities and are not included in on-balance amounts calculated as the quarterly average and off- sheet assets. balance sheet amounts calculated as the average of each Repo-style transactions of the three month’s period-end balances. The following table presents the components of total Summary comparison of accounting assets and total exposures for repo-style transactions. leverage exposure September 30, (in millions) 2020 Basel III (a) Advanced CECL Gross assets for repo-style transactions $ 778,378 September 30, 2020 (in millions, except ratios) Transitional Less: amounts netted(b) 354,671 Basel III Advanced Tier 1 capital $ 227,486 Counterparty credit risk for all repo-style transactions 38,524 Exposure amount for repo-style transactions where the Total spot assets 3,246,076 Firm acts as an agent(c) 134 Add: Adjustments for frequency of calculations(a) 44,081 Total exposures for repo-style exposures 462,365 Total average assets 3,290,157 Less: on-balance sheet amounts Less adjustments for: Securities purchased under resale agreements 277,890 Adjustments for deductions from Tier 1 capital(b) 47,034 Securities borrowed 147,184 Exclusions for U.S. Treasuries and Federal Reserve Bank deposits 698,101 Adjustment for repo-style transactions $ 37,291 Add adjustments for: (a) Excludes the value of securities received as collateral where the Firm as securities lender has not sold or rehypothecated the collateral securities Adjustment for derivative transactions 338,156 received. Adjustment for repo-style transactions 37,291 (b) Reflects netting of transactions where the Firm has obtained an Adjustment for off-balance sheet exposures(c) 322,740 appropriate legal opinion with respect to master netting agreements with the same counterparty, and where other relevant criteria under U.S. GAAP (d) Other 4,183 are met. Total leverage exposure $ 3,247,392 (c) Includes exposures where the Firm’s guarantee is greater than the difference between the fair value of the security or cash the Firm’s Basel III Advanced SLR 7.0 % customer has lent and the value of the collateral provided. (a) The adjustment for frequency of calculations represents the difference Other off-balance sheet exposures between total spot assets at September30, 2020, and average assets for The following table presents wholesale and retail the three months ended September 30, 2020. (b) Adjustments that are subject to deduction from Tier 1 capital are commitments after applying the relevant credit conversion predominantly goodwill and other intangible assets. factors. (c) Off-balance sheet exposures are calculated as the average of the three month-end spot balances during the reporting quarter. September 30, (d) Includes adjustments for the CECL capital transition provisions and the (in millions) 2020 exclusion of assets purchased from money market mutual fund clients Off-balance sheet exposures - gross notional amounts $ 1,199,816 pursuant to nonrecourse advances provided under the MMLF. Derivative transactions Less: Adjustments for conversion to credit equivalent amounts 877,076 The following table presents the components of total Adjustment for other off-balance sheet exposures $ 322,740 derivative exposure.

September 30, (in millions) 2020 Replacement cost for all derivative transactions(a) $ 79,582 Add-on amounts for potential future exposure (“PFE”) for all derivative transactions 325,298 Gross-up for collateral posted in derivative transactions if collateral is deducted from on-balance sheet assets 1,227 Less: Exempted exposures to central counterparties (“CCPs”) in cleared transactions 14,851 Adjusted effective notional principal amount of sold credit protection 662,001 Less: Effective notional principal amount offsets and PFE deductions for sold credit protection 634,517 Total derivative exposure(b) 418,740 Less: On-balance-sheet average derivative receivables 80,584 Adjustment for derivative transactions $ 338,156 (a) Includes cash collateral received of $3.0 billion.

27 APPENDIX

Valuation process Notes to consolidated financial statements For a discussion of the Firm’s valuation methodologies for Section Form 10-K Form 10-Q assets, liabilities and lending-related commitments Page Page measured at fair value and the fair value hierarchy, refer reference reference to Valuation Process on pages 154–174 in the Note 2 of Note 1 Basis of presentation 151–153 98-99 the 2019 Form 10-K. Note 2 Fair value measurement 154–174 100-114 Note 3 Fair value option 175–177 115-118 Ø Refer to Note 2 on page 100-114 of the 3Q20 Form Note 4 Credit risk concentrations 178–179 119-120 10-Q , for information on credit and funding valuation Note 5 Derivative instruments 180-194 121-131 adjustments. Note 8 Pension and other postretirement employee 199–205 134 References to JPMorgan Chase’s 2019 Form 10-K and benefit plans 3Q20 Form 10-Q Note 10 Investment securities 208–213 136-140 JPMorgan Chase’s 3Q20 Form 10-Q contains important Note 11 Securities financing activities 214–216 141-143 information on the Firm’s risk management policies and Note 12 Loans practices, capital management processes, and accounting 217–236 144-158 policies relevant to this report. Specific references are Note 13 Allowance for credit losses 237–241 159-162 listed below. Note 14 Variable interest entities 242–249 163-168 Note 15 Goodwill and Mortgage servicing Management’s discussion and analysis rights 250–253 169-171 Section Form 10-K Page Form 10-Q Page Note 18 Leases 254-255 172 reference reference (Note 17 in 10-Q) Firm-wide risk management 79–83 48 Note 20 Long-term debt 257–258 Strategic risk management 84–98 Note 21 Preferred stock (Note 18 in 10-Q) 259-260 173 Capital risk management 85–92 49-54 Note 22 Common stock 261 management 93–98 55-59 Note 24 Accumulated other Reputation risk comprehensive income/(loss) 263-264 175-176 management 99 (Note 20 in 10-Q) Credit and investment risk Note 26 Restricted cash, other restricted management 100–118 60-79 assets and intercompany funds 269 177 transfers (Note 21 in 10-Q) Credit portfolio 102 60 Consumer credit portfolio Note 27 Regulatory capital 103–107 62-66 (Note 22 in 10-Q) 270–271 177-178 Wholesale credit portfolio 108–115 67-76 Note 28 Off-balance sheet lending-related Allowances for credit losses 116–117 77-78 financial instruments, guarantees and other 272–277 179-182 Investment portfolio risk commitments management 118 79 (Note 23 in 10-Q) Market risk management 119–126 80-84 Note 29 Pledged assets and collateral 278 182 Country risk management 127–128 85 (Note 24 in 10-Q) Operational risk management 129–131 86 Compliance risk management 132 Conduct risk management 133 management 134 Estimations and Model risk management 135 87

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