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 risk 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 Credit risk 9 Retail credit risk 11 Wholesale credit risk 13 Counterparty credit risk 14 Securitization 15 Equity risk in the banking book 19 Market risk 20 Material portfolio of covered positions 20 Value-at-risk 20 Regulatory market risk capital models 21 Independent review 24 Stress testing 24 Operational risk 25 Interest rate risk 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 financial services 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 banks 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 bank’s overall risk consumers and small businesses, commercial banking, profile as well as its risk management and internal financial transaction processing and asset management. 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 risks, 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 Model Risk 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, Tier 1 capital, Tier 2 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.