Jp Morgan Chase & Co. · NYSE:JPM
Jp Morgan Chase & — 2013 CCAR RESULTS & ANNUAL STRESS TESTING DISCLOSURE - CCAR & DFAST
23 slides from Jp Morgan Chase &'s investor presentation, Mar 15, 2013
Slide 1: 2013 CCAR Results & Annual Stress Testing Disclosure
2 0 1 3 C C A R R E S U L T S & A N N U A L S T R E S S T E S T I N G D I S C L O S U R E March 14, 2013 CCAR & DFAST Supervisory Severely Adverse Scenario Results
Slide 2: Agenda
Agenda Page 1 2013 Supervisory Severely Adverse Scenario Results 1 Appendix A: Capital Adequacy Assessment Processes & Risk Methodologies 6 Appendix B: DFAST Results – Bank Holding Company 14 Appendix C: DFAST Results – In-scope Bank Entities 17 2 0 1 3 C C A R R E S U L T S & A N N U A L S T R E S
Slide 3: 2013 CCAR Results
2013 CCAR Results Following the Federal Reserve Board’s (FRB) release of 2013 CCAR results, JPMC announced that: The Firm is authorized to repurchase an additional $6B of common equity for 2Q13-1Q14 The Board of Directors intends to increase the Firm’s quarterly common stock dividend to $0.38
Slide 4: 2013 CCAR Results
2013 CCAR Supervisory Severely Adverse Scenario Results Note: Totals may not sum due to rounding Note: Calculations include impact of JPMC’s 2013 CCAR capital actions request 1 See note 1 on slide 21 2 Effective 1/1/13, Basel I capital ratios include the impact of the final Basel 2.5 market risk rul
Slide 5: 2013 CCAR Results: Loan Losses
2013 CCAR Supervisory Severely Adverse Scenario Results 1 Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include international real estate loans. Average loan balances used to calculate portfolio loss rates exclude loans held for sale and l
Slide 6: Key Drivers of JPMC's CCAR Pro Forma Tier 1 Common Ratio
10.4% 7.8% 3.0% (2.1)% (0.8)% (1.3)% 0.4% (1.7)% BIT1C 3Q12 PPNR (incl. operational losses)² Provisions and realized losses on securities² Global market shock losses² Impact of final B2.5 market risk rules³ Other Net capital distributions BIT1C 4Q14 BIT1C impact2 $63 ($44) $109 RWA impact ($T) ($0.1
Slide 7: Agenda
Agenda Page 6 Appendix A: Capital Adequacy Assessment Processes & Risk Methodologies 6 2013 Supervisory Severely Adverse Scenario Results 1 Appendix B: DFAST Results – Bank Holding Company 14 Appendix C: DFAST Results – In-scope Bank Entities 17 2 0 1 3 C C A R R E S U L T S & A N N U A L S T R E S
Slide 8: Overview of Capital Adequacy Assessment Processes
The FRB Comprehensive Capital Analysis and Review (CCAR) is a component of the Firm’s Internal Capital Adequacy Assessment Process (ICAAP) Capital assessment processes are used to evaluate the Firm’s capital adequacy by: Assessing a broad range of economic factors, interest rate sensitivities,
Slide 9: Capital Management Objectives and Assessment of Results
Capital Management Objectives and Assessment of Results Cover material risks underlying JPMC’s business activities Maintain “well-capitalized” status under regulatory requirements Maintain debt ratings that enable the Firm to optimize its funding mix and liquidity sources while minimizing cost
Slide 10: Capital and Risk Components Captured in ICAAP/CCAR Projections
Capital components Key risks captured Capital and Risk Components Captured in ICAAP/CCAR Projections Granular, LOB-level projections for revenue and expense Projections reflect macroeconomic factors, client behavior, business activity, etc. Pre-provision net revenue (PPNR) excl. market shock O
Slide 11: PPNR (Excluding Market Shock)
PPNR (Excluding Market Shock) Operational Interest rate duration Convexity Prepayment Basis Types of risks identified and captured 1 Econometric and regression models used, as appropriate, to establish relationships between macroeconomic factors and the Firm’s historical experience P&L
Slide 12: Provision for Loan and Lease Losses
Provision for Loan and Lease Losses Credit risks, which are impacted by: Probability of obligor or counterparty downgrade or default Consumer loan transition to different payment statuses (i.e, current, delinquent, default) Loss severity Changes in commitment utilization Types of risks ide
Slide 13: Trading & Counterparty Losses (Market Shock)
Trading & Counterparty Losses (Market Shock) Market risk on trading, Private Equity and other assets carried at fair value Market risk factors including directional, volatility, basis and structural risks Counterparty credit risk (CCR) Trading/CCR Incremental Default Risk (IDR) captures addi
Slide 14: Gains/Losses on Securities (AFS/HTM)
Gains/Losses on Securities (AFS/HTM) Potential credit impairment (OTTI), which is impacted by: Spread Liquidity Default Types of risks identified and captured 4 The methodologies used to assess the portfolio include the following: Ratings transition methodology used for non-securitized p
Slide 15: Agenda
Agenda Page 14 Appendix B: DFAST Results – Bank Holding Company 14 2013 Supervisory Severely Adverse Scenario Results 1 Appendix A: Capital Adequacy Assessment Processes & Risk Methodologies 6 Appendix C: DFAST Results – In-scope Bank Entities 17 2 0 1 3 C C A R R E S U L T S & A N N U A L S T R E S
Slide 16: DFAST Results: Capital and P&L Projections – JPMorgan Chase & Co.
DFAST results under the Supervisory Severely Adverse Scenario – Company-run Capital and P&L projections – JPMorgan Chase & Co. Note: Total may not sum due to rounding 1 See note 1 on slide 21 2 Effective 1/1/13, Basel I capital ratios include the impact of the final Basel 2.5 market risk rules; 3Q12
Slide 17: DFAST Results: Loan Loss Projections – JPMorgan Chase & Co.
DFAST results under the Supervisory Severely Adverse Scenario – Company-run Loan loss projections – JPMorgan Chase & Co. ¹ Commercial and industrial loans include small and medium enterprise loans and corporate cards. Other loans include internat ional real estate loans. Average loan balances used t
Slide 18: Agenda
Agenda Page 17 Appendix C: DFAST Results – In-scope Bank Entities 17 2013 Supervisory Severely Adverse Scenario Results 1 Appendix A: Capital Adequacy Assessment Processes & Risk Methodologies 6 Appendix B: DFAST Results – Bank Holding Company 14 2 0 1 3 C C A R R E S U L T S & A N N U A L S T R E S
Slide 19: DFAST Results: Capital and P&L Projections – JPMorgan Chase Bank, N.A.
DFAST results under the Supervisory Severely Adverse Scenario – Company-run Capital and P&L projections – JPMorgan Chase Bank, N.A. Process for conducting stress test leveraged JPMC firmwide process Calculations based on firmwide results attributed on a pro-rata basis to JPMCB Billions of dollar
Slide 20: DFAST Results: Capital and P&L Projections – Chase Bank USA, N.A.
DFAST results under the Supervisory Severely Adverse Scenario – Company-run Capital and P&L projections – Chase Bank USA, N.A. Process for conducting stress test leveraged JPMC firmwide process Calculations based on bottoms-up, stand-alone projections for CUSA Billions of dollars Percent of aver
Slide 21: CCAR Severely Adverse Scenario Assumptions
CCAR Severely Adverse Scenario Assumptions Severely Adverse scenario reflects assumptions provided by the FRB that demonstrate substantially weakened economic environment Results forecasted over a 9-quarter planning horizon Results capture the impact of stressed economic and market conditions,
Slide 22: Notes on Tier 1 Common Ratio and Basel Definitions
1. The Basel I Tier 1 common ratio is Tier 1 common capital divided by Basel I risk-weighted assets. Tier 1 common capital is defined as Tier 1 capital less elements of Tier 1 capital not in the form of common equity, such as perpetual preferred stock, noncontrolling interests in subsidiaries, and t
Slide 23: Forward-looking statements
Forward-looking statements This presentation contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. These statements are based on the current beliefs and expectations of JPMorgan Chase & Co.’s management and are subject to significant risks an
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