Jp Morgan Chase & Co. · NYSE:JPM

Jp Morgan Chase & — 2016 ANNUAL STRESS TEST DISCLOSURE - DFAST RESULTS

31 slides from Jp Morgan Chase &'s investor presentation, Jun 23, 2016

1. Slide 1: 2016 Annual Stress Test Disclosure: Dodd-Frank Act Stress Test Results

   June 23, 2016 2 0 1 6 A N N U A L S T R E S S T E S T D I S C L O S U R E Dodd-Frank Act Stress Test Results Supervisory Severely Adverse Scenario

2. Slide 2: Agenda

   Agenda Page 2 0 1 6 A N N U A L S T R E S S T E S T D I S C L O S U R E 1 2016 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 2016 Supervisory Severely Adverse Scenario Design and Description 22 DFAST Results – In-scope Bank Entities 24

3. Slide 3: Overview

   2 0 1 6 S U P E R V I S O R Y S E V E R E L Y A D V E R S E S C E N A R I O R E S U L T S Overview The 2016 Annual Stress Test Disclosure presents results of the annual stress test conducted by JPMorgan Chase & Co. (“JPMorgan Chase” or the “Firm”) in accordance with the Dodd-Frank Act Stress Test (“

4. Slide 4: Capital and RWA projections – JPMorgan Chase & Co.

   2 0 1 6 S U P E R V I S O R Y S E V E R E L Y A D V E R S E S C E N A R I O R E S U L T S Firm-calculated projected stressed capital ratios1 (Q1 2016 – Q1 2018) Firm-calculated projected Q1 2018 risk-weighted assets DFAST results under the Supervisory Severely Adverse scenario Capital and RWA projec

5. Slide 5: Profit & Loss projections – JPMorgan Chase & Co.

   2 0 1 6 S U P E R V I S O R Y S E V E R E L Y A D V E R S E S C E N A R I O R E S U L T S DFAST results under the Supervisory Severely Adverse scenario Profit & Loss projections – JPMorgan Chase & Co. Firm-calculated 9-quarter cumulative projected losses, revenues, net income before taxes, and other

6. Slide 6: Loan loss projections – JPMorgan Chase & Co.

   2 0 1 6 S U P E R V I S O R Y S E V E R E L Y A D V E R S E S C E N A R I O R E S U L T S DFAST results under the Supervisory Severely Adverse scenario Loan loss projections – JPMorgan Chase & Co. Firm-calculated 9-quarter cumulative projected loan losses, by type of loan (Q1 2016 – Q1 2018)  For p

7. Slide 7: Key drivers of 2016 DFAST pro forma CET1 ratio

   2 0 1 6 S U P E R V I S O R Y S E V E R E L Y A D V E R S E S C E N A R I O R E S U L T S Key drivers of JPMorgan Chase’s 2016 DFAST pro forma CET1 ratio Firm-calculated CET1 ratio calculated under Supervisory Severely Adverse scenario (billions of dollars) Note: Numbers may not sum due to rounding

8. Slide 8: Key drivers of 2016 DFAST pro forma Tier 1 Leverage ratio

   2 0 1 6 S U P E R V I S O R Y S E V E R E L Y A D V E R S E S C E N A R I O R E S U L T S Key drivers of JPMorgan Chase’s 2016 DFAST pro forma Tier 1 Leverage ratio 1 Q4 2015 and Q1 2018 reflect end-of-period amounts. Other amounts represent the cumulative nine-quarter impact 2 Includes projected ch

9. Slide 9: Agenda

   Agenda Page 2 0 1 6 A N N U A L S T R E S S T E S T D I S C L O S U R E 8 Capital Adequacy Assessment Processes and Risk Methodologies 8 2016 Supervisory Severely Adverse Scenario Results 1 2016 Supervisory Severely Adverse Scenario Design and Description 22 DFAST Results – In-scope Bank Entities 24

10. Slide 10: Capital adequacy assessment processes

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S  Both CCAR and DFAST stress tests are components of the Firm’s Internal Capital Adequacy Assessment Process (“ICAAP”)  Capital adequacy assessment processes are used to evaluate the Firm’s c

11. Slide 11: Governance and control processes

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Governance and control processes Capital adequacy assessment governance and control processes Board of Directors  Reviews results of the capital adequacy assessment, which encompasses the eff

12. Slide 12: Capital management objectives and assessment of results

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Capital management objectives and assessment of results  Cover all material risks underlying the Firm’s business activities  Maintain “well-capitalized” status and meet regulatory capital re

13. Slide 13: Risk definitions

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Capital  The risk the Firm has an insufficient level and composition of capital to support the Firm’s business activities and associated risks during normal economic environments and stressed

14. Slide 14: Key risks by business activity

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Key risks by business activity captured in capital adequacy assessment projections Business activities Key risks Consumer & Community Banking  Consumer & Business Banking  Consumer Banking 

15. Slide 15: Capital and risk components captured in projections

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Capital and risk components captured in capital adequacy assessment projections  Quantitative approach applied across all scenarios; management judgment also a critical component of process 

16. Slide 16: Risks embedded in earnings – PPNR

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Risks embedded in earnings – PPNR 1 Scope  Represents total net revenue less noninterest expense; includes operational risk expense; excludes credit costs Approach  Granular forecast across

17. Slide 17: Risks embedded in earnings – Gains/losses on AFS & HTM securities

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Risks embedded in earnings – Gains/losses on AFS & HTM securities Scope  Represents OTTI on the investment securities portfolio Approach  Investment securities are assessed for OTTI, and OTT

18. Slide 18: Risks embedded in earnings – Losses on held-for-sale loans and FVO loans

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Risks embedded in earnings – Losses on held-for-sale loans and loans accounted for under the fair value option Scope  Represents changes in valuation of HFS loans and commitments pending synd

19. Slide 19: Credit risk – Provision for loan and lease losses

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Credit risk – Provision for loan and lease losses 2 Scope  Represents losses inherent in the Firm’s retained loans portfolios and related commitments Approach  Provision projections based on

20. Slide 20: Market risk – Trading & counterparty losses (market shock)

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S Market risk – Trading & counterparty losses (market shock) 3 Scope  Represents an instantaneous global market shock applied to trading and counterparty positions as of January 7, 20161 Approa

21. Slide 21: RWA

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S RWA 4 Scope  RWA was projected under the Basel III standardized transitional approach Approach  Credit risk RWA  Projections leverage forecasted loan and securities balances  Market risk R

22. Slide 22: AOCI

    C A P I T A L A D E Q U A C Y A S S E S S M E N T P R O C E S S E S A N D R I S K M E T H O D O L O G I E S AOCI 5 Scope  Represents AOCI primarily on the investment securities portfolio Approach  Projections are based on the estimated change in value of the existing book and the forecasted reinve

23. Slide 23: Agenda

    Agenda Page 2 0 1 6 A N N U A L S T R E S S T E S T D I S C L O S U R E 22 2016 Supervisory Severely Adverse Scenario Design and Description 22 2016 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 DFAST Results – In-scope Bank Entities 2

24. Slide 24: 2016 DFAST Supervisory Severely Adverse scenario – Overview

    2 0 1 6 S U P E R V I S O R Y S E V E R E L Y A D V E R S E S C E N A R I O D E S I G N A N D D E S C R I P T I O N 2016 DFAST Annual Supervisory Severely Adverse scenario – Overview  Supervisory Severely Adverse scenario, as constructed and prescribed by the Federal Reserve, is characterized by a

25. Slide 25: Agenda

    Agenda Page 2 0 1 6 A N N U A L S T R E S S T E S T D I S C L O S U R E 24 DFAST Results – In-scope Bank Entities 24 2016 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 2016 Supervisory Severely Adverse Scenario Design and Description 2

26. Slide 26: Capital projections – JPMorgan Chase Bank, N.A.

    D F A S T R E S U L T S – I N - S C O P E B A N K E N T I T I E S DFAST results under the Supervisory Severely Adverse scenario Capital projections – JPMorgan Chase Bank, N.A. JPMorgan Chase Bank, N.A.-calculated projected stressed capital ratios1 (Q1 2016 – Q1 2018) 1 Stressed capital ratios are ca

27. Slide 27: Profit & Loss projections – JPMorgan Chase Bank, N.A.

    D F A S T R E S U L T S – I N - S C O P E B A N K E N T I T I E S DFAST results under the Supervisory Severely Adverse scenario Profit & Loss projections – JPMorgan Chase Bank, N.A. JPMorgan Chase Bank N.A.-calculated 9-quarter cumulative projected losses, revenues, net income before taxes, and othe

28. Slide 28: Capital projections – Chase Bank USA, N.A.

    D F A S T R E S U L T S – I N - S C O P E B A N K E N T I T I E S DFAST results under the Supervisory Severely Adverse Scenario Capital projections – Chase Bank USA, N.A. Chase Bank USA, N.A.-calculated projected stressed capital ratios1 (Q1 2016 – Q1 2018) 1 Stressed capital ratios are calculated u

29. Slide 29: Profit & Loss projections – Chase Bank USA, N.A.

    D F A S T R E S U L T S – I N - S C O P E B A N K E N T I T I E S DFAST results under the Supervisory Severely Adverse Scenario Profit & Loss projections – Chase Bank USA, N.A. Chase Bank USA, N.A.-calculated 9-quarter cumulative projected losses, revenues, net income before taxes, and other compreh

30. Slide 30: Agenda

    Agenda Page 2 0 1 6 A N N U A L S T R E S S T E S T D I S C L O S U R E 29 Forward-looking Statements 29 2016 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 2016 Supervisory Severely Adverse Scenario Design and Description 22 DFAST Resu

31. Slide 31: Forward-looking statements

    F O R W A R D - L O O K I N G S T A T E M E N T S 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

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