Jp Morgan Chase & Co. · NYSE:JPM

Jp Morgan Chase & — 2015 ANNUAL STRESS TEST DISCLOSURE

33 slides from Jp Morgan Chase &'s investor presentation, Mar 6, 2015

1. Slide 1: 2015 Annual Stress Test Disclosure

   March 5, 2015 2 0 1 5 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 5 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 2015 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 2015 Supervisory Severely Adverse Scenario Design and Description 22 DFAST Results – In-scope Bank Entities 24

3. Slide 3: Overview

   2 0 1 5 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 2015 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 5 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 ratios (Q4 2014 – Q4 2016) Firm-calculated projected Q4 2016 risk-weighted assets DFAST results under the Supervisory Severely Adverse scenario Capital and RWA project

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

   2 0 1 5 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 5 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 (Q4 2014 – Q4 2016)  For p

7. Slide 7: Key drivers of 2015 DFAST pro forma CET1 ratio

   2 0 1 5 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 2015 DFAST pro forma CET1 ratio Firm-calculated CET1 ratio calculated under Supervisory Severely Adverse scenario (billions of dollars, except where noted) 1 Q3 2014 and Q4 2016

8. Slide 8: Key drivers of 2015 DFAST pro forma Tier 1 Leverage ratio

   2 0 1 5 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 2015 DFAST pro forma Tier 1 Leverage ratio 1 Q3 2014 and Q4 2016 reflect end-of-period amounts. Other amounts represent the cumulative nine-quarter impact 2 Represents other item

9. Slide 9: Agenda

   Agenda Page 2 0 1 5 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 2015 Supervisory Severely Adverse Scenario Results 1 2015 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 Mid-Cycle stress tests are components of the Firm’s Internal Capital Adequacy Assessment Process (“ICAAP”)  Capital adequacy assessment processes are used to evaluate th

11. Slide 11: Capital adequacy assessment 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 Capital adequacy assessment governance and control processes Board of Directors  Reviews results of the capital adequacy assessment, which encompasses the effectiveness of the capital adequac

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 under regulatory requirements

13. Slide 13: Key risks captured in capital adequacy assessment 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 Key risks captured in capital adequacy assessment projections Capital  The risk the Firm has an insufficient level and composition of capital to support the Firm’s business activities and ass

14. Slide 14: Key risks by business activity captured in capital adequacy assessment

    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 risks1 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 non-interest expense; includes operational risk expenses; excludes credit costs Approach  Granular forecast acros

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 pending syndicate commit

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 loan 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 October 9, 20141 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  Projections of RWA under Basel I and Basel III Standardized for credit risk and Basel 2.5 for market risk Approach  Credit risk RWA  Projections leverage forecasted loan and se

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 on the investment securities portfolio Approach  Projections are based on the estimated change in value of the existing book and the forecasted reinvestment por

23. Slide 23: Agenda

    Agenda Page 2 0 1 5 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 2015 Supervisory Severely Adverse Scenario Design and Description 22 2015 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 DFAST Results – In-scope Bank Entities 2

24. Slide 24: 2015 DFAST Supervisory Severely Adverse scenario – Overview

    2 0 1 5 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 2015 DFAST Annual Supervisory Severely Adverse scenario – Overview  Supervisory Severely Adverse scenario, as constructed and prescribed by the Federal Reserve, assumes a substantiall

25. Slide 25: Agenda

    Agenda Page 2 0 1 5 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 2015 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 2015 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.  Process, including models, forecasting frameworks, governance and controls, for conducting stress test consistent with the

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.  Process, including models, forecasting frameworks, governance and controls, for conducting stress test consistent wi

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.  Process, including models, forecasting frameworks, governance and controls, for conducting stress test consistent with the JPMo

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.  Process, including models, forecasting frameworks, governance and controls, for conducting stress test consistent with th

30. Slide 30: Agenda

    Agenda Page 2 0 1 5 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 Notes 29 2015 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 2015 Supervisory Severely Adverse Scenario Design and Description 22 DFAST Results – In-scope Bank E

31. Slide 31: Notes on non-GAAP financial measures

    N O T E S Notes on non-GAAP financial measures 1. Basel III rules became effective for the Firm on January 1, 2014. The tier 1 common ratio is based on Basel I, and it is a non-GAAP financial measure. The common equity tier 1 capital ratio, tier 1 risk-based capital ratio, total risk-based capital r

32. Slide 32: Agenda

    Agenda Page 2 0 1 5 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 31 Forward-looking Statements 31 2015 Supervisory Severely Adverse Scenario Results 1 Capital Adequacy Assessment Processes and Risk Methodologies 8 2015 Supervisory Severely Adverse Scenario Design and Description 22 DFAST Resu

33. Slide 33: 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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