Jp Morgan Chase & Co. · NYSE:JPM
Jp Morgan Chase & — 2014 ANNUAL STRESS TESTING DISCLOSURE
29 slides from Jp Morgan Chase &'s investor presentation, Mar 20, 2014
Slide 1: 2014 Annual Stress Test Disclosure
March 20, 2014 2 0 1 4 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
Slide 2: Agenda
Agenda Page 2 0 1 4 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 2014 Supervisory Severely Adverse Scenario Results 1 Appendix 8
Slide 3: Overview
2 0 1 4 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 2014 Annual Stress Test Disclosure presents results of the annual Dodd-Frank Act Stress Test (“DFAST”) for JPMorgan Chase & Co. (“JPMorgan Chase” or “the Firm”) and certain select subsidiaries that
Slide 4: Key Changes in 2014 CCAR
2 0 1 4 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 Changes in 2014 CCAR The 2014 CCAR Instructions included the following requirements: Inclusion in the capital plan of certain Basel III standards, notably: – From 1Q 2014, capital subject to transition
Slide 5: Capital and RWA projections – JPMorgan Chase & Co.
2 0 1 4 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 through Q4 2015 Firm-calculated actual Q3 2013 and projected Q4 2015 risk-weighted assets DFAST results under the Supervisory Severely Adverse Scenario Capital
Slide 6: P&L – JPMorgan Chase & Co.
2 0 1 4 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 P&L – JPMorgan Chase & Co. Firm-calculated 9-quarter cumulative P&L metrics (Q4 2013 – Q4 2015) 1 Average assets is the nine-quarter average of tota
Slide 7: Loan loss projections – JPMorgan Chase & Co.
2 0 1 4 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 cumulative loan losses by type of loans (Q4 2013 – Q4 2015) For purposes of this disc
Slide 8: Key drivers of 2014 Basel I Tier 1 Common ratio
2 0 1 4 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 2014 Basel I Tier 1 Common (BIT1C) ratio – Supervisory Severely Adverse Scenario The BIT1C required minimum remains consistent across both 2013 and 2014 CCAR Firm-calculated 9-quarter cumulative
Slide 9: Agenda – Appendix
Agenda Page 2 0 1 4 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 Appendix Capital Adequacy Assessment Processes & Risk Methodologies DFAST Results – In-scope Bank Entities 8 2014 Supervisory Severely Adverse Scenario Results 1
Slide 10: Overview of Capital Adequacy Assessment Processes
A P P E N D I X 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 the Firm’s capital adequacy by: Assessing a broad range of economic factors, interest rate s
Slide 11: Capital Adequacy Assessment Governance and Control Processes
A P P E N D I X Capital Adequacy Assessment Governance and Control Processes Board of Directors Reviews results of the capital adequacy assessment, which encompasses the effectiveness of the capital adequacy process, the appropriateness of the risk tolerance levels, capital planning and the streng
Slide 12: Capital Management Objectives and Assessment of Results
A P P E N D I X Capital Management Objectives and Assessment of Results Cover all material risks underlying the Firm’s business activities; Maintain “well-capitalized” status under regulatory requirements; Maintain debt ratings that enable the Firm to optimize its funding mix and liquidity sou
Slide 13: Key Business Activities and Risks Captured
A P P E N D I X Key Business Activities and Risks Captured in Capital Adequacy Assessment Projections Business activities Key risks Consumer & Community Banking Consumer & Business Banking Mortgage Banking Card, Merchant Services & Auto Credit Liquidity Market Business and operational
Slide 14: Capital and Risk Components Captured
A P P E N D I X Capital and Risk Components Captured in Capital Adequacy Assessment Projections Capital monitored with respect to Basel I standards inclusive of Basel 2.5 final market risk rules, as well as Basel III Advanced and Standardized approaches, which became effective January 1, 2014 Ca
Slide 15: PPNR (Excluding Market Shock)
A P P E N D I X PPNR (Excluding Market Shock) 1 Scope Represents total net revenue less noninterest expense; excludes credit costs Approach Granular forecast across all LOBs by individual PPNR component Loan balances, deposits, NII, sales & trading revenue, fee revenue, compensation, operation
Slide 16: Provision for Loan and Lease Losses
A P P E N D I X Provision for Loan and Lease Losses 2 Scope Represents losses inherent in the Firm’s retained loan portfolios (commercial and industrial, commercial real estate, mortgages, credit card, auto and student) and related commitments Approach Provision projections based on composition
Slide 17: Trading & Counterparty Losses (Market Shock)
A P P E N D I X Trading & Counterparty Losses (Market Shock) 3 Scope Represents an instantaneous global market shock applied to trading and counterparty positions as of October 16, 2013 as prescribed by the Federal Reserve Approach Instantaneous P&L impact with no re-hedging and no recovery assu
Slide 18: Gains/Losses on Securities (AFS/HTM)
A P P E N D I X Gains/Losses on Securities (AFS/HTM) 4 Scope Represents OTTI on the investment securities portfolio Approach Separate methodologies developed for individual asset classes Assumes no security sales throughout the forecast period Types of risks identified and captured Potential
Slide 19: RWA
A P P E N D I X RWA 5 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 securities balances Market Risk RWA Projections based on historically observed relationshi
Slide 20: Description of Key Risks Managed Centrally
A P P E N D I X Description of Key Risks Managed Centrally Capital The risk the Firm has insufficient capital resources to support the Firm’s business activities and related risks Liquidity The risk the Firm will not have the appropriate amount, composition or tenor of funding and liquidity to s
Slide 21: Description of Key Risks Managed on an LOB-aligned Basis
A P P E N D I X Description of Key Risks Managed on an LOB-aligned Basis Country Risk that a sovereign’s unwillingness or inability to pay will result in market, credit, or other losses Credit Risk of loss from obligor or counterparty default Fiduciary Risk of failing to exercise the applicabl
Slide 22: CCAR Supervisory Severely Adverse Scenario Assumptions
A P P E N D I X CCAR Supervisory Severely Adverse Scenario Assumptions U.S. Real GDP (QoQ change) – Declines nearly 4.75% between the third quarter of 2013 and the end of 2014 U.S. inflation – The four-quarter percent change in the Consumer Price Index (“CPI”) declines to less than 1% by the end
Slide 23: Agenda – DFAST Results, In-scope Bank Entities
Agenda Page 2 0 1 4 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 Appendix Capital Adequacy Assessment Processes & Risk Methodologies DFAST Results – In-scope Bank Entities 8 2014 Supervisory Severely Adverse Scenario Results 1
Slide 24: Capital Ratios – JPMorgan Chase Bank, N.A.
A P P E N D I X DFAST results under the Supervisory Severely Adverse Scenario Capital Ratios – JPMorgan Chase Bank, N.A. Process, including models, analytical frameworks, governance and controls, for conducting stress test consistent with the JPMorgan Chase firmwide process Calculations based on
Slide 25: P&L projections – JPMorgan Chase Bank, N.A.
A P P E N D I X DFAST results under the Supervisory Severely Adverse Scenario P&L projections – JPMorgan Chase Bank, N.A. Process, including models, analytical frameworks, governance and controls, for conducting stress test consistent with the JPMorgan Chase firmwide process Calculations based o
Slide 26: Capital Ratios – Chase Bank USA, N.A.
A P P E N D I X DFAST results under the Supervisory Severely Adverse Scenario Capital Ratios – Chase Bank USA, N.A. Process, including models, analytical frameworks, governance and controls, for conducting stress test consistent with the JPMorgan Chase firmwide process Calculations based on bott
Slide 27: P&L projections – Chase Bank USA, N.A.
A P P E N D I X DFAST results under the Supervisory Severely Adverse Scenario P&L projections – Chase Bank USA, N.A. Process, including models, analytical frameworks, governance and controls, for conducting stress test consistent with the JPMorgan Chase firmwide process Calculations based on bot
Slide 28: Notes on non-GAAP financial measures
A P P E N D I X Notes on non-GAAP financial measures 1. Prior to January 1, 2014, Tier 1 common under Basel I and III rules were each non-GAAP financial measures, which were used by management, bank regulators, investors and analysts to assess and monitor the Firm’s capital position. Effective Janua
Slide 29: Forward-looking statements
A P P E N D I X 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 sign
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