For the quarterly period ended | Commission file |
June 30, 2017 | number 1-5805 |
Delaware | 13-2624428 |
(State or other jurisdiction of incorporation or organization) | (I.R.S. employer identification no.) |
270 Park Avenue, New York, New York | 10017 |
(Address of principal executive offices) | (Zip Code) |
x Yes | o No |
x Yes | o No |
Large accelerated filer x | Accelerated filer | o |
Non-accelerated filer (Do not check if a smaller reporting company) o | Smaller reporting company | o |
Emerging growth company | o | |
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o |
o Yes | x No |
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(unaudited) As of or for the period ended, (in millions, except per share, ratio, headcount data and where otherwise noted) | Six months ended June 30, | |||||||||||||||||||||
2Q17 | 1Q17 | 4Q16 | 3Q16 | 2Q16 | 2017 | 2016 | ||||||||||||||||
Selected income statement data | ||||||||||||||||||||||
Total net revenue | $ | 25,470 | $ | 24,675 | $ | 23,376 | $ | 24,673 | $ | 24,380 | $ | 50,145 | $ | 47,619 | ||||||||
Total noninterest expense | 14,506 | 15,019 | 13,833 | 14,463 | 13,638 | 29,525 | 27,475 | |||||||||||||||
Pre-provision profit | 10,964 | 9,656 | 9,543 | 10,210 | 10,742 | 20,620 | 20,144 | |||||||||||||||
Provision for credit losses | 1,215 | 1,315 | 864 | 1,271 | 1,402 | 2,530 | 3,226 | |||||||||||||||
Income before income tax expense | 9,749 | 8,341 | 8,679 | 8,939 | 9,340 | 18,090 | 16,918 | |||||||||||||||
Income tax expense | 2,720 | 1,893 | 1,952 | 2,653 | 3,140 | 4,613 | 5,198 | |||||||||||||||
Net income | $ | 7,029 | $ | 6,448 | $ | 6,727 | $ | 6,286 | $ | 6,200 | $ | 13,477 | $ | 11,720 | ||||||||
Earnings per share data | ||||||||||||||||||||||
Net income: Basic | $ | 1.83 | $ | 1.66 | $ | 1.73 | $ | 1.60 | $ | 1.56 | $ | 3.49 | $ | 2.92 | ||||||||
Diluted | 1.82 | 1.65 | 1.71 | 1.58 | 1.55 | 3.47 | 2.89 | |||||||||||||||
Average shares: Basic | 3,574.1 | 3,601.7 | 3,611.3 | 3,637.7 | 3,675.5 | 3,587.9 | 3,693.0 | |||||||||||||||
Diluted | 3,599.0 | 3,630.4 | 3,646.6 | 3,669.8 | 3,706.2 | 3,614.7 | 3,721.9 | |||||||||||||||
Market and per common share data | ||||||||||||||||||||||
Market capitalization | 321,633 | 312,078 | 307,295 | 238,277 | 224,449 | 321,633 | 224,449 | |||||||||||||||
Common shares at period-end | 3,519.0 | 3,552.8 | 3,561.2 | 3,578.3 | 3,612.0 | 3,519.0 | 3,612.0 | |||||||||||||||
Share price:(a) | ||||||||||||||||||||||
High | $ | 92.65 | $ | 93.98 | $ | 87.39 | $ | 67.90 | $ | 66.20 | $ | 93.98 | $ | 66.20 | ||||||||
Low | 81.64 | 83.03 | 66.10 | 58.76 | 57.05 | 81.64 | 52.50 | |||||||||||||||
Close | 91.40 | 87.84 | 86.29 | 66.59 | 62.14 | 91.40 | 62.14 | |||||||||||||||
Book value per share | 66.05 | 64.68 | 64.06 | 63.79 | 62.67 | 66.05 | 62.67 | |||||||||||||||
Tangible book value per share (“TBVPS”)(b) | 53.29 | 52.04 | 51.44 | 51.23 | 50.21 | 53.29 | 50.21 | |||||||||||||||
Cash dividends declared per share | 0.50 | 0.50 | 0.48 | 0.48 | 0.48 | 1.00 | 0.92 | |||||||||||||||
Selected ratios and metrics | ||||||||||||||||||||||
Return on common equity (“ROE”) | 12 | % | 11 | % | 11 | % | 10 | % | 10 | % | 11 | % | 10 | % | ||||||||
Return on tangible common equity (“ROTCE”)(b) | 14 | 13 | 14 | 13 | 13 | 14 | 12 | |||||||||||||||
Return on assets | 1.10 | 1.03 | 1.06 | 1.01 | 1.02 | 1.07 | 0.97 | |||||||||||||||
Overhead ratio | 57 | 61 | 59 | 59 | 56 | 59 | 58 | |||||||||||||||
Loans-to-deposits ratio | 63 | 63 | 65 | 65 | 66 | 63 | 66 | |||||||||||||||
High quality liquid assets (“HQLA”) (in billions)(c) | $ | 577 | $ | 528 | $ | 524 | $ | 539 | $ | 516 | $ | 577 | $ | 516 | ||||||||
Common equity Tier 1 (“CET1”) capital ratio(d) | 12.6% | 12.5 | % | 12.4% | 12.0 | % | 12.0 | % | 12.6 | % | 12.0 | % | ||||||||||
Tier 1 capital ratio(d) | 14.4 | 14.3 | 14.1 | 13.6 | 13.6 | 14.4 | 13.6 | |||||||||||||||
Total capital ratio(d) | 16.0 | 15.6 | 15.5 | 15.1 | 15.2 | 16.0 | 15.2 | |||||||||||||||
Tier 1 leverage ratio(d) | 8.5 | 8.4 | 8.4 | 8.5 | 8.5 | 8.5 | 8.5 | |||||||||||||||
Selected balance sheet data (period-end) | ||||||||||||||||||||||
Trading assets | $ | 407,064 | $ | 402,513 | $ | 372,130 | $ | 374,837 | $ | 380,793 | $ | 407,064 | $ | 380,793 | ||||||||
Securities | 263,458 | 281,850 | 289,059 | 272,401 | 278,610 | 263,458 | 278,610 | |||||||||||||||
Loans | 908,767 | 895,974 | 894,765 | 888,054 | 872,804 | 908,767 | 872,804 | |||||||||||||||
Core loans | 834,935 | 812,119 | 806,152 | 795,077 | 775,813 | 834,935 | 775,813 | |||||||||||||||
Average core loans | 824,583 | 805,382 | 799,698 | 779,383 | 760,721 | 815,034 | 749,009 | |||||||||||||||
Total assets | 2,563,174 | 2,546,290 | 2,490,972 | 2,521,029 | 2,466,096 | 2,563,174 | 2,466,096 | |||||||||||||||
Deposits | 1,439,473 | 1,422,999 | 1,375,179 | 1,376,138 | 1,330,958 | 1,439,473 | 1,330,958 | |||||||||||||||
Long-term debt(e) | 292,973 | 289,492 | 295,245 | 309,418 | 295,627 | 292,973 | 295,627 | |||||||||||||||
Common stockholders’ equity | 232,415 | 229,795 | 228,122 | 228,263 | 226,355 | 232,415 | 226,355 | |||||||||||||||
Total stockholders’ equity | 258,483 | 255,863 | 254,190 | 254,331 | 252,423 | 258,483 | 252,423 | |||||||||||||||
Headcount | 249,257 | 246,345 | 243,355 | 242,315 | 240,046 | 249,257 | 240,046 | |||||||||||||||
Credit quality metrics | ||||||||||||||||||||||
Allowance for credit losses | $ | 14,480 | $ | 14,490 | $ | 14,854 | $ | 15,304 | $ | 15,187 | $ | 14,480 | $ | 15,187 | ||||||||
Allowance for loan losses to total retained loans | 1.49% | 1.52% | 1.55% | 1.61% | 1.64% | 1.49% | 1.64% | |||||||||||||||
Allowance for loan losses to retained loans excluding purchased credit-impaired loans(f) | 1.28 | 1.31 | 1.34 | 1.37 | 1.40 | 1.28 | 1.40 | |||||||||||||||
Nonperforming assets | $ | 6,432 | $ | 6,826 | $ | 7,535 | $ | 7,779 | $ | 7,757 | $ | 6,432 | $ | 7,757 | ||||||||
Net charge-offs(g) | 1,204 | 1,654 | 1,280 | 1,121 | 1,181 | 2,858 | 2,291 | |||||||||||||||
Net charge-off rate(g) | 0.54% | 0.76% | 0.58% | 0.51% | 0.56% | 0.65% | 0.54% |
(a) | Share prices are from the New York Stock Exchange. |
(b) | TBVPS and ROTCE are non-GAAP financial measures. For further discussion of these measures, see Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Financial Performance Measures on pages 15–17. |
(c) | HQLA represents the amount of assets that qualify for inclusion in the liquidity coverage ratio (“LCR”). For additional information, see HQLA on page 67. |
(d) | Ratios presented are calculated under the Basel III Transitional capital rules and for the capital ratios represent the lower of the Standardized or Advanced approach as required by the Collins Amendment of the Dodd-Frank Act (the “Collins Floor”). See Capital Risk Management on pages 42–48 for additional information on Basel III and the Collins Floor. |
(e) | Included unsecured long-term debt of $221.0 billion, $212.0 billion, $212.6 billion, $226.8 billion and $220.6 billion at June 30, 2017, March 31, 2017, December 31, 2016, September 30, 2016 and June 30, 2016, respectively. |
(f) | Excluded the impact of residential real estate purchased credit-impaired (“PCI”) loans, a non-GAAP financial measure. For further discussion of these measures, see Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures on pages 15–17. For further discussion, see Allowance for credit losses on pages 63–65. |
(g) | Excluding net charge-offs of $467 million related to the student loan portfolio transfer, the net charge-off rates for both the three months ended March 31, 2017 and six months ended June 30, 2017 would have been 0.54%. |
INTRODUCTION |
EXECUTIVE OVERVIEW |
Financial performance of JPMorgan Chase | |||||||||||||||||||||
(unaudited) As of or for the period ended, (in millions, except per share data and ratios) | Three months ended June 30, | Six months ended June 30, | |||||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | ||||||||||||||||
Selected income statement data | |||||||||||||||||||||
Total net revenue | $ | 25,470 | $ | 24,380 | 4 | % | $ | 50,145 | $ | 47,619 | 5% | ||||||||||
Total noninterest expense | 14,506 | 13,638 | 6 | 29,525 | 27,475 | 7 | |||||||||||||||
Pre-provision profit | 10,964 | 10,742 | 2 | 20,620 | 20,144 | 2 | |||||||||||||||
Provision for credit losses | 1,215 | 1,402 | (13 | ) | 2,530 | 3,226 | (22 | ) | |||||||||||||
Net income | 7,029 | 6,200 | 13 | 13,477 | 11,720 | 15 | |||||||||||||||
Diluted earnings per share | $ | 1.82 | $ | 1.55 | 17 | $ | 3.47 | $ | 2.89 | 20 | |||||||||||
Selected ratios and metrics | |||||||||||||||||||||
Return on common equity | 12 | % | 10 | % | 11 | % | 10 | % | |||||||||||||
Return on tangible common equity | 14 | 13 | 14 | 12 | |||||||||||||||||
Book value per share | $ | 66.05 | $ | 62.67 | 5 | $ | 66.05 | $ | 62.67 | 5 | |||||||||||
Tangible book value per share | 53.29 | 50.21 | 6 | 53.29 | 50.21 | 6 | |||||||||||||||
Capital ratios(a) | |||||||||||||||||||||
CET1 | 12.6% | 12.0 | % | 12.6 | % | 12.0 | % | ||||||||||||||
Tier 1 capital | 14.4 | 13.6 | 14.4 | 13.6 | |||||||||||||||||
Total capital | 16.0 | 15.2 | 16.0 | 15.2 |
(a) | Ratios presented are calculated under the Basel III Transitional capital rules and represent the Collins Floor. See Capital Risk Management on pages 42–48 for additional information on Basel III. |
• | Net income increased 13%, reflecting higher net revenue, lower income tax expense, and lower provision for credit losses, largely offset by higher noninterest expense. |
• | Total net revenue increased 4%. Net interest income was $12.2 billion, up 8%, primarily driven by the net impact of higher interest rates and loan growth, partially offset by declines in Markets net interest income. Noninterest revenue was $13.3 billion, up 2%, driven by a legal benefit in Corporate related to a settlement with the Federal Deposit Insurance Corporation (“FDIC”) receivership for Washington Mutual and with Deutsche Bank as trustee to certain Washington Mutual trusts, higher Banking revenue in the CIB, higher auto lease income, and higher revenue in AWM. These increases were predominantly offset by higher Card new account origination costs, lower Mortgage Banking revenue and lower Markets revenue in the CIB. |
• | Noninterest expense was $14.5 billion, up 6%, reflecting the absence of a legal benefit recorded in the prior-year quarter, as well as higher auto lease depreciation and FDIC-related expenses. |
• | The provision for credit losses was $1.2 billion, a decrease from $1.4 billion. This quarter included a net reduction in the allowance for credit losses in the wholesale portfolio of $241 million driven by Oil & Gas, Natural Gas Pipelines and Metals & Mining, offset by a net addition to the allowance for credit losses in the consumer portfolio of $252 million driven by Card. |
• | The total allowance for credit losses was $14.5 billion at June 30, 2017, and the Firm had a loan loss coverage ratio, excluding the PCI portfolio, of 1.28%, compared with 1.40%. The Firm’s nonperforming assets totaled $6.4 billion at June 30, 2017, a decrease from $7.8 billion. |
• | Firmwide average core loans increased 8%. |
• | The Firm added to its capital, ending the second quarter of 2017 with a TBVPS of $53.29, up 6%. |
• | The Firm’s Basel III Fully Phased-In CET1 capital was $187 billion, and the Standardized and Advanced CET1 ratios were 12.5% and 12.7%, respectively. |
• | The Fully Phased-In supplementary leverage ratio (“SLR”) was 6.6% for the Firm and 6.7% for JPMorgan Chase Bank, N.A. at June 30, 2017. |
CCB ROE 17% | • Average core loans up 9%; average deposits of $640 billion, up 10% • 28.4 million active mobile customers, up 14% • Credit card sales volume up 15% and merchant processing volume up 12% | |
CIB ROE 15% | • Maintained #1 ranking for Global Investment Banking fees with 8.3% wallet share YTD• Banking revenue up 17%; Markets revenue down 14% | |
CB ROE 17% | • Record revenue and net income of $2.1 billion (up 15%), and $902 million (up 30%), respectively • Average loan balances of $198 billion, up 12% | |
AWM ROE 27% | • Record net income of $624 million, up 20%; revenue of $3.2 billion, up 9%• Average loan balances of $122 billion, up 9%• Assets under management (“AUM”) of $1.9 trillion, up 11%; 77% of mutual fund AUM ranked in the 1st or 2nd quartile over 5 years |
• | $131 billion of credit for consumers |
• | $11 billion of credit for U.S. small businesses |
• | $413 billion of credit for corporations |
• | $605 billion of capital raised for corporate clients and non-U.S. government entities |
• | $38 billion of credit and capital raised for U.S. government and nonprofit entities, including states, municipalities, hospitals and universities |
• | Management expects 2017 net interest income to increase by approximately $4 billion compared with the prior year, depending on market conditions. |
• | The Firm continues to take a disciplined approach to managing its expenses, while investing in growth and innovation. As a result, Firmwide adjusted expense in 2017 is expected to be approximately $58 billion (excluding Firmwide legal expense). |
• | The Firm continues to experience charge-off rates at or near historically low levels, reflecting favorable credit conditions across the consumer and wholesale portfolios. Management expects total net charge-offs of approximately $5 billion in 2017, excluding net charge-offs of $467 million related to the write-down of the student loan portfolio in the first quarter of 2017. |
• | Management expects average core loan growth of approximately 8% in 2017. |
• | In Card, management expects the portfolio average net charge-off rate to increase in 2017, but remain below 3% for the year, reflecting continued loan growth and the seasoning of newer vintages, with quarterly net charge-off rates reflecting normal seasonal trends. |
• | Management expects Investment Banking fees in the second half of 2017 to be lower compared to a strong prior-year period. |
CONSOLIDATED RESULTS OF OPERATIONS |
Revenue | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Investment banking fees | $ | 1,810 | $ | 1,644 | 10 | % | $ | 3,627 | $ | 2,977 | 22 | % | |||||||||
Principal transactions | 3,137 | 2,976 | 5 | 6,719 | 5,655 | 19 | |||||||||||||||
Lending- and deposit-related fees | 1,482 | 1,403 | 6 | 2,930 | 2,806 | 4 | |||||||||||||||
Asset management, administration and commissions | 3,824 | 3,681 | 4 | 7,501 | 7,305 | 3 | |||||||||||||||
Securities gains/(losses) | (34 | ) | 21 | NM | (37 | ) | 72 | NM | |||||||||||||
Mortgage fees and related income | 404 | 689 | (41 | ) | 810 | 1,356 | (40 | ) | |||||||||||||
Card income | 1,167 | 1,358 | (14 | ) | 2,081 | 2,659 | (22 | ) | |||||||||||||
Other income(a) | 1,472 | 1,261 | 17 | 2,242 | 2,062 | 9 | |||||||||||||||
Noninterest revenue | 13,262 | 13,033 | 2 | 25,873 | 24,892 | 4 | |||||||||||||||
Net interest income | 12,208 | 11,347 | 8 | 24,272 | 22,727 | 7 | |||||||||||||||
Total net revenue | $ | 25,470 | $ | 24,380 | 4% | $ | 50,145 | $ | 47,619 | 5% |
(a) | Included operating lease income of $873 million and $651 million for the three months ended June 30, 2017 and 2016, respectively and $1.7 billion and $1.3 billion for the six months ended June 30, 2017 and 2016, respectively. |
• | a legal benefit of $645 million in Corporate related to a settlement with the FDIC receivership for Washington Mutual and with Deutsche Bank as trustee to certain Washington Mutual trusts |
• | higher operating lease income reflecting growth in auto operating lease volume in CCB; |
• | the absence of a gain in the prior year on the sale of Visa Europe interests in CCB, and |
• | lower other income in CIB. |
• | Higher Fixed Income-related revenue primarily from Securitized Products driven by strong demand in the first quarter |
• | Higher Equity-related revenue primarily from corporate derivatives and Prime Services, partially offset by lower revenue in other derivatives related to market-making activities, and |
• | Higher Lending-related revenue reflecting lower fair value losses on hedges of accrual loans and higher gains on securities received from restructurings. |
• | a legal benefit of $645 million in Corporate related to a settlement with the FDIC receivership for Washington Mutual and with Deutsche Bank as trustee to certain Washington Mutual trusts |
• | higher operating lease income reflecting growth in auto operating lease volume in CCB; |
• | the absence of gains in the prior year on the sale of Visa Europe interests in CCB, as well as on the disposal of assets in AWM, and |
• | lower other income in CIB. |
Provision for credit losses | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Consumer, excluding credit card | $ | 12 | $ | 95 | (87)% | $ | 454 | $ | 316 | 44 | % | ||||||||||
Credit card | 1,387 | 1,110 | 25 | 2,380 | 1,940 | 23 | % | ||||||||||||||
Total consumer | 1,399 | 1,205 | 16 | 2,834 | 2,256 | 26 | % | ||||||||||||||
Wholesale | (184 | ) | 197 | NM | (304 | ) | 970 | NM | |||||||||||||
Total provision for credit losses | $ | 1,215 | $ | 1,402 | (13 | )% | $ | 2,530 | $ | 3,226 | (22 | )% |
• | a decline in the wholesale provision predominantly due to a $241 million reduction in the allowance for credit losses compared with an addition in the prior year; actions for both periods related to Oil & Gas, Natural Gas Pipelines and Metals & Mining |
• | an increase in the consumer provision primarily driven by $120 million of higher net charge-offs, predominantly in the credit card portfolio, and a $74 million higher addition to the allowance for credit losses, which included current quarter additions in the credit card, business banking and auto portfolios, partially offset by a reduction in the residential real estate portfolio. |
• | a decline in the wholesale provision predominantly due to a $334 million reduction in the allowance for credit losses compared with an addition in the prior year; actions for both periods related to Oil & Gas, Natural Gas Pipelines and Metals & Mining |
• | an increase in the consumer provision primarily driven by $284 million of higher net charge-offs, predominantly in the credit card portfolio, $218 million related to the transfer of the student loan portfolio to held-for-sale, and a $76 million higher addition to the allowance for credit losses, which included current year additions in the credit card, business banking and auto portfolios, partially offset by a reduction in the residential real estate portfolio. |
Noninterest expense | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Compensation expense | $ | 7,706 | $ | 7,778 | (1 | )% | $ | 15,907 | $ | 15,438 | 3% | ||||||||||
Noncompensation expense: | |||||||||||||||||||||
Occupancy | 912 | 899 | 1 | 1,873 | 1,782 | 5 | |||||||||||||||
Technology, communications and equipment | 1,870 | 1,665 | 12 | 3,698 | 3,283 | 13 | |||||||||||||||
Professional and outside services | 1,644 | 1,700 | (3 | ) | 3,187 | 3,248 | (2 | ) | |||||||||||||
Marketing | 756 | 672 | 13 | 1,469 | 1,375 | 7 | |||||||||||||||
Other expense(a)(b) | 1,618 | 924 | 75 | 3,391 | 2,349 | 44 | |||||||||||||||
Total noncompensation expense | 6,800 | 5,860 | 16 | 13,618 | 12,037 | 13 | |||||||||||||||
Total noninterest expense | $ | 14,506 | $ | 13,638 | 6 | % | $ | 29,525 | $ | 27,475 | 7 | % |
(a) | Included Firmwide legal expense of $61 million and $(430) million for the three months ended June 30, 2017 and 2016, respectively and $279 million and $(476) million for the six months ended June 30, 2017 and 2016, respectively. |
(b) | Included FDIC-related expense of $376 million and $283 million for the three months ended June 30, 2017 and 2016, respectively and $757 million and $552 million for the six months ended June 30, 2017 and 2016, respectively. |
• | the absence of a legal benefit recorded in the prior year in Corporate |
• | higher depreciation expense from growth in auto operating lease volume in CCB |
• | higher FDIC-related expense |
• | higher marketing expense in CCB, and |
• | contributions to the Firm’s Foundation. |
• | higher legal expense driven by the combined impact of an increase in legal expense in AWM and a lower legal benefit in Corporate |
• | higher depreciation expense from growth in auto operating leased assets in CCB |
• | higher FDIC-related expense |
• | contributions to the Firm’s Foundation, and |
• | higher marketing expense in CCB. |
Income tax expense | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Income before income tax expense | $ | 9,749 | $ | 9,340 | 4 | % | $ | 18,090 | $ | 16,918 | 7 | % | |||||||||
Income tax expense | 2,720 | 3,140 | (13 | ) | 4,613 | 5,198 | (11 | ) | |||||||||||||
Effective tax rate | 27.9 | % | 33.6 | % | 25.5 | % | 30.7 | % |
CONSOLIDATED BALANCE SHEETS ANALYSIS |
Selected Consolidated balance sheets data | |||||||||
(in millions) | Jun 30, 2017 | Dec 31, 2016 | Change | ||||||
Assets | |||||||||
Cash and due from banks | $ | 21,781 | $ | 23,873 | (9 | )% | |||
Deposits with banks | 427,380 | 365,762 | 17 | ||||||
Federal funds sold and securities purchased under resale agreements | 218,570 | 229,967 | (5 | ) | |||||
Securities borrowed | 90,654 | 96,409 | (6 | ) | |||||
Trading assets: | |||||||||
Debt and equity instruments | 350,558 | 308,052 | 14 | ||||||
Derivative receivables | 56,506 | 64,078 | (12 | ) | |||||
Securities | 263,458 | 289,059 | (9 | ) | |||||
Loans | 908,767 | 894,765 | 2 | ||||||
Allowance for loan losses | (13,363 | ) | (13,776 | ) | (3 | ) | |||
Loans, net of allowance for loan losses | 895,404 | 880,989 | 2 | ||||||
Accrued interest and accounts receivable | 64,038 | 52,330 | 22 | ||||||
Premises and equipment | 14,206 | 14,131 | 1 | ||||||
Goodwill | 47,300 | 47,288 | — | ||||||
Mortgage servicing rights | 5,753 | 6,096 | (6 | ) | |||||
Other intangible assets | 827 | 862 | (4 | ) | |||||
Other assets | 106,739 | 112,076 | (5 | ) | |||||
Total assets | $ | 2,563,174 | $ | 2,490,972 | 3 | % |
• | The increase in trading assets was driven by higher debt and equity instruments in Prime Services reflecting client demand and in Rates reflecting higher levels when compared to lower levels at year-end. |
• | The increase in trading liabilities was driven by higher levels of client-driven short positions in debt instruments, partially offset by reductions in equity instruments. |
• | higher wholesale loans predominantly driven by originations in CB and higher loans to Private Banking clients in AWM, partially offset by |
• | lower consumer loans as a result of the student loan portfolio sale, lower home equity loans, and the seasonal decline in credit card balances, predominantly offset by higher retention of originated high-quality prime mortgages in CCB and AWM. |
• | a net reduction in the wholesale allowance primarily driven by Oil & Gas, Natural Gas Pipelines and Metals & Mining |
• | the consumer allowance remained relatively flat, with the utilization of the allowance in connection with the transfer of the student loan portfolio to held-for-sale, and a reduction in the residential real estate portfolio driven by continued improvement in home prices and delinquencies, predominantly offset by additions to the credit card, business banking and auto portfolios, driven by loan growth as well as higher loss rates in credit card. |
Selected Consolidated balance sheets data (continued) | |||||||||
(in millions) | Jun 30, 2017 | Dec 31, 2016 | Change | ||||||
Liabilities | |||||||||
Deposits | $ | 1,439,473 | $ | 1,375,179 | 5 | % | |||
Federal funds purchased and securities loaned or sold under repurchase agreements | 165,621 | 165,666 | — | ||||||
Commercial paper | 22,207 | 11,738 | 89 | ||||||
Other borrowed funds | 30,936 | 22,705 | 36 | ||||||
Trading liabilities: | |||||||||
Debt and equity instruments | 91,628 | 87,428 | 5 | ||||||
Derivative payables | 41,795 | 49,231 | (15 | ) | |||||
Accounts payable and other liabilities | 189,160 | 190,543 | (1 | ) | |||||
Beneficial interests issued by consolidated variable interest entities (“VIEs”) | 30,898 | 39,047 | (21 | ) | |||||
Long-term debt | 292,973 | 295,245 | (1 | ) | |||||
Total liabilities | 2,304,691 | 2,236,782 | 3 | ||||||
Stockholders’ equity | 258,483 | 254,190 | 2 | ||||||
Total liabilities and stockholders’ equity | $ | 2,563,174 | $ | 2,490,972 | 3 | % |
• | higher wholesale deposits driven by growth in client activity in CIB’s Securities Services and Treasury Services businesses, partially offset by lower balances in AWM reflecting balance migration into the Firm’s investment-related products, and the impact of seasonality in both CB and AWM. |
• | higher consumer deposits reflecting the continuation of strong growth from existing and new customers, and low attrition rates |
CONSOLIDATED CASH FLOWS ANALYSIS |
(in millions) | Six months ended June 30, | |||||||
2017 | 2016 | |||||||
Net cash provided by/(used in) | ||||||||
Operating activities | $ | (13,024 | ) | $ | (22,907 | ) | ||
Investing activities | (37,079 | ) | (52,064 | ) | ||||
Financing activities | 47,911 | 74,159 | ||||||
Effect of exchange rate changes on cash | 100 | 32 | ||||||
Net decrease in cash and due from banks | $ | (2,092 | ) | $ | (780 | ) |
• | an increase in trading assets was primarily driven by higher debt and equity instruments in Prime Services reflecting client demand and in Rates reflecting higher levels when compared to lower levels at year-end |
• | an increase in accrued interest and accounts receivable due to higher client receivables |
• | higher net originations and purchases of loans held-for-sale predominantly in CIB and CB. |
• | an increase in accrued interest and accounts receivable driven by higher client receivables |
• | an increase in trading assets, which was predominantly offset by an increase in trading liabilities. |
• | an increase in deposits with banks, which were placed with various central banks, predominantly Federal Reserve Banks |
• | higher wholesale loans predominantly driven by originations in CB and higher loans to Private Banking clients in AWM, partially offset by lower consumer loans as a result of the student loan portfolio sale, lower home equity loans, and the seasonal decline in credit card balances, predominantly offset by higher retention of originated high-quality prime mortgages in CCB and AWM |
• | an increase in wholesale loans driven by strong originations of commercial and industrial loans and commercial real estate loans |
• | an increase in consumer loans reflecting the retention of originated high-quality prime mortgages and growth in auto loans |
• | a net increase in securities purchased under resale agreements due to a higher demand for securities to cover short positions related to client-driven market-making activities in CIB and the deployment of excess cash by Treasury and Chief Investment Office ("CIO"). |
• | higher wholesale deposits reflecting growth in client activity, partially offset by seasonal factors |
• | higher consumer deposits reflecting the continuation of strong growth from existing and new customers, and low attrition rates |
• | an increase in commercial paper due to higher issuance in the wholesale market, reflecting a change in the mix of funding from securities sold under repurchase agreements for CIB Markets activities |
• | an increase in other borrowed funds driven by a change in the mix of funding from securities sold under repurchase agreements in CIB |
• | an increase in consumer deposits reflecting the continued growth from new and existing customers, as well as the impact of low attrition rates |
• | higher wholesale deposits reflecting growth in client activity in Treasury Services |
• | an increase in securities loaned or sold under repurchase agreements due to higher secured financing of investment securities in Treasury and CIO, and higher client-driven market-making activities in CIB |
• | net proceeds from long-term borrowings. |
OFF-BALANCE SHEET ARRANGEMENTS |
EXPLANATION AND RECONCILIATION OF THE FIRM’S USE OF NON-GAAP FINANCIAL MEASURES AND KEY PERFORMANCE MEASURES |
Three months ended June 30, | |||||||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||||||
(in millions, except ratios) | Reported results | Fully taxable-equivalent adjustments(a) | Managed basis | Reported results | Fully taxable-equivalent adjustments(a) | Managed basis | |||||||||||||||||||
Other income | $ | 1,472 | $ | 596 | $ | 2,068 | $ | 1,261 | $ | 529 | $ | 1,790 | |||||||||||||
Total noninterest revenue | 13,262 | 596 | 13,858 | 13,033 | 529 | 13,562 | |||||||||||||||||||
Net interest income | 12,208 | 339 | 12,547 | 11,347 | 305 | 11,652 | |||||||||||||||||||
Total net revenue | 25,470 | 935 | 26,405 | 24,380 | 834 | 25,214 | |||||||||||||||||||
Pre-provision profit | 10,964 | 935 | 11,899 | 10,742 | 834 | 11,576 | |||||||||||||||||||
Income before income tax expense | 9,749 | 935 | 10,684 | 9,340 | 834 | 10,174 | |||||||||||||||||||
Income tax expense | $ | 2,720 | $ | 935 | $ | 3,655 | $ | 3,140 | $ | 834 | $ | 3,974 | |||||||||||||
Overhead ratio | 57 | % | NM | 55 | % | 56 | % | NM | 54 | % | |||||||||||||||
Six months ended June 30, | |||||||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||||||
(in millions, except ratios) | Reported results | Fully taxable-equivalent adjustments(a) | Managed basis | Reported results | Fully taxable-equivalent adjustments(a) | Managed basis | |||||||||||||||||||
Other income | $ | 2,242 | $ | 1,178 | $ | 3,420 | $ | 2,062 | $ | 1,080 | $ | 3,142 | |||||||||||||
Total noninterest revenue | 25,873 | 1,178 | 27,051 | 24,892 | 1,080 | 25,972 | |||||||||||||||||||
Net interest income | 24,272 | 668 | 24,940 | 22,727 | 598 | 23,325 | |||||||||||||||||||
Total net revenue | 50,145 | 1,846 | 51,991 | 47,619 | 1,678 | 49,297 | |||||||||||||||||||
Pre-provision profit | 20,620 | 1,846 | 22,466 | 20,144 | 1,678 | 21,822 | |||||||||||||||||||
Income before income tax expense | 18,090 | 1,846 | 19,936 | 16,918 | 1,678 | 18,596 | |||||||||||||||||||
Income tax expense | $ | 4,613 | $ | 1,846 | $ | 6,459 | $ | 5,198 | $ | 1,678 | $ | 6,876 | |||||||||||||
Overhead ratio | 59 | % | NM | 57 | % | 58 | % | NM | 56 | % |
(in millions, except rates) | Three months ended June 30, | Six months ended June 30, | |||||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | ||||||||||||||
Net interest income – managed basis(a)(b) | $ | 12,547 | $ | 11,652 | 8 | % | $ | 24,940 | $ | 23,325 | 7 | % | |||||||
Less: CIB Markets net interest income(c) | 1,075 | 1,579 | (32 | ) | 2,439 | 3,078 | (21 | ) | |||||||||||
Net interest income excluding CIB Markets(a) | $ | 11,472 | $ | 10,073 | 14 | $ | 22,501 | $ | 20,247 | 11 | |||||||||
Average interest-earning assets | $ | 2,177,109 | $ | 2,079,525 | 5 | $ | 2,169,055 | $ | 2,061,754 | 5 | |||||||||
Less: Average CIB Markets interest-earning assets(c) | 537,263 | 522,321 | 3 | 530,051 | 519,054 | 2 | |||||||||||||
Average interest-earning assets excluding CIB Markets | $ | 1,639,846 | $ | 1,557,204 | 5 | % | $ | 1,639,004 | $ | 1,542,700 | 6 | % | |||||||
Net interest yield on average interest-earning assets – managed basis | 2.31% | 2.25 | % | 2.32 | % | 2.28 | % | ||||||||||||
Net interest yield on average CIB Markets interest-earning assets(c) | 0.80 | 1.22 | 0.93 | 1.19 | |||||||||||||||
Net interest yield on average interest-earning assets excluding CIB Markets | 2.81% | 2.60 | % | 2.77 | % | 2.64 | % |
(a) | Interest includes the effect of related hedges. Taxable-equivalent amounts are used where applicable. |
(b) | For a reconciliation of net interest income on a reported and managed basis, see reconciliation from the Firm’s reported U.S. GAAP results to managed basis on page 15. |
(c) | The prior period amounts were revised to align with CIB’s Markets businesses. For further information on CIB’s Markets businesses, see page 29. |
Period-end | Average | |||||||||||||||||||
(in millions, except per share and ratio data) | Jun 30, 2017 | Dec 31, 2016 | Three months ended June 30, | Six months ended June 30, | ||||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||||||
Common stockholders’ equity | $ | 232,415 | $ | 228,122 | $ | 230,200 | $ | 224,429 | $ | 228,959 | $ | 222,995 | ||||||||
Less: Goodwill | 47,300 | 47,288 | 47,290 | 47,309 | 47,292 | 47,320 | ||||||||||||||
Less: Certain identifiable intangible assets | 827 | 862 | 838 | 928 | 845 | 957 | ||||||||||||||
Add: Deferred tax liabilities(a) | 3,252 | 3,230 | 3,239 | 3,213 | 3,234 | 3,195 | ||||||||||||||
Tangible common equity | $ | 187,540 | $ | 183,202 | $ | 185,311 | $ | 179,405 | $ | 184,056 | $ | 177,913 | ||||||||
Return on tangible common equity | NA | NA | 14 | % | 13 | % | 14 | % | 12 | % | ||||||||||
Tangible book value per share | $ | 53.29 | $ | 51.44 | NA | NA | NA | NA |
(a) | Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating TCE. |
▪ | Capital, risk-weighted assets (“RWA”), and capital and leverage ratios presented under Basel III Standardized and Advanced Fully Phased-In rules and |
▪ | SLR calculated under Basel III Advanced Fully Phased-In rules. |
BUSINESS SEGMENT RESULTS |
Three months ended June 30, | Total net revenue | Total noninterest expense | Pre-provision profit/(loss) | |||||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||||
Consumer & Community Banking | $ | 11,412 | $ | 11,451 | — | $ | 6,500 | $ | 6,004 | 8% | $ | 4,912 | $ | 5,447 | (10)% | |||||||||||
Corporate & Investment Bank | 8,889 | 9,165 | (3 | ) | 4,841 | 5,078 | (5 | ) | 4,048 | 4,087 | (1 | ) | ||||||||||||||
Commercial Banking | 2,088 | 1,817 | 15 | 790 | 731 | 8 | 1,298 | 1,086 | 20 | |||||||||||||||||
Asset & Wealth Management | 3,212 | 2,939 | 9 | 2,192 | 2,098 | 4 | 1,020 | 841 | 21 | |||||||||||||||||
Corporate | 804 | (158 | ) | NM | 183 | (273 | ) | NM | 621 | 115 | 440 | |||||||||||||||
Total | $ | 26,405 | $ | 25,214 | 5% | $ | 14,506 | $ | 13,638 | 6% | $ | 11,899 | $ | 11,576 | 3% |
Three months ended June 30, | Provision for credit losses | Net income/(loss) | Return on equity | |||||||||||||||||||
(in millions, except ratios) | 2017 | 2016 | Change | 2017 | 2016 | Change | 2017 | 2016 | ||||||||||||||
Consumer & Community Banking | $ | 1,394 | $ | 1,201 | 16 | $ | 2,223 | $ | 2,656 | (16)% | 17 | % | 20 | % | ||||||||
Corporate & Investment Bank | (53 | ) | 235 | NM | 2,710 | 2,493 | 9 | 15 | 15 | |||||||||||||
Commercial Banking | (130 | ) | (25 | ) | (420 | ) | 902 | 696 | 30 | 17 | 16 | |||||||||||
Asset & Wealth Management | 4 | (8 | ) | NM | 624 | 521 | 20 | 27 | 22 | |||||||||||||
Corporate | — | (1 | ) | 100% | 570 | (166 | ) | NM | NM | NM | ||||||||||||
Total | $ | 1,215 | $ | 1,402 | (13)% | $ | 7,029 | $ | 6,200 | 13% | 12% | 10 | % |
Six months ended June 30, | Total net revenue | Total noninterest expense | Pre-provision profit/(loss) | ||||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | 2017 | 2016 | Change | ||||||||||||||||
Consumer & Community Banking | $ | 22,382 | $ | 22,568 | (1)% | $ | 12,895 | $ | 12,092 | 7% | $ | 9,487 | $ | 10,476 | (9)% | ||||||||||
Corporate & Investment Bank | 18,425 | 17,300 | 7 | 9,962 | 9,886 | 1 | 8,463 | 7,414 | 14 | ||||||||||||||||
Commercial Banking | 4,106 | 3,620 | 13 | 1,615 | 1,444 | 12 | 2,491 | 2,176 | 14 | ||||||||||||||||
Asset & Wealth Management | 6,299 | 5,911 | 7 | 4,772 | 4,173 | 14 | 1,527 | 1,738 | (12 | ) | |||||||||||||||
Corporate | 779 | (102 | ) | NM | 281 | (120 | ) | NM | 498 | 18 | NM | ||||||||||||||
Total | $ | 51,991 | $ | 49,297 | 5% | $ | 29,525 | $ | 27,475 | 7% | $ | 22,466 | $ | 21,822 | 3% |
Six months ended June 30, | Provision for credit losses | Net income/(loss) | Return on equity | |||||||||||||||||||
(in millions, except ratios) | 2017 | 2016 | Change | 2017 | 2016 | Change | 2017 | 2016 | ||||||||||||||
Consumer & Community Banking | $ | 2,824 | $ | 2,251 | 25% | $ | 4,211 | $ | 5,146 | (18)% | 16 | % | 19 | % | ||||||||
Corporate & Investment Bank | (149 | ) | 694 | NM | 5,951 | 4,472 | 33 | 16 | 13 | |||||||||||||
Commercial Banking | (167 | ) | 279 | NM | 1,701 | 1,192 | 43 | 16 | 14 | |||||||||||||
Asset & Wealth Management | 22 | 5 | 340 | 1,009 | 1,108 | (9 | ) | 22 | 24 | |||||||||||||
Corporate | — | (3 | ) | 100 | 605 | (198 | ) | NM | NM | NM | ||||||||||||
Total | $ | 2,530 | $ | 3,226 | (22)% | $ | 13,477 | $ | 11,720 | 15% | 11% | 10 | % |
CONSUMER & COMMUNITY BANKING |
Selected income statement data | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions, except ratios) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Revenue | |||||||||||||||||||||
Lending- and deposit-related fees | $ | 850 | $ | 780 | 9 | % | $ | 1,662 | $ | 1,549 | 7 | % | |||||||||
Asset management, administration and commissions | 562 | 535 | 5 | 1,101 | 1,065 | 3 | |||||||||||||||
Mortgage fees and related income | 401 | 689 | (42 | ) | 807 | 1,356 | (40 | ) | |||||||||||||
Card income | 1,061 | 1,253 | (15 | ) | 1,878 | 2,444 | (23 | ) | |||||||||||||
All other income | 810 | 881 | (8 | ) | 1,553 | 1,530 | 2 | ||||||||||||||
Noninterest revenue | 3,684 | 4,138 | (11 | ) | 7,001 | 7,944 | (12 | ) | |||||||||||||
Net interest income | 7,728 | 7,313 | 6 | 15,381 | 14,624 | 5 | |||||||||||||||
Total net revenue | 11,412 | 11,451 | — | 22,382 | 22,568 | (1 | ) | ||||||||||||||
Provision for credit losses | 1,394 | 1,201 | 16 | 2,824 | 2,251 | 25 | |||||||||||||||
Noninterest expense | |||||||||||||||||||||
Compensation expense | 2,511 | 2,420 | 4 | 5,044 | 4,802 | 5 | |||||||||||||||
Noncompensation expense(a) | 3,989 | 3,584 | 11 | 7,851 | 7,290 | 8 | |||||||||||||||
Total noninterest expense | 6,500 | 6,004 | 8 | 12,895 | 12,092 | 7 | |||||||||||||||
Income before income tax expense | 3,518 | 4,246 | (17 | ) | 6,663 | 8,225 | (19 | ) | |||||||||||||
Income tax expense | 1,295 | 1,590 | (19 | ) | 2,452 | 3,079 | (20 | ) | |||||||||||||
Net income | $ | 2,223 | $ | 2,656 | (16 | ) | $ | 4,211 | $ | 5,146 | (18 | ) | |||||||||
Revenue by line of business | |||||||||||||||||||||
Consumer & Business Banking | $ | 5,233 | $ | 4,616 | 13 | $ | 10,139 | $ | 9,166 | 11 | |||||||||||
Mortgage Banking | 1,426 | 1,921 | (26 | ) | 2,955 | 3,797 | (22 | ) | |||||||||||||
Card, Commerce Solutions & Auto | 4,753 | 4,914 | (3 | ) | 9,288 | 9,605 | (3 | ) | |||||||||||||
Mortgage fees and related income details: | |||||||||||||||||||||
Net production revenue | 152 | 261 | (42 | ) | 293 | 423 | (31 | ) | |||||||||||||
Net mortgage servicing revenue(b) | 249 | 428 | (42 | ) | 514 | 933 | (45 | ) | |||||||||||||
Mortgage fees and related income | $ | 401 | $ | 689 | (42 | )% | $ | 807 | $ | 1,356 | (40 | )% | |||||||||
Financial ratios | |||||||||||||||||||||
Return on equity | 17 | % | 20 | % | 16 | % | 19 | % | |||||||||||||
Overhead ratio | 57 | 52 | 58 | 54 |
(a) | Included operating lease depreciation expense of $638 million and $460 million for the three months ended June 30, 2017 and 2016, respectively, and $1.2 billion and $892 million for the six months ended June 30, 2017 and 2016, respectively. |
(b) | Included MSR risk management of $(57) million and $73 million for the three months ended June 30, 2017 and 2016, respectively, and $(109) million and $202 million for the six months ended June 30, 2017 and 2016, respectively. |
• | a $350 million addition to the allowance for credit losses in the credit card portfolio, due to loan growth and higher loss rates, compared to a $250 million addition in the prior year; |
• | a $50 million addition to the allowance for credit losses in the business banking portfolio; and |
• | a $25 million addition to the allowance for credit losses in the auto portfolio, compared to a $50 million addition in the prior year; |
• | a $175 million reduction in the allowance for credit losses in the residential real estate portfolio, reflecting continued improvement in home prices and delinquencies, compared to a $100 million reduction in the prior year. |
• | a $350 million addition to the allowance for credit losses in the credit card portfolio, due to loan growth and higher loss rates, compared to a $250 million addition in the prior year; |
• | a $50 million addition to the allowance for credit losses in the business banking portfolio; and |
• | a $25 million addition to the allowance for credit losses in the auto portfolio, compared to a $50 million addition in the prior year; |
• | a $175 million reduction in the allowance for credit losses in the residential real estate portfolio, reflecting continued improvement in home prices and delinquencies, compared to a $100 million reduction in the prior year. |
Selected metrics | |||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||||
(in millions, except headcount) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Selected balance sheet data (period-end) | |||||||||||||||||||||
Total assets | $ | 529,859 | $ | 519,187 | 2 | % | $ | 529,859 | $ | 519,187 | 2 | % | |||||||||
Loans: | |||||||||||||||||||||
Consumer & Business Banking | 25,044 | 23,588 | 6 | 25,044 | 23,588 | 6 | |||||||||||||||
Home equity | 46,330 | 54,569 | (15 | ) | 46,330 | 54,569 | (15 | ) | |||||||||||||
Residential mortgage | 189,661 | 178,670 | 6 | 189,661 | 178,670 | 6 | |||||||||||||||
Mortgage Banking | 235,991 | 233,239 | 1 | 235,991 | 233,239 | 1 | |||||||||||||||
Card | 140,141 | 131,591 | 6 | 140,141 | 131,591 | 6 | |||||||||||||||
Auto | 65,627 | 64,056 | 2 | 65,627 | 64,056 | 2 | |||||||||||||||
Student | 75 | 7,614 | (99 | ) | 75 | 7,614 | (99 | ) | |||||||||||||
Total loans | 466,878 | 460,088 | 1 | 466,878 | 460,088 | 1 | |||||||||||||||
Core loans | 393,639 | 364,007 | 8 | 393,639 | 364,007 | 8 | |||||||||||||||
Deposits | 648,369 | 586,074 | 11 | 648,369 | 586,074 | 11 | |||||||||||||||
Equity | 51,000 | 51,000 | — | 51,000 | 51,000 | — | |||||||||||||||
Selected balance sheet data (average) | |||||||||||||||||||||
Total assets | $ | 528,598 | $ | 512,434 | 3 | $ | 530,338 | $ | 507,833 | 4 | |||||||||||
Loans: | |||||||||||||||||||||
Consumer & Business Banking | 24,725 | 23,223 | 6 | 24,543 | 22,998 | 7 | |||||||||||||||
Home equity | 47,339 | 55,615 | (15 | ) | 48,303 | 56,666 | (15 | ) | |||||||||||||
Residential mortgage | 187,201 | 175,753 | 7 | 185,489 | 172,224 | 8 | |||||||||||||||
Mortgage Banking | 234,540 | 231,368 | 1 | 233,792 | 228,890 | 2 | |||||||||||||||
Card | 138,132 | 128,396 | 8 | 137,674 | 127,848 | 8 | |||||||||||||||
Auto | 65,474 | 63,661 | 3 | 65,395 | 62,456 | 5 | |||||||||||||||
Student | 4,642 | 7,757 | (40 | ) | 5,772 | 7,896 | (27 | ) | |||||||||||||
Total loans | 467,513 | 454,405 | 3 | 467,176 | 450,088 | 4 | |||||||||||||||
Core loans | 387,783 | 356,380 | 9 | 384,419 | 350,042 | 10 | |||||||||||||||
Deposits | 639,873 | 583,115 | 10 | 631,441 | 572,699 | 10 | |||||||||||||||
Equity | 51,000 | 51,000 | — | 51,000 | 51,000 | — | |||||||||||||||
Headcount | 135,453 | 131,815 | 3% | 135,453 | 131,815 | 3 | % |
Selected metrics | |||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||||
(in millions, except ratio data) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Credit data and quality statistics | |||||||||||||||||||||
Nonaccrual loans(a)(b) | $ | 4,124 | $ | 4,980 | (17 | )% | $ | 4,124 | $ | 4,980 | (17 | )% | |||||||||
Net charge-offs/(recoveries)(c) | |||||||||||||||||||||
Consumer & Business Banking | 56 | 53 | 6 | 113 | 109 | 4 | |||||||||||||||
Home equity | 7 | 35 | (80 | ) | 54 | 94 | (43 | ) | |||||||||||||
Residential mortgage | (4 | ) | 3 | NM | (1 | ) | 4 | NM | |||||||||||||
Mortgage Banking | 3 | 38 | (92 | ) | 53 | 98 | (46 | ) | |||||||||||||
Card | 1,037 | 860 | 21 | 2,030 | 1,690 | 20 | |||||||||||||||
Auto | 48 | 46 | 4 | 129 | 113 | 14 | |||||||||||||||
Student | — | 29 | NM | 498 | (h) | 66 | NM | ||||||||||||||
Total net charge-offs/(recoveries) | $ | 1,144 | $ | 1,026 | 12 | $ | 2,823 | (h) | $ | 2,076 | 36 | ||||||||||
Net charge-off/(recovery) rate(c) | |||||||||||||||||||||
Consumer & Business Banking | 0.91 | % | 0.92 | % | 0.93 | % | 0.95 | % | |||||||||||||
Home equity(d) | 0.08 | 0.34 | 0.30 | 0.45 | |||||||||||||||||
Residential mortgage(d) | (0.01 | ) | 0.01 | — | 0.01 | ||||||||||||||||
Mortgage Banking(d) | 0.01 | 0.08 | 0.05 | 0.10 | |||||||||||||||||
Card | 3.01 | 2.70 | 2.98 | 2.66 | |||||||||||||||||
Auto | 0.29 | 0.29 | 0.40 | 0.36 | |||||||||||||||||
Student | — | 1.50 | NM | 1.68 | |||||||||||||||||
Total net charge-off/(recovery) rate(d) | 1.07 | 0.99 | 1.32 | (h) | 1.02 | ||||||||||||||||
30+ day delinquency rate | |||||||||||||||||||||
Mortgage Banking(e)(f) | 1.02 | % | 1.33 | % | 1.02 | % | 1.33 | % | |||||||||||||
Card | 1.59 | 1.40 | 1.59 | 1.40 | |||||||||||||||||
Auto | 0.88 | 1.16 | 0.88 | 1.16 | |||||||||||||||||
Student(g) | — | 1.43 | — | 1.43 | |||||||||||||||||
90+ day delinquency rate — Card | 0.80 | 0.70 | 0.80 | 0.70 | |||||||||||||||||
Allowance for loan losses | |||||||||||||||||||||
Consumer & Business Banking | $ | 796 | $ | 703 | 13 | $ | 796 | $ | 703 | 13 | |||||||||||
Mortgage Banking, excluding PCI loans | 1,153 | 1,488 | (23 | ) | 1,153 | 1,488 | (23 | ) | |||||||||||||
Mortgage Banking — PCI loans(c) | 2,265 | 2,654 | (15 | ) | 2,265 | 2,654 | (15 | ) | |||||||||||||
Card | 4,384 | 3,684 | 19 | 4,384 | 3,684 | 19 | |||||||||||||||
Auto | 499 | 449 | 11 | 499 | 449 | 11 | |||||||||||||||
Student | — | 274 | NM | — | 274 | NM | |||||||||||||||
Total allowance for loan losses(c) | $ | 9,097 | $ | 9,252 | (2)% | $ | 9,097 | $ | 9,252 | (2)% |
(a) | Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as they are all performing. |
(b) | At June 30, 2017 and 2016, nonaccrual loans excluded loans 90 or more days past due as follows: (1) mortgage loans insured by U.S. government agencies of $4.1 billion and $5.2 billion, respectively; and (2) student loans insured by U.S. government agencies under the Federal Family Education Loan Program (“FFELP”) of $24 million and $252 million, respectively. These amounts have been excluded based upon the government guarantee. |
(c) | Net charge-offs/(recoveries) and the net charge-off/(recovery) rates for the three months ended June 30, 2017 and 2016, excluded $22 million and $41 million, respectively, and for six months ended June 30, 2017 and 2016, excluded $46 million and $88 million, respectively, of write-offs in the PCI portfolio. These write-offs decreased the allowance for loan losses for PCI loans. For further information on PCI write-offs, see summary of changes in the allowances on page 64. |
(d) | Excludes the impact of PCI loans. For the three months ended June 30, 2017 and 2016, the net charge-off/(recovery) rates including the impact of PCI loans were as follows: (1) home equity of 0.06% and 0.25%, respectively; (2) residential mortgage of (0.01)% and 0.01%, respectively; (3) Mortgage Banking of 0.01% and 0.07%, respectively; and (4) total CCB of 0.99% and 0.91%, respectively. For the six months ended June 30, 2017 and 2016, the net charge-off/(recovery) rates including the impact of PCI loans were as follows: (1) home equity of 0.23% and 0.33%, respectively; (2) residential mortgage of -% for both periods; (3) Mortgage Banking of 0.05% and 0.09%, respectively; and (4) total CCB of 1.23% and 0.93%, respectively. |
(e) | At June 30, 2017 and 2016, excluded mortgage loans insured by U.S. government agencies of $6.0 billion and $7.2 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee. |
(f) | Excludes PCI loans. The 30+ day delinquency rate for PCI loans was 9.06% and 10.09% at June 30, 2017 and 2016, respectively. |
(g) | Excluded student loans insured by U.S. government agencies under FFELP of $458 million at June 30, 2016, that are 30 or more days past due. This amount has been excluded based upon the government guarantee. |
(h) | Excluding net charge-offs of $467 million related to the student loan portfolio transfer in the first quarter of 2017, the total net charge-off rate for the six months ended June 30, 2017 would have been 1.10%. |
Selected metrics | |||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||||
(in billions, except ratios and where otherwise noted) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Business Metrics | |||||||||||||||||||||
CCB households (in millions) | 60.7 | 59.2 | 3 | % | 60.7 | 59.2 | 3 | % | |||||||||||||
Number of branches | 5,217 | 5,366 | (3 | ) | 5,217 | 5,366 | (3 | ) | |||||||||||||
Active digital customers (in thousands)(a) | 45,876 | 42,833 | 7 | 45,876 | 42,833 | 7 | |||||||||||||||
Active mobile customers (in thousands)(b) | 28,386 | 24,817 | 14 | 28,386 | 24,817 | 14 | |||||||||||||||
Debit and credit card sales volume | $ | 230.1 | $ | 204.6 | 12 | $ | 438.5 | $ | 391.8 | 12 | |||||||||||
Consumer & Business Banking | |||||||||||||||||||||
Average deposits | $ | 625.4 | $ | 567.4 | 10 | $ | 617.3 | $ | 557.9 | 11 | |||||||||||
Deposit margin | 1.96 | % | 1.80 | % | 1.92 | % | 1.83 | % | |||||||||||||
Business banking origination volume | $ | 2.2 | $ | 2.2 | — | $ | 3.9 | $ | 3.9 | 1 | |||||||||||
Client investment assets | 253.0 | 224.7 | 13 | 253.0 | 224.7 | 13 | |||||||||||||||
Mortgage Banking | |||||||||||||||||||||
Mortgage origination volume by channel | |||||||||||||||||||||
Retail | $ | 9.7 | $ | 11.2 | (13 | ) | $ | 18.7 | $ | 19.9 | (6 | ) | |||||||||
Correspondent | 14.2 | 13.8 | 3 | 27.6 | 27.5 | — | |||||||||||||||
Total mortgage origination volume(c) | $ | 23.9 | $ | 25.0 | (4 | ) | $ | 46.3 | $ | 47.4 | (2 | ) | |||||||||
Total loans serviced (period-end) | $ | 827.8 | $ | 880.3 | (6 | ) | $ | 827.8 | $ | 880.3 | (6 | ) | |||||||||
Third-party mortgage loans serviced (period-end) | 568.0 | 629.9 | (10 | ) | 568.0 | 629.9 | (10 | ) | |||||||||||||
MSR carrying value (period-end) | 5.8 | 5.1 | 14 | 5.8 | 5.1 | 14 | |||||||||||||||
Ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end) | 1.02 | % | 0.81 | % | 1.02 | % | 0.81 | % | |||||||||||||
MSR revenue multiple(d) | 2.91 | x | 2.31 | x | 2.91 | x | 2.31 | x | |||||||||||||
Card, excluding Commercial Card | |||||||||||||||||||||
Credit card sales volume | $ | 156.8 | $ | 136.0 | 15 | $ | 296.5 | $ | 257.7 | 15 | |||||||||||
New accounts opened (in millions) | 2.1 | 2.7 | (22 | ) | 4.6 | 5.0 | (8 | ) | |||||||||||||
Card Services | |||||||||||||||||||||
Net revenue rate | 10.53 | % | 12.28 | % | 10.34 | % | 12.04 | % | |||||||||||||
Commerce Solutions | |||||||||||||||||||||
Merchant processing volume | $ | 294.4 | $ | 263.8 | 12 | $ | 568.7 | $ | 511.3 | 11 | |||||||||||
Auto | |||||||||||||||||||||
Loan and lease origination volume | $ | 8.3 | $ | 8.5 | (2 | ) | $ | 16.3 | $ | 18.1 | (10 | ) | |||||||||
Average Auto operating lease assets | 14.7 | 10.4 | 41% | 14.2 | 10.0 | 42% |
(a) | Users of all web and/or mobile platforms who have logged in within the past 90 days. |
(b) | Users of all mobile platforms who have logged in within the past 90 days. |
(c) | Firmwide mortgage origination volume was $26.2 billion and $28.6 billion for the three months ended June 30, 2017 and 2016, respectively, and $51.8 billion and $53.0 billion for the six months ended June 30, 2017 and 2016, respectively. |
(d) | Represents the ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end) divided by the ratio of annualized loan servicing-related revenue to third-party mortgage loans serviced (average). |
CORPORATE & INVESTMENT BANK |
Selected income statement data | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions, except ratios) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Revenue | |||||||||||||||||||||
Investment banking fees | $ | 1,803 | $ | 1,636 | 10 | % | $ | 3,615 | $ | 2,957 | 22 | % | |||||||||
Principal transactions | 2,928 | 2,965 | (1 | ) | 6,435 | 5,435 | 18 | ||||||||||||||
Lending- and deposit-related fees | 387 | 385 | 1 | 775 | 779 | (1 | ) | ||||||||||||||
Asset management, administration and commissions | 1,068 | 1,025 | 4 | 2,120 | 2,094 | 1 | |||||||||||||||
All other income | 258 | 464 | (44 | ) | 435 | 744 | (42 | ) | |||||||||||||
Noninterest revenue | 6,444 | 6,475 | — | 13,380 | 12,009 | 11 | |||||||||||||||
Net interest income | 2,445 | 2,690 | (9 | ) | 5,045 | 5,291 | (5 | ) | |||||||||||||
Total net revenue(a) | 8,889 | 9,165 | (3 | ) | 18,425 | 17,300 | 7 | ||||||||||||||
Provision for credit losses | (53 | ) | 235 | NM | (149 | ) | 694 | NM | |||||||||||||
Noninterest expense | |||||||||||||||||||||
Compensation expense | 2,451 | 2,737 | (10 | ) | 5,251 | 5,337 | (2 | ) | |||||||||||||
Noncompensation expense | 2,390 | 2,341 | 2 | 4,711 | 4,549 | 4 | |||||||||||||||
Total noninterest expense | 4,841 | 5,078 | (5 | ) | 9,962 | 9,886 | 1 | ||||||||||||||
Income before income tax expense | 4,101 | 3,852 | 6 | 8,612 | 6,720 | 28 | |||||||||||||||
Income tax expense | 1,391 | 1,359 | 2 | 2,661 | 2,248 | 18 | |||||||||||||||
Net income | $ | 2,710 | $ | 2,493 | 9% | $ | 5,951 | $ | 4,472 | 33 | % | ||||||||||
Financial ratios | |||||||||||||||||||||
Return on equity | 15 | % | 15 | % | 16 | % | 13 | % | |||||||||||||
Overhead ratio | 54 | 55 | 54 | 57 | |||||||||||||||||
Compensation to revenue ratio | 28 | 30 | 28 | 31 |
(a) | Included tax-equivalent adjustments, predominantly due to income tax credits related to alternative energy investments; income tax credits and amortization of the cost of investments in affordable housing projects; and tax-exempt income from municipal bonds of $554 million and $476 million for the three months ended June 30, 2017 and 2016, respectively, and $1.1 billion and $974 million for the six months ended June 30, 2017 and 2016, respectively. |
Selected income statement data | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Revenue by business | |||||||||||||||||||||
Investment Banking | $ | 1,695 | $ | 1,492 | 14% | $ | 3,346 | $ | 2,723 | 23 | % | ||||||||||
Treasury Services | 1,055 | 892 | 18 | 2,036 | 1,776 | 15 | |||||||||||||||
Lending | 373 | 277 | 35 | 762 | 579 | 32 | |||||||||||||||
Total Banking | 3,123 | 2,661 | 17 | 6,144 | 5,078 | 21 | |||||||||||||||
Fixed Income Markets | 3,216 | 3,959 | (19 | ) | 7,431 | 7,556 | (2 | ) | |||||||||||||
Equity Markets | 1,586 | 1,600 | (1 | ) | 3,192 | 3,176 | 1 | ||||||||||||||
Securities Services | 982 | 907 | 8 | 1,898 | 1,788 | 6 | |||||||||||||||
Credit Adjustments & Other(a) | (18 | ) | 38 | NM | (240 | ) | (298 | ) | 19 | ||||||||||||
Total Markets & Investor Services | 5,766 | 6,504 | (11 | ) | 12,281 | 12,222 | — | ||||||||||||||
Total net revenue | $ | 8,889 | $ | 9,165 | (3 | )% | $ | 18,425 | $ | 17,300 | 7% |
(a) | Consists primarily of credit valuation adjustments (“CVA”) managed centrally within CIB, funding valuation adjustments (“FVA”) and debit valuation adjustments (“DVA”) on derivatives. Results are primarily reported in principal transactions revenue. Results are presented net of associated hedging activities and net of CVA and FVA amounts allocated to Fixed Income Markets and Equity Markets. For additional information, see Accounting and Reporting Developments on pages 80–81, and Notes 2, 3 and 17. |
Selected metrics | |||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||||
(in millions, except headcount) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Selected balance sheet data (period-end) | |||||||||||||||||||||
Assets | $ | 847,377 | $ | 826,019 | 3 | % | $ | 847,377 | $ | 826,019 | 3 | % | |||||||||
Loans: | |||||||||||||||||||||
Loans retained(a) | 108,935 | 112,637 | (3 | ) | 108,935 | 112,637 | (3 | ) | |||||||||||||
Loans held-for-sale and loans at fair value | 7,168 | 5,600 | 28 | 7,168 | 5,600 | 28 | |||||||||||||||
Total loans | 116,103 | 118,237 | (2 | ) | 116,103 | 118,237 | (2 | ) | |||||||||||||
Core loans | 115,764 | 117,821 | (2 | ) | 115,764 | 117,821 | (2 | ) | |||||||||||||
Equity | 70,000 | 64,000 | 9 | 70,000 | 64,000 | 9 | |||||||||||||||
Selected balance sheet data (average) | |||||||||||||||||||||
Assets | $ | 864,686 | $ | 815,886 | 6 | $ | 851,425 | $ | 806,717 | 6 | |||||||||||
Trading assets-debt and equity instruments | 351,678 | 306,418 | 15 | 340,073 | 295,770 | 15 | |||||||||||||||
Trading assets-derivative receivables | 54,937 | 61,457 | (11 | ) | 56,931 | 62,007 | (8 | ) | |||||||||||||
Loans: | |||||||||||||||||||||
Loans retained(a) | 110,011 | 111,668 | (1 | ) | 109,204 | 110,190 | (1 | ) | |||||||||||||
Loans held-for-sale and loans at fair value | 5,789 | 3,169 | 83 | 5,550 | 3,187 | 74 | |||||||||||||||
Total loans | 115,800 | 114,837 | 1 | 114,754 | 113,377 | 1 | |||||||||||||||
Core loans | 115,434 | 114,421 | 1 | 114,375 | 112,919 | 1 | |||||||||||||||
Equity | 70,000 | 64,000 | 9 | 70,000 | 64,000 | 9 | |||||||||||||||
Headcount | 49,228 | 48,805 | 1% | 49,228 | 48,805 | 1% |
(a) | Loans retained includes credit portfolio loans, loans held by consolidated Firm-administered multi-seller conduits, trade finance loans, other held-for-investment loans and overdrafts. |
Selected metrics | |||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||||
(in millions, except ratios) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Credit data and quality statistics | |||||||||||||||||||||
Net charge-offs/(recoveries) | $ | 47 | $ | 90 | (48)% | $ | 29 | $ | 136 | (79 | )% | ||||||||||
Nonperforming assets: | |||||||||||||||||||||
Nonaccrual loans: | |||||||||||||||||||||
Nonaccrual loans retained(a) | 462 | 623 | (26)% | 462 | 623 | (26 | ) | ||||||||||||||
Nonaccrual loans held-for-sale and loans at fair value | 31 | 7 | 343 | 31 | 7 | 343 | |||||||||||||||
Total nonaccrual loans | 493 | 630 | (22 | ) | 493 | 630 | (22 | ) | |||||||||||||
Derivative receivables | 170 | 220 | (23 | ) | 170 | 220 | (23 | ) | |||||||||||||
Assets acquired in loan satisfactions | 71 | 75 | (5 | ) | 71 | 75 | (5 | ) | |||||||||||||
Total nonperforming assets | 734 | 925 | (21 | ) | 734 | 925 | (21 | ) | |||||||||||||
Allowance for credit losses: | |||||||||||||||||||||
Allowance for loan losses | 1,298 | 1,669 | (22 | ) | 1,298 | 1,669 | (22 | ) | |||||||||||||
Allowance for lending-related commitments | 745 | 715 | 4 | 745 | 715 | 4 | |||||||||||||||
Total allowance for credit losses | 2,043 | 2,384 | (14)% | 2,043 | 2,384 | (14)% | |||||||||||||||
Net charge-off/(recovery) rate(b) | 0.17% | 0.32 | % | 0.05% | 0.25 | % | |||||||||||||||
Allowance for loan losses to period-end loans retained | 1.19 | 1.48 | 1.19 | 1.48 | |||||||||||||||||
Allowance for loan losses to period-end loans retained, excluding trade finance and conduits(c) | 1.83 | 2.23 | 1.83 | 2.23 | |||||||||||||||||
Allowance for loan losses to nonaccrual loans retained(a) | 281 | 268 | 281 | 268 | |||||||||||||||||
Nonaccrual loans to total period-end loans | 0.42 | % | 0.53 | % | 0.42 | % | 0.53 | % |
(a) | Allowance for loan losses of $164 million and $211 million were held against these nonaccrual loans at June 30, 2017 and 2016, respectively. |
(b) | Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate. |
(c) | Management uses allowance for loan losses to period-end loans retained, excluding trade finance and conduits, a non-GAAP financial measure, to provide a more meaningful assessment of CIB’s allowance coverage ratio. |
Investment banking fees | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Advisory | $ | 503 | $ | 466 | 8% | $ | 1,004 | $ | 1,051 | (4)% | |||||||||||
Equity underwriting | 367 | 285 | 29 | 761 | 490 | 55 | |||||||||||||||
Debt underwriting(a) | 933 | 885 | 5 | 1,850 | 1,416 | 31 | |||||||||||||||
Total investment banking fees | $ | 1,803 | $ | 1,636 | 10% | $ | 3,615 | $ | 2,957 | 22% |
(a) | Includes loans syndication. |
League table results – wallet share | |||||||||||
Six months ended June 30, 2017 | Full-year 2016 | ||||||||||
Rank | Share | Rank | Share | ||||||||
Based on fees(a) | |||||||||||
Debt, equity and equity-related | |||||||||||
Global | # | 1 | 7.6% | # | 1 | 7.1% | |||||
U.S. | 1 | 11.1 | 1 | 11.9 | |||||||
Long-term debt(b) | |||||||||||
Global | 1 | 7.7 | 1 | 6.8 | |||||||
U.S. | 2 | 10.8 | 2 | 11.1 | |||||||
Equity and equity-related(c) | |||||||||||
Global | 1 | 7.4 | 1 | 7.6 | |||||||
U.S. | 1 | 11.6 | 1 | 13.4 | |||||||
M&A(d) | |||||||||||
Global | 2 | 8.6 | 2 | 8.4 | |||||||
U.S. | 2 | 9.1 | 2 | 9.9 | |||||||
Loan syndications | |||||||||||
Global | 1 | 9.6 | 1 | 9.3 | |||||||
U.S. | 1 | 12.0 | 2 | 11.8 | |||||||
Global investment banking fees(e) | # | 1 | 8.3% | # | 1 | 8.0% |
(a) | Source: Dealogic as of July 2, 2017. Reflects the ranking of revenue wallet and market share. |
(b) | Long-term debt rankings include investment-grade, high-yield, supranationals, sovereigns, agencies, covered bonds, asset-backed securities (“ABS”) and mortgage-backed securities (“MBS”); and exclude money market, short-term debt, and U.S. municipal securities. |
(c) | Global equity and equity-related ranking includes rights offerings and Chinese A-Shares. |
(d) | Global M&A reflect the removal of any withdrawn transactions. U.S. M&A revenue wallet represents wallet from client parents based in the U.S. |
(e) | Global investment banking fees exclude money market, short-term debt and shelf deals. |
Three months ended June 30, | Three months ended June 30, | ||||||||||||||||||
2017 | 2016 | ||||||||||||||||||
(in millions) | Fixed Income Markets | Equity Markets | Total Markets | Fixed Income Markets | Equity Markets | Total Markets | |||||||||||||
Principal transactions | $ | 1,851 | $ | 1,109 | $ | 2,960 | $ | 2,092 | $ | 938 | $ | 3,030 | |||||||
Lending- and deposit-related fees | 48 | 1 | 49 | 60 | 1 | 61 | |||||||||||||
Asset management, administration and commissions | 103 | 410 | 513 | 101 | 370 | 471 | |||||||||||||
All other income | 207 | (2 | ) | 205 | 397 | 21 | 418 | ||||||||||||
Noninterest revenue | 2,209 | 1,518 | 3,727 | 2,650 | 1,330 | 3,980 | |||||||||||||
Net interest income | 1,007 | 68 | 1,075 | 1,309 | 270 | 1,579 | |||||||||||||
Total net revenue | $ | 3,216 | $ | 1,586 | $ | 4,802 | $ | 3,959 | $ | 1,600 | $ | 5,559 |
Six months ended June 30, | Six months ended June 30, | ||||||||||||||||||
2017 | 2016 | ||||||||||||||||||
(in millions) | Fixed Income Markets | Equity Markets | Total Markets | Fixed Income Markets | Equity Markets | Total Markets | |||||||||||||
Principal transactions | 4,552 | $ | 2,118 | $ | 6,670 | $ | 4,077 | $ | 1,808 | $ | 5,885 | ||||||||
Lending- and deposit-related fees | 97 | 2 | 99 | 109 | 1 | 110 | |||||||||||||
Asset management, administration and commissions | 207 | 833 | 1,040 | 204 | 813 | 1,017 | |||||||||||||
All other income | 384 | (9 | ) | 375 | 621 | 21 | 642 | ||||||||||||
Noninterest revenue | 5,240 | 2,944 | 8,184 | 5,011 | 2,643 | 7,654 | |||||||||||||
Net interest income | 2,191 | 248 | 2,439 | 2,545 | 533 | 3,078 | |||||||||||||
Total net revenue | $ | 7,431 | $ | 3,192 | $ | 10,623 | $ | 7,556 | $ | 3,176 | $ | 10,732 |
Selected metrics | |||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||||
(in millions, except where otherwise noted) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Assets under custody (“AUC”) by asset class (period-end) (in billions): | |||||||||||||||||||||
Fixed Income | $ | 12,662 | $ | 12,539 | 1% | $ | 12,662 | $ | 12,539 | 1% | |||||||||||
Equity | 7,214 | 6,138 | 18 | 7,214 | 6,138 | 18 | |||||||||||||||
Other(a) | 2,258 | 1,793 | 26 | 2,258 | 1,793 | 26 | |||||||||||||||
Total AUC | $ | 22,134 | $ | 20,470 | 8 | $ | 22,134 | $ | 20,470 | 8 | |||||||||||
Client deposits and other third party liabilities (average)(b) | $ | 404,920 | $ | 373,671 | 8 | $ | 398,354 | $ | 366,299 | 9 | |||||||||||
Trade finance loans (period-end) | 17,356 | 17,362 | — | 17,356 | 17,362 | — |
(a) | Consists of mutual funds, unit investment trusts, currencies, annuities, insurance contracts, options and other contracts. |
(b) | Client deposits and other third party liabilities pertain to the Treasury Services and Securities Services businesses. |
International metrics | |||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||||
(in millions, except where otherwise noted) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Total net revenue(a) | |||||||||||||||||||||
Europe/Middle East/Africa | $ | 3,034 | $ | 2,823 | 7 | % | $ | 6,223 | $ | 5,280 | 18 | % | |||||||||
Asia/Pacific | 1,034 | 1,210 | (15 | ) | 2,273 | 2,512 | (10 | ) | |||||||||||||
Latin America/Caribbean | 244 | 403 | (39 | ) | 585 | 724 | (19 | ) | |||||||||||||
Total international net revenue | 4,312 | 4,436 | (3 | ) | 9,081 | 8,516 | 7 | ||||||||||||||
North America | 4,577 | 4,729 | (3 | ) | 9,344 | 8,784 | 6 | ||||||||||||||
Total net revenue | $ | 8,889 | $ | 9,165 | (3 | ) | $ | 18,425 | $ | 17,300 | 7 | ||||||||||
Loans retained (period-end)(a) | |||||||||||||||||||||
Europe/Middle East/Africa | $ | 26,690 | $ | 29,770 | (10 | ) | $ | 26,690 | $ | 29,770 | (10 | ) | |||||||||
Asia/Pacific | 14,709 | 15,198 | (3 | ) | 14,709 | 15,198 | (3 | ) | |||||||||||||
Latin America/Caribbean | 6,196 | 9,048 | (32 | ) | 6,196 | 9,048 | (32 | ) | |||||||||||||
Total international loans | 47,595 | 54,016 | (12 | ) | 47,595 | 54,016 | (12 | ) | |||||||||||||
North America | 61,340 | 58,621 | 5 | 61,340 | 58,621 | 5 | |||||||||||||||
Total loans retained | $ | 108,935 | $ | 112,637 | (3 | ) | $ | 108,935 | $ | 112,637 | (3 | ) | |||||||||
Client deposits and other third-party liabilities (average)(a)(b) | |||||||||||||||||||||
Europe/Middle East/Africa | $ | 156,575 | $ | 135,213 | 16 | $ | 150,436 | $ | 131,655 | 14 | |||||||||||
Asia/Pacific | 73,327 | 68,423 | 7 | 73,544 | 65,569 | 12 | |||||||||||||||
Latin America/Caribbean | 25,806 | 22,334 | 16 | 24,934 | 22,431 | 11 | |||||||||||||||
Total international | $ | 255,708 | $ | 225,970 | 13 | $ | 248,914 | $ | 219,655 | 13 | |||||||||||
North America | 149,212 | 147,701 | 1 | 149,440 | 146,644 | 2 | |||||||||||||||
Total client deposits and other third-party liabilities | $ | 404,920 | $ | 373,671 | 8 | $ | 398,354 | $ | 366,299 | 9 | |||||||||||
AUC (period-end)(a) (in billions) | |||||||||||||||||||||
North America | $ | 13,207 | $ | 12,310 | 7 | $ | 13,207 | $ | 12,310 | 7 | |||||||||||
All other regions | 8,927 | 8,160 | 9 | 8,927 | 8,160 | 9 | |||||||||||||||
Total AUC | $ | 22,134 | $ | 20,470 | 8% | $ | 22,134 | $ | 20,470 | 8% |
(a) | Total net revenue is based predominantly on the domicile of the client or location of the trading desk, as applicable. Loans outstanding (excluding loans held-for-sale and loans at fair value), client deposits and other third-party liabilities, and AUC are based predominantly on the domicile of the client. |
(b) | Client deposits and other third party liabilities pertain to the Treasury Services and Securities Services businesses. |
COMMERCIAL BANKING |
Selected income statement data | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Revenue | |||||||||||||||||||||
Lending- and deposit-related fees | $ | 232 | $ | 227 | 2 | % | $ | 467 | $ | 459 | 2 | % | |||||||||
Asset management, administration and commissions | 16 | 18 | (11 | ) | 34 | 40 | (15 | ) | |||||||||||||
All other income(a) | 335 | 341 | (2 | ) | 681 | 643 | 6 | ||||||||||||||
Noninterest revenue | 583 | 586 | (1 | ) | 1,182 | 1,142 | 4 | ||||||||||||||
Net interest income | 1,505 | 1,231 | 22 | 2,924 | 2,478 | 18 | |||||||||||||||
Total net revenue(b) | 2,088 | 1,817 | 15 | 4,106 | 3,620 | 13 | |||||||||||||||
Provision for credit losses | (130 | ) | (25 | ) | (420) | (167 | ) | 279 | NM | ||||||||||||
Noninterest expense | |||||||||||||||||||||
Compensation expense | 365 | 322 | 13 | 736 | 656 | 12 | |||||||||||||||
Noncompensation expense | 425 | 409 | 4 | 879 | 788 | 12 | |||||||||||||||
Total noninterest expense | 790 | 731 | 8 | 1,615 | 1,444 | 12 | |||||||||||||||
Income before income tax expense | 1,428 | 1,111 | 29 | 2,658 | 1,897 | 40 | |||||||||||||||
Income tax expense | 526 | 415 | 27 | 957 | 705 | 36 | |||||||||||||||
Net income | $ | 902 | $ | 696 | 30% | $ | 1,701 | $ | 1,192 | 43% |
(a) | Includes revenue from investment banking products and commercial card transactions. |
(b) | Total net revenue included tax-equivalent adjustments from income tax credits related to equity investments in designated community development entities that provide loans to qualified businesses in low-income communities, as well as tax-exempt income related to municipal financing activities of $131 million and $124 million for the three months ended June 30, 2017 and 2016, respectively, and $252 million and $244 million for the six months ended June 30, 2017 and 2016, respectively. |
Selected income statement data (continued) | |||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||
(in millions, except ratios) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Revenue by product | |||||||||||||||||||||
Lending | $ | 1,023 | $ | 917 | 12 | % | $ | 2,015 | $ | 1,845 | 9 | % | |||||||||
Treasury services | 854 | 680 | 26 | 1,650 | 1,374 | 20 | |||||||||||||||
Investment banking(a) | 189 | 207 | (9 | ) | 405 | 362 | 12 | ||||||||||||||
Other | 22 | 13 | 69 | 36 | 39 | (8 | ) | ||||||||||||||
Total Commercial Banking net revenue | $ | 2,088 | $ | 1,817 | 15 | $ | 4,106 | $ | 3,620 | 13 | |||||||||||
Investment banking revenue, gross(b) | $ | 524 | $ | 595 | (12 | ) | $ | 1,170 | $ | 1,078 | 9 | ||||||||||
Revenue by client segment | |||||||||||||||||||||
Middle Market Banking(c) | $ | 839 | $ | 689 | 22 | $ | 1,623 | $ | 1,389 | 17 | |||||||||||
Corporate Client Banking(c) | 662 | 608 | 9 | 1,328 | 1,162 | 14 | |||||||||||||||
Commercial Term Lending | 364 | 342 | 6 | 731 | 703 | 4 | |||||||||||||||
Real Estate Banking | 147 | 107 | 37 | 281 | 211 | 33 | |||||||||||||||
Other | 76 | 71 | 7 | 143 | 155 | (8 | ) | ||||||||||||||
Total Commercial Banking net revenue | $ | 2,088 | $ | 1,817 | 15 | % | $ | 4,106 | $ | 3,620 | 13 | % | |||||||||
Financial ratios | |||||||||||||||||||||
Return on equity | 17% | 16 | % | 16% | 14 | % | |||||||||||||||
Overhead ratio | 38 | 40 | 39 | 40 |
(a) | Includes total Firm revenue from investment banking products sold to CB clients, net of revenue sharing with the CIB. |
(b) | Represents total Firm revenue from investment banking products sold to CB clients. |
(c) | Certain clients were transferred from Middle Market Banking to Corporate Client Banking effective in the second quarter of 2017. Prior period results were revised to conform with the current period presentation. |
Selected metrics | |||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||
(in millions, except headcount) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||
Selected balance sheet data (period-end) | |||||||||||||||||
Total assets | $ | 220,676 | $ | 208,151 | 6 | % | $ | 220,676 | $ | 208,151 | 6 | % | |||||
Loans: | |||||||||||||||||
Loans retained | 197,912 | 179,164 | 10 | 197,912 | 179,164 | 10 | |||||||||||
Loans held-for-sale and loans at fair value | 1,661 | 134 | NM | 1,661 | 134 | NM | |||||||||||
Total loans | $ | 199,573 | $ | 179,298 | 11 | $ | 199,573 | $ | 179,298 | 11 | |||||||
Core loans | 199,319 | 178,809 | 11 | 199,319 | 178,809 | 11 | |||||||||||
Equity | 20,000 | 16,000 | 25 | 20,000 | 16,000 | 25 | |||||||||||
Period-end loans by client segment | |||||||||||||||||
Middle Market Banking(a) | $ | 56,377 | $ | 51,949 | 9 | $ | 56,377 | $ | 51,949 | 9 | |||||||
Corporate Client Banking(a) | 45,918 | 42,374 | 8 | 45,918 | 42,374 | 8 | |||||||||||
Commercial Term Lending | 73,760 | 66,499 | 11 | 73,760 | 66,499 | 11 | |||||||||||
Real Estate Banking | 16,726 | 12,872 | 30 | 16,726 | 12,872 | 30 | |||||||||||
Other | 6,792 | 5,604 | 21 | 6,792 | 5,604 | 21 | |||||||||||
Total Commercial Banking loans | $ | 199,573 | $ | 179,298 | 11 | $ | 199,573 | $ | 179,298 | 11 | |||||||
Selected balance sheet data (average) | |||||||||||||||||
Total assets | $ | 217,694 | $ | 205,953 | 6 | $ | 215,750 | $ | 204,222 | 6 | |||||||
Loans: | |||||||||||||||||
Loans retained | 196,454 | 176,229 | 11 | 193,630 | 173,033 | 12 | |||||||||||
Loans held-for-sale and loans at fair value | 1,402 | 583 | 140 | 1,061 | 516 | 106 | |||||||||||
Total loans | $ | 197,856 | $ | 176,812 | 12 | $ | 194,691 | $ | 173,549 | 12 | |||||||
Core loans | 197,567 | 176,251 | 12 | 194,391 | 172,939 | 12 | |||||||||||
Average loans by client segment | |||||||||||||||||
Middle Market Banking(a) | $ | 55,651 | $ | 51,937 | 7 | $ | 54,963 | $ | 51,246 | 7 | |||||||
Corporate Client Banking(a) | 46,483 | 41,111 | 13 | 45,041 | 40,231 | 12 | |||||||||||
Commercial Term Lending | 73,081 | 65,262 | 12 | 72,484 | 64,369 | 13 | |||||||||||
Real Estate Banking | 16,139 | 12,936 | 25 | 15,834 | 12,200 | 30 | |||||||||||
Other | 6,502 | 5,566 | 17 | 6,369 | 5,503 | 16 | |||||||||||
Total Commercial Banking loans | $ | 197,856 | $ | 176,812 | 12 | $ | 194,691 | $ | 173,549 | 12 | |||||||
Client deposits and other third-party liabilities | 173,214 | 170,717 | 1 | 174,987 | 171,898 | 2 | |||||||||||
Equity | 20,000 | 16,000 | 25 | 20,000 | 16,000 | 25 | |||||||||||
Headcount | 8,823 | 8,127 | 9 | % | 8,823 | 8,127 | 9 | % |
(a) | Certain clients were transferred from Middle Market Banking to Corporate Client Banking effective in the second quarter of 2017. Prior period results were revised to conform with the current period presentation. |
Selected metrics (continued) | |||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||
(in millions, except ratios) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||
Credit data and quality statistics | |||||||||||||||||||
Net charge-offs/(recoveries) | $ | 8 | $ | 60 | (87)% | $ | (2 | ) | $ | 66 | NM | ||||||||
Nonperforming assets | |||||||||||||||||||
Nonaccrual loans: | |||||||||||||||||||
Nonaccrual loans retained(a) | 819 | 1,258 | (35 | )% | 819 | 1,258 | (35 | ) | |||||||||||
Nonaccrual loans held-for-sale and loans at fair value | — | — | — | — | — | — | |||||||||||||
Total nonaccrual loans | 819 | 1,258 | (35 | ) | 819 | 1,258 | (35 | ) | |||||||||||
Assets acquired in loan satisfactions | 4 | 1 | 300 | 4 | 1 | 300 | |||||||||||||
Total nonperforming assets | 823 | 1,259 | (35 | ) | 823 | 1,259 | (35 | ) | |||||||||||
Allowance for credit losses: | |||||||||||||||||||
Allowance for loan losses | 2,678 | 3,041 | (12 | ) | 2,678 | 3,041 | (12 | ) | |||||||||||
Allowance for lending-related commitments | 331 | 226 | 46 | 331 | 226 | 46 | |||||||||||||
Total allowance for credit losses | 3,009 | 3,267 | (8 | )% | 3,009 | 3,267 | (8 | )% | |||||||||||
Net charge-off/(recovery) rate(b) | 0.02 | % | 0.14 | % | — | 0.08 | % | ||||||||||||
Allowance for loan losses to period-end loans retained | 1.35 | 1.70 | 1.35 | 1.70 | |||||||||||||||
Allowance for loan losses to nonaccrual loans retained(a) | 327 | 242 | 327 | 242 | |||||||||||||||
Nonaccrual loans to period-end total loans | 0.41 | 0.70 | 0.41 | 0.70 |
(a) | Allowance for loan losses of $112 million and $292 million was held against nonaccrual loans retained at June 30, 2017 and 2016, respectively. |
(b) | Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate. |
ASSET & WEALTH MANAGEMENT |
Selected income statement data | |||||||||||||||||
(in millions, except ratios) | Three months ended June 30, | Six months ended June 30, | |||||||||||||||
2017 | 2016 | Change | 2017 | 2016 | Change | ||||||||||||
Revenue | |||||||||||||||||
Asset management, administration and commissions | $ | 2,211 | $ | 2,102 | 5 | % | $ | 4,316 | $ | 4,118 | 5 | % | |||||
All other income | 155 | 90 | 72 | 318 | 319 | — | |||||||||||
Noninterest revenue | 2,366 | 2,192 | 8 | 4,634 | 4,437 | 4 | |||||||||||
Net interest income | 846 | 747 | 13 | 1,665 | 1,474 | 13 | |||||||||||
Total net revenue | 3,212 | 2,939 | 9 | 6,299 | 5,911 | 7 | |||||||||||
Provision for credit losses | 4 | (8 | ) | NM | 22 | 5 | 340 | ||||||||||
Noninterest expense | |||||||||||||||||
Compensation expense | 1,278 | 1,249 | 2 | 2,609 | 2,490 | 5 | |||||||||||
Noncompensation expense | 914 | 849 | 8 | 2,163 | 1,683 | 29 | |||||||||||
Total noninterest expense | 2,192 | 2,098 | 4 | 4,772 | 4,173 | 14 | |||||||||||
Income before income tax expense | 1,016 | 849 | 20 | 1,505 | 1,733 | (13 | ) | ||||||||||
Income tax expense | 392 | 328 | 20 | 496 | 625 | (21 | ) | ||||||||||
Net income | $ | 624 | $ | 521 | 20 | $ | 1,009 | $ | 1,108 | (9 | ) | ||||||
Revenue by line of business | |||||||||||||||||
Asset Management | $ | 1,561 | $ | 1,424 | 10 | $ | 3,048 | $ | 2,923 | 4 | |||||||
Wealth Management | 1,651 | 1,515 | 9 | 3,251 | 2,988 | 9 | |||||||||||
Total net revenue | $ | 3,212 | $ | 2,939 | 9% | $ | 6,299 | $ | 5,911 | 7 | % | ||||||
Financial ratios | |||||||||||||||||
Return on equity | 27 | % | 22 | % | 22 | % | 24 | % | |||||||||
Overhead ratio | 68 | 71 | 76 | 71 | |||||||||||||
Pre-tax margin ratio: | |||||||||||||||||
Asset Management | 31 | 30 | 16 | 31 | |||||||||||||
Wealth Management | 33 | 28 | 31 | 27 | |||||||||||||
Asset & Wealth Management | 32 | 29 | 24 | 29 |
Selected metrics | |||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||
(in millions, except ranking data, headcount and ratios) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||
% of JPM mutual fund assets rated as 4- or 5-star(a)(c) | 65 | % | 51 | % | 65 | % | 51 | % | |||||||||
% of JPM mutual fund assets ranked in 1st or 2nd quartile:(b) | |||||||||||||||||
1 year | 60 | 54 | 60 | 54 | |||||||||||||
3 years(c) | 83 | 74 | 83 | 74 | |||||||||||||
5 years(c) | 77 | 79 | 77 | 79 | |||||||||||||
Selected balance sheet data (period-end) | |||||||||||||||||
Total assets | $ | 147,508 | $ | 134,380 | 10 | % | $ | 147,508 | $ | 134,380 | 10 | % | |||||
Loans | 124,517 | 113,319 | 10 | 124,517 | 113,319 | 10 | |||||||||||
Core loans | 124,517 | 113,319 | 10 | 124,517 | 113,319 | 10 | |||||||||||
Deposits | 146,758 | 148,967 | (1 | ) | 146,758 | 148,967 | (1 | ) | |||||||||
Equity | 9,000 | 9,000 | — | 9,000 | 9,000 | — | |||||||||||
Selected balance sheet data (average) | |||||||||||||||||
Total assets | $ | 142,966 | $ | 131,529 | 9 | $ | 140,585 | $ | 130,659 | 8 | |||||||
Loans | 122,173 | 111,704 | 9 | 120,252 | 111,101 | 8 | |||||||||||
Core loans | 122,173 | 111,704 | 9 | 120,252 | 111,101 | 8 | |||||||||||
Deposits | 150,786 | 151,214 | — | 154,776 | 150,915 | 3 | |||||||||||
Equity | 9,000 | 9,000 | — | 9,000 | 9,000 | — | |||||||||||
Headcount | 22,289 | 20,897 | 7 | 22,289 | 20,897 | 7 | |||||||||||
Number of client advisors | 2,452 | 2,622 | (6 | ) | 2,452 | 2,622 | (6 | ) | |||||||||
Credit data and quality statistics | |||||||||||||||||
Net charge-offs | $ | 2 | $ | 2 | — | $ | 5 | $ | 11 | (55 | ) | ||||||
Nonaccrual loans | 400 | 254 | 57 | 400 | 254 | 57 | |||||||||||
Allowance for credit losses: | |||||||||||||||||
Allowance for loan losses | 285 | 258 | 10 | 285 | 258 | 10 | |||||||||||
Allowance for lending-related commitments | 10 | 4 | 150 | 10 | 4 | 150 | |||||||||||
Total allowance for credit losses | 295 | 262 | 13 | % | 295 | 262 | 13 | % | |||||||||
Net charge-off rate | 0.01 | % | 0.01 | % | 0.01 | % | 0.02 | % | |||||||||
Allowance for loan losses to period-end loans | 0.23 | 0.23 | 0.23 | 0.23 | |||||||||||||
Allowance for loan losses to nonaccrual loans | 71 | 102 | 71 | 102 | |||||||||||||
Nonaccrual loans to period-end loans | 0.32 | 0.22 | 0.32 | 0.22 |
(a) | Represents the “overall star rating” derived from Morningstar for the U.S., the U.K., Luxembourg, Hong Kong and Taiwan domiciled funds; and Nomura “star rating” for Japan domiciled funds. Includes only Asset Management retail open-ended mutual funds that have a rating. Excludes money market funds, Undiscovered Managers Fund, and Brazil and India domiciled funds. |
(b) | Quartile ranking sourced from: Lipper for the U.S. and Taiwan domiciled funds; Morningstar for the U.K., Luxembourg and Hong Kong domiciled funds; Nomura for Japan domiciled funds and Fund Doctor for South Korea domiciled funds. Includes only Asset Management retail open-ended mutual funds that are ranked by the aforementioned sources. Excludes money market funds, Undiscovered Managers Fund, and Brazil and India domiciled funds. |
(c) | Prior period amounts were revised to conform with current period presentation. |
Client assets | ||||||||
June 30, | ||||||||
(in billions) | 2017 | 2016 | Change | |||||
Assets by asset class | ||||||||
Liquidity | $ | 434 | $ | 385 | 13 | % | ||
Fixed income | 440 | 424 | 4 | |||||
Equity | 390 | 342 | 14 | |||||
Multi-asset and alternatives | 612 | 542 | 13 | |||||
Total assets under management | 1,876 | 1,693 | 11 | |||||
Custody/brokerage/administration/deposits | 722 | 651 | 11 | |||||
Total client assets | $ | 2,598 | $ | 2,344 | 11 | |||
Memo: | ||||||||
Alternatives client assets (a) | $ | 159 | $ | 151 | 5 | |||
Assets by client segment | ||||||||
Private Banking | $ | 488 | $ | 425 | 15 | |||
Institutional | 889 | 811 | 10 | |||||
Retail | 499 | 457 | 9 | |||||
Total assets under management | $ | 1,876 | $ | 1,693 | 11 | |||
Private Banking | $ | 1,188 | $ | 1,058 | 12 | |||
Institutional | 909 | 827 | 10 | |||||
Retail | 501 | 459 | 9 | |||||
Total client assets | $ | 2,598 | $ | 2,344 | 11% |
(a) | Represents assets under management, as well as client balances in brokerage accounts. |
Client assets (continued) | |||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in billions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Assets under management rollforward | |||||||||||||
Beginning balance | $ | 1,841 | $ | 1,676 | $ | 1,771 | $ | 1,723 | |||||
Net asset flows: | |||||||||||||
Liquidity | (7 | ) | 1 | (6 | ) | (29 | ) | ||||||
Fixed income | 2 | 13 | 7 | 27 | |||||||||
Equity | (3 | ) | (5 | ) | (7 | ) | (10 | ) | |||||
Multi-asset and alternatives | 10 | (2 | ) | 17 | 4 | ||||||||
Market/performance/other impacts | 33 | 10 | 94 | (22 | ) | ||||||||
Ending balance, June 30 | $ | 1,876 | $ | 1,693 | $ | 1,876 | $ | 1,693 | |||||
Client assets rollforward | |||||||||||||
Beginning balance | $ | 2,548 | $ | 2,323 | $ | 2,453 | $ | 2,350 | |||||
Net asset flows | 2 | 2 | 12 | (5 | ) | ||||||||
Market/performance/other impacts | 48 | 19 | 133 | (1 | ) | ||||||||
Ending balance, June 30 | $ | 2,598 | $ | 2,344 | $ | 2,598 | $ | 2,344 |
International metrics | |||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||
Total net revenue (a) | |||||||||||||||||
Europe/Middle East/Africa | $ | 494 | $ | 463 | 7% | $ | 956 | $ | 894 | 7 | % | ||||||
Asia/Pacific | 286 | 267 | 7 | 556 | 522 | 7 | |||||||||||
Latin America/Caribbean | 222 | 186 | 19 | 401 | 358 | 12 | |||||||||||
Total international net revenue | 1,002 | 916 | 9 | 1,913 | 1,774 | 8 | |||||||||||
North America | 2,210 | 2,023 | 9 | 4,386 | 4,137 | 6 | |||||||||||
Total net revenue | $ | 3,212 | $ | 2,939 | 9 | % | $ | 6,299 | $ | 5,911 | 7 | % |
(a) | Regional revenue is based on the domicile of the client. |
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||
(in billions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||
Assets under management | |||||||||||||||||
Europe/Middle East/Africa | $ | 335 | $ | 293 | 14 | % | $ | 335 | $ | 293 | 14 | % | |||||
Asia/Pacific | 136 | 124 | 10 | 136 | 124 | 10 | |||||||||||
Latin America/Caribbean | 57 | 46 | 24 | 57 | 46 | 24 | |||||||||||
Total international assets under management | 528 | 463 | 14 | 528 | 463 | 14 | |||||||||||
North America | 1,348 | 1,230 | 10 | 1,348 | 1,230 | 10 | |||||||||||
Total assets under management | $ | 1,876 | $ | 1,693 | 11 | $ | 1,876 | $ | 1,693 | 11 | |||||||
Client assets | |||||||||||||||||
Europe/Middle East/Africa | $ | 387 | $ | 342 | 13 | $ | 387 | $ | 342 | 13 | |||||||
Asia/Pacific | 196 | 176 | 11 | 196 | 176 | 11 | |||||||||||
Latin America/Caribbean | 152 | 115 | 32 | 152 | 115 | 32 | |||||||||||
Total international client assets | 735 | 633 | 16 | 735 | 633 | 16 | |||||||||||
North America | 1,863 | 1,711 | 9 | 1,863 | 1,711 | 9 | |||||||||||
Total client assets | $ | 2,598 | $ | 2,344 | 11 | % | $ | 2,598 | $ | 2,344 | 11 | % |
CORPORATE |
Selected income statement and balance sheet data | ||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | |||||||||||||||||||
(in millions, except headcount) | 2017 | 2016 | Change | 2017 | 2016 | Change | ||||||||||||||
Revenue | ||||||||||||||||||||
Principal transactions | $ | 148 | $ | 29 | 410 | % | $ | 163 | $ | 126 | 29 | % | ||||||||
Securities gains/(losses) | (34 | ) | 20 | NM | (37 | ) | 71 | NM | ||||||||||||
All other income/(loss)(a) | 667 | 122 | 447 | 728 | 243 | 200 | ||||||||||||||
Noninterest revenue | 781 | 171 | 357 | 854 | 440 | 94 | ||||||||||||||
Net interest income | 23 | (329 | ) | NM | (75 | ) | (542 | ) | 86 | |||||||||||
Total net revenue(b) | 804 | (158 | ) | NM | 779 | (102 | ) | NM | ||||||||||||
Provision for credit losses | — | (1 | ) | 100 | — | (3 | ) | 100 | ||||||||||||
Noninterest expense(c) | 183 | (273 | ) | NM | 281 | (120 | ) | NM | ||||||||||||
Income/(loss) before income tax expense/(benefit) | 621 | 116 | 435 | 498 | 21 | NM | ||||||||||||||
Income tax expense/(benefit) | 51 | 282 | (82 | ) | (107 | ) | 219 | NM | ||||||||||||
Net income/(loss) | $ | 570 | $ | (166 | ) | NM | $ | 605 | $ | (198 | ) | NM | ||||||||
Total net revenue | ||||||||||||||||||||
Treasury and CIO | 86 | (226 | ) | NM | 79 | (320 | ) | NM | ||||||||||||
Other Corporate | 718 | 68 | NM | 700 | 218 | 221 | ||||||||||||||
Total net revenue | $ | 804 | $ | (158 | ) | NM | $ | 779 | $ | (102 | ) | NM | ||||||||
Net income/(loss) | ||||||||||||||||||||
Treasury and CIO | (14 | ) | (199 | ) | 93 | (81 | ) | (310 | ) | 74 | ||||||||||
Other Corporate | 584 | 33 | NM | 686 | 112 | NM | ||||||||||||||
Total net income/(loss) | $ | 570 | $ | (166 | ) | NM | $ | 605 | $ | (198 | ) | NM | ||||||||
Total assets (period-end) | $ | 817,754 | $ | 778,359 | 5 | $ | 817,754 | $ | 778,359 | 5 | ||||||||||
Loans (period-end) | 1,696 | 1,862 | (9 | ) | 1,696 | 1,862 | (9 | ) | ||||||||||||
Core loans(d) | 1,696 | 1,857 | (9 | ) | 1,696 | 1,857 | (9 | ) | ||||||||||||
Headcount | 33,464 | 30,402 | 10 | 33,464 | 30,402 | 10 |
(a) | Included revenue related to a legal settlement of $645 million for both the three and six months ended June 30, 2017. |
(b) | Included tax-equivalent adjustments, predominantly due to tax-exempt income from municipal bond investments of $237 million and $227 million for the three months ended June 30, 2017 and 2016, respectively, and $465 million and $445 million for the six months ended June 30, 2017 and 2016, respectively. |
(c) | Included legal expense/(benefit) of $16 million and $(467) million for the three months ended June 30, 2017 and 2016, respectively, and $(212) million and $(465) million for the six months ended June 30, 2017 and 2016, respectively. |
(d) | Average core loans were $1.6 billion and $2.0 billion for the three months ended June 30, 2017 and 2016, respectively, and $1.6 billion and $2.0 billion for the six months ended June 30, 2017 and 2016, respectively. |
Selected income statement and balance sheet data | |||||||||||||||||||||
As of or for the three months ended June 30, | As of or for the six months ended June 30, | ||||||||||||||||||||
(in millions) | 2017 | 2016 | Change | 2017 | 2016 | Change | |||||||||||||||
Securities gains/(losses) | $ | (34 | ) | $ | 20 | NM | $ | (49 | ) | $ | 71 | NM | |||||||||
AFS investment securities (average) | 225,053 | 225,536 | — | 229,920 | 230,321 | — | |||||||||||||||
HTM investment securities (average) | 48,232 | 53,426 | (10 | ) | 48,794 | 50,882 | (4 | ) | |||||||||||||
Investment securities portfolio (average) | 273,285 | 278,962 | (2 | ) | 278,714 | 281,203 | (1 | ) | |||||||||||||
AFS investment securities (period-end) | 213,291 | 221,751 | (4 | ) | 213,291 | 221,751 | (4 | ) | |||||||||||||
HTM investment securities (period-end) | 47,761 | 53,811 | (11 | ) | 47,761 | 53,811 | (11 | ) | |||||||||||||
Investment securities portfolio (period-end) | 261,052 | 275,562 | (5 | )% | 261,052 | 275,562 | (5 | ) |
ENTERPRISE-WIDE RISK MANAGEMENT |
• | Acceptance of responsibility, including identification and escalation of risk issues, by all individuals within the Firm; |
• | Ownership of risk identification, assessment, data and management by each of the lines of business and corporate functions; and |
• | Firmwide structures for risk governance. |
Risk disclosure | Form 10-Q page reference | Annual Report page reference |
Enterprise-Wide Risk Management | 41–76 | 71–131 |
I. Economic risks | ||
Capital Risk Management | 42–48 | 76–85 |
Credit Risk Management | 49–65 | 86–107 |
Country Risk Management | 66 | 108–109 |
Liquidity Risk Management | 67–71 | 110–115 |
Market Risk Management | 72–76 | 116–123 |
Principal Risk Management | 124 | |
II. Other core risks | ||
Compliance Risk Management | 125 | |
Conduct Risk Management | 126 | |
Legal Risk Management | 127 | |
Model Risk Management | 128 | |
Operational Risk Management | 129–130 | |
Reputation Risk Management | 131 |
CAPITAL RISK MANAGEMENT |
Transitional | Fully Phased-In | |||||||||||||||||||||
June 30, 2017 (in millions, except ratios) | Standardized | Advanced | Minimum capital ratios(d) | Standardized | Advanced | Minimum capital ratios(e) | ||||||||||||||||
Risk-based capital metrics: | ||||||||||||||||||||||
CET1 capital | $ | 186,942 | $ | 186,942 | $ | 186,596 | $ | 186,596 | ||||||||||||||
Tier 1 capital | 212,353 | 212,353 | 212,221 | 212,221 | ||||||||||||||||||
Total capital | 243,061 | 233,345 | 241,742 | 232,026 | ||||||||||||||||||
Risk-weighted assets | 1,478,816 | 1,459,196 | 1,488,511 | 1,469,473 | ||||||||||||||||||
CET1 capital ratio | 12.6 | % | 12.8 | % | 7.5 | % | 12.5 | % | 12.7 | % | 10.5 | % | ||||||||||
Tier 1 capital ratio | 14.4 | 14.6 | 9.0 | 14.3 | 14.4 | 12.0 | ||||||||||||||||
Total capital ratio | 16.4 | 16.0 | 11.0 | 16.2 | 15.8 | 14.0 | ||||||||||||||||
Leverage-based capital metrics | ||||||||||||||||||||||
Adjusted average assets(a) | $ | 2,512,120 | $ | 2,512,120 | $ | 2,512,679 | $ | 2,512,679 | ||||||||||||||
Tier 1 leverage ratio(b) | 8.5 | % | 8.5 | % | 4.0 | % | 8.4 | % | 8.4 | % | 4.0 | % | ||||||||||
Total leverage exposure | NA | $ | 3,193,072 | NA | $ | 3,193,632 | ||||||||||||||||
SLR (c) | NA | 6.7 | % | NA | NA | 6.6 | % | 5.0 | % | (f) |
Transitional | Fully Phased-In | |||||||||||||||||||||
December 31, 2016 (in millions, except ratios) | Standardized | Advanced | Minimum capital ratios(d) | Standardized | Advanced | Minimum capital ratios(e) | ||||||||||||||||
Risk-based capital metrics: | ||||||||||||||||||||||
CET1 capital | $ | 182,967 | $ | 182,967 | $ | 181,734 | $ | 181,734 | ||||||||||||||
Tier 1 capital | 208,112 | 208,112 | 207,474 | 207,474 | ||||||||||||||||||
Total capital | 239,553 | 228,592 | 237,487 | 226,526 | ||||||||||||||||||
Risk-weighted assets | 1,464,981 | 1,476,915 | 1,474,665 | 1,487,180 | ||||||||||||||||||
CET1 capital ratio | 12.5 | % | 12.4 | % | 6.25 | % | 12.3 | % | 12.2 | % | 10.5 | % | ||||||||||
Tier 1 capital ratio | 14.2 | 14.1 | 7.75 | 14.1 | 14.0 | 12.0 | ||||||||||||||||
Total capital ratio | 16.4 | 15.5 | 9.75 | 16.1 | 15.2 | 14.0 | ||||||||||||||||
Leverage-based capital metrics | ||||||||||||||||||||||
Adjusted average assets(a) | $ | 2,484,631 | $ | 2,484,631 | $ | 2,485,480 | $ | 2,485,480 | ||||||||||||||
Tier 1 leverage ratio(b) | 8.4 | % | 8.4 | % | 4.0 | % | 8.3 | % | 8.3 | % | 4.0 | % | ||||||||||
Total leverage exposure | NA | $ | 3,191,990 | NA | $ | 3,192,839 | ||||||||||||||||
SLR(c) | NA | 6.5 | % | NA | NA | 6.5 | % | 5.0 | % | (f) |
(a) | Adjusted average assets, for purposes of calculating the Tier 1 leverage ratio, includes total quarterly average assets adjusted for unrealized gains/(losses) on available-for-sale (“AFS”) securities, less deductions for goodwill and other intangible assets, defined benefit pension plan assets, and deferred tax assets related to net operating loss (“NOL”) and tax credit carryforwards. |
(b) | The Tier 1 leverage ratio is calculated by dividing Tier 1 capital by adjusted average assets. |
(c) | The SLR leverage ratio is calculated by dividing Tier 1 capital by total leverage exposure. For additional information on total leverage exposure, see SLR on page 46. |
(d) | Represents the Transitional minimum capital ratios applicable to the Firm under Basel III as of June 30, 2017, and December 31, 2016. At June 30, 2017, the CET1 minimum capital ratio includes 1.25% resulting from the phase in of the Firm’s 2.5% capital conservation buffer and 1.75%, resulting from the phase in of the Firm’s 3.5% GSIB surcharge. At December 31, 2016, the CET1 minimum capital ratio includes 0.625% resulting from the phase in of the Firm’s 2.5% capital conservation buffer and 1.125%, resulting from the phase in of the Firm’s 4.5% GSIB surcharge. |
(e) | Represents the minimum capital ratios applicable to the Firm on a Fully Phased-In Basel III basis. At June 30, 2017, and December 31, 2016, the ratios include the Firm’s estimate of its Fully Phased-In U.S. GSIB surcharge of 3.5%. The minimum capital ratios will be fully phased-in effective January 1, 2019. |
(f) | In the case of the SLR, the Fully Phased-In minimum ratio is effective beginning January 1, 2018. |
Well-capitalized ratios | |||||||||
BHC | IDI | ||||||||
Capital ratios | |||||||||
CET1 | — | % | 6.5 | % | |||||
Tier 1 capital | 6.0 | 8.0 | |||||||
Total capital | 10.0 | 10.0 | |||||||
Tier 1 leverage | — | 5.0 |
Capital components | ||||||
(in millions) | June 30, 2017 | December 31, 2016 | ||||
Total stockholders’ equity | $ | 258,483 | $ | 254,190 | ||
Less: Preferred stock | 26,068 | 26,068 | ||||
Common stockholders’ equity | 232,415 | 228,122 | ||||
Less: | ||||||
Goodwill | 47,300 | 47,288 | ||||
Other intangible assets | 827 | 862 | ||||
Add: | ||||||
Deferred tax liabilities(a) | 3,252 | 3,230 | ||||
Less: Other CET1 capital adjustments | 944 | 1,468 | ||||
Standardized/Advanced Fully Phased-In CET1 capital | 186,596 | 181,734 | ||||
Preferred stock | 26,068 | 26,068 | ||||
Less: | ||||||
Other Tier 1 adjustments(b) | 443 | 328 | ||||
Standardized/Advanced Fully Phased-In Tier 1 capital | $ | 212,221 | $ | 207,474 | ||
Long-term debt and other instruments qualifying as Tier 2 capital | $ | 15,157 | $ | 15,253 | ||
Qualifying allowance for credit losses | 14,480 | 14,854 | ||||
Other | (116 | ) | (94 | ) | ||
Standardized Fully Phased-In Tier 2 capital | $ | 29,521 | $ | 30,013 | ||
Standardized Fully Phased-In Total capital | $ | 241,742 | $ | 237,487 | ||
Adjustment in qualifying allowance for credit losses for Advanced Tier 2 capital | (9,716 | ) | (10,961 | ) | ||
Advanced Fully Phased-In Tier 2 capital | $ | 19,805 | $ | 19,052 | ||
Advanced Fully Phased-In Total capital | $ | 232,026 | $ | 226,526 | ||
(a) | Represents deferred tax liabilities related to tax-deductible goodwill and identifiable intangibles created in nontaxable transactions, which are netted against goodwill and other intangibles when calculating TCE. |
(b) | Includes the deduction associated with the permissible holdings of covered funds (as defined by the Volcker Rule) acquired after December 31, 2013. The deduction was not material as of June 30, 2017 and December 31, 2016. |
(in millions) | June 30, 2017 | December 31, 2016 | ||||
Transitional CET1 capital | $ | 186,942 | $ | 182,967 | ||
AOCI phase-in(a) | 70 | (156 | ) | |||
CET1 capital deduction phase-in(b) | (264 | ) | (695 | ) | ||
Intangibles deduction phase-in(c) | (151 | ) | (312 | ) | ||
Other adjustments to CET1 capital(d) | (1 | ) | (70 | ) | ||
Fully Phased-In CET1 capital | $ | 186,596 | $ | 181,734 |
(a) | Includes the remaining balance of accumulated other comprehensive income (“AOCI”) related to AFS debt securities and defined benefit pension and other postretirement employee benefit (“OPEB”) plans that will qualify as Basel III CET1 capital upon full phase-in. |
(b) | Predominantly includes regulatory adjustments related to changes in DVA, as well as CET1 deductions for defined benefit pension plan assets and deferred tax assets related to NOL and tax credit carryforwards. |
(c) | Relates to intangible assets, other than goodwill and MSRs, that are required to be deducted from CET1 capital upon full phase-in. |
(d) | Includes minority interest and the Firm’s investments in its own CET1 capital instruments. |
Six months ended June 30, (in millions) | 2017 | ||
Standardized/Advanced CET1 capital at December 31, 2016 | $ | 181,734 | |
Net income applicable to common equity | 12,654 | ||
Dividends declared on common stock | (3,606 | ) | |
Net purchase of treasury stock | (4,515 | ) | |
Changes in additional paid-in capital | (1,023 | ) | |
Changes related to AOCI | 682 | ||
Adjustment related to DVA(a) | 140 | ||
Other | 530 | ||
Increase in Standardized/Advanced CET1 capital | 4,862 | ||
Standardized/Advanced CET1 capital at June 30, 2017 | $ | 186,596 | |
Standardized/Advanced Tier 1 capital at December 31, 2016 | $ | 207,474 | |
Change in CET1 capital | 4,862 | ||
Net issuance of noncumulative perpetual preferred stock | — | ||
Other | (115 | ) | |
Increase in Standardized/Advanced Tier 1 capital | 4,747 | ||
Standardized/Advanced Tier 1 capital at June 30, 2017 | $ | 212,221 | |
Standardized Tier 2 capital at December 31, 2016 | $ | 30,013 | |
Change in long-term debt and other instruments qualifying as Tier 2 | (97 | ) | |
Change in qualifying allowance for credit losses | (374 | ) | |
Other | (21 | ) | |
Decrease in Standardized Tier 2 capital | (492 | ) | |
Standardized Tier 2 capital at June 30, 2017 | $ | 29,521 | |
Standardized Total capital at June 30, 2017 | $ | 241,742 | |
Advanced Tier 2 capital at December 31, 2016 | $ | 19,052 | |
Change in long-term debt and other instruments qualifying as Tier 2 | (97 | ) | |
Change in qualifying allowance for credit losses | 871 | ||
Other | (21 | ) | |
Decrease in Advanced Tier 2 capital | 753 | ||
Advanced Tier 2 capital at June 30, 2017 | $ | 19,805 | |
Advanced Total capital at June 30, 2017 | $ | 232,026 |
(a) | Includes DVA recorded in other comprehensive income (“OCI”). |
Standardized | Advanced | |||||||||||||||||||||
Six months ended June 30, 2017 (in millions) | Credit risk RWA | Market risk RWA | Total RWA | Credit risk RWA | Market risk RWA | Operational risk RWA | Total RWA | |||||||||||||||
At December 31, 2016 | $ | 1,346,986 | $ | 127,679 | $ | 1,474,665 | $ | 959,523 | $ | 127,657 | $ | 400,000 | $ | 1,487,180 | ||||||||
Model & data changes(a) | (3,900 | ) | 5,039 | 1,139 | (3,120 | ) | 5,039 | — | 1,919 | |||||||||||||
Portfolio runoff(b) | (8,700 | ) | — | (8,700 | ) | (10,400 | ) | — | — | (10,400 | ) | |||||||||||
Movement in portfolio levels(c) | 17,180 | 4,227 | 21,407 | (13,515 | ) | 4,289 | — | (9,226 | ) | |||||||||||||
Changes in RWA | 4,580 | 9,266 | 13,846 | (27,035 | ) | 9,328 | — | (17,707 | ) | |||||||||||||
June 30, 2017 | $ | 1,351,566 | $ | 136,945 | $ | 1,488,511 | $ | 932,488 | $ | 136,985 | $ | 400,000 | $ | 1,469,473 |
(a) | Model & data changes refer to movements in levels of RWA as a result of revised methodologies and/or treatment per regulatory guidance (exclusive of rule changes). |
(b) | Portfolio runoff for credit risk RWA primarily reflects (under both the Standardized and Advanced approaches) reduced risk from position rolloffs in legacy portfolios in Mortgage Banking and the sale of substantially all of the student loan portfolio during the second quarter of 2017 . |
(c) | Movement in portfolio levels for credit risk RWA refers to changes in book size, composition, credit quality, and market movements; and for market risk RWA refers to changes in position and market movements. |
(in millions, except ratio) | June 30, 2017 | December 31, 2016 | ||||
Tier 1 Capital | $ | 212,221 | $ | 207,474 | ||
Total average assets | 2,559,236 | 2,532,457 | ||||
Less: Adjustments for deductions from Tier 1 capital | 46,557 | 46,977 | ||||
Total adjusted average assets(a) | 2,512,679 | 2,485,480 | ||||
Off-balance sheet exposures(b) | 680,953 | 707,359 | ||||
Total leverage exposure | $ | 3,193,632 | $ | 3,192,839 | ||
SLR | 6.6 | % | 6.5 | % |
(a) | Adjusted average assets, for purposes of calculating the SLR, includes total quarterly average assets adjusted for on-balance sheet assets that are subject to deduction from Tier 1 capital, predominantly goodwill and other intangible assets. |
(b) | Off-balance sheet exposures are calculated as the average of the three month-end spot balances during the quarter. |
• | Integrate Firmwide and line of business capital risk management activities; |
• | Measure performance consistently across all lines of business; and |
• | Provide comparability with peer firms for each of the lines of business. |
Line of business equity | |||||||
(in billions) | June 30, 2017 | December 31, 2016 | |||||
Consumer & Community Banking | $ | 51.0 | $ | 51.0 | |||
Corporate & Investment Bank | 70.0 | 64.0 | |||||
Commercial Banking | 20.0 | 16.0 | |||||
Asset & Wealth Management | 9.0 | 9.0 | |||||
Corporate | 82.4 | 88.1 | |||||
Total common stockholders’ equity | $ | 232.4 | $ | 228.1 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Total shares of common stock repurchased | 35.0 | 45.8 | 67.1 | 75.0 | |||||||||
Aggregate common stock repurchases | $ | 3,007 | $ | 2,840 | $ | 5,839 | $ | 4,536 |
June 30, 2017 | Net Capital | |||||
(in billions) | Actual | Minimum | ||||
JPMorgan Chase’s subsidiary: | ||||||
JPMorgan Securities | $ | 13.9 | $ | 2.8 |
June 30, 2017 | Total capital | CET1 ratio | Total capital ratio | ||||||
(in billions, except ratios) | Estimated | Estimated | Minimum | Estimated | Minimum | ||||
JPMorgan Chase, N.A.’s subsidiary: | |||||||||
J.P. Morgan Securities plc | $ | 37.2 | 13.6% | 4.5% | 16.8% | 8.0% |
CREDIT RISK MANAGEMENT |
Total credit portfolio | |||||||||||||
Credit exposure | Nonperforming(b)(c) | ||||||||||||
(in millions) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||
Loans retained | $ | 899,576 | $ | 889,907 | $ | 5,827 | $ | 6,721 | |||||
Loans held-for-sale | 7,212 | 2,628 | 64 | 162 | |||||||||
Loans at fair value | 1,979 | 2,230 | — | — | |||||||||
Total loans | 908,767 | 894,765 | 5,891 | 6,883 | |||||||||
Derivative receivables | 56,506 | 64,078 | 170 | 223 | |||||||||
Receivables from customers and other | 19,531 | 17,560 | — | — | |||||||||
Total credit-related assets | 984,804 | 976,403 | 6,061 | 7,106 | |||||||||
Assets acquired in loan satisfactions | |||||||||||||
Real estate owned | NA | NA | 322 | 370 | |||||||||
Other | NA | NA | 49 | 59 | |||||||||
Total assets acquired in loan satisfactions | NA | NA | 371 | 429 | |||||||||
Total assets | 984,804 | 976,403 | 6,432 | 7,535 | |||||||||
Lending-related commitments | 1,000,924 | 976,702 | 750 | 506 | |||||||||
Total credit portfolio | $ | 1,985,728 | $ | 1,953,105 | $ | 7,182 | $ | 8,041 | |||||
Credit derivatives used in credit portfolio management activities(a) | $ | (21,723 | ) | $ | (22,114 | ) | $ | — | $ | — | |||
Liquid securities and other cash collateral held against derivatives | (18,552 | ) | (22,705 | ) | NA | NA |
(in millions, except ratios) | Three months ended June 30, | Six months ended June 30, | |||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||
Net charge-offs(d) | $ | 1,204 | $ | 1,181 | $ | 2,858 | $ | 2,291 | |||||
Average retained loans | |||||||||||||
Loans | 892,840 | 855,622 | 889,229 | 846,036 | |||||||||
Loans – excluding residential real estate PCI loans | 859,102 | 816,572 | 854,842 | 806,314 | |||||||||
Net charge-off rates(d) | |||||||||||||
Loans | 0.54 | % | 0.56 | % | 0.65 | % | 0.54 | % | |||||
Loans – excluding PCI | 0.56 | 0.58 | 0.67 | 0.57 |
(a) | Represents the net notional amount of protection purchased and sold through credit derivatives used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. For additional information, see Credit derivatives on page 62 and Note 4. |
(b) | Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as they are all performing. |
(c) | At June 30, 2017, and December 31, 2016, nonperforming assets excluded: (1) mortgage loans insured by U.S. government agencies of $4.1 billion and $5.0 billion, respectively, that are 90 or more days past due; (2) student loans insured by U.S. government agencies under the FFELP of $24 million and $263 million, respectively, that are 90 or more days past due; and (3) real estate owned (“REO”) insured by U.S. government agencies of $105 million and $142 million, respectively. These amounts have been excluded based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance issued by the Federal Financial Institutions Examination Council (“FFIEC”). |
(d) | For the six months ended June 30, 2017, excluding net charge-offs of $467 million related to the student loan portfolio transfer, the net charge-off rate for Loans would have been 0.54% and for Loans – excluding PCI would have been 0.56%. For additional information refer to CCB segment results on page 21. |
CONSUMER CREDIT PORTFOLIO |
Consumer credit portfolio | ||||||||||||||||||||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | |||||||||||||||||||||||||||||||||||||
(in millions, except ratios) | Credit exposure | Nonaccrual loans(k)(l) | Net charge-offs/(recoveries)(m) | Average annual net charge-off/(recovery) rate(m)(n) | Net charge-offs(e)(m) | Average annual net charge-off rate(e)(m)(n) | ||||||||||||||||||||||||||||||||
Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||
Consumer, excluding credit card | ||||||||||||||||||||||||||||||||||||||
Loans, excluding PCI loans and loans held-for-sale | ||||||||||||||||||||||||||||||||||||||
Home equity | $ | 36,000 | $ | 39,063 | $ | 1,645 | $ | 1,845 | $ | 9 | $ | 36 | 0.10 | % | 0.34 | % | $ | 58 | $ | 95 | 0.31 | % | 0.43 | % | ||||||||||||||
Residential mortgage(a) | 205,380 | 192,486 | 2,089 | 2,256 | (3 | ) | 3 | (0.01 | ) | 0.01 | — | 4 | — | — | ||||||||||||||||||||||||
Auto(b)(c) | 65,627 | 65,814 | 158 | 214 | 48 | 46 | 0.29 | 0.29 | 129 | 113 | 0.40 | 0.36 | ||||||||||||||||||||||||||
Consumer & Business Banking(a)(c)(d) | 25,044 | 24,307 | 301 | 287 | 56 | 53 | 0.91 | 0.92 | 113 | 109 | 0.93 | 0.95 | ||||||||||||||||||||||||||
Student(a)(e) | — | 7,057 | — | 165 | — | 29 | — | 1.50 | 498 | 66 | NM | 1.68 | ||||||||||||||||||||||||||
Total loans, excluding PCI loans and loans held-for-sale | 332,051 | 328,727 | 4,193 | 4,767 | 110 | 167 | 0.13 | 0.21 | 798 | 387 | 0.49 | 0.25 | ||||||||||||||||||||||||||
Loans – PCI | ||||||||||||||||||||||||||||||||||||||
Home equity | 11,838 | 12,902 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||||
Prime mortgage | 7,023 | 7,602 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||||
Subprime mortgage | 2,771 | 2,941 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||||
Option ARMs(f) | 11,432 | 12,234 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||||
Total loans – PCI | 33,064 | 35,679 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | ||||||||||||||||||||||||||
Total loans – retained | 365,115 | 364,406 | 4,193 | 4,767 | 110 | 167 | 0.12 | 0.19 | 798 | 387 | 0.44 | 0.22 | ||||||||||||||||||||||||||
Loans held-for-sale | 256 | (j) | 238 | (j) | 33 | 53 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Total consumer, excluding credit card loans | 365,371 | 364,644 | 4,226 | 4,820 | 110 | 167 | 0.12 | 0.19 | 798 | 387 | 0.44 | 0.22 | ||||||||||||||||||||||||||
Lending-related commitments(g) | 58,162 | 54,797 | ||||||||||||||||||||||||||||||||||||
Receivables from customers(h) | 136 | 120 | ||||||||||||||||||||||||||||||||||||
Total consumer exposure, excluding credit card | 423,669 | 419,561 | ||||||||||||||||||||||||||||||||||||
Credit card | ||||||||||||||||||||||||||||||||||||||
Loans retained(i) | 140,035 | 141,711 | — | — | 1,037 | 860 | 3.01 | 2.70 | 2,030 | 1,690 | 2.98 | 2.66 | ||||||||||||||||||||||||||
Loans held-for-sale | 106 | 105 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||
Total credit card loans | 140,141 | 141,816 | — | — | 1,037 | 860 | 3.01 | 2.70 | 2,030 | 1,690 | 2.98 | 2.66 | ||||||||||||||||||||||||||
Lending-related commitments(g) | 576,264 | 553,891 | ||||||||||||||||||||||||||||||||||||
Total credit card exposure | 716,405 | 695,707 | ||||||||||||||||||||||||||||||||||||
Total consumer credit portfolio | $ | 1,140,074 | $ | 1,115,268 | $ | 4,226 | $ | 4,820 | $ | 1,147 | $ | 1,027 | 0.92 | % | 0.85 | % | $ | 2,828 | $ | 2,077 | 1.14 | % | 0.87 | % | ||||||||||||||
Memo: Total consumer credit portfolio, excluding PCI | $ | 1,107,010 | $ | 1,079,589 | $ | 4,226 | $ | 4,820 | $ | 1,147 | $ | 1,027 | 0.99 | % | 0.92 | % | $ | 2,828 | $ | 2,077 | 1.22 | % | 0.95 | % |
(a) | Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation. |
(b) | At June 30, 2017, and December 31, 2016, excluded operating lease assets of $15.2 billion and $13.2 billion, respectively. These operating lease assets are included in other assets on the Firm’s Consolidated balance sheets. |
(c) | Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by CCB, and therefore, for consistency in presentation, are included within the consumer portfolio. |
(d) | Predominantly includes Business Banking loans. |
(e) | For the six months ended June 30, 2017, excluding net charge-offs of $467 million related to the student loan portfolio transfer, the net charge-off rate for Total consumer, excluding credit card and PCI loans and loans held-for-sale would have been 0.20%; Total consumer– retained excluding credit card loans would have been 0.18%; Total consumer credit portfolio would have been 0.95%; and Total consumer credit portfolio, excluding PCI loans would have been 1.02%. For additional information refer to CCB segment results on page 21. |
(f) | At June 30, 2017, and December 31, 2016, approximately 68% and 66%, respectively, of the PCI option adjustable rate mortgage (“ARM”) portfolio has been modified into fixed-rate, fully amortizing loans. |
(g) | Credit card and home equity lending-related commitments represent the total available lines of credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit would be used at the same time. For credit card and home equity commitments (if certain conditions are met), the Firm can reduce or cancel these lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice. |
(h) | Receivables from customers represent margin loans to brokerage customers that are collateralized through assets maintained in the clients’ brokerage accounts, as such no allowance is held against these receivables. These receivables are reported within accrued interest and accounts receivable on the Firm’s Consolidated balance sheets. |
(i) | Includes billed interest and fees net of an allowance for uncollectible interest and fees. |
(j) | Includes residential mortgage loans held-for-sale at both June 30, 2017 and December 31, 2016. Also includes student loans held-for-sale at June 30, 2017. |
(k) | At June 30, 2017, and December 31, 2016, nonaccrual loans excluded loans 90 or more days past due as follows: (1) mortgage loans insured by U.S. government agencies of $4.1 billion and $5.0 billion, respectively; and (2) student loans insured by U.S. government agencies under the FFELP of $24 million and $263 million, respectively. These amounts have been excluded from nonaccrual loans based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status, as permitted by regulatory guidance issued by the FFIEC. |
(l) | Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as they are all performing. |
(m) | Net charge-offs and the net charge-off rates excluded write-offs in the PCI portfolio of $22 million and $41 million for the three months ended June 30, 2017 and 2016, respectively, and $46 million and $88 million for the six months ended June 30, 2017 and 2016, respectively. These write-offs decreased the allowance for loan losses for PCI loans. See Allowance for Credit Losses on pages 63–65 for further details. |
(n) | Average consumer loans held-for-sale were $4.9 billion and $354 million for the three months ended June 30, 2017 and 2016, respectively, and $2.6 billion and $389 million for the six months ended June 30, 2017 and 2016, respectively. These amounts were excluded when calculating net charge-off rates. |
• | $13 billion are scheduled to recast from interest-only to fully amortizing payments in future periods, and |
• | $6 billion are interest-only balloon HELOCs, which primarily mature after 2030. |
Summary of PCI loans lifetime principal loss estimates | |||||||||||||||
Lifetime loss estimates(a) | Life-to-date liquidation losses(b) | ||||||||||||||
(in billions) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||
Home equity | $ | 14.0 | $ | 14.4 | $ | 12.8 | $ | 12.8 | |||||||
Prime mortgage | 3.9 | 4.0 | 3.8 | 3.7 | |||||||||||
Subprime mortgage | 3.2 | 3.2 | 3.1 | 3.1 | |||||||||||
Option ARMs | 9.9 | 10.0 | 9.7 | 9.7 | |||||||||||
Total | $ | 31.0 | $ | 31.6 | $ | 29.4 | $ | 29.3 |
(a) | Includes the original nonaccretable difference established in purchase accounting of $30.5 billion for principal losses plus additional principal losses recognized subsequent to acquisition through the provision and allowance for loan losses. The remaining nonaccretable difference for principal losses was $962 million and $1.1 billion at June 30, 2017, and December 31, 2016, respectively. |
(b) | Life-to-date liquidation losses represent both realization of loss upon loan resolution and any principal forgiven upon modification. |
Modified residential real estate loans | |||||||||||||
June 30, 2017 | December 31, 2016 | ||||||||||||
(in millions) | Retained loans | Non-accrual retained loans(d) | Retained loans | Non-accrual retained loans(d) | |||||||||
Modified residential real estate loans, excluding PCI loans(a)(b) | |||||||||||||
Home equity | $ | 2,162 | $ | 1,056 | $ | 2,264 | $ | 1,116 | |||||
Residential mortgage | 5,804 | 1,684 | 6,032 | 1,755 | |||||||||
Total modified residential real estate loans, excluding PCI loans | $ | 7,966 | $ | 2,740 | $ | 8,296 | $ | 2,871 | |||||
Modified PCI loans(c) | |||||||||||||
Home equity | $ | 2,369 | NA | $ | 2,447 | NA | |||||||
Prime mortgage | 4,767 | NA | 5,052 | NA | |||||||||
Subprime mortgage | 2,815 | NA | 2,951 | NA | |||||||||
Option ARMs | 8,770 | NA | 9,295 | NA | |||||||||
Total modified PCI loans | $ | 18,721 | NA | $ | 19,745 | NA |
(a) | Amounts represent the carrying value of modified residential real estate loans. |
(b) | At June 30, 2017, and December 31, 2016, $3.9 billion and $3.4 billion, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., Federal Housing Administration (“FHA”), U.S. Department of Veterans Affairs (“VA”), Rural Housing Service of the U.S. Department of Agriculture (“RHS”)) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure. For additional information about sales |
(c) | Amounts represent the unpaid principal balance of modified PCI loans. |
(d) | At both June 30, 2017, and December 31, 2016, nonaccrual loans included $2.3 billion of troubled debt restructurings (“TDRs”) for which the borrowers were less than 90 days past due. For additional information about loans modified in a TDR that are on nonaccrual status, see Note 11. |
Nonperforming assets(a) | |||||||
(in millions) | June 30, 2017 | December 31, 2016 | |||||
Nonaccrual loans(b) | |||||||
Residential real estate(c) | $ | 3,763 | $ | 4,154 | |||
Other consumer(c) | 463 | 666 | |||||
Total nonaccrual loans | 4,226 | 4,820 | |||||
Assets acquired in loan satisfactions | |||||||
Real estate owned | 249 | 292 | |||||
Other | 47 | 57 | |||||
Total assets acquired in loan satisfactions | 296 | 349 | |||||
Total nonperforming assets | $ | 4,522 | $ | 5,169 |
(a) | At June 30, 2017, and December 31, 2016, nonperforming assets excluded: (1) mortgage loans insured by U.S. government agencies of $4.1 billion and $5.0 billion, respectively, that are 90 or more days past due; (2) student loans insured by U.S. government agencies under the FFELP of $24 million and $263 million, respectively, that are 90 or more days past due; and (3) REO insured by U.S. government agencies of $105 million and $142 million, respectively. These amounts have been excluded based upon the government guarantee. |
(b) | Excludes PCI loans which are accounted for on a pool basis. Since each pool is accounted for as a single asset with a single composite interest rate and an aggregate expectation of cash flows, the past-due status of the pools, or that of individual loans within the pools, is not meaningful. The Firm is recognizing interest income on each pool of loans as they are all performing. |
(c) | Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation. |
Nonaccrual loan activity | |||||||
Six months ended June 30, (in millions) | 2017 | 2016 | |||||
Beginning balance | $ | 4,820 | $ | 5,413 | |||
Additions | 1,647 | 1,802 | |||||
Reductions: | |||||||
Principal payments and other(a) | 888 | 730 | |||||
Charge-offs | 372 | 354 | |||||
Returned to performing status | 750 | 853 | |||||
Foreclosures and other liquidations | 231 | 193 | |||||
Total reductions | 2,241 | 2,130 | |||||
Net changes | (594 | ) | (328 | ) | |||
Ending balance | $ | 4,226 | $ | 5,085 |
(a) | Other reductions includes loan sales. |
WHOLESALE CREDIT PORTFOLIO |
Wholesale credit portfolio | |||||||||||||
Credit exposure | Nonperforming(c) | ||||||||||||
(in millions) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||
Loans retained | $ | 394,426 | $ | 383,790 | $ | 1,634 | $ | 1,954 | |||||
Loans held-for-sale | 6,850 | 2,285 | 31 | 109 | |||||||||
Loans at fair value | 1,979 | 2,230 | — | — | |||||||||
Loans | 403,255 | 388,305 | 1,665 | 2,063 | |||||||||
Derivative receivables | 56,506 | 64,078 | 170 | 223 | |||||||||
Receivables from customers and other(a) | 19,395 | 17,440 | — | — | |||||||||
Total wholesale credit-related assets | 479,156 | 469,823 | 1,835 | 2,286 | |||||||||
Lending-related commitments | 366,498 | 368,014 | 750 | 506 | |||||||||
Total wholesale credit exposure | $ | 845,654 | $ | 837,837 | $ | 2,585 | $ | 2,792 | |||||
Credit derivatives used in credit portfolio management activities(b) | $ | (21,723 | ) | $ | (22,114 | ) | $ | — | $ | — | |||
Liquid securities and other cash collateral held against derivatives | (18,552 | ) | (22,705 | ) | NA | NA |
(a) | Receivables from customers and other include $19.4 billion and $17.3 billion of margin loans at June 30, 2017, and December 31, 2016, respectively, to prime brokerage customers; these are classified in accrued interest and accounts receivable on the Consolidated balance sheets. |
(b) | Represents the net notional amount of protection purchased and sold through credit derivatives used to manage both performing and nonperforming wholesale credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. For additional information, see Credit derivatives on page 62, and Note 4. |
(c) | Excludes assets acquired in loan satisfactions. |
Wholesale credit exposure – maturity and ratings profile | |||||||||||||||||||||||||
Maturity profile(d) | Ratings profile | ||||||||||||||||||||||||
Due in 1 year or less | Due after 1 year through 5 years | Due after 5 years | Total | Investment-grade | Noninvestment-grade | Total | Total % of IG | ||||||||||||||||||
June 30, 2017 (in millions, except ratios) | AAA/Aaa to BBB-/Baa3 | BB+/Ba1 & below | |||||||||||||||||||||||
Loans retained | $ | 114,667 | $ | 177,751 | $ | 102,008 | $ | 394,426 | $ | 302,686 | $ | 91,740 | $ | 394,426 | 77 | % | |||||||||
Derivative receivables | 56,506 | 56,506 | |||||||||||||||||||||||
Less: Liquid securities and other cash collateral held against derivatives | (18,552 | ) | (18,552 | ) | |||||||||||||||||||||
Total derivative receivables, net of all collateral | 8,820 | 8,372 | 20,762 | 37,954 | 30,010 | 7,944 | 37,954 | 79 | |||||||||||||||||
Lending-related commitments | 88,305 | 266,467 | 11,726 | 366,498 | 269,686 | 96,812 | 366,498 | 74 | |||||||||||||||||
Subtotal | 211,792 | 452,590 | 134,496 | 798,878 | 602,382 | 196,496 | 798,878 | 75 | |||||||||||||||||
Loans held-for-sale and loans at fair value(a) | 8,829 | 8,829 | |||||||||||||||||||||||
Receivables from customers and other | 19,395 | 19,395 | |||||||||||||||||||||||
Total exposure – net of liquid securities and other cash collateral held against derivatives | $ | 827,102 | $ | 827,102 | |||||||||||||||||||||
Credit derivatives used in credit portfolio management activities(b)(c) | $ | (1,134 | ) | $ | (16,247 | ) | $ | (4,342 | ) | $ | (21,723 | ) | $ | (18,420 | ) | $ | (3,303 | ) | $ | (21,723 | ) | 85 | % |
Maturity profile(d) | Ratings profile | ||||||||||||||||||||||||
Due in 1 year or less | Due after 1 year through 5 years | Due after 5 years | Total | Investment-grade | Noninvestment-grade | Total | Total % of IG | ||||||||||||||||||
December 31, 2016 (in millions, except ratios) | AAA/Aaa to BBB-/Baa3 | BB+/Ba1 & below | |||||||||||||||||||||||
Loans retained | $ | 117,238 | $ | 167,235 | $ | 99,317 | $ | 383,790 | $ | 289,923 | $ | 93,867 | $ | 383,790 | 76 | % | |||||||||
Derivative receivables | 64,078 | 64,078 | |||||||||||||||||||||||
Less: Liquid securities and other cash collateral held against derivatives | (22,705 | ) | (22,705 | ) | |||||||||||||||||||||
Total derivative receivables, net of all collateral | 14,019 | 8,510 | 18,844 | 41,373 | 33,081 | 8,292 | 41,373 | 80 | |||||||||||||||||
Lending-related commitments | 88,399 | 271,825 | 7,790 | 368,014 | 269,820 | 98,194 | 368,014 | 73 | |||||||||||||||||
Subtotal | 219,656 | 447,570 | 125,951 | 793,177 | 592,824 | 200,353 | 793,177 | 75 | |||||||||||||||||
Loans held-for-sale and loans at fair value(a) | 4,515 | 4,515 | |||||||||||||||||||||||
Receivables from customers and other | 17,440 | 17,440 | |||||||||||||||||||||||
Total exposure – net of liquid securities and other cash collateral held against derivatives | $ | 815,132 | $ | 815,132 | |||||||||||||||||||||
Credit derivatives used in credit portfolio management activities(b)(c) | $ | (1,354 | ) | $ | (16,537 | ) | $ | (4,223 | ) | $ | (22,114 | ) | $ | (18,710 | ) | $ | (3,404 | ) | $ | (22,114 | ) | 85 | % |
(a) | Represents loans held-for-sale, primarily related to syndicated loans and loans transferred from the retained portfolio, and loans at fair value. |
(b) | These derivatives do not qualify for hedge accounting under U.S. GAAP. |
(c) | The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which protection has been purchased. Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection, including credit derivatives used in credit portfolio management activities, are executed with investment-grade counterparties. |
(d) | The maturity profile of retained loans, lending-related commitments and derivative receivables is based on the remaining contractual maturity. Derivative contracts that are in a receivable position at June 30, 2017, may become payable prior to maturity based on their cash flow profile or changes in market conditions. |
Wholesale credit exposure – industries(a) | |||||||||||||||||||||||||||||
Selected metrics | |||||||||||||||||||||||||||||
30 days or more past due and accruing loans | Net charge-offs/ (recoveries) | Credit derivative hedges(f) | Liquid securities and other cash collateral held against derivative receivables | ||||||||||||||||||||||||||
Noninvestment-grade | |||||||||||||||||||||||||||||
As of or for the six months ended | Credit exposure(e) | Investment- grade | Noncriticized | Criticized performing | Criticized nonperforming | ||||||||||||||||||||||||
June 30, 2017 | |||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||
Real Estate | $ | 137,743 | $ | 110,956 | $ | 25,652 | $ | 983 | $ | 152 | $ | 140 | $ | (2 | ) | $ | (40 | ) | $ | (6 | ) | ||||||||
Consumer & Retail | 90,296 | 61,168 | 27,492 | 1,480 | 156 | 155 | 13 | (407 | ) | (22 | ) | ||||||||||||||||||
Technology, Media & Telecommunications | 58,668 | 36,000 | 21,370 | 1,249 | 49 | 7 | (18 | ) | (445 | ) | (86 | ) | |||||||||||||||||
Industrials | 57,316 | 36,582 | 19,629 | 932 | 173 | 98 | 6 | (379 | ) | (38 | ) | ||||||||||||||||||
Healthcare | 48,697 | 37,481 | 10,190 | 968 | 58 | 7 | (1 | ) | (245 | ) | (260 | ) | |||||||||||||||||
Banks & Finance Cos | 46,489 | 33,160 | 12,805 | 493 | 31 | 16 | (1 | ) | (1,359 | ) | (4,470 | ) | |||||||||||||||||
Oil & Gas | 38,832 | 18,967 | 12,734 | 5,896 | 1,235 | 4 | 37 | (1,127 | ) | (37 | ) | ||||||||||||||||||
Asset Managers | 32,248 | 27,456 | 4,763 | 28 | 1 | 66 | — | — | (4,853 | ) | |||||||||||||||||||
Utilities | 30,605 | 24,508 | 5,762 | 174 | 161 | — | 11 | (266 | ) | (106 | ) | ||||||||||||||||||
State & Municipal Govt(b) | 27,590 | 26,990 | 569 | 1 | 30 | 5 | — | (130 | ) | (97 | ) | ||||||||||||||||||
Central Govt | 18,760 | 18,411 | 323 | 26 | — | 2 | — | (10,355 | ) | (3,599 | ) | ||||||||||||||||||
Transportation | 17,677 | 11,287 | 5,743 | 524 | 123 | 3 | 10 | (71 | ) | (170 | ) | ||||||||||||||||||
Automotive | 15,895 | 9,309 | 6,450 | 135 | 1 | 1 | — | (362 | ) | (9 | ) | ||||||||||||||||||
Chemicals & Plastics | 15,494 | 11,306 | 4,123 | 65 | — | 2 | — | (30 | ) | (5 | ) | ||||||||||||||||||
Metals & Mining | 13,455 | 6,240 | 6,344 | 871 | — | 1 | (14 | ) | (374 | ) | (14 | ) | |||||||||||||||||
Insurance | 11,808 | 9,684 | 2,026 | — | 98 | 8 | — | (232 | ) | (2,064 | ) | ||||||||||||||||||
Financial Markets Infrastructure | 7,872 | 6,862 | 1,010 | — | — | — | — | — | (358 | ) | |||||||||||||||||||
Securities Firms | 5,200 | 2,701 | 2,496 | 3 | — | — | — | (274 | ) | (912 | ) | ||||||||||||||||||
All other(c) | 142,785 | 130,104 | 12,306 | 89 | 286 | 936 | (11 | ) | (5,627 | ) | (1,446 | ) | |||||||||||||||||
Subtotal | $ | 817,430 | $ | 619,172 | $ | 181,787 | $ | 13,917 | $ | 2,554 | $ | 1,451 | $ | 30 | $ | (21,723 | ) | $ | (18,552 | ) | |||||||||
Loans held-for-sale and loans at fair value | 8,829 | ||||||||||||||||||||||||||||
Receivables from customers and other | 19,395 | ||||||||||||||||||||||||||||
Total(d) | $ | 845,654 |
(continued from previous page) | |||||||||||||||||||||||||||||
Selected metrics | |||||||||||||||||||||||||||||
30 days or more past due and accruing loans | Net charge-offs/ (recoveries) | Credit derivative hedges(f) | Liquid securities and other cash collateral held against derivative receivables | ||||||||||||||||||||||||||
Noninvestment-grade | |||||||||||||||||||||||||||||
As of or for the year ended | Credit exposure(e) | Investment- grade | Noncriticized | Criticized performing | Criticized nonperforming | ||||||||||||||||||||||||
December 31, 2016 | |||||||||||||||||||||||||||||
(in millions) | |||||||||||||||||||||||||||||
Real Estate | $ | 134,287 | $ | 104,869 | $ | 28,281 | $ | 937 | $ | 200 | $ | 206 | $ | (7 | ) | $ | (54 | ) | $ | (11 | ) | ||||||||
Consumer & Retail | 84,804 | 54,730 | 28,255 | 1,571 | 248 | 75 | 24 | (424 | ) | (69 | ) | ||||||||||||||||||
Technology, Media & Telecommunications | 63,324 | 39,998 | 21,751 | 1,559 | 16 | 9 | 2 | (589 | ) | (30 | ) | ||||||||||||||||||
Industrials | 55,733 | 36,710 | 17,854 | 1,033 | 136 | 128 | 3 | (434 | ) | (40 | ) | ||||||||||||||||||
Healthcare | 49,445 | 39,244 | 9,279 | 882 | 40 | 86 | 37 | (286 | ) | (246 | ) | ||||||||||||||||||
Banks & Finance Cos | 48,393 | 35,385 | 12,560 | 438 | 10 | 21 | (2 | ) | (1,336 | ) | (7,337 | ) | |||||||||||||||||
Oil & Gas | 40,367 | 18,629 | 12,274 | 8,069 | 1,395 | 31 | 233 | (1,532 | ) | (18 | ) | ||||||||||||||||||
Asset Managers | 33,201 | 29,194 | 4,006 | 1 | — | 17 | — | — | (5,737 | ) | |||||||||||||||||||
Utilities | 29,672 | 24,203 | 4,959 | 424 | 86 | 8 | — | (306 | ) | 39 | |||||||||||||||||||
State & Municipal Govt(b) | 28,263 | 27,603 | 624 | 6 | 30 | 107 | (1 | ) | (130 | ) | 398 | ||||||||||||||||||
Central Govt | 20,408 | 20,123 | 276 | 9 | — | 4 | — | (11,691 | ) | (4,183 | ) | ||||||||||||||||||
Transportation | 19,096 | 12,178 | 6,421 | 444 | 53 | 9 | 10 | (93 | ) | (188 | ) | ||||||||||||||||||
Automotive | 16,736 | 9,235 | 7,299 | 201 | 1 | 7 | — | (401 | ) | (14 | ) | ||||||||||||||||||
Chemicals & Plastics | 15,043 | 10,405 | 4,452 | 156 | 30 | 3 | — | (35 | ) | (3 | ) | ||||||||||||||||||
Metals & Mining | 13,419 | 5,523 | 6,744 | 1,133 | 19 | — | 36 | (621 | ) | (62 | ) | ||||||||||||||||||
Insurance | 13,510 | 10,918 | 2,459 | — | 133 | 9 | — | (275 | ) | (2,538 | ) | ||||||||||||||||||
Financial Markets Infrastructure | 8,732 | 7,980 | 752 | — | — | — | — | — | (390 | ) | |||||||||||||||||||
Securities Firms | 4,211 | 1,812 | 2,399 | — | — | — | — | (273 | ) | (491 | ) | ||||||||||||||||||
All other(c) | 137,238 | 124,661 | 11,988 | 303 | 286 | 598 | 6 | (3,634 | ) | (1,785 | ) | ||||||||||||||||||
Subtotal | $ | 815,882 | $ | 613,400 | $ | 182,633 | $ | 17,166 | $ | 2,683 | $ | 1,318 | $ | 341 | $ | (22,114 | ) | $ | (22,705 | ) | |||||||||
Loans held-for-sale and loans at fair value | 4,515 | ||||||||||||||||||||||||||||
Receivables from customers and other | 17,440 | ||||||||||||||||||||||||||||
Total(d) | $ | 837,837 |
(a) | The industry rankings presented in the table as of December 31, 2016, are based on the industry rankings of the corresponding exposures at June 30, 2017, not actual rankings of such exposures at December 31, 2016. |
(b) | In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at June 30, 2017, and December 31, 2016, noted above, the Firm held: $8.8 billion and $9.1 billion, respectively, of trading securities; $32.5 billion and $31.6 billion, respectively, of AFS securities; and $14.4 billion and $14.5 billion, respectively, of held-to-maturity (“HTM”) securities, issued by U.S. state and municipal governments. For further information, see Note 2 and Note 9. |
(c) | All other includes: individuals; SPEs; and private education and civic organizations; representing approximately 59%, 37%, and 4%, respectively, at both June 30, 2017 and December 31, 2016. |
(d) | Excludes cash placed with banks of $440.8 billion and $380.2 billion, at June 30, 2017, and December 31, 2016, respectively, which is predominantly placed with various central banks, primarily Federal Reserve Banks. |
(e) | Credit exposure is net of risk participations and excludes the benefit of credit derivatives used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables. |
(f) | Represents the net notional amounts of protection purchased and sold through credit derivatives used to manage the credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. The All other category includes purchased credit protection on certain credit indices. |
June 30, 2017 | ||||||||||||||||||
(in millions, except ratios) | Loans and Lending-related Commitments | Derivative Receivables | Credit exposure | % Investment-grade | % Drawn(d) | |||||||||||||
Exploration & Production (“E&P”) and Oilfield Services(a) | $ | 20,416 | $ | 417 | $ | 20,833 | 30 | % | 31 | % | ||||||||
Other Oil & Gas(b) | 17,722 | 277 | 17,999 | 71 | 31 | |||||||||||||
Total Oil & Gas | 38,138 | 694 | 38,832 | 49 | 31 | |||||||||||||
Natural Gas Pipelines(c) | 4,740 | 60 | 4,800 | 60 | 16 | |||||||||||||
Total Oil & Gas and Natural Gas Pipelines | $ | 42,878 | $ | 754 | $ | 43,632 | 50 | 30 | ||||||||||
December 31, 2016 | ||||||||||||||||||
(in millions, except ratios) | Loans and Lending-related Commitments | Derivative Receivables | Credit exposure | % Investment- grade | % Drawn(d) | |||||||||||||
E&P and Oilfield Services(a) | $ | 20,971 | $ | 1,256 | $ | 22,227 | 27 | % | 35 | % | ||||||||
Other Oil & Gas(b) | 17,518 | 622 | 18,140 | 70 | 31 | |||||||||||||
Total Oil & Gas | 38,489 | 1,878 | 40,367 | 46 | 33 | |||||||||||||
Natural Gas Pipelines(c) | 4,253 | 106 | 4,359 | 66 | 30 | |||||||||||||
Total Oil & Gas and Natural Gas Pipelines | $ | 42,742 | $ | 1,984 | $ | 44,726 | 48 | 33 |
(a) | Noninvestment-grade exposure to E&P and Oilfield Services is largely secured. |
(b) | Other Oil & Gas includes Integrated Oil & Gas companies, Midstream/Oil Pipeline companies and refineries. |
(c) | Natural Gas Pipelines is reported within the Utilities industry. |
(d) | Represents drawn exposure as a percentage of credit exposure. |
Wholesale nonaccrual loan activity(a) | |||||||
Six months ended June 30, | |||||||
(in millions) | 2017 | 2016 | |||||
Beginning balance | $ | 2,063 | $ | 1,016 | |||
Additions | 747 | 1,902 | |||||
Reductions: | |||||||
Paydowns and other | 666 | 419 | |||||
Gross charge-offs | 93 | 226 | |||||
Returned to performing status | 183 | 149 | |||||
Sales | 203 | 24 | |||||
Total reductions | 1,145 | 818 | |||||
Net changes | (398 | ) | 1,084 | ||||
Ending balance | $ | 1,665 | $ | 2,100 |
(a) | Loans are placed on nonaccrual status when management believes full payment of principal or interest is not expected, regardless of delinquency status, or when principal or interest have been in default for a period of 90 days or more, unless the loan is both well-secured and in the process of collection. |
Wholesale net charge-offs/(recoveries) | |||||||||||||
(in millions, except ratios) | Three months ended June 30, | Six months ended June 30, | |||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||
Loans – reported | |||||||||||||
Average loans retained | $ | 392,257 | $ | 369,706 | $ | 387,339 | $ | 365,006 | |||||
Gross charge-offs | 73 | 159 | 99 | 228 | |||||||||
Gross recoveries | (16 | ) | (5 | ) | (69 | ) | (14 | ) | |||||
Net charge-offs/(recoveries) | 57 | 154 | 30 | 214 | |||||||||
Net charge-off/(recovery) rate | 0.06 | % | 0.17 | % | 0.02 | % | 0.12 | % |
Derivative receivables | ||||||
(in millions) | Derivative receivables | |||||
June 30, 2017 | December 31, 2016 | |||||
Interest rate | $ | 26,912 | $ | 28,302 | ||
Credit derivatives | 1,014 | 1,294 | ||||
Foreign exchange | 16,662 | 23,271 | ||||
Equity | 6,273 | 4,939 | ||||
Commodity | 5,645 | 6,272 | ||||
Total, net of cash collateral | 56,506 | 64,078 | ||||
Liquid securities and other cash collateral held against derivative receivables(a) | (18,552 | ) | (22,705 | ) | ||
Total, net of collateral | $ | 37,954 | $ | 41,373 |
(a) | Includes collateral related to derivative instruments where an appropriate legal opinion has not been either sought or obtained. |
Ratings profile of derivative receivables | |||||||||||
June 30, 2017 | December 31, 2016 | ||||||||||
Rating equivalent (in millions, except ratios) | Exposure net of collateral | % of exposure net of collateral | Exposure net of collateral | % of exposure net of collateral | |||||||
AAA/Aaa to AA-/Aa3 | $ | 9,472 | 25 | % | $ | 11,449 | 28 | % | |||
A+/A1 to A-/A3 | 8,252 | 22 | 8,505 | 20 | |||||||
BBB+/Baa1 to BBB-/Baa3 | 12,286 | 32 | 13,127 | 32 | |||||||
BB+/Ba1 to B-/B3 | 7,295 | 19 | 7,308 | 18 | |||||||
CCC+/Caa1 and below | 649 | 2 | 984 | 2 | |||||||
Total | $ | 37,954 | 100 | % | $ | 41,373 | 100 | % |
Credit derivatives used in credit portfolio management activities | |||||||
Notional amount of protection purchased and sold(a) | |||||||
(in millions) | June 30, 2017 | December 31, 2016 | |||||
Credit derivatives used to manage: | |||||||
Loans and lending-related commitments | $ | 1,681 | $ | 2,430 | |||
Derivative receivables | 20,042 | 19,684 | |||||
Credit derivatives used in credit portfolio management activities | $ | 21,723 | $ | 22,114 |
(a) | Amounts are presented net, considering the Firm’s net protection purchased or sold with respect to each underlying reference entity or index. |
ALLOWANCE FOR CREDIT LOSSES |
• | the utilization of the allowance for loan losses in connection with the transfer of the student loan portfolio to held-for-sale; |
• | a reduction in the residential real estate portfolio, predominantly reflecting continued improvements in home prices and delinquencies; |
• | additions to the allowance for loan losses in the credit card, business banking and auto portfolios driven by loan growth as well as higher loss rates in credit card. |
Summary of changes in the allowance for credit losses | |||||||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||||||
Six months ended June 30, | Consumer, excluding credit card | Credit card | Wholesale | Total | Consumer, excluding credit card | Credit card | Wholesale | Total | |||||||||||||||||
(in millions, except ratios) | |||||||||||||||||||||||||
Allowance for loan losses | |||||||||||||||||||||||||
Beginning balance at January 1, | $ | 5,198 | $ | 4,034 | $ | 4,544 | $ | 13,776 | $ | 5,806 | $ | 3,434 | $ | 4,315 | $ | 13,555 | |||||||||
Gross charge-offs | 1,105 | 2,223 | 99 | 3,427 | 688 | 1,874 | 228 | 2,790 | |||||||||||||||||
Gross recoveries | (307 | ) | (193 | ) | (69 | ) | (569 | ) | (301 | ) | (184 | ) | (14 | ) | (499 | ) | |||||||||
Net charge-offs/(recoveries)(a) | 798 | 2,030 | 30 | 2,858 | 387 | 1,690 | 214 | 2,291 | |||||||||||||||||
Write-offs of PCI loans(b) | 46 | — | — | 46 | 88 | — | — | 88 | |||||||||||||||||
Provision for loan losses | 448 | 2,380 | (337 | ) | 2,491 | 316 | 1,940 | 796 | 3,052 | ||||||||||||||||
Other | (2 | ) | — | 2 | — | (1 | ) | — | — | (1 | ) | ||||||||||||||
Ending balance at June 30, | $ | 4,800 | $ | 4,384 | $ | 4,179 | $ | 13,363 | $ | 5,646 | $ | 3,684 | $ | 4,897 | $ | 14,227 | |||||||||
Impairment methodology | |||||||||||||||||||||||||
Asset-specific(c) | $ | 296 | $ | 370 | $ | 345 | $ | 1,011 | $ | 365 | $ | 361 | $ | 525 | $ | 1,251 | |||||||||
Formula-based | 2,239 | 4,014 | 3,834 | 10,087 | 2,627 | 3,323 | 4,372 | 10,322 | |||||||||||||||||
PCI | 2,265 | — | — | 2,265 | 2,654 | — | — | 2,654 | |||||||||||||||||
Total allowance for loan losses | $ | 4,800 | $ | 4,384 | $ | 4,179 | $ | 13,363 | $ | 5,646 | $ | 3,684 | $ | 4,897 | $ | 14,227 | |||||||||
Allowance for lending-related commitments | |||||||||||||||||||||||||
Beginning balance at January 1, | $ | 26 | $ | — | $ | 1,052 | $ | 1,078 | $ | 14 | $ | — | $ | 772 | $ | 786 | |||||||||
Provision for lending-related commitments | 6 | — | 33 | 39 | — | — | 174 | 174 | |||||||||||||||||
Other | — | — | — | — | — | — | — | — | |||||||||||||||||
Ending balance at June 30, | $ | 32 | $ | — | $ | 1,085 | $ | 1,117 | $ | 14 | $ | — | $ | 946 | $ | 960 | |||||||||
Impairment methodology | |||||||||||||||||||||||||
Asset-specific | $ | — | $ | — | $ | 211 | $ | 211 | $ | — | $ | — | $ | 143 | $ | 143 | |||||||||
Formula-based | 32 | — | 874 | 906 | 14 | — | 803 | 817 | |||||||||||||||||
Total allowance for lending-related commitments(d) | $ | 32 | $ | — | $ | 1,085 | $ | 1,117 | $ | 14 | $ | — | $ | 946 | $ | 960 | |||||||||
Total allowance for credit losses | $ | 4,832 | $ | 4,384 | $ | 5,264 | $ | 14,480 | $ | 5,660 | $ | 3,684 | $ | 5,843 | $ | 15,187 | |||||||||
Memo: | |||||||||||||||||||||||||
Retained loans, end of period | $ | 365,115 | $ | 140,035 | $ | 394,426 | $ | 899,576 | $ | 361,050 | $ | 131,507 | $ | 374,174 | $ | 866,731 | |||||||||
Retained loans, average | 364,316 | 137,574 | 387,339 | 889,229 | 353,259 | 127,771 | 365,006 | 846,036 | |||||||||||||||||
PCI loans, end of period | 33,064 | — | 3 | 33,067 | 38,360 | — | 4 | 38,364 | |||||||||||||||||
Credit ratios | |||||||||||||||||||||||||
Allowance for loan losses to retained loans | 1.31 | % | 3.13 | % | 1.06 | % | 1.49 | % | 1.56 | % | 2.80 | % | 1.31 | % | 1.64 | % | |||||||||
Allowance for loan losses to retained nonaccrual loans(e) | 114 | NM | 256 | 229 | 111 | NM | 234 | 198 | |||||||||||||||||
Allowance for loan losses to retained nonaccrual loans excluding credit card | 114 | NM | 256 | 154 | 111 | NM | 234 | 147 | |||||||||||||||||
Net charge-off/(recovery) rates(a) | 0.44 | 2.98 | 0.02 | 0.65 | 0.22 | 2.66 | 0.12 | 0.54 | |||||||||||||||||
Credit ratios, excluding residential real estate PCI loans | |||||||||||||||||||||||||
Allowance for loan losses to retained loans | 0.76 | 3.13 | 1.06 | 1.28 | 0.93 | 2.80 | 1.31 | 1.40 | |||||||||||||||||
Allowance for loan losses to retained nonaccrual loans(e) | 60 | NM | 256 | 190 | 59 | NM | 234 | 161 | |||||||||||||||||
Allowance for loan losses to retained nonaccrual loans excluding credit card | 60 | NM | 256 | 115 | 59 | NM | 234 | 110 | |||||||||||||||||
Net charge-off/(recovery) rates(a) | 0.49 | % | 2.98 | % | 0.02 | % | 0.67 | % | 0.25 | % | 2.66 | % | 0.12 | % | 0.57 | % |
(a) | For the six months ended June 30, 2017, excluding net charge-offs of $467 million related to the student loan portfolio transfer, the net charge-off rate for Consumer, excluding credit card would have been 0.18%; total Firm would have been 0.54%; Consumer, excluding credit card and PCI loans would have been 0.20%; and total Firm, excluding PCI would have been 0.56%. For additional information refer to CCB segment results on page 21. |
(b) | Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan is recognized when the underlying loan is removed from a pool (e.g., upon liquidation). |
(c) | Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR. The asset-specific credit card allowance for loan losses modified in a TDR is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates. |
(d) | The allowance for lending-related commitments is reported in accounts payable and other liabilities on the Consolidated balance sheets. |
(e) | The Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance. |
• | a $350 million addition to the allowance for credit losses in the credit card portfolio, due to loan growth and higher loss rates, compared to a $250 million addition in the prior year; |
• | a $50 million addition to the allowance for credit losses in the business banking portfolio; and |
• | a $25 million addition to the allowance for credit losses in the auto portfolio, compared to a $50 million addition in the prior year; |
• | a $173 million reduction in the allowance for credit losses in the residential real estate portfolio, reflecting continued improvement in home prices and delinquencies, compared to a $97 million reduction in |
• | a $350 million addition to the allowance for credit losses in the credit card portfolio, due to loan growth and higher loss rates, compared to a $250 million addition in the prior year; |
• | a $50 million addition to the allowance for credit losses in the business banking portfolio; and |
• | a $25 million addition to the allowance for credit losses in the auto portfolio, compared to a $50 million addition in the prior year; |
• | a $170 million reduction in the allowance for credit losses in the residential real estate portfolio, reflecting continued improvement in home prices and delinquencies, compared to a $96 million reduction in |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||||||||||||||||||||||
Provision for loan losses | Provision for lending-related commitments | Total provision for credit losses | Provision for loan losses | Provision for lending-related commitments | Total provision for credit losses | ||||||||||||||||||||||||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||||
Consumer, excluding credit card | $ | 6 | $ | 95 | $ | 6 | $ | — | $ | 12 | $ | 95 | $ | 448 | $ | 316 | $ | 6 | $ | — | $ | 454 | $ | 316 | |||||||||||||||||
Credit card | 1,387 | 1,110 | — | — | 1,387 | 1,110 | 2,380 | 1,940 | — | — | 2,380 | 1,940 | |||||||||||||||||||||||||||||
Total consumer | 1,393 | 1,205 | 6 | — | 1,399 | 1,205 | 2,828 | 2,256 | 6 | — | 2,834 | 2,256 | |||||||||||||||||||||||||||||
Wholesale | (218 | ) | 251 | 34 | (54 | ) | (184 | ) | 197 | (337 | ) | 796 | 33 | 174 | (304 | ) | 970 | ||||||||||||||||||||||||
Total | $ | 1,175 | $ | 1,456 | $ | 40 | $ | (54 | ) | $ | 1,215 | $ | 1,402 | $ | 2,491 | $ | 3,052 | $ | 39 | $ | 174 | $ | 2,530 | $ | 3,226 |
COUNTRY RISK MANAGEMENT |
Top 20 country exposures (excluding the U.S.) | |||||||||||||
June 30, 2017 | |||||||||||||
(in billions) | Lending and deposits(a) | Trading and investing(b)(c) | Other(d) | Total exposure | |||||||||
Germany | $ | 42.3 | $ | 13.7 | $ | 0.3 | $ | 56.3 | |||||
United Kingdom | 27.9 | 13.9 | 0.6 | 42.4 | |||||||||
Japan | 23.5 | 6.8 | 0.1 | 30.4 | |||||||||
France | 11.6 | 7.1 | 0.3 | 19.0 | |||||||||
China | 9.2 | 5.0 | 0.8 | 15.0 | |||||||||
Canada | 11.1 | 3.0 | 0.1 | 14.2 | |||||||||
Switzerland | 8.0 | 0.8 | 3.7 | 12.5 | |||||||||
Australia | 6.3 | 5.1 | — | 11.4 | |||||||||
India | 3.8 | 5.1 | 0.8 | 9.7 | |||||||||
Luxembourg | 7.7 | 1.0 | — | 8.7 | |||||||||
Netherlands | 5.9 | 1.9 | 0.4 | 8.2 | |||||||||
Korea | 4.9 | 1.8 | 0.7 | 7.4 | |||||||||
Brazil | 3.8 | 2.9 | — | 6.7 | |||||||||
Italy | 5.8 | 0.8 | 0.1 | 6.7 | |||||||||
Mexico | 4.1 | 1.8 | — | 5.9 | |||||||||
Hong Kong | 2.5 | 1.4 | 1.6 | 5.5 | |||||||||
Spain | 4.2 | 1.0 | — | 5.2 | |||||||||
Singapore | 2.6 | 1.1 | 1.1 | 4.8 | |||||||||
Saudi Arabia | 3.7 | 1.0 | — | 4.7 | |||||||||
Ireland | 1.1 | 0.3 | 2.5 | 3.9 |
(a) | Lending and deposits includes loans and accrued interest receivable (net of collateral and the allowance for loan losses), deposits with banks (including central banks), acceptances, other monetary assets, issued letters of credit net of participations, and unused commitments to extend credit. Excludes intra-day and operating exposures, such as from settlement and clearing activities. |
(b) | Includes market-making inventory, AFS securities, counterparty exposure on derivative and securities financings net of collateral and hedging. |
(c) | Includes single reference entity (“single-name”), index and tranched credit derivatives for which one or more of the underlying reference entities is in a country listed in the above table. |
(d) | Includes capital invested in local entities and physical commodity inventory. |
LIQUIDITY RISK MANAGEMENT |
(in billions) | June 30, 2017 | ||
HQLA | |||
Eligible cash(a) | $ | 366 | |
Eligible securities(b) | 211 | ||
Total HQLA(c) | $ | 577 |
(a) | Cash on deposit at central banks, primarily Federal Reserve Banks. |
(b) | Predominantly includes U.S. agency MBS, U.S. Treasuries, and sovereign bonds net of applicable haircuts under the LCR rules. |
(c) | Excludes excess HQLA at JPMorgan Chase Bank, N.A. and Chase Bank USA, N.A. that is not transferable to non-bank affiliates. |
June 30, 2017 | December 31, 2016 | Three months ended June 30, | Six months ended June 30, | |||||||||||||||||
Deposits | Average | Average | ||||||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||||||
Consumer & Community Banking | $ | 648,369 | $ | 618,337 | $ | 639,873 | $ | 583,115 | $ | 631,441 | $ | 572,699 | ||||||||
Corporate & Investment Bank | 467,858 | 412,434 | 442,387 | 407,084 | 434,968 | 399,853 | ||||||||||||||
Commercial Banking | 173,964 | 179,532 | 173,081 | 169,090 | 174,843 | 170,105 | ||||||||||||||
Asset & Wealth Management | 146,758 | 161,577 | 150,786 | 151,214 | 154,776 | 150,915 | ||||||||||||||
Corporate | 2,524 | 3,299 | 4,002 | 5,463 | 4,870 | 6,046 | ||||||||||||||
Total Firm | $ | 1,439,473 | $ | 1,375,179 | $ | 1,410,129 | $ | 1,315,966 | $ | 1,400,898 | $ | 1,299,618 |
June 30, 2017 | December 31, 2016 | Three months ended June 30, | Six months ended June 30, | |||||||||||||||||
Sources of funds (excluding deposits) | Average | Average | ||||||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||||||
Commercial paper | $ | 22,207 | $ | 11,738 | $ | 19,466 | $ | 17,462 | $ | 16,432 | $ | 17,499 | ||||||||
Obligations of Firm-administered multi-seller conduits(a) | $ | 2,928 | $ | 2,719 | $ | 2,750 | $ | 5,327 | $ | 3,557 | $ | 5,914 | ||||||||
Other borrowed funds | $ | 30,936 | $ | 22,705 | $ | 23,693 | $ | 20,107 | $ | 23,427 | $ | 20,169 | ||||||||
Securities loaned or sold under agreements to repurchase: | ||||||||||||||||||||
Securities sold under agreements to repurchase(b) | $ | 149,406 | $ | 149,826 | $ | 178,624 | $ | 158,142 | $ | 175,963 | $ | 154,330 | ||||||||
Securities loaned(c)(d) | 11,217 | 12,137 | 13,505 | 13,832 | 13,342 | 14,445 | ||||||||||||||
Total securities loaned or sold under agreements to repurchase(d)(e) | $ | 160,623 | $ | 161,963 | $ | 192,129 | $ | 171,974 | $ | 189,305 | $ | 168,775 | ||||||||
Senior notes | $ | 156,637 | $ | 151,042 | $ | 153,661 | $ | 152,246 | $ | 151,557 | $ | 150,657 | ||||||||
Trust preferred securities | 2,338 | 2,345 | 2,340 | 3,969 | 2,342 | 3,970 | ||||||||||||||
Subordinated debt | 18,994 | 21,940 | 20,546 | 25,176 | 20,857 | 25,271 | ||||||||||||||
Structured notes | 43,077 | 37,292 | 42,957 | 35,602 | 40,941 | 34,576 | ||||||||||||||
Total long-term unsecured funding | $ | 221,046 | $ | 212,619 | $ | 219,504 | $ | 216,993 | $ | 215,697 | $ | 214,474 | ||||||||
Credit card securitization(a) | $ | 25,732 | $ | 31,181 | $ | 27,034 | $ | 27,014 | $ | 28,226 | $ | 27,356 | ||||||||
Other securitizations(a)(f) | — | 1,527 | 1,003 | 1,700 | 1,262 | 1,729 | ||||||||||||||
Federal Home Loan Bank (“FHLB”) advances | 68,464 | 79,519 | 73,053 | 69,528 | 75,155 | 70,384 | ||||||||||||||
Other long-term secured funding(g) | 3,463 | 3,107 | 3,311 | 5,205 | 3,204 | 5,085 | ||||||||||||||
Total long-term secured funding | $ | 97,659 | $ | 115,334 | $ | 104,401 | $ | 103,447 | $ | 107,847 | $ | 104,554 | ||||||||
Preferred stock(h) | $ | 26,068 | $ | 26,068 | $ | 26,068 | $ | 26,068 | $ | 26,068 | $ | 26,068 | ||||||||
Common stockholders’ equity(h) | $ | 232,415 | $ | 228,122 | $ | 230,200 | $ | 224,429 | $ | 228,959 | $ | 222,995 |
(a) | Included in beneficial interests issued by consolidated variable interest entities on the Firm’s Consolidated balance sheets. |
(b) | Excluded long-term structured repurchase agreements of $2.1 billion and $1.8 billion as of June 30, 2017, and December 31, 2016, respectively, average balances of $1.9 billion and $2.7 billion for the three months ended June 30, 2017 and 2016, respectively, and $1.4 billion and $3.1 billion for the six months ended June 30, 2017 and 2016, respectively. |
(c) | Excludes long-term securities loaned of $1.3 billion and $1.2 billion as of June 30, 2017, and December 31, 2016, respectively, average balances of $1.2 billion and $1.3 billion for the three months ended June 30, 2017 and 2016, respectively, and $1.3 billion for both the six months ended June 30, 2017 and 2016. |
(d) | The prior period amounts have been revised to conform with the current period presentation. |
(e) | Excludes federal funds purchased. |
(f) | Other securitizations include securitizations of student loans. The Firm deconsolidated the student loan securitization entities in the second quarter of 2017 as it no longer had a controlling financial interest in these entities as a result of the sale of the student loan portfolio. For additional information about the sale of the student loan portfolio, see CCB Business Segment Results on pages 20–24. The Firm’s wholesale businesses also securitize loans for client-driven transactions, which are not considered to be a source of funding for the Firm and are not included in the table. |
(g) | Includes long-term structured notes which are secured. |
(h) | For additional information on preferred stock and common stockholders’ equity see Capital Risk Management on pages 42–48 and the Consolidated statements of changes in stockholders’ equity on page 86; and Note 22 and Note 23 of JPMorgan Chase’s 2016 Annual Report. |
Long-term unsecured funding | |||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Issuance | |||||||||||||
Senior notes issued in the U.S. market | $ | 8,308 | $ | 5,968 | $ | 14,773 | $ | 13,187 | |||||
Senior notes issued in non-U.S. markets | 2,210 | 4,891 | 2,210 | 4,891 | |||||||||
Total senior notes | 10,518 | 10,859 | 16,983 | 18,078 | |||||||||
Subordinated debt | — | — | — | — | |||||||||
Structured notes | 8,160 | 5,278 | 16,594 | 13,611 | |||||||||
Total long-term unsecured funding – issuance | $ | 18,678 | $ | 16,137 | $ | 33,577 | $ | 31,689 | |||||
Maturities/redemptions | |||||||||||||
Senior notes | $ | 3,615 | $ | 6,499 | $ | 14,042 | $ | 16,310 | |||||
Trust preferred securities | — | — | — | — | |||||||||
Subordinated debt | 2,011 | 2,000 | 3,006 | 2,002 | |||||||||
Structured notes | 7,043 | 4,437 | 12,373 | 8,541 | |||||||||
Total long-term unsecured funding – maturities/redemptions | $ | 12,669 | $ | 12,936 | $ | 29,421 | $ | 26,853 |
Long-term secured funding | |||||||||||||||||||||||||||
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||||||||
Issuance | Maturities/Redemptions | Issuance | Maturities/Redemptions | ||||||||||||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Credit card securitization | $ | — | $ | 3,814 | $ | 3,016 | $ | 2,350 | $ | 1,545 | $ | 3,814 | $ | 7,006 | $ | 2,775 | |||||||||||
Other securitizations(a) | — | — | — | 61 | — | — | 55 | 119 | |||||||||||||||||||
FHLB advances | — | — | 5,852 | 3 | — | — | 11,054 | 2,054 | |||||||||||||||||||
Other long-term secured funding(b) | 344 | 236 | 80 | 46 | 447 | 326 | 124 | 89 | |||||||||||||||||||
Total long-term secured funding | $ | 344 | $ | 4,050 | $ | 8,948 | $ | 2,460 | $ | 1,992 | $ | 4,140 | $ | 18,239 | $ | 5,037 |
(a) | Other securitizations includes securitizations of student loans. The Firm deconsolidated the student loan securitization entities in the second quarter of 2017 as it no longer had a controlling financial interest in these entities as a result of the sale of the student loan portfolio. For additional information about the sale of the student loan portfolio, see CCB Business Segment Results on pages 20–24. |
(b) | Includes long-term structured notes which are secured. |
JPMorgan Chase & Co. | JPMorgan Chase Bank, N.A. Chase Bank USA, N.A. | J.P. Morgan Securities LLC J.P. Morgan Securities plc | |||||||||
June 30, 2017 | Long-term issuer | Short-term issuer | Outlook | Long-term issuer | Short-term issuer | Outlook | Long-term issuer | Short-term issuer | Outlook | ||
Moody’s | A3 | P-2 | Stable | Aa3 | P-1 | Stable | A1 | P-1 | Stable | ||
Standard & Poor’s | A- | A-2 | Stable | A+ | A-1 | Stable | A+ | A-1 | Stable | ||
Fitch Ratings | A+ | F1 | Stable | AA- | F1+ | Stable | AA- | F1+ | Stable |
MARKET RISK MANAGEMENT |
Total VaR | ||||||||||||||||||||||||||||||||||||||
Three months ended, | ||||||||||||||||||||||||||||||||||||||
June 30, 2017 | March 31, 2017 | June 30, 2016 | ||||||||||||||||||||||||||||||||||||
(in millions) | Avg. | Min | Max | Avg. | Min | Max | Avg. | Min | Max | |||||||||||||||||||||||||||||
CIB trading VaR by risk type | ||||||||||||||||||||||||||||||||||||||
Fixed income | $ | 28 | $ | 25 | $ | 31 | $ | 28 | $ | 20 | $ | 40 | $ | 46 | $ | 37 | $ | 62 | ||||||||||||||||||||
Foreign exchange | 8 | 5 | 12 | 10 | 6 | 16 | 12 | 7 | 17 | |||||||||||||||||||||||||||||
Equities | 12 | 9 | 16 | 11 | 8 | 14 | 14 | 10 | 20 | |||||||||||||||||||||||||||||
Commodities and other | 8 | 6 | 10 | 8 | 5 | 10 | 9 | 7 | 10 | |||||||||||||||||||||||||||||
Diversification benefit to CIB trading VaR | (30 | ) | (a) | NM | (b) | NM | (b) | (34 | ) | (a) | NM | (b) | NM | (b) | (37 | ) | (a) | NM | (b) | NM | (b) | |||||||||||||||||
CIB trading VaR | 26 | 20 | 31 | 23 | 14 | 34 | 44 | 35 | 59 | |||||||||||||||||||||||||||||
Credit portfolio VaR | 9 | 6 | 10 | 10 | 9 | 12 | 12 | 11 | 13 | |||||||||||||||||||||||||||||
Diversification benefit to CIB VaR | (8 | ) | (a) | NM | (b) | NM | (b) | (8 | ) | (a) | NM | (b) | NM | (b) | (12 | ) | (a) | NM | (b) | NM | (b) | |||||||||||||||||
CIB VaR | 27 | 22 | 32 | 25 | 17 | 38 | 44 | 34 | 59 | |||||||||||||||||||||||||||||
CCB VaR | 2 | 2 | 3 | 2 | 1 | 3 | 3 | 1 | 5 | |||||||||||||||||||||||||||||
Corporate VaR | 3 | 2 | 3 | 2 | 2 | 3 | 11 | 7 | 13 | |||||||||||||||||||||||||||||
AWM VaR | — | — | — | — | — | — | 4 | 3 | 4 | |||||||||||||||||||||||||||||
Diversification benefit to other VaR | (2 | ) | (a) | NM | (b) | NM | (b) | (1 | ) | (a) | NM | (b) | NM | (b) | (5 | ) | (a) | NM | (b) | NM | (b) | |||||||||||||||||
Other VaR | 3 | 3 | 4 | 3 | 3 | 4 | 13 | 10 | 16 | |||||||||||||||||||||||||||||
Diversification benefit to CIB and other VaR | (3 | ) | (a) | NM | (b) | NM | (b) | (3 | ) | (a) | NM | (b) | NM | (b) | (12 | ) | (a) | NM | (b) | NM | (b) | |||||||||||||||||
Total VaR | $ | 27 | $ | 22 | $ | 33 | $ | 25 | $ | 17 | $ | 37 | $ | 45 | $ | 36 | $ | 56 |
(a) | Average portfolio VaR is less than the sum of the VaR of the components described above, which is due to portfolio diversification. The diversification effect reflects the fact that the risks are not perfectly correlated. |
(b) | Designated as NM, because the minimum and maximum may occur on different days for different risk components, and hence it is not meaningful to compute a portfolio-diversification effect. |
(in millions) | Amount by which reported VaR would have been higher for the three months ended June 30, 2017 | ||||
CIB fixed income VaR | $ | 6 | |||
CIB equities VaR | 3 | ||||
CIB trading VaR | 8 | ||||
CIB VaR | 10 | ||||
Corporate VaR | 8 | ||||
AWM VaR | 5 | ||||
Other VaR | 8 |
January | February | March | April | May | June |
JPMorgan Chase’s 12-month earnings-at-risk sensitivity profiles | ||||||||||||||
U.S. dollar | Instantaneous change in rates | |||||||||||||
(in billions) | +200bps | +100bps | -100bps | -200bps | ||||||||||
June 30, 2017 | $ | 3.6 | $ | 2.2 | $ | (4.5 | ) | (a) | NM | (b) | ||||
December 31, 2016 | $ | 4.0 | $ | 2.4 | NM | (b) | NM | (b) |
(a) | As a result of the June 2017 increase in the Fed Funds target rate to between 1.00% and 1.25%, the -100 bps sensitivity has been included. |
(b) | Given the level of market interest rates, these downward parallel earnings-at-risk scenarios are not considered to be meaningful. |
Gain/(loss) (in millions) | June 30, 2017 | December 31, 2016 | ||||||||||
Activity | Description | Sensitivity measure | ||||||||||
Investment activities | ||||||||||||
Investment management activities | Consists of seed capital and related hedges; and fund co-investments | 10% decline in market value | $ | (142 | ) | $ | (166 | ) | ||||
Other investments | Consists of private equity and other investments held at fair value | 10% decline in market value | (401 | ) | (358 | ) | ||||||
Funding activities | ||||||||||||
Non-USD LTD cross-currency basis | Represents the basis risk on derivatives used to hedge the foreign exchange risk on the non-USD LTD | 1 basis point parallel tightening of cross currency basis | (10 | ) | (7 | ) | ||||||
Non-USD LTD hedges foreign currency (“FX”) exposure | Primarily represents the foreign exchange revaluation on the fair value of the derivative hedges | 10% depreciation of currency | (6 | ) | (23 | ) | ||||||
Funding spread risk – derivatives | Impact of changes in the spread related to derivatives DVA/FVA | 1 basis point parallel increase in spread | (5 | ) | (4 | ) | ||||||
Funding spread risk – fair value option elected liabilities(a) | Impact of changes in the spread related to fair value option elected liabilities DVA | 1 basis point parallel increase in spread | 19 | 17 |
(a) | Impact recognized through OCI. |
CRITICAL ACCOUNTING ESTIMATES USED BY THE FIRM |
• | A combined 5% decline in housing prices and a 100 basis point increase in unemployment rates from current levels could imply: |
◦ | an increase to modeled credit loss estimates of approximately $550 million for PCI loans. |
◦ | an increase to modeled annual credit loss estimates of approximately $100 million for the residential real estate, excluding PCI loans. |
• | For credit card loans, a 100 basis point increase in unemployment rates from current levels could imply an increase to modeled annual credit loss estimates of approximately $925 million. |
• | An increase in PD factors consistent with a one-notch downgrade in the Firm’s internal risk ratings for its entire wholesale loan portfolio could imply an increase in the Firm’s modeled credit loss estimates of approximately $1.6 billion. |
• | A 100 basis point increase in estimated loss given default (“LGD”) for the Firm’s entire wholesale loan portfolio could imply an increase in the Firm’s modeled credit loss estimates of approximately $175 million. |
June 30, 2017 (in billions, except ratios) | Total assets at fair value | Total level 3 assets | ||||||
Trading–debt and equity instruments | $ | 350.5 | $ | 7.3 | ||||
Derivative receivables(a) | 56.5 | 4.6 | ||||||
Trading assets | 407.0 | 11.9 | ||||||
AFS securities | 215.7 | 0.5 | ||||||
Loans | 2.0 | 0.3 | ||||||
MSRs | 5.8 | 5.8 | ||||||
Other | 26.2 | 1.9 | ||||||
Total assets measured at fair value on a recurring basis | $ | 656.7 | $ | 20.4 | ||||
Total assets measured at fair value on a nonrecurring basis | 1.0 | 0.7 | ||||||
Total assets measured at fair value | $ | 657.7 | $ | 21.1 | ||||
Total Firm assets | $ | 2,563.2 | ||||||
Level 3 assets as a percentage of total Firm assets(a) | 0.8 | % | ||||||
Level 3 assets as a percentage of total Firm assets at fair value(a) | 3.2 | % |
(a) | For purposes of the table above, the derivative receivables total reflects the impact of netting adjustments; however, the $4.6 billion of derivative receivables classified as level 3 does not reflect the netting adjustment as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral. |
ACCOUNTING AND REPORTING DEVELOPMENTS |
Financial Accounting Standards Board (“FASB”) Standards Issued but not yet Adopted | ||||
Standard | Summary of guidance | Effects on financial statements | ||
Revenue recognition – revenue from contracts with customers Issued May 2014 | • Requires that revenue from contracts with customers be recognized upon transfer of control of a good or service in the amount of consideration expected to be received. • Changes the accounting for certain contract costs, including whether they may be offset against revenue in the Consolidated statements of income, and requires additional disclosures about revenue and contract costs. • May be adopted using a full retrospective approach or a modified, cumulative effect approach wherein the guidance is applied only to existing contracts as of the date of initial application, and to new contracts transacted after that date. | • Required effective date: January 1, 2018.(a) • Because the guidance does not apply to revenue associated with financial instruments, including loans and securities that are accounted for under other U.S. GAAP, the Firm does not expect the new revenue recognition guidance to have a material impact on the elements of its Consolidated statements of income most closely associated with financial instruments, including securities gains, interest income and interest expense. • The Firm plans to adopt the revenue recognition guidance in the first quarter of 2018 using the modified retrospective method of adoption. The Firm’s implementation efforts include the identification of revenue within the scope of the guidance, as well as the evaluation of revenue contracts and related accounting policies. While the Firm has not yet identified any material changes in the timing of revenue recognition, the Firm’s review is ongoing, and it continues to evaluate the presentation of certain contract costs (whether presented gross or offset against noninterest revenue). The Firm plans to expand its qualitative disclosures within the noninterest revenue and noninterest expense note to the Consolidated Financial Statements. | ||
Recognition and measurement of financial assets and financial liabilities Issued January 2016 | • Requires that certain equity instruments be measured at fair value, with changes in fair value recognized in earnings. • Generally requires a cumulative-effect adjustment to retained earnings as of the beginning of the reporting period of adoption. | • Required effective date: January 1, 2018.(a) • The Firm early adopted the provisions of this guidance related to presenting DVA in OCI for financial liabilities where the fair value option has been elected, effective January 1, 2016. The Firm plans to adopt the portions of the guidance that were not eligible for early adoption in the first quarter of 2018. • The Firm is currently evaluating the additional impacts on the Consolidated Financial Statements. The Firm’s implementation efforts include the identification of securities within the scope of the guidance, the evaluation of the measurement alternative available for equity securities without a readily determinable fair value, and the related impact to accounting policies, presentation, and disclosures. | ||
Leases Issued February 2016 | • Requires lessees to recognize all leases longer than twelve months on the Consolidated balance sheets as lease liabilities with corresponding right-of-use assets. • Requires lessees and lessors to classify most leases using principles similar to existing lease accounting, but eliminates the “bright line” classification tests. • Expands qualitative and quantitative disclosures regarding leasing arrangements. • Requires adoption using a modified cumulative effect approach wherein the guidance is applied to all periods presented. | • Required effective date: January 1, 2019.(a) • The Firm is currently evaluating the potential impact on the Consolidated Financial Statements by reviewing its existing lease contracts and service contracts that may include embedded leases. The Firm expects to recognize lease liabilities and corresponding right-of-use assets (at their present value) related to predominantly all of the $10 billion of future minimum payments required under operating leases as disclosed in Note 30 of JPMorgan Chase’s 2016 Annual report. However, the population of contracts subject to balance sheet recognition and their initial measurement remains under evaluation. The Firm does not expect material changes to the recognition of operating lease expense in its Consolidated statements of income. • The Firm plans to adopt the new guidance in the first quarter of 2019. | ||
Financial instruments - credit losses Issued June 2016 | • Replaces existing incurred loss impairment guidance and establishes a single allowance framework for financial assets carried at amortized cost (including HTM securities), which will reflect management’s estimate of credit losses over the full remaining expected life of the financial assets. • Eliminates existing guidance for PCI loans, and requires recognition of an allowance for expected credit losses on financial assets purchased with more than insignificant credit deterioration since origination. • Amends existing impairment guidance for AFS securities to incorporate an allowance, which will allow for reversals of impairment losses in the event that the credit of an issuer improves. • Requires a cumulative-effect adjustment to retained earnings as of the beginning of the reporting period of adoption. | • Required effective date: January 1, 2020.(a) • The Firm has begun its implementation efforts by establishing a Firmwide, cross-discipline governance structure. The Firm is currently identifying key interpretive issues, and is assessing existing credit loss forecasting models and processes against the new guidance to determine what modifications may be required. The Firm is also evaluating the timing of adoption, as early adoption is permitted as of January 1, 2019. • The Firm expects that the new guidance will result in an increase in its allowance for credit losses due to several factors, including: 1. The allowance related to the Firm’s loans and commitments will increase to cover credit losses over the full remaining expected life of the portfolio, and will consider expected future changes in macroeconomic conditions 2. The nonaccretable difference on PCI loans will be recognized as an allowance, offset by an increase in the carrying value of the related loans3. An allowance will be established for estimated credit losses on HTM securities • The extent of the increase is under evaluation, but will depend upon the nature and characteristics of the Firm’s portfolio at the adoption date, and the macroeconomic conditions and forecasts at that date. |
FASB Standards Issued but not yet Adopted (continued) | ||||
Standard | Summary of guidance | Effects on financial statements | ||
Classification of certain cash receipts and cash payments in the statement of cash flows Issued August 2016 | • Provides targeted amendments to the classification of certain cash flows, including treatment of cash payments for settlement of zero-coupon debt instruments and distributions received from equity method investments. • Requires retrospective application to all periods presented. | • Required effective date: January 1, 2018. (a) • No material impact is expected because the Firm is either already in compliance with the new guidance or the balances to which it would be applied are immaterial. The Firm plans to adopt the new guidance in the first quarter of 2018. | ||
Treatment of restricted cash on the statement of cash flows Issued November 2016 | • Requires inclusion of restricted cash in the cash and cash equivalents balances in the Consolidated statements of cash flows. • Requires additional disclosures to supplement the Consolidated statements of cash flows. • Requires retrospective application to all periods presented. | • Required effective date: January 1, 2018. (a) • The guidance will have no impact on the Firm’s Consolidated statements of income or Consolidated balance sheets, but will result in reclassification of restricted cash balances and associated changes on the Consolidated statements of cash flows. • The Firm plans to adopt the new guidance in the first quarter of 2018. | ||
Definition of a business Issued January 2017 | • Narrows the definition of a business and clarifies that, to be considered a business, the fair value of the gross assets acquired (or disposed of) may not be substantially all concentrated in a single identifiable asset or a group of similar assets. • In addition, in order to be considered a business, a set of activities and assets must include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs. | • Required effective date: January 1, 2018.(a) • No material impact is expected because the guidance is to be applied prospectively, although it is anticipated that after adoption, fewer transactions will be treated as acquisitions or dispositions of a business. The Firm plans to adopt the new guidance in the first quarter of 2018. | ||
Goodwill Issued January 2017 | • Requires an impairment loss to be recognized when the estimated fair value of a reporting unit falls below its carrying value. • Eliminates the second condition in the current guidance that requires an impairment loss to be recognized only if the estimated implied fair value of the goodwill is below its carrying value. | • Required effective date: January 1, 2020.(a) • Based on current impairment test results, the Firm does not expect a material effect on the Consolidated Financial Statements. • After adoption, the guidance may result in more frequent goodwill impairment losses due to the removal of the second condition. • The Firm is evaluating the timing of adoption. | ||
Presentation of net periodic pension cost and net periodic postretirement benefit cost Issued March 2017 | • Requires the service cost component of net periodic pension and postretirement benefit cost to be reported separately in the consolidated results of operations from the other components (e.g., expected return on assets, interest costs, amortization of gains/losses and prior service costs). • Requires presentation in the consolidated results of operations of the service cost component in the same line item as other employee compensation costs and presentation of the other components in a different line item from the service cost component. | • Required effective date: January 1, 2018. (a) • The guidance will have no impact on the Firm’s net income, but based on recent trends, the Firm expects that the guidance will result in an increase in compensation expense and a reduction in other expense. The Firm plans to adopt the new guidance in the first quarter of 2018. | ||
Premium amortization on purchased callable debt securities Issued March 2017 | • Requires amortization of premiums to the earliest call date on debt securities with call features that are explicit, noncontingent and callable at fixed prices and on preset dates. • Does not impact securities held at a discount; the discount continues to be amortized to the contractual maturity. • Requires adoption on a modified retrospective basis through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. | • Required effective date: January 1, 2019.(a) • The Firm is currently evaluating the impact on the Consolidated Financial Statements as well as the timing of adoption. At adoption, the guidance is expected to result in a cumulative effect adjustment which will reduce retained earnings with a corresponding increase to AOCI for AFS securities. Post-adoption, it will result in reduced interest income prior to the call date on callable debt securities held at a premium because those premiums will be amortized over a shorter time period. • The Firm’s implementation efforts include identifying the population of debt securities subject to the new guidance (primarily obligations of U.S. states and municipalities) and quantifying the expected impact. |
(a) | Early adoption is permitted. |
FORWARD-LOOKING STATEMENTS |
• | Local, regional and global business, economic and political conditions and geopolitical events; |
• | Changes in laws and regulatory requirements, including capital and liquidity requirements affecting the Firm’s businesses, and the ability of the Firm to address those requirements; |
• | Heightened regulatory and governmental oversight and scrutiny of JPMorgan Chase’s business practices, including dealings with retail customers; |
• | Changes in trade, monetary and fiscal policies and laws; |
• | Changes in income tax laws and regulations; |
• | Securities and capital markets behavior, including changes in market liquidity and volatility; |
• | Changes in investor sentiment or consumer spending or savings behavior; |
• | Ability of the Firm to manage effectively its capital and liquidity, including approval of its capital plans by banking regulators; |
• | Changes in credit ratings assigned to the Firm or its subsidiaries; |
• | Damage to the Firm’s reputation; |
• | Ability of the Firm to deal effectively with an economic slowdown or other economic or market disruption; |
• | Technology changes instituted by the Firm, its counterparties or competitors; |
• | The success of the Firm’s business simplification initiatives and the effectiveness of its control agenda; |
• | Ability of the Firm to develop new products and services, and the extent to which products or services previously sold by the Firm (including but not limited to mortgages and asset-backed securities) require the Firm to incur liabilities or absorb losses not contemplated at their initiation or origination; |
• | Acceptance of the Firm’s new and existing products and services by the marketplace and the ability of the Firm to innovate and to increase market share; |
• | Ability of the Firm to attract and retain qualified employees; |
• | Ability of the Firm to control expense; |
• | Competitive pressures; |
• | Changes in the credit quality of the Firm’s customers and counterparties; |
• | Adequacy of the Firm’s risk management framework, disclosure controls and procedures and internal control over financial reporting; |
• | Adverse judicial or regulatory proceedings; |
• | Changes in applicable accounting policies, including the introduction of new accounting standards; |
• | Ability of the Firm to determine accurate values of certain assets and liabilities; |
• | Occurrence of natural or man-made disasters or calamities or conflicts and the Firm’s ability to deal effectively with disruptions caused by the foregoing; |
• | Ability of the Firm to maintain the security and integrity of its financial, accounting, technology, data processing and other operating systems and facilities; |
• | Ability of the Firm to effectively defend itself against cyberattacks and other attempts by unauthorized parties to access the Firm’s information or disrupt its systems; and |
• | The other risks and uncertainties detailed in Part I, |
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
(in millions, except per share data) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Revenue | ||||||||||||||||
Investment banking fees | $ | 1,810 | $ | 1,644 | $ | 3,627 | $ | 2,977 | ||||||||
Principal transactions | 3,137 | 2,976 | 6,719 | 5,655 | ||||||||||||
Lending- and deposit-related fees | 1,482 | 1,403 | 2,930 | 2,806 | ||||||||||||
Asset management, administration and commissions | 3,824 | 3,681 | 7,501 | 7,305 | ||||||||||||
Securities gains/(losses) | (34 | ) | 21 | (37 | ) | 72 | ||||||||||
Mortgage fees and related income | 404 | 689 | 810 | 1,356 | ||||||||||||
Card income | 1,167 | 1,358 | 2,081 | 2,659 | ||||||||||||
Other income | 1,472 | 1,261 | 2,242 | 2,062 | ||||||||||||
Noninterest revenue | 13,262 | 13,033 | 25,873 | 24,892 | ||||||||||||
Interest income | 15,650 | 13,813 | 30,692 | 27,365 | ||||||||||||
Interest expense | 3,442 | 2,466 | 6,420 | 4,638 | ||||||||||||
Net interest income | 12,208 | 11,347 | 24,272 | 22,727 | ||||||||||||
Total net revenue | 25,470 | 24,380 | 50,145 | 47,619 | ||||||||||||
Provision for credit losses | 1,215 | 1,402 | 2,530 | 3,226 | ||||||||||||
Noninterest expense | ||||||||||||||||
Compensation expense | 7,706 | 7,778 | 15,907 | 15,438 | ||||||||||||
Occupancy expense | 912 | 899 | 1,873 | 1,782 | ||||||||||||
Technology, communications and equipment expense | 1,870 | 1,665 | 3,698 | 3,283 | ||||||||||||
Professional and outside services | 1,644 | 1,700 | 3,187 | 3,248 | ||||||||||||
Marketing | 756 | 672 | 1,469 | 1,375 | ||||||||||||
Other expense | 1,618 | 924 | 3,391 | 2,349 | ||||||||||||
Total noninterest expense | 14,506 | 13,638 | 29,525 | 27,475 | ||||||||||||
Income before income tax expense | 9,749 | 9,340 | 18,090 | 16,918 | ||||||||||||
Income tax expense | 2,720 | 3,140 | 4,613 | 5,198 | ||||||||||||
Net income | $ | 7,029 | $ | 6,200 | $ | 13,477 | $ | 11,720 | ||||||||
Net income applicable to common stockholders(a) | $ | 6,555 | $ | 5,728 | $ | 12,531 | $ | 10,773 | ||||||||
Net income per common share data | ||||||||||||||||
Basic earnings per share | $ | 1.83 | $ | 1.56 | $ | 3.49 | $ | 2.92 | ||||||||
Diluted earnings per share | 1.82 | 1.55 | 3.47 | 2.89 | ||||||||||||
Weighted-average basic shares(a) | 3,574.1 | 3,675.5 | 3,587.9 | 3,693.0 | ||||||||||||
Weighted-average diluted shares(a) | 3,599.0 | 3,706.2 | 3,614.7 | 3,721.9 | ||||||||||||
Cash dividends declared per common share | $ | 0.50 | $ | 0.48 | $ | 1.00 | $ | 0.92 |
(a) | The prior period amounts have been revised to conform with the current period presentation. The revision had no impact on the Firm’s reported earnings per share. |
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Net income | $ | 7,029 | $ | 6,200 | $ | 13,477 | $ | 11,720 | ||||||||
Other comprehensive income/(loss), after–tax | ||||||||||||||||
Unrealized gains on investment securities | 457 | 867 | 695 | 1,292 | ||||||||||||
Translation adjustments, net of hedges | — | 3 | 7 | 1 | ||||||||||||
Cash flow hedges | 53 | (87 | ) | 144 | (157 | ) | ||||||||||
Defined benefit pension and OPEB plans | 19 | 56 | 4 | 81 | ||||||||||||
DVA on fair value option elected liabilities | 2 | (3 | ) | (67 | ) | 55 | ||||||||||
Total other comprehensive income, after–tax | 531 | 836 | 783 | 1,272 | ||||||||||||
Comprehensive income | $ | 7,560 | $ | 7,036 | $ | 14,260 | $ | 12,992 |
(in millions, except share data) | Jun 30, 2017 | Dec 31, 2016 | |||||
Assets | |||||||
Cash and due from banks | $ | 21,781 | $ | 23,873 | |||
Deposits with banks | 427,380 | 365,762 | |||||
Federal funds sold and securities purchased under resale agreements (included $18,026 and $21,506 at fair value) | 218,570 | 229,967 | |||||
Securities borrowed (included $1,590 and $0 at fair value) | 90,654 | 96,409 | |||||
Trading assets (included assets pledged of $136,213 and $115,847) | 407,064 | 372,130 | |||||
Securities (included $215,697 and $238,891 at fair value and assets pledged of $16,608 and $16,115) | 263,458 | 289,059 | |||||
Loans (included $1,979 and $2,230 at fair value) | 908,767 | 894,765 | |||||
Allowance for loan losses | (13,363 | ) | (13,776 | ) | |||
Loans, net of allowance for loan losses | 895,404 | 880,989 | |||||
Accrued interest and accounts receivable | 64,038 | 52,330 | |||||
Premises and equipment | 14,206 | 14,131 | |||||
Goodwill | 47,300 | 47,288 | |||||
Mortgage servicing rights | 5,753 | 6,096 | |||||
Other intangible assets | 827 | 862 | |||||
Other assets (included $7,412 and $7,557 at fair value and assets pledged of $1,493 and $1,603) | 106,739 | 112,076 | |||||
Total assets(a) | $ | 2,563,174 | $ | 2,490,972 | |||
Liabilities | |||||||
Deposits (included $17,754 and $13,912 at fair value) | $ | 1,439,473 | $ | 1,375,179 | |||
Federal funds purchased and securities loaned or sold under repurchase agreements (included $721 and $687 at fair value) | 165,621 | 165,666 | |||||
Commercial paper | 22,207 | 11,738 | |||||
Other borrowed funds (included $8,515 and $9,105 at fair value) | 30,936 | 22,705 | |||||
Trading liabilities | 133,423 | 136,659 | |||||
Accounts payable and other liabilities (included $11,543 and $9,120 at fair value) | 189,160 | 190,543 | |||||
Beneficial interests issued by consolidated VIEs (included $72 and $120 at fair value) | 30,898 | 39,047 | |||||
Long-term debt (included $43,484 and $37,686 at fair value) | 292,973 | 295,245 | |||||
Total liabilities(a) | 2,304,691 | 2,236,782 | |||||
Commitments and contingencies (see Notes 19, 20 and 21) | |||||||
Stockholders’ equity | |||||||
Preferred stock ($1 par value; authorized 200,000,000 shares; issued 2,606,750 shares) | 26,068 | 26,068 | |||||
Common stock ($1 par value; authorized 9,000,000,000 shares; issued 4,104,933,895 shares) | 4,105 | 4,105 | |||||
Additional paid-in capital | 90,604 | 91,627 | |||||
Retained earnings | 171,488 | 162,440 | |||||
Accumulated other comprehensive (loss) | (392 | ) | (1,175 | ) | |||
Shares held in restricted stock units (“RSU”) Trust, at cost (472,953 shares) | (21 | ) | (21 | ) | |||
Treasury stock, at cost (585,969,485 and 543,744,003 shares) | (33,369 | ) | (28,854 | ) | |||
Total stockholders’ equity | 258,483 | 254,190 | |||||
Total liabilities and stockholders’ equity | $ | 2,563,174 | $ | 2,490,972 |
(a) | The following table presents information on assets and liabilities related to VIEs that are consolidated by the Firm at June 30, 2017, and December 31, 2016. The difference between total VIE assets and liabilities represents the Firm’s interests in those entities, which are eliminated in consolidation. |
(in millions) | Jun 30, 2017 | Dec 31, 2016 | |||||
Assets | |||||||
Trading assets | $ | 2,688 | $ | 3,185 | |||
Loans | 71,012 | 75,614 | |||||
All other assets | 2,819 | 3,321 | |||||
Total assets | $ | 76,519 | $ | 82,120 | |||
Liabilities | |||||||
Beneficial interests issued by consolidated VIEs | $ | 30,898 | $ | 39,047 | |||
All other liabilities | 427 | 490 | |||||
Total liabilities | $ | 31,325 | $ | 39,537 |
Six months ended June 30, | ||||||||
(in millions, except per share data) | 2017 | 2016 | ||||||
Preferred stock | ||||||||
Balance at January 1 and June 30 | $ | 26,068 | $ | 26,068 | ||||
Common stock | ||||||||
Balance at January 1 and June 30 | 4,105 | 4,105 | ||||||
Additional paid-in capital | ||||||||
Balance at January 1 | 91,627 | 92,500 | ||||||
Shares issued and commitments to issue common stock for employee stock-based compensation awards, and related tax effects | (865 | ) | (539 | ) | ||||
Other | (158 | ) | 13 | |||||
Balance at June 30 | 90,604 | 91,974 | ||||||
Retained earnings | ||||||||
Balance at January 1 | 162,440 | 146,420 | ||||||
Cumulative effect of change in accounting principle | — | (154 | ) | |||||
Net income | 13,477 | 11,720 | ||||||
Dividends declared: | ||||||||
Preferred stock | (823 | ) | (823 | ) | ||||
Common stock ($1.00 and $0.92 per share) | (3,606 | ) | (3,414 | ) | ||||
Balance at June 30 | 171,488 | 153,749 | ||||||
Accumulated other comprehensive income | ||||||||
Balance at January 1 | (1,175 | ) | 192 | |||||
Cumulative effect of change in accounting principle | — | 154 | ||||||
Other comprehensive income/(loss) | 783 | 1,272 | ||||||
Balance at June 30 | (392 | ) | 1,618 | |||||
Shares held in RSU Trust, at cost | ||||||||
Balance at January 1 and June 30 | (21 | ) | (21 | ) | ||||
Treasury stock, at cost | ||||||||
Balance at January 1 | (28,854 | ) | (21,691 | ) | ||||
Purchase of treasury stock | (5,839 | ) | (4,536 | ) | ||||
Reissuance from treasury stock | 1,324 | 1,157 | ||||||
Balance at June 30 | (33,369 | ) | (25,070 | ) | ||||
Total stockholders’ equity | $ | 258,483 | $ | 252,423 |
Six months ended June 30, | |||||||
(in millions) | 2017 | 2016 | |||||
Net income | $ | 13,477 | $ | 11,720 | |||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||
Provision for credit losses | 2,530 | 3,226 | |||||
Depreciation and amortization | 2,968 | 2,625 | |||||
Deferred tax expense | (161 | ) | 577 | ||||
Other | 1,163 | 1,001 | |||||
Originations and purchases of loans held-for-sale | (58,119 | ) | (24,963 | ) | |||
Proceeds from sales, securitizations and paydowns of loans held-for-sale | 53,053 | 22,356 | |||||
Net change in: | |||||||
Trading assets | (22,914 | ) | (52,501 | ) | |||
Securities borrowed | 5,845 | (4,505 | ) | ||||
Accrued interest and accounts receivable | (11,940 | ) | (18,407 | ) | |||
Other assets | 11,366 | (10,764 | ) | ||||
Trading liabilities | (12,827 | ) | 42,738 | ||||
Accounts payable and other liabilities | (5,189 | ) | 3,714 | ||||
Other operating adjustments | 7,724 | 276 | |||||
Net cash used in operating activities | (13,024 | ) | (22,907 | ) | |||
Investing activities | |||||||
Net change in: | |||||||
Deposits with banks | (61,618 | ) | (5,580 | ) | |||
Federal funds sold and securities purchased under resale agreements | 11,364 | (24,624 | ) | ||||
Held-to-maturity securities: | |||||||
Proceeds from paydowns and maturities | 2,289 | 2,718 | |||||
Purchases | — | (134 | ) | ||||
Available-for-sale securities: | |||||||
Proceeds from paydowns and maturities | 29,481 | 33,070 | |||||
Proceeds from sales | 42,972 | 22,559 | |||||
Purchases | (45,613 | ) | (42,002 | ) | |||
Proceeds from sales and securitizations of loans held-for-investment | 7,762 | 5,599 | |||||
Other changes in loans, net | (24,266 | ) | (43,094 | ) | |||
All other investing activities, net | 550 | (576 | ) | ||||
Net cash used in investing activities | (37,079 | ) | (52,064 | ) | |||
Financing activities | |||||||
Net change in: | |||||||
Deposits | 53,122 | 68,209 | |||||
Federal funds purchased and securities loaned or sold under repurchase agreements | (43 | ) | 13,346 | ||||
Commercial paper and other borrowed funds | 18,222 | 311 | |||||
Beneficial interests issued by consolidated VIEs | (1,067 | ) | (2,668 | ) | |||
Proceeds from long-term borrowings | 35,530 | 36,064 | |||||
Payments of long-term borrowings | (47,743 | ) | (32,022 | ) | |||
Treasury stock purchased | (5,839 | ) | (4,536 | ) | |||
Dividends paid | (4,386 | ) | (4,120 | ) | |||
All other financing activities, net | 115 | (425 | ) | ||||
Net cash provided by financing activities | 47,911 | 74,159 | |||||
Effect of exchange rate changes on cash and due from banks | 100 | 32 | |||||
Net decrease in cash and due from banks | (2,092 | ) | (780 | ) | |||
Cash and due from banks at the beginning of the period | 23,873 | 20,490 | |||||
Cash and due from banks at the end of the period | $ | 21,781 | $ | 19,710 | |||
Cash interest paid | $ | 6,322 | $ | 4,283 | |||
Cash income taxes paid, net | 1,736 | 1,261 |
Assets and liabilities measured at fair value on a recurring basis | |||||||||||||||||
Fair value hierarchy | Derivative netting adjustments | ||||||||||||||||
June 30, 2017 (in millions) | Level 1 | Level 2 | Level 3 | Total fair value | |||||||||||||
Federal funds sold and securities purchased under resale agreements | $ | — | $ | 18,026 | $ | — | $ | — | $ | 18,026 | |||||||
Securities borrowed | — | 1,590 | — | — | 1,590 | ||||||||||||
Trading assets: | |||||||||||||||||
Debt instruments: | |||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||
U.S. government agencies(a) | 1 | 37,058 | 365 | — | 37,424 | ||||||||||||
Residential – nonagency | — | 1,530 | 98 | — | 1,628 | ||||||||||||
Commercial – nonagency | — | 1,388 | 65 | — | 1,453 | ||||||||||||
Total mortgage-backed securities | 1 | 39,976 | 528 | — | 40,505 | ||||||||||||
U.S. Treasury and government agencies(a) | 33,996 | 5,041 | — | — | 39,037 | ||||||||||||
Obligations of U.S. states and municipalities | — | 8,136 | 681 | — | 8,817 | ||||||||||||
Certificates of deposit, bankers’ acceptances and commercial paper | — | 1,699 | — | — | 1,699 | ||||||||||||
Non-U.S. government debt securities | 31,827 | 31,689 | 37 | — | 63,553 | ||||||||||||
Corporate debt securities | — | 27,068 | 461 | — | 27,529 | ||||||||||||
Loans(b) | — | 31,697 | 4,488 | — | 36,185 | ||||||||||||
Asset-backed securities | — | 2,739 | 83 | — | 2,822 | ||||||||||||
Total debt instruments | 65,824 | 148,045 | 6,278 | — | 220,147 | ||||||||||||
Equity securities | 113,460 | 251 | 284 | — | 113,995 | ||||||||||||
Physical commodities(c) | 3,326 | 1,262 | — | — | 4,588 | ||||||||||||
Other | — | 11,045 | 731 | — | 11,776 | ||||||||||||
Total debt and equity instruments(d) | 182,610 | 160,603 | 7,293 | — | 350,506 | ||||||||||||
Derivative receivables: | |||||||||||||||||
Interest rate | 463 | 521,260 | 1,713 | (496,524 | ) | 26,912 | |||||||||||
Credit | — | 24,610 | 1,289 | (24,885 | ) | 1,014 | |||||||||||
Foreign exchange | 841 | 173,433 | 522 | (158,134 | ) | 16,662 | |||||||||||
Equity | — | 36,584 | 963 | (31,274 | ) | 6,273 | |||||||||||
Commodity | — | 14,015 | 119 | (8,489 | ) | 5,645 | |||||||||||
Total derivative receivables(e) | 1,304 | 769,902 | 4,606 | (719,306 | ) | 56,506 | |||||||||||
Total trading assets(f) | 183,914 | 930,505 | 11,899 | (719,306 | ) | 407,012 | |||||||||||
Available-for-sale securities: | |||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||
U.S. government agencies(a) | 4 | 67,913 | — | — | 67,917 | ||||||||||||
Residential – nonagency | — | 13,877 | 1 | — | 13,878 | ||||||||||||
Commercial – nonagency | — | 6,667 | — | — | 6,667 | ||||||||||||
Total mortgage-backed securities | 4 | 88,457 | 1 | — | 88,462 | ||||||||||||
U.S. Treasury and government agencies(a) | 28,158 | — | — | — | 28,158 | ||||||||||||
Obligations of U.S. states and municipalities | — | 32,539 | — | — | 32,539 | ||||||||||||
Certificates of deposit | — | 57 | — | — | 57 | ||||||||||||
Non-U.S. government debt securities | 19,291 | 11,280 | — | — | 30,571 | ||||||||||||
Corporate debt securities | — | 4,132 | — | — | 4,132 | ||||||||||||
Asset-backed securities: | |||||||||||||||||
Collateralized loan obligations | — | 23,780 | 547 | — | 24,327 | ||||||||||||
Other | — | 6,526 | — | — | 6,526 | ||||||||||||
Equity securities | 925 | — | — | — | 925 | ||||||||||||
Total available-for-sale securities | 48,378 | 166,771 | 548 | — | 215,697 | ||||||||||||
Loans | — | 1,674 | 305 | — | 1,979 | ||||||||||||
Mortgage servicing rights | — | — | 5,753 | — | 5,753 | ||||||||||||
Other assets(f) | 4,721 | — | 1,934 | — | 6,655 | ||||||||||||
Total assets measured at fair value on a recurring basis | $ | 237,013 | $ | 1,118,566 | $ | 20,439 | $ | (719,306 | ) | $ | 656,712 | ||||||
Deposits | $ | — | $ | 15,623 | $ | 2,131 | $ | — | $ | 17,754 | |||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | — | 721 | — | — | 721 | ||||||||||||
Other borrowed funds | — | 7,201 | 1,314 | — | 8,515 | ||||||||||||
Trading liabilities: | |||||||||||||||||
Debt and equity instruments(d) | 68,035 | 23,557 | 36 | — | 91,628 | ||||||||||||
Derivative payables: | |||||||||||||||||
Interest rate | 341 | 484,248 | 1,001 | (477,384 | ) | 8,206 | |||||||||||
Credit | — | 24,789 | 1,334 | (24,498 | ) | 1,625 | |||||||||||
Foreign exchange | 933 | 175,931 | 1,208 | (164,051 | ) | 14,021 | |||||||||||
Equity | — | 39,670 | 3,407 | (33,721 | ) | 9,356 | |||||||||||
Commodity | — | 17,145 | 177 | (8,735 | ) | 8,587 | |||||||||||
Total derivative payables(e) | 1,274 | 741,783 | 7,127 | (708,389 | ) | 41,795 | |||||||||||
Total trading liabilities | 69,309 | 765,340 | 7,163 | (708,389 | ) | 133,423 | |||||||||||
Accounts payable and other liabilities | 11,533 | — | 10 | — | 11,543 | ||||||||||||
Beneficial interests issued by consolidated VIEs | — | 71 | 1 | — | 72 | ||||||||||||
Long-term debt | — | 26,824 | 16,660 | — | 43,484 | ||||||||||||
Total liabilities measured at fair value on a recurring basis | $ | 80,842 | $ | 815,780 | $ | 27,279 | $ | (708,389 | ) | $ | 215,512 |
Fair value hierarchy | Derivative netting adjustments | |||||||||||||||||
December 31, 2016 (in millions) | Level 1 | Level 2 | Level 3 | Total fair value | ||||||||||||||
Federal funds sold and securities purchased under resale agreements | $ | — | $ | 21,506 | $ | — | $ | — | $ | 21,506 | ||||||||
Securities borrowed | — | — | — | — | — | |||||||||||||
Trading assets: | ||||||||||||||||||
Debt instruments: | ||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||
U.S. government agencies(a) | 13 | 40,586 | 392 | — | 40,991 | |||||||||||||
Residential – nonagency | — | 1,552 | 83 | — | 1,635 | |||||||||||||
Commercial – nonagency | — | 1,321 | 17 | — | 1,338 | |||||||||||||
Total mortgage-backed securities | 13 | 43,459 | 492 | — | 43,964 | |||||||||||||
U.S. Treasury and government agencies(a) | 19,554 | 5,201 | — | — | 24,755 | |||||||||||||
Obligations of U.S. states and municipalities | — | 8,403 | 649 | — | 9,052 | |||||||||||||
Certificates of deposit, bankers’ acceptances and commercial paper | — | 1,649 | — | — | 1,649 | |||||||||||||
Non-U.S. government debt securities | 28,443 | 23,076 | 46 | — | 51,565 | |||||||||||||
Corporate debt securities | — | 22,751 | 576 | — | 23,327 | |||||||||||||
Loans(b) | — | 28,965 | 4,837 | — | 33,802 | |||||||||||||
Asset-backed securities | — | 5,250 | 302 | — | 5,552 | |||||||||||||
Total debt instruments | 48,010 | 138,754 | 6,902 | — | 193,666 | |||||||||||||
Equity securities | 96,759 | 281 | 231 | — | 97,271 | |||||||||||||
Physical commodities(c) | 5,341 | 1,620 | — | — | 6,961 | |||||||||||||
Other | — | 9,341 | 761 | — | 10,102 | |||||||||||||
Total debt and equity instruments(d) | 150,110 | 149,996 | 7,894 | — | 308,000 | |||||||||||||
Derivative receivables: | ||||||||||||||||||
Interest rate | 715 | 602,747 | 2,501 | (577,661 | ) | 28,302 | ||||||||||||
Credit | — | 28,256 | 1,389 | (28,351 | ) | 1,294 | ||||||||||||
Foreign exchange | 812 | 231,743 | 870 | (210,154 | ) | 23,271 | ||||||||||||
Equity | — | 34,032 | 908 | (30,001 | ) | 4,939 | ||||||||||||
Commodity | 158 | 18,360 | 125 | (12,371 | ) | 6,272 | ||||||||||||
Total derivative receivables(e) | 1,685 | 915,138 | 5,793 | (858,538 | ) | 64,078 | ||||||||||||
Total trading assets(f) | 151,795 | 1,065,134 | 13,687 | (858,538 | ) | 372,078 | ||||||||||||
Available-for-sale securities: | ||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||
U.S. government agencies(a) | — | 64,005 | — | — | 64,005 | |||||||||||||
Residential – nonagency | — | 14,442 | 1 | — | 14,443 | |||||||||||||
Commercial – nonagency | — | 9,104 | — | — | 9,104 | |||||||||||||
Total mortgage-backed securities | — | 87,551 | 1 | — | 87,552 | |||||||||||||
U.S. Treasury and government agencies(a) | 44,072 | 29 | — | — | 44,101 | |||||||||||||
Obligations of U.S. states and municipalities | — | 31,592 | — | — | 31,592 | |||||||||||||
Certificates of deposit | — | 106 | — | — | 106 | |||||||||||||
Non-U.S. government debt securities | 22,793 | 12,495 | — | — | 35,288 | |||||||||||||
Corporate debt securities | — | 4,958 | — | — | 4,958 | |||||||||||||
Asset-backed securities: | ||||||||||||||||||
Collateralized loan obligations | — | 26,738 | 663 | — | 27,401 | |||||||||||||
Other | — | 6,967 | — | — | 6,967 | |||||||||||||
Equity securities | 926 | — | — | — | 926 | |||||||||||||
Total available-for-sale securities | 67,791 | 170,436 | 664 | — | 238,891 | |||||||||||||
Loans | — | 1,660 | 570 | — | 2,230 | |||||||||||||
Mortgage servicing rights | — | — | 6,096 | — | 6,096 | |||||||||||||
Other assets(f) | 4,357 | — | 2,223 | — | 6,580 | |||||||||||||
Total assets measured at fair value on a recurring basis | $ | 223,943 | $ | 1,258,736 | $ | 23,240 | $ | (858,538 | ) | $ | 647,381 | |||||||
Deposits | $ | — | $ | 11,795 | $ | 2,117 | $ | — | $ | 13,912 | ||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | — | 687 | — | — | 687 | |||||||||||||
Other borrowed funds | — | 7,971 | 1,134 | — | 9,105 | |||||||||||||
Trading liabilities: | ||||||||||||||||||
Debt and equity instruments(d) | 68,304 | 19,081 | 43 | — | 87,428 | |||||||||||||
Derivative payables: | ||||||||||||||||||
Interest rate | 539 | 569,001 | 1,238 | (559,963 | ) | 10,815 | ||||||||||||
Credit | — | 27,375 | 1,291 | (27,255 | ) | 1,411 | ||||||||||||
Foreign exchange | 902 | 231,815 | 2,254 | (214,463 | ) | 20,508 | ||||||||||||
Equity | — | 35,202 | 3,160 | (30,222 | ) | 8,140 | ||||||||||||
Commodity | 173 | 20,079 | 210 | (12,105 | ) | 8,357 | ||||||||||||
Total derivative payables(e) | 1,614 | 883,472 | 8,153 | (844,008 | ) | 49,231 | ||||||||||||
Total trading liabilities | 69,918 | 902,553 | 8,196 | (844,008 | ) | 136,659 | ||||||||||||
Accounts payable and other liabilities | 9,107 | — | 13 | — | 9,120 | |||||||||||||
Beneficial interests issued by consolidated VIEs | — | 72 | 48 | — | 120 | |||||||||||||
Long-term debt | — | 23,792 | 13,894 | — | 37,686 | |||||||||||||
Total liabilities measured at fair value on a recurring basis | $ | 79,025 | $ | 946,870 | $ | 25,402 | $ | (844,008 | ) | $ | 207,289 |
(a) | At June 30, 2017, and December 31, 2016, included total U.S. government-sponsored enterprise obligations of $84.8 billion and $80.6 billion, respectively, which were predominantly mortgage-related. |
(b) | At June 30, 2017, and December 31, 2016, included within trading loans were $15.6 billion and $16.5 billion, respectively, of residential first-lien mortgages, and $3.1 billion and $3.3 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $9.5 billion and $11.0 billion, respectively, and reverse mortgages of $2.0 billion for both periods. |
(c) | Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, net realizable value approximates fair value for the Firm’s physical commodities inventories. When fair value hedging has been applied (or when net realizable value is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. For a further discussion of the Firm’s hedge accounting relationships, see Note 4. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented. |
(d) | Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions). |
(e) | As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral. |
(f) | Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At June 30, 2017, and December 31, 2016, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $809 million and $1.0 billion, respectively. Included in these balances at June 30, 2017, and December 31, 2016, were trading assets of $52 million for both periods, and other assets of $757 million and $977 million, respectively. |
Level 3 inputs(a) | |||||||||||||||||
June 30, 2017 (in millions, except for ratios and basis points) | |||||||||||||||||
Product/Instrument | Fair value | Principal valuation technique | Unobservable inputs(g) | Range of input values | Weighted average | ||||||||||||
Residential mortgage-backed securities and loans(b) | $ | 2,641 | Discounted cash flows | Yield | 5% | – | 18% | 5% | |||||||||
Prepayment speed | 0% | – | 26% | 8% | |||||||||||||
Conditional default rate | 0% | – | 7% | 2% | |||||||||||||
Loss severity | 0% | – | 100% | 6% | |||||||||||||
Commercial mortgage-backed securities and loans(c) | 956 | Market comparables | Price | $ | 0 | – | $ | 114 | $ | 94 | |||||||
Obligations of U.S. states and municipalities | 681 | Market comparables | Price | $ | 58 | – | $ | 100 | $ | 97 | |||||||
Corporate debt securities | 461 | Market comparables | Price | $ | 0 | – | $ | 108 | $ | 87 | |||||||
Loans(d) | 1,725 | Market comparables | Price | $ | 5 | – | $ | 103 | $ | 84 | |||||||
Asset-backed securities | 547 | Discounted cash flows | Credit spread | 246bps | – | 461 bps | 260 bps | ||||||||||
Prepayment speed | 20% | 20% | |||||||||||||||
Conditional default rate | 2% | 2% | |||||||||||||||
Loss severity | 30% | 30% | |||||||||||||||
83 | Market comparables | Price | $ | 0 | – | $ | 169 | $ | 85 | ||||||||
Net interest rate derivatives | 648 | Option pricing | Interest rate spread volatility | 3% | – | 38% | |||||||||||
Interest rate correlation | (50)% | – | 97% | ||||||||||||||
IR-FX correlation | 60% | – | 70% | ||||||||||||||
64 | Discounted cash flows | Prepayment speed | 4% | – | 15% | ||||||||||||
Net credit derivatives | (45 | ) | Discounted cash flows | Credit correlation | 35% | – | 85% | ||||||||||
Credit spread | 6bps | – | 1,557bps | ||||||||||||||
Recovery rate | 20% | – | 65% | ||||||||||||||
Yield | 5% | – | 8% | ||||||||||||||
Prepayment speed | 2% | – | 14% | ||||||||||||||
Conditional default rate | 2% | – | 100% | ||||||||||||||
Loss severity | 39% | – | 100% | ||||||||||||||
Net foreign exchange derivatives | (490 | ) | Option pricing | IR-FX correlation | (50)% | – | 70% | ||||||||||
(196 | ) | Discounted cash flows | Prepayment speed | 7% | |||||||||||||
Net equity derivatives | (2,444 | ) | Option pricing | Equity volatility | 15% | – | 55% | ||||||||||
Equity correlation | (5)% | – | 90% | ||||||||||||||
Equity-FX correlation | (55)% | – | 25% | ||||||||||||||
Equity-IR correlation | 20% | – | 35% | ||||||||||||||
Net commodity derivatives | (58 | ) | Option pricing | Forward commodity price | $ | 41 | – | $ 54 per barrel | |||||||||
Commodity volatility | 22% | – | 50% | ||||||||||||||
Commodity correlation | 15% | – | 97% | ||||||||||||||
MSRs | 5,753 | Discounted cash flows | Refer to Note 14 | ||||||||||||||
Other assets | 1,124 | Discounted cash flows | Credit spread | 40bps | – | 90bps | 65bps | ||||||||||
Yield | 8% | – | 40% | 32% | |||||||||||||
1,541 | Market comparables | EBITDA multiple | 6.6x | – | 10.3x | 7.6x | |||||||||||
Long-term debt, other borrowed funds, and deposits(e) | 20,105 | Option pricing | Interest rate spread volatility | 3% | – | 38% | |||||||||||
Interest rate correlation | (50)% | – | 97% | ||||||||||||||
IR-FX correlation | (50)% | – | 70% | ||||||||||||||
Equity correlation | (5)% | – | 90% | ||||||||||||||
Equity-FX correlation | (55)% | – | 25% | ||||||||||||||
Equity-IR correlation | 20% | – | 35% | ||||||||||||||
Other level 3 assets and liabilities, net(f) | 274 |
(a) | The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ. |
(b) | Includes U.S. government agency securities of $348 million, nonagency securities of $99 million and trading loans of $2.2 billion. |
(c) | Includes U.S. government agency securities of $17 million, nonagency securities of $65 million, trading loans of $570 million and non-trading loans of $304 million. |
(d) | Includes trading loans of $1.7 billion and non-trading loans of $1 million. |
(e) | Long-term debt, other borrowed funds and deposits include structured notes issued by the Firm that are predominantly financial instruments containing embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables. |
(f) | Includes level 3 assets and liabilities that are insignificant both individually and in aggregate. |
(g) | Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100. |
Fair value measurements using significant unobservable inputs | |||||||||||||||||||||||||||||||||||
Three months ended June 30, 2017 (in millions) | Fair value at April 1, 2017 | Total realized/unrealized gains/(losses) | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at June 30, 2017 | Change in unrealized gains/(losses) related to financial instruments held at June 30, 2017 | |||||||||||||||||||||||||||||
Purchases(f) | Sales | Settlements(g) | |||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Trading assets: | |||||||||||||||||||||||||||||||||||
Debt instruments: | |||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||
U.S. government agencies | $ | 353 | $ | (11 | ) | $ | 82 | $ | (54 | ) | $ | (19 | ) | $ | 20 | $ | (6 | ) | $ | 365 | $ | (14 | ) | ||||||||||||
Residential – nonagency | 35 | (1 | ) | 31 | (3 | ) | (5 | ) | 46 | (5 | ) | 98 | (4 | ) | |||||||||||||||||||||
Commercial – nonagency | 45 | (1 | ) | 10 | (6 | ) | (2 | ) | 30 | (11 | ) | 65 | (1 | ) | |||||||||||||||||||||
Total mortgage-backed securities | 433 | (13 | ) | 123 | (63 | ) | (26 | ) | 96 | (22 | ) | 528 | (19 | ) | |||||||||||||||||||||
Obligations of U.S. states and municipalities | 668 | 4 | 9 | — | — | — | — | 681 | 3 | ||||||||||||||||||||||||||
Non-U.S. government debt securities | 47 | 3 | 102 | (95 | ) | — | 1 | (21 | ) | 37 | 2 | ||||||||||||||||||||||||
Corporate debt securities | 738 | 2 | 74 | (38 | ) | (254 | ) | 27 | (88 | ) | 461 | 1 | |||||||||||||||||||||||
Loans | 4,588 | 68 | 729 | (323 | ) | (390 | ) | 122 | (306 | ) | 4,488 | 83 | |||||||||||||||||||||||
Asset-backed securities | 245 | 8 | 11 | (30 | ) | (25 | ) | 6 | (132 | ) | 83 | 6 | |||||||||||||||||||||||
Total debt instruments | 6,719 | 72 | 1,048 | (549 | ) | (695 | ) | 252 | (569 | ) | 6,278 | 76 | |||||||||||||||||||||||
Equity securities | 271 | 21 | 57 | (41 | ) | — | 1 | (25 | ) | 284 | 10 | ||||||||||||||||||||||||
Other | 763 | 43 | 3 | (7 | ) | (65 | ) | 2 | (8 | ) | 731 | 31 | |||||||||||||||||||||||
Total trading assets – debt and equity instruments | 7,753 | 136 | (c) | 1,108 | (597 | ) | (760 | ) | 255 | (602 | ) | 7,293 | 117 | (c) | |||||||||||||||||||||
Net derivative receivables:(a) | |||||||||||||||||||||||||||||||||||
Interest rate | 1,009 | 37 | 21 | (30 | ) | (348 | ) | 30 | (7 | ) | 712 | (90 | ) | ||||||||||||||||||||||
Credit | 17 | (48 | ) | 1 | (1 | ) | (20 | ) | 6 | — | (45 | ) | (37 | ) | |||||||||||||||||||||
Foreign exchange | (1,490 | ) | 95 | 3 | (2 | ) | 656 | 12 | 40 | (686 | ) | 101 | |||||||||||||||||||||||
Equity | (1,896 | ) | (35 | ) | 149 | (83 | ) | (504 | ) | (108 | ) | 33 | (2,444 | ) | (38 | ) | |||||||||||||||||||
Commodity | (56 | ) | (22 | ) | — | — | 23 | (2 | ) | (1 | ) | (58 | ) | (32 | ) | ||||||||||||||||||||
Total net derivative receivables | (2,416 | ) | 27 | (c) | 174 | (116 | ) | (193 | ) | (62 | ) | 65 | (2,521 | ) | (96 | ) | (c) | ||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||||||||||||||||||
Asset-backed securities | 622 | 2 | — | — | (77 | ) | — | — | 547 | 2 | |||||||||||||||||||||||||
Other | 1 | — | — | — | — | — | — | 1 | — | ||||||||||||||||||||||||||
Total available-for-sale securities | 623 | 2 | (d) | — | — | (77 | ) | — | — | 548 | 2 | (d) | |||||||||||||||||||||||
Loans | 404 | 18 | (c) | — | — | (117 | ) | — | — | 305 | 13 | (c) | |||||||||||||||||||||||
Mortgage servicing rights | 6,079 | (200 | ) | (e) | 154 | (67 | ) | (213 | ) | — | — | 5,753 | (200 | ) | (e) | ||||||||||||||||||||
Other assets | 2,077 | 193 | (c) | 28 | (78 | ) | (286 | ) | — | — | 1,934 | 120 | (c) | ||||||||||||||||||||||
Fair value measurements using significant unobservable inputs | |||||||||||||||||||||||||||||||||||
Three months ended June 30, 2017 (in millions) | Fair value at April 1, 2017 | Total realized/unrealized (gains)/losses | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at June 30, 2017 | Change in unrealized (gains)/losses related to financial instruments held at June 30, 2017 | |||||||||||||||||||||||||||||
Purchases | Sales | Issuances | Settlements(g) | ||||||||||||||||||||||||||||||||
Liabilities:(b) | |||||||||||||||||||||||||||||||||||
Deposits | $ | 2,133 | $ | 30 | (c) | $ | — | $ | — | $ | 292 | $ | (31 | ) | $ | — | $ | (293 | ) | $ | 2,131 | $ | 27 | (c) | |||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Other borrowed funds | 1,261 | 46 | (c) | — | — | 683 | (657 | ) | 23 | (42 | ) | 1,314 | 53 | (c) | |||||||||||||||||||||
Trading liabilities – debt and equity instruments | 45 | (1 | ) | (c) | (7 | ) | 2 | — | — | 1 | (4 | ) | 36 | — | |||||||||||||||||||||
Accounts payable and other liabilities | 11 | — | (1 | ) | — | — | — | — | — | 10 | — | ||||||||||||||||||||||||
Beneficial interests issued by consolidated VIEs | 51 | — | (44 | ) | — | — | (6 | ) | — | — | 1 | — | |||||||||||||||||||||||
Long-term debt | 15,895 | 207 | (c) | — | — | 2,931 | (2,274 | ) | 53 | (152 | ) | 16,660 | 152 | (c) |
Fair value measurements using significant unobservable inputs | ||||||||||||||||||||||||||||||||||
Three months ended June 30, 2016 (in millions) | Fair value at April 1, 2016 | Total realized/unrealized gains/(losses) | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at June 30, 2016 | Change in unrealized gains/(losses) related to financial instruments held at June 30, 2016 | ||||||||||||||||||||||||||||
Purchases(f) | Sales | Settlements(g) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | $ | 4 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (4 | ) | $ | — | $ | — | |||||||||||||||
Trading assets: | ||||||||||||||||||||||||||||||||||
Debt instruments: | ||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||||
U.S. government agencies | 650 | (24 | ) | 1 | (50 | ) | (28 | ) | 6 | (82 | ) | 473 | (27 | ) | ||||||||||||||||||||
Residential – nonagency | 186 | (1 | ) | 143 | (148 | ) | (6 | ) | 30 | (4 | ) | 200 | (1 | ) | ||||||||||||||||||||
Commercial – nonagency | 195 | (1 | ) | 15 | (23 | ) | — | 8 | (164 | ) | 30 | (2 | ) | |||||||||||||||||||||
Total mortgage-backed securities | 1,031 | (26 | ) | 159 | (221 | ) | (34 | ) | 44 | (250 | ) | 703 | (30 | ) | ||||||||||||||||||||
Obligations of U.S. states and municipalities | 620 | 4 | — | (41 | ) | (32 | ) | — | — | 551 | 4 | |||||||||||||||||||||||
Non-U.S. government debt securities | 40 | (8 | ) | 25 | (19 | ) | — | — | (1 | ) | 37 | (5 | ) | |||||||||||||||||||||
Corporate debt securities | 654 | (54 | ) | 80 | (89 | ) | (68 | ) | 16 | (23 | ) | 516 | (50 | ) | ||||||||||||||||||||
Loans | 6,776 | (217 | ) | 421 | (733 | ) | (338 | ) | 240 | (133 | ) | 6,016 | (234 | ) | ||||||||||||||||||||
Asset-backed securities | 1,190 | 16 | 255 | (334 | ) | (42 | ) | 37 | (163 | ) | 959 | 4 | ||||||||||||||||||||||
Total debt instruments | 10,311 | (285 | ) | 940 | (1,437 | ) | (514 | ) | 337 | (570 | ) | 8,782 | (311 | ) | ||||||||||||||||||||
Equity securities | 279 | (9 | ) | 2 | (24 | ) | (3 | ) | 1 | — | 246 | (6 | ) | |||||||||||||||||||||
Other | 723 | (37 | ) | 169 | (144 | ) | (29 | ) | 3 | (15 | ) | 670 | (36 | ) | ||||||||||||||||||||
Total trading assets – debt and equity instruments | 11,313 | (331 | ) | (c) | 1,111 | (1,605 | ) | (546 | ) | 341 | (585 | ) | 9,698 | (353 | ) | (c) | ||||||||||||||||||
Net derivative receivables:(a) | ||||||||||||||||||||||||||||||||||
Interest rate | 846 | 334 | 62 | (12 | ) | (180 | ) | (1 | ) | 58 | 1,107 | 190 | ||||||||||||||||||||||
Credit | 402 | (202 | ) | — | (1 | ) | 48 | 37 | (5 | ) | 279 | (76 | ) | |||||||||||||||||||||
Foreign exchange | (1,032 | ) | 53 | 58 | (103 | ) | (158 | ) | (43 | ) | 20 | (1,205 | ) | 75 | ||||||||||||||||||||
Equity | (2,055 | ) | (12 | ) | 72 | (215 | ) | (5 | ) | 252 | 71 | (1,892 | ) | 9 | ||||||||||||||||||||
Commodity | (952 | ) | 235 | — | 18 | (29 | ) | 3 | 6 | (719 | ) | 291 | ||||||||||||||||||||||
Total net derivative receivables | (2,791 | ) | 408 | (c) | 192 | (313 | ) | (324 | ) | 248 | 150 | (2,430 | ) | 489 | (c) | |||||||||||||||||||
Available-for-sale securities: | ||||||||||||||||||||||||||||||||||
Asset-backed securities | 809 | 7 | — | — | (7 | ) | — | — | 809 | 7 | ||||||||||||||||||||||||
Other | 1 | — | — | — | — | — | — | 1 | — | |||||||||||||||||||||||||
Total available-for-sale securities | 810 | 7 | (d) | — | — | (7 | ) | — | — | 810 | 7 | (d) | ||||||||||||||||||||||
Loans | 1,009 | (36 | ) | (c) | 184 | — | (372 | ) | — | — | 785 | (16 | ) | (c) | ||||||||||||||||||||
Mortgage servicing rights | 5,658 | (457 | ) | (e) | 113 | (3 | ) | (239 | ) | — | — | 5,072 | (457 | ) | (e) | |||||||||||||||||||
Other assets | 2,351 | 114 | (c) | 457 | (422 | ) | (131 | ) | — | — | 2,369 | 53 | (c) | |||||||||||||||||||||
Fair value measurements using significant unobservable inputs | ||||||||||||||||||||||||||||||||||
Three months ended June 30, 2016 (in millions) | Fair value at April 1, 2016 | Total realized/unrealized (gains)/losses | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at June 30, 2016 | Change in unrealized (gains)/losses related to financial instruments held at June 30, 2016 | ||||||||||||||||||||||||||||
Purchases | Sales | Issuances | Settlements(g) | |||||||||||||||||||||||||||||||
Liabilities:(b) | ||||||||||||||||||||||||||||||||||
Deposits | $ | 2,419 | $ | 33 | (c) | $ | — | $ | — | $ | 317 | $ | (168 | ) | $ | — | $ | (192 | ) | $ | 2,409 | $ | 40 | (c) | ||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | 6 | — | — | — | — | (2 | ) | — | (4 | ) | — | — | ||||||||||||||||||||||
Other borrowed funds | 568 | (31 | ) | (c) | — | — | 515 | (170 | ) | 42 | (17 | ) | 907 | (12 | ) | (c) | ||||||||||||||||||
Trading liabilities – debt and equity instruments | 52 | (3 | ) | (c) | — | 17 | — | (12 | ) | 3 | — | 57 | (1 | ) | (c) | |||||||||||||||||||
Accounts payable and other liabilities | 16 | — | — | — | — | (1 | ) | — | — | 15 | — | |||||||||||||||||||||||
Beneficial interests issued by consolidated VIEs | 649 | (30 | ) | (c) | — | — | — | (35 | ) | — | — | 584 | (30 | ) | (c) | |||||||||||||||||||
Long-term debt | 12,587 | (47 | ) | (c) | — | — | 2,714 | (1,498 | ) | 168 | (777 | ) | 13,147 | 186 | (c) |
Fair value measurements using significant unobservable inputs | |||||||||||||||||||||||||||||||||||
Six months ended June 30, 2017 (in millions) | Fair value at January 1, 2017 | Total realized/unrealized gains/(losses) | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at June 30, 2017 | Change in unrealized gains/(losses) related to financial instruments held at June 30, 2017 | |||||||||||||||||||||||||||||
Purchases(f) | Sales | Settlements(g) | |||||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Trading assets: | |||||||||||||||||||||||||||||||||||
Debt instruments: | |||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||
U.S. government agencies | $ | 392 | $ | (7 | ) | $ | 161 | $ | (151 | ) | $ | (35 | ) | $ | 27 | $ | (22 | ) | $ | 365 | $ | (16 | ) | ||||||||||||
Residential – nonagency | 83 | 8 | 36 | (20 | ) | (9 | ) | 61 | (61 | ) | 98 | 1 | |||||||||||||||||||||||
Commercial – nonagency | 17 | 2 | 17 | (14 | ) | (5 | ) | 60 | (12 | ) | 65 | (1 | ) | ||||||||||||||||||||||
Total mortgage-backed securities | 492 | 3 | 214 | (185 | ) | (49 | ) | 148 | (95 | ) | 528 | (16 | ) | ||||||||||||||||||||||
Obligations of U.S. states and municipalities | 649 | 12 | 95 | (70 | ) | (5 | ) | — | — | 681 | 11 | ||||||||||||||||||||||||
Non-U.S. government debt securities | 46 | 3 | 174 | (178 | ) | — | 27 | (35 | ) | 37 | 3 | ||||||||||||||||||||||||
Corporate debt securities | 576 | (7 | ) | 497 | (146 | ) | (376 | ) | 60 | (143 | ) | 461 | 1 | ||||||||||||||||||||||
Loans | 4,837 | 178 | 1,491 | (1,067 | ) | (765 | ) | 318 | (504 | ) | 4,488 | 98 | |||||||||||||||||||||||
Asset-backed securities | 302 | 22 | 109 | (168 | ) | (36 | ) | 14 | (160 | ) | 83 | 7 | |||||||||||||||||||||||
Total debt instruments | 6,902 | 211 | 2,580 | (1,814 | ) | (1,231 | ) | 567 | (937 | ) | 6,278 | 104 | |||||||||||||||||||||||
Equity securities | 231 | 34 | 113 | (47 | ) | — | 2 | (49 | ) | 284 | 20 | ||||||||||||||||||||||||
Other | 761 | 65 | 22 | (7 | ) | (112 | ) | 10 | (8 | ) | 731 | 49 | |||||||||||||||||||||||
Total trading assets – debt and equity instruments | 7,894 | 310 | (c) | 2,715 | (1,868 | ) | (1,343 | ) | 579 | (994 | ) | 7,293 | 173 | (c) | |||||||||||||||||||||
Net derivative receivables:(a) | |||||||||||||||||||||||||||||||||||
Interest rate | 1,263 | 81 | 37 | (53 | ) | (651 | ) | 34 | 1 | 712 | (151 | ) | |||||||||||||||||||||||
Credit | 98 | (94 | ) | 1 | (3 | ) | (62 | ) | 17 | (2 | ) | (45 | ) | (50 | ) | ||||||||||||||||||||
Foreign exchange | (1,384 | ) | 70 | 4 | (4 | ) | 565 | 23 | 40 | (686 | ) | 60 | |||||||||||||||||||||||
Equity | (2,252 | ) | 34 | 485 | (128 | ) | (528 | ) | (181 | ) | 126 | (2,444 | ) | (37 | ) | ||||||||||||||||||||
Commodity | (85 | ) | (4 | ) | — | — | 25 | 4 | 2 | (58 | ) | 30 | |||||||||||||||||||||||
Total net derivative receivables | (2,360 | ) | 87 | (c) | 527 | (188 | ) | (651 | ) | (103 | ) | 167 | (2,521 | ) | (148 | ) | (c) | ||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||||||||||||||||||
Asset-backed securities | 663 | 12 | — | (50 | ) | (78 | ) | — | — | 547 | 10 | ||||||||||||||||||||||||
Other | 1 | — | — | — | — | — | — | 1 | — | ||||||||||||||||||||||||||
Total available-for-sale securities | 664 | 12 | (d) | — | (50 | ) | (78 | ) | — | — | 548 | 10 | (d) | ||||||||||||||||||||||
Loans | 570 | 24 | (c) | — | — | (289 | ) | — | — | 305 | 16 | (c) | |||||||||||||||||||||||
Mortgage servicing rights | 6,096 | (157 | ) | (e) | 371 | (138 | ) | (419 | ) | — | — | 5,753 | (157 | ) | (e) | ||||||||||||||||||||
Other assets | 2,223 | 230 | (c) | 32 | (155 | ) | (396 | ) | — | — | 1,934 | 132 | (c) | ||||||||||||||||||||||
Fair value measurements using significant unobservable inputs | |||||||||||||||||||||||||||||||||||
Six months ended June 30, 2017 (in millions) | Fair value at January 1, 2017 | Total realized/unrealized (gains)/losses | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at June 30, 2017 | Change in unrealized (gains)/losses related to financial instruments held at June 30, 2017 | |||||||||||||||||||||||||||||
Purchases | Sales | Issuances | Settlements(g) | ||||||||||||||||||||||||||||||||
Liabilities:(b) | |||||||||||||||||||||||||||||||||||
Deposits | $ | 2,117 | $ | 6 | (c) | $ | — | $ | — | $ | 601 | $ | (111 | ) | $ | — | $ | (482 | ) | $ | 2,131 | $ | 45 | (c) | |||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||
Other borrowed funds | 1,134 | 47 | (c) | — | — | 1,390 | (1,242 | ) | 40 | (55 | ) | 1,314 | 49 | (c) | |||||||||||||||||||||
Trading liabilities – debt and equity instruments | 43 | (1 | ) | (c) | (8 | ) | 4 | — | 1 | 3 | (6 | ) | 36 | — | |||||||||||||||||||||
Accounts payable and other liabilities | 13 | — | (1 | ) | — | — | (2 | ) | — | — | 10 | — | |||||||||||||||||||||||
Beneficial interests issued by consolidated VIEs | 48 | 3 | (c) | (44 | ) | — | — | (6 | ) | — | — | 1 | — | ||||||||||||||||||||||
Long-term debt | 13,894 | 633 | (c) | — | — | 7,583 | (5,085 | ) | 88 | (453 | ) | 16,660 | 432 | (c) |
Fair value measurements using significant unobservable inputs | ||||||||||||||||||||||||||||||||||
Six months ended June 30, 2016 (in millions) | Fair value at January 1, 2016 | Total realized/unrealized gains/(losses) | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at June 30, 2016 | Change in unrealized gains/(losses) related to financial instruments held at June 30, 2016 | ||||||||||||||||||||||||||||
Purchases(f) | Sales | Settlements(g) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 4 | $ | (4 | ) | $ | — | $ | — | |||||||||||||||
Trading assets: | ||||||||||||||||||||||||||||||||||
Debt instruments: | ||||||||||||||||||||||||||||||||||
Mortgage-backed securities: | ||||||||||||||||||||||||||||||||||
U.S. government agencies | 715 | (74 | ) | 129 | (208 | ) | (58 | ) | 87 | (118 | ) | 473 | (78 | ) | ||||||||||||||||||||
Residential – nonagency | 194 | (1 | ) | 177 | (184 | ) | (11 | ) | 44 | (19 | ) | 200 | (6 | ) | ||||||||||||||||||||
Commercial – nonagency | 115 | (6 | ) | 65 | (28 | ) | — | 135 | (251 | ) | 30 | (2 | ) | |||||||||||||||||||||
Total mortgage-backed securities | 1,024 | (81 | ) | 371 | (420 | ) | (69 | ) | 266 | (388 | ) | 703 | (86 | ) | ||||||||||||||||||||
Obligations of U.S. states and municipalities | 651 | 9 | 36 | (107 | ) | (38 | ) | — | — | 551 | 9 | |||||||||||||||||||||||
Non-U.S. government debt securities | 74 | 2 | 29 | (51 | ) | — | — | (17 | ) | 37 | (14 | ) | ||||||||||||||||||||||
Corporate debt securities | 736 | (32 | ) | 159 | (144 | ) | (125 | ) | 55 | (133 | ) | 516 | (1 | ) | ||||||||||||||||||||
Loans | 6,604 | (188 | ) | 865 | (1,144 | ) | (642 | ) | 763 | (242 | ) | 6,016 | (195 | ) | ||||||||||||||||||||
Asset-backed securities | 1,832 | 17 | 432 | (470 | ) | (917 | ) | 241 | (176 | ) | 959 | 3 | ||||||||||||||||||||||
Total debt instruments | 10,921 | (273 | ) | 1,892 | (2,336 | ) | (1,791 | ) | 1,325 | (956 | ) | 8,782 | (284 | ) | ||||||||||||||||||||
Equity securities | 265 | (3 | ) | 33 | (33 | ) | (22 | ) | 7 | (1 | ) | 246 | 17 | |||||||||||||||||||||
Other | 744 | (46 | ) | 353 | (287 | ) | (35 | ) | 25 | (84 | ) | 670 | (12 | ) | ||||||||||||||||||||
Total trading assets – debt and equity instruments | 11,930 | (322 | ) | (c) | 2,278 | (2,656 | ) | (1,848 | ) | 1,357 | (1,041 | ) | 9,698 | (279 | ) | (c) | ||||||||||||||||||
Net derivative receivables:(a) | ||||||||||||||||||||||||||||||||||
Interest rate | 876 | 540 | 106 | (20 | ) | (442 | ) | 5 | 42 | 1,107 | 153 | |||||||||||||||||||||||
Credit | 549 | (448 | ) | — | (2 | ) | 117 | 48 | 15 | 279 | (402 | ) | ||||||||||||||||||||||
Foreign exchange | (725 | ) | (194 | ) | 58 | (118 | ) | (200 | ) | (45 | ) | 19 | (1,205 | ) | (72 | ) | ||||||||||||||||||
Equity | (1,514 | ) | (364 | ) | 142 | (322 | ) | 73 | 38 | 55 | (1,892 | ) | (3 | ) | ||||||||||||||||||||
Commodity | (935 | ) | 227 | — | 18 | (40 | ) | 3 | 8 | (719 | ) | 230 | ||||||||||||||||||||||
Total net derivative receivables | (1,749 | ) | (239 | ) | (c) | 306 | (444 | ) | (492 | ) | 49 | 139 | (2,430 | ) | (94 | ) | (c) | |||||||||||||||||
Available-for-sale securities: | ||||||||||||||||||||||||||||||||||
Asset-backed securities | 823 | (1 | ) | — | — | (13 | ) | — | — | 809 | (14 | ) | ||||||||||||||||||||||
Other | 1 | — | — | — | — | — | — | 1 | — | |||||||||||||||||||||||||
Total available-for-sale securities | 824 | (1 | ) | (d) | — | — | (13 | ) | — | — | 810 | (14 | ) | (d) | ||||||||||||||||||||
Loans | 1,518 | (14 | ) | (c) | 184 | — | (590 | ) | — | (313 | ) | 785 | (16 | ) | (c) | |||||||||||||||||||
Mortgage servicing rights | 6,608 | (1,209 | ) | (e) | 220 | (67 | ) | (480 | ) | — | — | 5,072 | (1,209 | ) | (e) | |||||||||||||||||||
Other assets | 2,401 | 146 | (c) | 471 | (438 | ) | (211 | ) | — | — | 2,369 | (22 | ) | (c) | ||||||||||||||||||||
Fair value measurements using significant unobservable inputs | ||||||||||||||||||||||||||||||||||
Six months ended June 30, 2016 (in millions) | Fair value at January 1, 2016 | Total realized/unrealized (gains)/losses | Transfers into level 3(h) | Transfers (out of) level 3(h) | Fair value at June 30, 2016 | Change in unrealized (gains)/losses related to financial instruments held at June 30, 2016 | ||||||||||||||||||||||||||||
Purchases | Sales | Issuances | Settlements(g) | |||||||||||||||||||||||||||||||
Liabilities:(b) | ||||||||||||||||||||||||||||||||||
Deposits | $ | 2,950 | $ | 75 | (c) | $ | — | $ | — | $ | 483 | $ | (677 | ) | $ | — | $ | (422 | ) | $ | 2,409 | $ | 318 | (c) | ||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | — | — | — | — | — | (2 | ) | 6 | (4 | ) | — | — | ||||||||||||||||||||||
Other borrowed funds | 639 | (156 | ) | (c) | — | — | 772 | (369 | ) | 50 | (29 | ) | 907 | 4 | (c) | |||||||||||||||||||
Trading liabilities – debt and equity instruments | 63 | (7 | ) | (c) | — | 18 | — | (15 | ) | 3 | (5 | ) | 57 | — | ||||||||||||||||||||
Accounts payable and other liabilities | 19 | — | — | — | — | (4 | ) | — | — | 15 | — | |||||||||||||||||||||||
Beneficial interests issued by consolidated VIEs | 549 | (22 | ) | (c) | — | — | 143 | (86 | ) | — | — | 584 | (35 | ) | (c) | |||||||||||||||||||
Long-term debt | 11,613 | 392 | (c) | — | — | 4,875 | (2,895 | ) | 259 | (1,097 | ) | 13,147 | 1,154 | (c) |
(a) | All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty. |
(b) | Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 13% and 12% at June 30, 2017 and December 31, 2016, respectively. |
(c) | Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans and lending-related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income. |
(d) | Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment (“OTTI”) losses that are recorded in earnings, are reported in securities gains. Unrealized gains/(losses) are reported in OCI. Realized gains/(losses) and foreign exchange hedge accounting adjustments recorded in income on AFS securities were zero for the three and six months ended June 30, 2017 and 2016, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $2 million and $7 million for the three months ended June 30, 2017 and 2016, respectively and $12 million and $(2) million for the six months ended June 30, 2017 and 2016, respectively. |
(e) | Changes in fair value for CCB MSRs are reported in mortgage fees and related income. |
(f) | Loan originations are included in purchases. |
(g) | Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidation associated with beneficial interests in VIEs and other items. |
(h) | All transfers into and/or out of level 3 are based on changes in the observability of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur. |
• | $1.8 billion decrease in trading assets driven by lower levels of interest rate and foreign exchange derivative receivables, largely due to settlements and transfers from level 3 to level 2 as a result of increased observability of certain valuation inputs. |
• | $176 million of net gains on assets and $282 million of net losses on liabilities, none of which were individually significant. |
• | $295 million of net losses on assets and $78 million of net gains on liabilities, none of which were individually significant. |
• | $506 million of net gains on assets and $688 million of net losses on liabilities, none of which were individually significant. |
• | $1.6 billion of net losses on assets largely driven by $1.2 billion loss on MSRs. For further details see Note 14. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Credit and funding adjustments: | |||||||||||||||
Derivatives CVA | $ | 249 | $ | (168 | ) | $ | 470 | $ | (756 | ) | |||||
Derivatives DVA and FVA | (60 | ) | 43 | (67 | ) | (123 | ) |
Fair value hierarchy | Total fair value | |||||||||||||
June 30, 2017 (in millions) | Level 1 | Level 2 | Level 3 | |||||||||||
Loans | $ | — | $ | 292 | $ | 430 | (a) | $ | 722 | |||||
Other assets | — | 10 | 245 | 255 | ||||||||||
Total assets measured at fair value on a nonrecurring basis | — | 302 | 675 | (a) | 977 | |||||||||
Accounts payable and other liabilities | — | 1 | 2 | 3 | ||||||||||
Total liabilities measured at fair value on a nonrecurring basis | $ | — | $ | 1 | $ | 2 | $ | 3 |
Fair value hierarchy | Total fair value | |||||||||||||
June 30, 2016 (in millions) | Level 1 | Level 2 | Level 3 | |||||||||||
Loans | $ | — | $ | 280 | $ | 366 | $ | 646 | ||||||
Other assets | — | 11 | 93 | 104 | ||||||||||
Total assets measured at fair value on a nonrecurring basis | — | 291 | 459 | 750 | ||||||||||
Accounts payable and other liabilities | — | 2 | 7 | 9 | ||||||||||
Total liabilities measured at fair value on a nonrecurring basis | $ | — | $ | 2 | $ | 7 | $ | 9 |
(a) | Of the $675 million in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2017, $146 million related to residential real estate loans carried at the net realizable value of the underlying collateral (i.e., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 as they are valued using a broker’s price opinion and discounted based upon the Firm’s experience with actual liquidation values. These discounts to the broker price opinions ranged from 20% to 48% with a weighted average of 29%. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Loans | $ | (60 | ) | $ | (53 | ) | $ | (109 | ) | $ | (103 | ) | |||
Other Assets | (17 | ) | (18 | ) | (44 | ) | (22 | ) | |||||||
Accounts payable and other liabilities | (1 | ) | (5 | ) | (1 | ) | (5 | ) | |||||||
Total nonrecurring fair value gains/(losses) | $ | (78 | ) | $ | (76 | ) | $ | (154 | ) | $ | (130 | ) |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||||||||
Estimated fair value hierarchy | Estimated fair value hierarchy | ||||||||||||||||||||||||||||||
(in billions) | Carrying value | Level 1 | Level 2 | Level 3 | Total estimated fair value | Carrying value | Level 1 | Level 2 | Level 3 | Total estimated fair value | |||||||||||||||||||||
Financial assets | |||||||||||||||||||||||||||||||
Cash and due from banks | $ | 21.8 | $ | 21.8 | $ | — | $ | — | $ | 21.8 | $ | 23.9 | $ | 23.9 | $ | — | $ | — | $ | 23.9 | |||||||||||
Deposits with banks | 427.4 | 426.0 | 1.4 | — | 427.4 | 365.8 | 362.0 | 3.8 | — | 365.8 | |||||||||||||||||||||
Accrued interest and accounts receivable | 64.0 | — | 62.7 | 0.2 | 62.9 | 52.3 | — | 52.2 | 0.1 | 52.3 | |||||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | 200.5 | — | 200.5 | — | 200.5 | 208.5 | — | 208.3 | 0.2 | 208.5 | |||||||||||||||||||||
Securities borrowed | 89.1 | — | 89.1 | — | 89.1 | 96.4 | — | 96.4 | — | 96.4 | |||||||||||||||||||||
Securities, held-to-maturity | 47.8 | — | 48.8 | — | 48.8 | 50.2 | — | 50.9 | — | 50.9 | |||||||||||||||||||||
Loans, net of allowance for loan losses(a) | 893.4 | — | 30.8 | 862.1 | 892.9 | 878.8 | — | 24.1 | 851.0 | 875.1 | |||||||||||||||||||||
Other | 64.7 | — | 54.6 | 14.8 | 69.4 | 71.4 | 0.1 | 60.8 | 14.3 | 75.2 | |||||||||||||||||||||
Financial liabilities | |||||||||||||||||||||||||||||||
Deposits | $ | 1,421.7 | $ | — | $ | 1,421.8 | $ | — | $ | 1,421.8 | $ | 1,361.3 | $ | — | $ | 1,361.3 | $ | — | $ | 1,361.3 | |||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | 164.9 | — | 164.9 | — | 164.9 | 165.0 | — | 165.0 | — | 165.0 | |||||||||||||||||||||
Commercial paper | 22.2 | — | 22.2 | — | 22.2 | 11.7 | — | 11.7 | — | 11.7 | |||||||||||||||||||||
Other borrowed funds | 22.4 | — | 22.4 | — | 22.4 | 13.6 | — | 13.6 | — | 13.6 | |||||||||||||||||||||
Accounts payable and other liabilities | 150.5 | — | 146.9 | 3.0 | 149.9 | 148.0 | — | 144.8 | 3.4 | 148.2 | |||||||||||||||||||||
Beneficial interests issued by consolidated VIEs | 30.8 | — | 30.8 | — | 30.8 | 38.9 | — | 38.9 | — | 38.9 | |||||||||||||||||||||
Long-term debt and junior subordinated deferrable interest debentures | 249.5 | — | 252.5 | 2.5 | 255.0 | 257.5 | — | 260.0 | 2.0 | 262.0 |
(a) | Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of the Firm’s methodologies for estimating the fair value of loans and lending-related commitments, see Valuation hierarchy on pages 150–153 of JPMorgan Chase’s 2016 Annual Report. |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||||||||
Estimated fair value hierarchy | Estimated fair value hierarchy | ||||||||||||||||||||||||||||||
(in billions) | Carrying value(a) | Level 1 | Level 2 | Level 3 | Total estimated fair value | Carrying value(a) | Level 1 | Level 2 | Level 3 | Total estimated fair value | |||||||||||||||||||||
Wholesale lending-related commitments | $ | 1.1 | $ | — | $ | — | $ | 1.6 | $ | 1.6 | $ | 1.1 | $ | — | $ | — | $ | 2.1 | $ | 2.1 |
(a) | Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees. |
Three months ended June 30, | ||||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||||
(in millions) | Principal transactions | All other income | Total changes in fair value recorded | Principal transactions | All other income | Total changes in fair value recorded | ||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | $ | (12 | ) | $ | — | $ | (12 | ) | $ | — | $ | — | $ | — | ||||||||||
Securities borrowed | 13 | — | 13 | 3 | — | 3 | ||||||||||||||||||
Trading assets: | ||||||||||||||||||||||||
Debt and equity instruments, excluding loans | 334 | 2 | (c) | 336 | (141 | ) | 1 | (c) | (140 | ) | ||||||||||||||
Loans reported as trading assets: | ||||||||||||||||||||||||
Changes in instrument-specific credit risk | 69 | 9 | (c) | 78 | 34 | 16 | (c) | 50 | ||||||||||||||||
Other changes in fair value | 43 | 229 | (c) | 272 | 70 | 206 | (c) | 276 | ||||||||||||||||
Loans: | ||||||||||||||||||||||||
Changes in instrument-specific credit risk | — | — | — | — | — | — | ||||||||||||||||||
Other changes in fair value | 1 | 3 | 4 | (3 | ) | — | (3 | ) | ||||||||||||||||
Other assets | 3 | (16 | ) | (d) | (13 | ) | 2 | 102 | (d) | 104 | ||||||||||||||
Deposits(a) | (86 | ) | — | (86 | ) | (226 | ) | — | (226 | ) | ||||||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | (3 | ) | — | (3 | ) | (3 | ) | — | (3 | ) | ||||||||||||||
Other borrowed funds(a) | 43 | — | 43 | (529 | ) | — | (529 | ) | ||||||||||||||||
Trading liabilities | — | — | — | (2 | ) | — | (2 | ) | ||||||||||||||||
Beneficial interests issued by consolidated VIEs | — | — | — | 16 | — | 16 | ||||||||||||||||||
Long-term debt(a)(b) | (170 | ) | — | (170 | ) | (600 | ) | — | (600 | ) |
Six months ended June 30, | ||||||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||||
(in millions) | Principal transactions | All other income | Total changes in fair value recorded | Principal transactions | All other income | Total changes in fair value recorded | ||||||||||||||||||
Federal funds sold and securities purchased under resale agreements | $ | (33 | ) | $ | — | $ | (33 | ) | $ | 68 | $ | — | $ | 68 | ||||||||||
Securities borrowed | 90 | — | 90 | 1 | — | 1 | ||||||||||||||||||
Trading assets: | ||||||||||||||||||||||||
Debt and equity instruments, excluding loans | 695 | 2 | (c) | 697 | (113 | ) | — | (113 | ) | |||||||||||||||
Loans reported as trading assets: | ||||||||||||||||||||||||
Changes in instrument-specific credit risk | 243 | 15 | (c) | 258 | 98 | 14 | (c) | 112 | ||||||||||||||||
Other changes in fair value | 77 | 352 | (c) | 429 | 186 | 523 | (c) | 709 | ||||||||||||||||
Loans: | ||||||||||||||||||||||||
Changes in instrument-specific credit risk | (1 | ) | — | (1 | ) | 13 | — | 13 | ||||||||||||||||
Other changes in fair value | 1 | 3 | 4 | 4 | — | 4 | ||||||||||||||||||
Other assets | 7 | (22 | ) | (d) | (15 | ) | 14 | 82 | (d) | 96 | ||||||||||||||
Deposits(a) | (245 | ) | — | (245 | ) | (569 | ) | — | (569 | ) | ||||||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | 2 | — | 2 | (20 | ) | — | (20 | ) | ||||||||||||||||
Other borrowed funds(a) | (431 | ) | — | (431 | ) | (1 | ) | — | (1 | ) | ||||||||||||||
Trading liabilities | (1 | ) | — | (1 | ) | 2 | — | 2 | ||||||||||||||||
Beneficial interests issued by consolidated VIEs | — | — | — | 23 | — | 23 | ||||||||||||||||||
Long-term debt(a)(b) | (923 | ) | — | (923 | ) | (918 | ) | — | (918 | ) |
(a) | Unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected is recorded in OCI, while realized gains/(losses) are recorded in principal transactions revenue. Realized gains/(losses) due to instrument-specific credit risk recorded in principal transaction revenue were not material for the three and six months ended June 30, 2017 and 2016, respectively. |
(b) | Long-term debt measured at fair value predominantly relates to structured notes. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk. |
(c) | Reported in mortgage fees and related income. |
(d) | Reported in other income. |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||
(in millions) | Contractual principal outstanding | Fair value | Fair value over/(under) contractual principal outstanding | Contractual principal outstanding | Fair value | Fair value over/(under) contractual principal outstanding | |||||||||||||||
Loans(a) | |||||||||||||||||||||
Nonaccrual loans | |||||||||||||||||||||
Loans reported as trading assets | $ | 3,933 | $ | 1,193 | $ | (2,740 | ) | $ | 3,338 | $ | 748 | $ | (2,590 | ) | |||||||
Loans | 39 | — | (39 | ) | — | — | — | ||||||||||||||
Subtotal | 3,972 | 1,193 | (2,779 | ) | 3,338 | 748 | (2,590 | ) | |||||||||||||
All other performing loans | |||||||||||||||||||||
Loans reported as trading assets | 36,505 | 34,992 | (1,513 | ) | 35,477 | 33,054 | (2,423 | ) | |||||||||||||
Loans | 1,995 | 1,978 | (17 | ) | 2,259 | 2,228 | (31 | ) | |||||||||||||
Total loans | $ | 42,472 | $ | 38,163 | $ | (4,309 | ) | $ | 41,074 | $ | 36,030 | $ | (5,044 | ) | |||||||
Long-term debt | |||||||||||||||||||||
Principal-protected debt | $ | 25,339 | (c) | $ | 22,502 | $ | (2,837 | ) | $ | 21,602 | (c) | $ | 19,195 | $ | (2,407 | ) | |||||
Nonprincipal-protected debt(b) | NA | 20,982 | NA | NA | 18,491 | NA | |||||||||||||||
Total long-term debt | NA | $ | 43,484 | NA | NA | $ | 37,686 | NA | |||||||||||||
Long-term beneficial interests | |||||||||||||||||||||
Nonprincipal-protected debt | NA | $ | 72 | NA | NA | $ | 120 | NA | |||||||||||||
Total long-term beneficial interests | NA | $ | 72 | NA | NA | $ | 120 | NA |
(a) | There were no performing loans that were ninety days or more past due as of June 30, 2017, and December 31, 2016, respectively. |
(b) | Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected structured notes, for which the Firm is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected structured notes do not obligate the Firm to return a stated amount of principal at maturity, but to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal protected notes. |
(c) | Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date. |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||
(in millions) | Long-term debt | Other borrowed funds | Deposits | Total | Long-term debt | Other borrowed funds | Deposits | Total | |||||||||||||||||
Risk exposure | |||||||||||||||||||||||||
Interest rate | $ | 20,170 | $ | 107 | $ | 5,875 | $ | 26,152 | $ | 16,296 | $ | 184 | $ | 4,296 | $ | 20,776 | |||||||||
Credit | 3,546 | 80 | — | 3,626 | 3,267 | 225 | — | 3,492 | |||||||||||||||||
Foreign exchange | 2,491 | 172 | 6 | 2,669 | 2,365 | 135 | 6 | 2,506 | |||||||||||||||||
Equity | 16,351 | 7,488 | 5,995 | 29,834 | 14,831 | 8,234 | 5,481 | 28,546 | |||||||||||||||||
Commodity | 425 | 27 | 3,544 | 3,996 | 488 | 37 | 1,811 | 2,336 | |||||||||||||||||
Total structured notes | $ | 42,983 | $ | 7,874 | $ | 15,420 | $ | 66,277 | $ | 37,247 | $ | 8,815 | $ | 11,594 | $ | 57,656 |
Type of Derivative | Use of Derivative | Designation and disclosure | Affected segment or unit | 10-Q page reference |
Manage specifically identified risk exposures in qualifying hedge accounting relationships: | ||||
◦ Interest rate | Hedge fixed rate assets and liabilities | Fair value hedge | Corporate | 110 |
◦ Interest rate | Hedge floating-rate assets and liabilities | Cash flow hedge | Corporate | 111 |
◦ Foreign exchange | Hedge foreign currency-denominated assets and liabilities | Fair value hedge | Corporate | 110 |
◦ Foreign exchange | Hedge forecasted revenue and expense | Cash flow hedge | Corporate | 111 |
◦ Foreign exchange | Hedge the value of the Firm’s investments in non-U.S. dollar functional currency entities | Net investment hedge | Corporate | 112 |
◦ Commodity | Hedge commodity inventory | Fair value hedge | CIB | 110 |
Manage specifically identified risk exposures not designated in qualifying hedge accounting relationships: | ||||
◦ Interest rate | Manage the risk of the mortgage pipeline, warehouse loans and MSRs | Specified risk management | CCB | 112 |
◦ Credit | Manage the credit risk of wholesale lending exposures | Specified risk management | CIB | 112 |
◦ Commodity | Manage the risk of certain commodities-related contracts and investments | Specified risk management | CIB | 112 |
◦ Interest rate and foreign exchange | Manage the risk of certain other specified assets and liabilities | Specified risk management | Corporate | 112 |
Market-making derivatives and other activities: | ||||
◦ Various | Market-making and related risk management | Market-making and other | CIB | 112 |
◦ Various | Other derivatives | Market-making and other | CIB, Corporate | 112 |
Notional amounts(b) | ||||||
(in billions) | June 30, 2017 | December 31, 2016 | ||||
Interest rate contracts | ||||||
Swaps | $ | 22,112 | $ | 22,000 | ||
Futures and forwards | 5,805 | 5,289 | ||||
Written options | 3,610 | 3,091 | ||||
Purchased options | 4,038 | 3,482 | ||||
Total interest rate contracts | 35,565 | 33,862 | ||||
Credit derivatives(a) | 1,819 | 2,032 | ||||
Foreign exchange contracts | ||||||
Cross-currency swaps | 3,829 | 3,359 | ||||
Spot, futures and forwards | 6,374 | 5,341 | ||||
Written options | 824 | 734 | ||||
Purchased options | 820 | 721 | ||||
Total foreign exchange contracts | 11,847 | 10,155 | ||||
Equity contracts | ||||||
Swaps | 301 | 258 | ||||
Futures and forwards | 89 | 59 | ||||
Written options | 543 | 417 | ||||
Purchased options | 468 | 345 | ||||
Total equity contracts | 1,401 | 1,079 | ||||
Commodity contracts | ||||||
Swaps | 105 | 102 | ||||
Spot, futures and forwards | 145 | 130 | ||||
Written options | 82 | 83 | ||||
Purchased options | 87 | 94 | ||||
Total commodity contracts | 419 | 409 | ||||
Total derivative notional amounts | $ | 51,051 | $ | 47,537 |
(a) | For more information on volumes and types of credit derivative contracts, see the Credit derivatives discussion on page 113. |
(b) | Represents the sum of gross long and gross short third-party notional derivative contracts. |
Free-standing derivative receivables and payables(a) | |||||||||||||||||||||||||||||
Gross derivative receivables | Gross derivative payables | ||||||||||||||||||||||||||||
June 30, 2017 (in millions) | Not designated as hedges | Designated as hedges | Total derivative receivables | Net derivative receivables(b) | Not designated as hedges | Designated as hedges | Total derivative payables | Net derivative payables(b) | |||||||||||||||||||||
Trading assets and liabilities | |||||||||||||||||||||||||||||
Interest rate | $ | 519,565 | $ | 3,872 | $ | 523,437 | $ | 26,912 | $ | 483,494 | $ | 2,096 | $ | 485,590 | $ | 8,206 | |||||||||||||
Credit | 25,898 | — | 25,898 | 1,014 | 26,123 | — | 26,123 | 1,625 | |||||||||||||||||||||
Foreign exchange | 174,034 | 763 | 174,797 | 16,662 | 176,681 | 1,391 | 178,072 | 14,021 | |||||||||||||||||||||
Equity | 37,546 | — | 37,546 | 6,273 | 43,077 | — | 43,077 | 9,356 | |||||||||||||||||||||
Commodity | 14,114 | 20 | 14,134 | 5,645 | 17,208 | 114 | 17,322 | 8,587 | |||||||||||||||||||||
Total fair value of trading assets and liabilities | $ | 771,157 | $ | 4,655 | $ | 775,812 | $ | 56,506 | $ | 746,583 | $ | 3,601 | $ | 750,184 | $ | 41,795 | |||||||||||||
Gross derivative receivables | Gross derivative payables | ||||||||||||||||||||||||||||
December 31, 2016 (in millions) | Not designated as hedges | Designated as hedges | Total derivative receivables | Net derivative receivables(b) | Not designated as hedges | Designated as hedges | Total derivative payables | Net derivative payables(b) | |||||||||||||||||||||
Trading assets and liabilities | |||||||||||||||||||||||||||||
Interest rate | $ | 601,557 | $ | 4,406 | $ | 605,963 | $ | 28,302 | $ | 567,894 | $ | 2,884 | $ | 570,778 | $ | 10,815 | |||||||||||||
Credit | 29,645 | — | 29,645 | 1,294 | 28,666 | — | 28,666 | 1,411 | |||||||||||||||||||||
Foreign exchange | 232,137 | 1,289 | 233,426 | 23,271 | 233,823 | 1,148 | 234,971 | 20,508 | |||||||||||||||||||||
Equity | 34,940 | — | 34,940 | 4,939 | 38,362 | — | 38,362 | 8,140 | |||||||||||||||||||||
Commodity | 18,505 | 137 | 18,642 | 6,272 | 20,283 | 179 | 20,462 | 8,357 | |||||||||||||||||||||
Total fair value of trading assets and liabilities | $ | 916,784 | $ | 5,832 | $ | 922,616 | $ | 64,078 | $ | 889,028 | $ | 4,211 | $ | 893,239 | $ | 49,231 |
(a) | Balances exclude structured notes for which the fair value option has been elected. See Note 3 for further information. |
(b) | As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral receivables and payables when a legally enforceable master netting agreement exists. |
• | collateral that consists of non-cash financial instruments (generally U.S. government and agency securities and other G7 government bonds) and cash collateral held at third party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount. |
• | the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as of the date presented, which is excluded from the tables below; and |
• | collateral held or transferred that relates to derivative receivables or payables where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement, which is excluded from the tables below. |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||||
(in millions) | Gross derivative receivables | Amounts netted on the Consolidated balance sheets | Net derivative receivables | Gross derivative receivables | Amounts netted on the Consolidated balance sheets | Net derivative receivables | |||||||||||||||||
U.S. GAAP nettable derivative receivables | |||||||||||||||||||||||
Interest rate contracts: | |||||||||||||||||||||||
Over-the-counter (“OTC”) | $ | 320,828 | $ | (299,119 | ) | $ | 21,709 | $ | 365,227 | $ | (342,173 | ) | $ | 23,054 | |||||||||
OTC–cleared | 197,359 | (197,297 | ) | 62 | 235,399 | (235,261 | ) | 138 | |||||||||||||||
Exchange-traded(a) | 167 | (108 | ) | 59 | 241 | (227 | ) | 14 | |||||||||||||||
Total interest rate contracts | 518,354 | (496,524 | ) | 21,830 | 600,867 | (577,661 | ) | 23,206 | |||||||||||||||
Credit contracts: | |||||||||||||||||||||||
OTC | 18,169 | (17,862 | ) | 307 | 23,130 | (22,612 | ) | 518 | |||||||||||||||
OTC–cleared | 7,088 | (7,023 | ) | 65 | 5,746 | (5,739 | ) | 7 | |||||||||||||||
Total credit contracts | 25,257 | (24,885 | ) | 372 | 28,876 | (28,351 | ) | 525 | |||||||||||||||
Foreign exchange contracts: | |||||||||||||||||||||||
OTC | 169,826 | (156,701 | ) | 13,125 | 226,271 | (208,962 | ) | 17,309 | |||||||||||||||
OTC–cleared | 1,507 | (1,424 | ) | 83 | 1,238 | (1,165 | ) | 73 | |||||||||||||||
Exchange-traded(a) | 95 | (9 | ) | 86 | 104 | (27 | ) | 77 | |||||||||||||||
Total foreign exchange contracts | 171,428 | (158,134 | ) | 13,294 | 227,613 | (210,154 | ) | 17,459 | |||||||||||||||
Equity contracts: | |||||||||||||||||||||||
OTC | 20,072 | (19,794 | ) | 278 | 20,868 | (20,570 | ) | 298 | |||||||||||||||
OTC–cleared | — | — | — | — | — | — | |||||||||||||||||
Exchange-traded(a) | 14,462 | (11,480 | ) | 2,982 | 11,439 | (9,431 | ) | 2,008 | |||||||||||||||
Total equity contracts | 34,534 | (31,274 | ) | 3,260 | 32,307 | (30,001 | ) | 2,306 | |||||||||||||||
Commodity contracts: | |||||||||||||||||||||||
OTC | 8,095 | (3,775 | ) | 4,320 | 11,571 | (5,605 | ) | 5,966 | |||||||||||||||
OTC–cleared | — | — | — | — | — | — | |||||||||||||||||
Exchange-traded(a) | 5,165 | (4,714 | ) | 451 | 6,794 | (6,766 | ) | 28 | |||||||||||||||
Total commodity contracts | 13,260 | (8,489 | ) | 4,771 | 18,365 | (12,371 | ) | 5,994 | |||||||||||||||
Derivative receivables with appropriate legal opinion | 762,833 | (719,306 | ) | (b) | 43,527 | 908,028 | (858,538 | ) | (b) | 49,490 | |||||||||||||
Derivative receivables where an appropriate legal opinion has not been either sought or obtained | 12,979 | 12,979 | 14,588 | 14,588 | |||||||||||||||||||
Total derivative receivables recognized on the Consolidated balance sheets | $ | 775,812 | $ | 56,506 | $ | 922,616 | $ | 64,078 | |||||||||||||||
Collateral not nettable on the Consolidated balance sheets(c)(d) | (15,383 | ) | (18,638 | ) | |||||||||||||||||||
Net amounts | $ | 41,123 | $ | 45,440 |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||||
(in millions) | Gross derivative payables | Amounts netted on the Consolidated balance sheets | Net derivative payables | Gross derivative payables | Amounts netted on the Consolidated balance sheets | Net derivative payables | |||||||||||||||||
U.S. GAAP nettable derivative payables | |||||||||||||||||||||||
Interest rate contracts: | |||||||||||||||||||||||
OTC | $ | 290,398 | $ | (284,262 | ) | $ | 6,136 | $ | 338,502 | $ | (329,325 | ) | $ | 9,177 | |||||||||
OTC–cleared | 193,154 | (193,011 | ) | 143 | 230,464 | (230,463 | ) | 1 | |||||||||||||||
Exchange-traded(a) | 127 | (111 | ) | 16 | 196 | (175 | ) | 21 | |||||||||||||||
Total interest rate contracts | 483,679 | (477,384 | ) | 6,295 | 569,162 | (559,963 | ) | 9,199 | |||||||||||||||
Credit contracts: | |||||||||||||||||||||||
OTC | 18,293 | (17,532 | ) | 761 | 22,366 | (21,614 | ) | 752 | |||||||||||||||
OTC–cleared | 6,966 | (6,966 | ) | — | 5,641 | (5,641 | ) | — | |||||||||||||||
Total credit contracts | 25,259 | (24,498 | ) | 761 | 28,007 | (27,255 | ) | 752 | |||||||||||||||
Foreign exchange contracts: | |||||||||||||||||||||||
OTC | 172,444 | (162,674 | ) | 9,770 | 228,300 | (213,296 | ) | 15,004 | |||||||||||||||
OTC–cleared | 1,370 | (1,369 | ) | 1 | 1,158 | (1,158 | ) | — | |||||||||||||||
Exchange-traded(a) | 87 | (8 | ) | 79 | 328 | (9 | ) | 319 | |||||||||||||||
Total foreign exchange contracts | 173,901 | (164,051 | ) | 9,850 | 229,786 | (214,463 | ) | 15,323 | |||||||||||||||
Equity contracts: | |||||||||||||||||||||||
OTC | 26,445 | (22,241 | ) | 4,204 | 24,688 | (20,808 | ) | 3,880 | |||||||||||||||
OTC–cleared | — | — | — | — | — | — | |||||||||||||||||
Exchange-traded(a) | 12,279 | (11,480 | ) | 799 | 10,004 | (9,414 | ) | 590 | |||||||||||||||
Total equity contracts | 38,724 | (33,721 | ) | 5,003 | 34,692 | (30,222 | ) | 4,470 | |||||||||||||||
Commodity contracts: | |||||||||||||||||||||||
OTC | 11,864 | (4,023 | ) | 7,841 | 12,885 | (5,252 | ) | 7,633 | |||||||||||||||
OTC–cleared | — | — | — | — | — | — | |||||||||||||||||
Exchange-traded(a) | 4,801 | (4,712 | ) | 89 | 7,099 | (6,853 | ) | 246 | |||||||||||||||
Total commodity contracts | 16,665 | (8,735 | ) | 7,930 | 19,984 | (12,105 | ) | 7,879 | |||||||||||||||
Derivative payables with appropriate legal opinions | 738,228 | (708,389 | ) | (b) | 29,839 | 881,631 | (844,008 | ) | (b) | 37,623 | |||||||||||||
Derivative payables where an appropriate legal opinion has not been either sought or obtained | 11,956 | 11,956 | 11,608 | 11,608 | |||||||||||||||||||
Total derivative payables recognized on the Consolidated balance sheets | $ | 750,184 | $ | 41,795 | $ | 893,239 | $ | 49,231 | |||||||||||||||
Collateral not nettable on the Consolidated balance sheets(c)(d)(e) | (5,701 | ) | (8,925 | ) | |||||||||||||||||||
Net amounts | $ | 36,094 | $ | 40,306 |
(a) | Exchange-traded derivative balances that relate to futures contracts are settled daily. |
(b) | Net derivatives receivable included cash collateral netted of $59.7 billion and $71.9 billion at June 30, 2017, and December 31, 2016, respectively. Net derivatives payable included cash collateral netted of $48.8 billion and $57.3 billion related to OTC and OTC-cleared derivatives at June 30, 2017, and December 31, 2016, respectively. |
(c) | Excludes all collateral related to derivative instruments where an appropriate legal opinion has not been either sought or obtained. |
(d) | Represents liquid security collateral as well as cash collateral held at third party custodians related to derivative instruments where an appropriate legal opinion has been obtained. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty. |
(e) | Derivative payables collateral relates only to OTC and OTC-cleared derivative instruments. Amounts exclude collateral transferred related to exchange-traded derivative instruments. |
OTC and OTC-cleared derivative payables containing downgrade triggers | ||||||
(in millions) | June 30, 2017 | December 31, 2016 | ||||
Aggregate fair value of net derivative payables | $ | 13,737 | $ | 21,550 | ||
Collateral posted | 11,219 | 19,383 |
Liquidity impact of downgrade triggers on OTC and OTC-cleared derivatives | |||||||||||||
June 30, 2017 | December 31, 2016 | ||||||||||||
(in millions) | Single-notch downgrade | Two-notch downgrade | Single-notch downgrade | Two-notch downgrade | |||||||||
Amount of additional collateral to be posted upon downgrade(a) | $ | 104 | $ | 1,996 | $ | 560 | $ | 2,497 | |||||
Amount required to settle contracts with termination triggers upon downgrade(b) | 247 | 752 | 606 | 1,049 |
(a) | Includes the additional collateral to be posted for initial margin. |
(b) | Amounts represent fair values of derivative payables, and do not reflect collateral posted. |
Gains/(losses) recorded in income | Income statement impact due to: | |||||||||||||||
Three months ended June 30, 2017 (in millions) | Derivatives | Hedged items | Total income statement impact | Hedge ineffectiveness(e) | Excluded components(f) | |||||||||||
Contract type | ||||||||||||||||
Interest rate(a)(b) | $ | 128 | $ | 46 | $ | 174 | $ | (13 | ) | $ | 187 | |||||
Foreign exchange(c) | (1,497 | ) | 1,493 | (4 | ) | — | (4 | ) | ||||||||
Commodity(d) | 97 | (64 | ) | 33 | 3 | 30 | ||||||||||
Total | $ | (1,272 | ) | $ | 1,475 | $ | 203 | $ | (10 | ) | $ | 213 | ||||
Gains/(losses) recorded in income | Income statement impact due to: | |||||||||||||||
Three months ended June 30, 2016 (in millions) | Derivatives | Hedged items | Total income statement impact | Hedge ineffectiveness(e) | Excluded components(f) | |||||||||||
Contract type | ||||||||||||||||
Interest rate(a)(b) | $ | 903 | $ | (709 | ) | $ | 194 | $ | 1 | $ | 193 | |||||
Foreign exchange(c) | 1,487 | (1,472 | ) | 15 | — | 15 | ||||||||||
Commodity(d) | (215 | ) | 216 | 1 | (10 | ) | 11 | |||||||||
Total | $ | 2,175 | $ | (1,965 | ) | $ | 210 | $ | (9 | ) | $ | 219 | ||||
Gains/(losses) recorded in income | Income statement impact due to: | |||||||||||||||
Six months ended June 30, 2017 (in millions) | Derivatives | Hedged items | Total income statement impact | Hedge ineffectiveness(e) | Excluded components(f) | |||||||||||
Contract type | ||||||||||||||||
Interest rate(a)(b) | $ | (153 | ) | $ | 577 | $ | 424 | $ | (14 | ) | $ | 438 | ||||
Foreign exchange(c) | (2,272 | ) | 2,233 | (39 | ) | — | (39 | ) | ||||||||
Commodity(d) | (366 | ) | 400 | 34 | 19 | 15 | ||||||||||
Total | $ | (2,791 | ) | $ | 3,210 | $ | 419 | $ | 5 | $ | 414 | |||||
Gains/(losses) recorded in income | Income statement impact due to: | |||||||||||||||
Six months ended June 30, 2016 (in millions) | Derivatives | Hedged items | Total income statement impact | Hedge ineffectiveness(e) | Excluded components(f) | |||||||||||
Contract type | ||||||||||||||||
Interest rate(a)(b) | $ | 2,281 | $ | (1,908 | ) | $ | 373 | $ | 29 | $ | 344 | |||||
Foreign exchange(c) | 189 | (90 | ) | 99 | — | 99 | ||||||||||
Commodity(d) | (73 | ) | 78 | 5 | (12 | ) | 17 | |||||||||
Total | $ | 2,397 | $ | (1,920 | ) | $ | 477 | $ | 17 | $ | 460 |
(a) | Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate long-term debt and AFS securities. Gains and losses were recorded in net interest income. |
(b) | Excludes the amortization expense associated with the inception hedge accounting adjustment applied to the hedged item. This expense is recorded in net interest income and substantially offsets the income statement impact of the excluded components. |
(c) | Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items, due to changes in foreign currency rates, were recorded primarily in principal transactions revenue and net interest income. |
(d) | Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or net realizable value (net realizable value approximates fair value). Gains and losses were recorded in principal transactions revenue. |
(e) | Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk. |
(f) | The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts and time values. |
Gains/(losses) recorded in income and other comprehensive income/(loss) | ||||||||||||||||
Three months ended June 30, 2017 (in millions) | Derivatives – effective portion reclassified from AOCI to income | Hedge ineffectiveness recorded directly in income(c) | Total income statement impact | Derivatives – effective portion recorded in OCI | Total change in OCI for period | |||||||||||
Contract type | ||||||||||||||||
Interest rate(a) | $ | (6 | ) | $ | — | $ | (6 | ) | $ | 1 | $ | 7 | ||||
Foreign exchange(b) | (59 | ) | — | (59 | ) | 22 | 81 | |||||||||
Total | $ | (65 | ) | $ | — | $ | (65 | ) | $ | 23 | $ | 88 | ||||
Gains/(losses) recorded in income and other comprehensive income/(loss) | ||||||||||||||||
Three months ended June 30, 2016 (in millions) | Derivatives – effective portion reclassified from AOCI to income | Hedge ineffectiveness recorded directly in income(c) | Total income statement impact | Derivatives – effective portion recorded in OCI | Total change in OCI for period | |||||||||||
Contract type | ||||||||||||||||
Interest rate(a) | $ | (20 | ) | $ | — | $ | (20 | ) | $ | (26 | ) | $ | (6 | ) | ||
Foreign exchange(b) | (28 | ) | — | (28 | ) | (161 | ) | (133 | ) | |||||||
Total | $ | (48 | ) | $ | — | $ | (48 | ) | $ | (187 | ) | $ | (139 | ) | ||
Gains/(losses) recorded in income and other comprehensive income/(loss) | ||||||||||||||||
Six months ended June 30, 2017 (in millions) | Derivatives – effective portion reclassified from AOCI to income | Hedge ineffectiveness recorded directly in income(c) | Total income statement impact | Derivatives – effective portion recorded in OCI | Total change in OCI for period | |||||||||||
Contract type | ||||||||||||||||
Interest rate(a) | $ | (17 | ) | $ | — | $ | (17 | ) | $ | 12 | $ | 29 | ||||
Foreign exchange(b) | (133 | ) | — | (133 | ) | 70 | 203 | |||||||||
Total | $ | (150 | ) | $ | — | $ | (150 | ) | $ | 82 | $ | 232 | ||||
Gains/(losses) recorded in income and other comprehensive income/(loss) | ||||||||||||||||
Six months ended June 30, 2016 (in millions) | Derivatives – effective portion reclassified from AOCI to income | Hedge ineffectiveness recorded directly in income(c) | Total income statement impact | Derivatives – effective portion recorded in OCI | Total change in OCI for period | |||||||||||
Contract type | ||||||||||||||||
Interest rate(a) | $ | (40 | ) | $ | — | $ | (40 | ) | $ | (100 | ) | $ | (60 | ) | ||
Foreign exchange(b) | (63 | ) | — | (63 | ) | (254 | ) | (191 | ) | |||||||
Total | $ | (103 | ) | $ | — | $ | (103 | ) | $ | (354 | ) | $ | (251 | ) |
(a) | Primarily consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income. |
(b) | Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense. |
(c) | Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk. |
Gains/(losses) recorded in income and other comprehensive income/(loss) | |||||||||||||||||
2017 | 2016 | ||||||||||||||||
Three months ended June 30, (in millions) | Excluded components recorded directly in income(a) | Effective portion recorded in OCI | Excluded components recorded directly in income(a) | Effective portion recorded in OCI | |||||||||||||
Foreign exchange derivatives | $ | (50 | ) | $ | (319 | ) | $ | (65 | ) | $ | 17 | ||||||
Gains/(losses) recorded in income and other comprehensive income/(loss) | |||||||||||||||||
2017 | 2016 | ||||||||||||||||
Six months ended June 30, (in millions) | Excluded components recorded directly in income(a) | Effective portion recorded in OCI | Excluded components recorded directly in income(a) | Effective portion recorded in OCI | |||||||||||||
Foreign exchange derivatives | $ | (112 | ) | $ | (875 | ) | $ | (150 | ) | $ | (573 | ) |
(a) | Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. Amounts related to excluded components are recorded in other income. The Firm measures the ineffectiveness of net investment hedge accounting relationships based on changes in spot foreign currency rates, and, therefore, there was no significant ineffectiveness for net investment hedge accounting relationships during the three and six months ended June 30, 2017 and 2016. |
Derivatives gains/(losses) recorded in income | ||||||||||||
Three months ended June 30, | Six months ended June 30, | |||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||
Contract type | ||||||||||||
Interest rate(a) | $ | 238 | $ | 661 | $ | 221 | $ | 1,644 | ||||
Credit(b) | (7 | ) | (99 | ) | (52 | ) | (160 | ) | ||||
Foreign exchange(c) | (14 | ) | 10 | (34 | ) | — | ||||||
Total | $ | 217 | $ | 572 | $ | 135 | $ | 1,484 |
(a) | Primarily represents interest rate derivatives used to hedge the interest rate risk inherent in the mortgage pipeline, warehouse loans and MSRs, as well as written commitments to originate warehouse loans. Gains and losses were recorded predominantly in mortgage fees and related income. |
(b) | Relates to credit derivatives used to mitigate credit risk associated with lending exposures in the Firm’s wholesale businesses. These derivatives do not include credit derivatives used to mitigate counterparty credit risk arising from derivative receivables, which is included in gains and losses on derivatives related to market-making activities and other derivatives. Gains and losses were recorded in principal transactions revenue. |
(c) | Primarily relates to derivatives used to mitigate foreign exchange risk of specified foreign currency-denominated assets and liabilities. Gains and losses were recorded in principal transactions revenue. |
Maximum payout/Notional amount | ||||||||||||||
June 30, 2017 (in millions) | Protection sold | Protection purchased with identical underlyings(b) | Net protection (sold)/purchased(c) | Other protection purchased(d) | ||||||||||
Credit derivatives | ||||||||||||||
Credit default swaps | $ | (844,731 | ) | $ | 863,398 | $ | 18,667 | $ | 9,650 | |||||
Other credit derivatives(a) | (44,420 | ) | 37,644 | (6,776 | ) | 18,846 | ||||||||
Total credit derivatives | (889,151 | ) | 901,042 | 11,891 | 28,496 | |||||||||
Credit-related notes | (37 | ) | — | (37 | ) | 5,486 | ||||||||
Total | $ | (889,188 | ) | $ | 901,042 | $ | 11,854 | $ | 33,982 | |||||
Maximum payout/Notional amount | ||||||||||||||
December 31, 2016 (in millions) | Protection sold | Protection purchased with identical underlyings(b) | Net protection (sold)/purchased(c) | Other protection purchased(d) | ||||||||||
Credit derivatives | ||||||||||||||
Credit default swaps | $ | (961,003 | ) | $ | 974,252 | $ | 13,249 | $ | 7,935 | |||||
Other credit derivatives(a) | (36,829 | ) | 31,859 | (4,970 | ) | 19,991 | ||||||||
Total credit derivatives | (997,832 | ) | 1,006,111 | 8,279 | 27,926 | |||||||||
Credit-related notes | (41 | ) | — | (41 | ) | 4,505 | ||||||||
Total | $ | (997,873 | ) | $ | 1,006,111 | $ | 8,238 | $ | 32,431 |
(a) | Other credit derivatives largely consists of credit swap options. |
(b) | Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold. |
(c) | Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value. |
(d) | Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument. |
Protection sold — credit derivatives and credit-related notes ratings(a)/maturity profile | |||||||||||||||||||||||||||
June 30, 2017 (in millions) | <1 year | 1–5 years | >5 years | Total notional amount | Fair value of receivables(b) | Fair value of payables(b) | Net fair value | ||||||||||||||||||||
Risk rating of reference entity | |||||||||||||||||||||||||||
Investment-grade | $ | (232,819 | ) | $ | (316,114 | ) | $ | (38,734 | ) | $ | (587,667 | ) | $ | 8,789 | $ | (1,272 | ) | $ | 7,517 | ||||||||
Noninvestment-grade | (104,209 | ) | (174,787 | ) | (22,525 | ) | (301,521 | ) | 8,750 | (6,334 | ) | 2,416 | |||||||||||||||
Total | $ | (337,028 | ) | $ | (490,901 | ) | $ | (61,259 | ) | $ | (889,188 | ) | $ | 17,539 | $ | (7,606 | ) | $ | 9,933 |
December 31, 2016 (in millions) | <1 year | 1–5 years | >5 years | Total notional amount | Fair value of receivables(b) | Fair value of payables(b) | Net fair value | ||||||||||||||||||||
Risk rating of reference entity | |||||||||||||||||||||||||||
Investment-grade | $ | (273,688 | ) | $ | (383,586 | ) | $ | (39,281 | ) | $ | (696,555 | ) | $ | 7,841 | $ | (3,055 | ) | $ | 4,786 | ||||||||
Noninvestment-grade | (107,955 | ) | (170,046 | ) | (23,317 | ) | (301,318 | ) | 8,184 | (8,570 | ) | (386 | ) | ||||||||||||||
Total | $ | (381,643 | ) | $ | (553,632 | ) | $ | (62,598 | ) | $ | (997,873 | ) | $ | 16,025 | $ | (11,625 | ) | $ | 4,400 |
(a) | The ratings scale is primarily based on external credit ratings defined by S&P and Moody’s. |
(b) | Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by the Firm. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Underwriting | |||||||||||||||
Equity | $ | 364 | $ | 283 | $ | 757 | $ | 485 | |||||||
Debt | 947 | 896 | 1,875 | 1,446 | |||||||||||
Total underwriting | 1,311 | 1,179 | 2,632 | 1,931 | |||||||||||
Advisory | 499 | 465 | 995 | 1,046 | |||||||||||
Total investment banking fees | $ | 1,810 | $ | 1,644 | $ | 3,627 | $ | 2,977 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Trading revenue by instrument type | |||||||||||||||
Interest rate | $ | 588 | $ | 635 | $ | 1,383 | $ | 1,018 | |||||||
Credit | 278 | 728 | 958 | 1,103 | |||||||||||
Foreign exchange | 901 | 576 | 1,682 | 1,283 | |||||||||||
Equity | 1,118 | 861 | 2,238 | 1,691 | |||||||||||
Commodity | 120 | 224 | 305 | 450 | |||||||||||
Total trading revenue | 3,005 | 3,024 | 6,566 | 5,545 | |||||||||||
Private equity gains | 132 | (48 | ) | 153 | 110 | ||||||||||
Principal transactions | $ | 3,137 | $ | 2,976 | $ | 6,719 | $ | 5,655 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Lending-related fees | $ | 269 | $ | 275 | $ | 544 | $ | 547 | |||||||
Deposit-related fees | 1,213 | 1,128 | 2,386 | 2,259 | |||||||||||
Total lending- and deposit-related fees | $ | 1,482 | $ | 1,403 | $ | 2,930 | $ | 2,806 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Asset management fees | |||||||||||||||
Investment management fees(a) | $ | 2,329 | $ | 2,210 | $ | 4,545 | $ | 4,338 | |||||||
All other asset management fees(b) | 83 | 97 | 162 | 187 | |||||||||||
Total asset management fees | 2,412 | 2,307 | 4,707 | 4,525 | |||||||||||
Total administration fees(c) | 504 | 488 | 986 | 966 | |||||||||||
Commission and other fees | |||||||||||||||
Brokerage commissions | 567 | 535 | 1,145 | 1,123 | |||||||||||
All other commissions and fees | 341 | 351 | 663 | 691 | |||||||||||
Total commissions and fees | 908 | 886 | 1,808 | 1,814 | |||||||||||
Total asset management, administration and commissions | $ | 3,824 | $ | 3,681 | $ | 7,501 | $ | 7,305 |
(a) | Represents fees earned from managing assets on behalf of the Firm’s clients, including investors in Firm-sponsored funds and owners of separately managed investment accounts. |
(b) | Represents fees for services that are ancillary to investment management services, such as commissions earned on the sales or distribution of mutual funds to clients. |
(c) | Predominantly includes fees for custody, securities lending, funds services and securities clearance. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Operating lease income | $ | 873 | $ | 651 | $ | 1,697 | $ | 1,266 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Legal expense/(benefit) | $ | 61 | $ | (430 | ) | $ | 279 | $ | (476 | ) | |||||
FDIC-related expense | 376 | 283 | 757 | 552 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Interest income | |||||||||||||||
Loans(a) | $ | 9,996 | $ | 8,974 | $ | 19,746 | $ | 17,828 | |||||||
Taxable securities | 1,410 | 1,380 | 2,840 | 2,822 | |||||||||||
Nontaxable securities(b) | 479 | 442 | 937 | 885 | |||||||||||
Total securities | 1,889 | 1,822 | 3,777 | 3,707 | |||||||||||
Trading assets | 1,806 | 1,860 | 3,664 | 3,558 | |||||||||||
Federal funds sold and securities purchased under resale agreements | 528 | 576 | 1,054 | 1,130 | |||||||||||
Securities borrowed(c) | (21 | ) | (96 | ) | (65 | ) | (188 | ) | |||||||
Deposits with banks | 1,008 | 466 | 1,730 | 926 | |||||||||||
Other assets(d) | 444 | 211 | 786 | 404 | |||||||||||
Total interest income | 15,650 | 13,813 | 30,692 | 27,365 | |||||||||||
Interest expense | |||||||||||||||
Interest-bearing deposits | 629 | 321 | 1,112 | 641 | |||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | 387 | 282 | 680 | 542 | |||||||||||
Commercial paper | 63 | 38 | 103 | 71 | |||||||||||
Trading liabilities – debt, short-term and other liabilities(e) | 548 | 314 | 986 | 541 | |||||||||||
Beneficial interests issued by consolidated VIEs | 128 | 118 | 263 | 231 | |||||||||||
Long-term debt | 1,687 | 1,393 | 3,276 | 2,612 | |||||||||||
Total interest expense | 3,442 | 2,466 | 6,420 | 4,638 | |||||||||||
Net interest income | 12,208 | 11,347 | 24,272 | 22,727 | |||||||||||
Provision for credit losses | 1,215 | 1,402 | 2,530 | 3,226 | |||||||||||
Net interest income after provision for credit losses | $ | 10,993 | $ | 9,945 | $ | 21,742 | $ | 19,501 |
(a) | Includes the amortization of purchase price discounts or premiums, as well as net deferred loan fees or costs. |
(b) | Represents securities which are tax-exempt for U.S. federal income tax purposes. |
(c) | Negative interest income for the three and six months ended June 30, 2017 and 2016, is related to client-driven demand for certain securities combined with the impact of low interest rates. This is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense. |
(d) | Largely margin loans. |
(e) | Includes brokerage customer payables. |
Pension plans | ||||||||||||||||||||
U.S. | Non-U.S. | OPEB plans | ||||||||||||||||||
Three months ended June 30, (in millions) | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | ||||||||||||||
Components of net periodic benefit cost | ||||||||||||||||||||
Benefits earned during the period | $ | 74 | $ | 74 | $ | 8 | $ | 9 | $ | — | $ | — | ||||||||
Interest cost on benefit obligations | 130 | 133 | 20 | 24 | 7 | 7 | ||||||||||||||
Expected return on plan assets | (208 | ) | (223 | ) | (34 | ) | (34 | ) | (24 | ) | (26 | ) | ||||||||
Amortization: | ||||||||||||||||||||
Net (gain)/loss | 55 | 58 | 7 | 6 | — | — | ||||||||||||||
Prior service cost/(credit) | (8 | ) | (8 | ) | (1 | ) | (1 | ) | — | — | ||||||||||
Net periodic defined benefit cost | 43 | 34 | — | 4 | (17 | ) | (19 | ) | ||||||||||||
Other defined benefit pension plans(a) | 3 | 4 | 3 | 3 | NA | NA | ||||||||||||||
Total defined benefit plans | 46 | 38 | 3 | 7 | (17 | ) | (19 | ) | ||||||||||||
Total defined contribution plans | 125 | 123 | 85 | 83 | NA | NA | ||||||||||||||
Total pension and OPEB cost included in compensation expense | $ | 171 | $ | 161 | $ | 88 | $ | 90 | $ | (17 | ) | $ | (19 | ) | ||||||
Pension plans | ||||||||||||||||||||
U.S. | Non-U.S. | OPEB plans | ||||||||||||||||||
Six months ended June 30, (in millions) | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | ||||||||||||||
Components of net periodic benefit cost | ||||||||||||||||||||
Benefits earned during the period | $ | 149 | $ | 147 | $ | 15 | $ | 18 | $ | — | $ | — | ||||||||
Interest cost on benefit obligations | 260 | 266 | 39 | 50 | 14 | 15 | ||||||||||||||
Expected return on plan assets | (416 | ) | (445 | ) | (67 | ) | (70 | ) | (48 | ) | (52 | ) | ||||||||
Amortization: | ||||||||||||||||||||
Net (gain)/loss | 110 | 117 | 14 | 11 | — | — | ||||||||||||||
Prior service cost/(credit) | (17 | ) | (17 | ) | (1 | ) | (1 | ) | — | — | ||||||||||
Settlement (gain)/loss | — | — | (3 | ) | — | — | — | |||||||||||||
Net periodic defined benefit cost | 86 | 68 | (3 | ) | 8 | (34 | ) | (37 | ) | |||||||||||
Other defined benefit pension plans(a) | 6 | 7 | 4 | 5 | NA | NA | ||||||||||||||
Total defined benefit plans | 92 | 75 | 1 | 13 | (34 | ) | (37 | ) | ||||||||||||
Total defined contribution plans | 227 | 222 | 169 | 169 | NA | NA | ||||||||||||||
Total pension and OPEB cost included in compensation expense | $ | 319 | $ | 297 | $ | 170 | $ | 182 | $ | (34 | ) | $ | (37 | ) |
(a) | Includes various defined benefit pension plans which are individually immaterial. |
(in billions) | June 30, 2017 | December 31, 2016 | |||||
Fair value of plan assets | |||||||
U.S. defined benefit pension and OPEB plans | $ | 17.2 | $ | 16.2 | |||
Material non-U.S. defined benefit pension plans | 3.7 | 3.4 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Cost of prior grants of RSUs, stock appreciation rights (“SARs”) and performance share units (“PSUs”) that are amortized over their applicable vesting periods | $ | 290 | $ | 267 | $ | 600 | $ | 551 | |||||||
Accrual of estimated costs of stock-based awards to be granted in future periods including those to full-career eligible employees | 235 | 287 | 526 | 522 | |||||||||||
Total noncash compensation expense related to employee stock-based incentive plans | $ | 525 | $ | 554 | $ | 1,126 | $ | 1,073 |
June 30, 2017 | December 31, 2016 | ||||||||||||||||||||||||||
(in millions) | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | |||||||||||||||||||
Available-for-sale debt securities | |||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||
U.S. government agencies(a) | $ | 67,253 | $ | 1,053 | $ | 389 | $ | 67,917 | $ | 63,367 | $ | 1,112 | $ | 474 | $ | 64,005 | |||||||||||
Residential: | |||||||||||||||||||||||||||
U.S.(b) | 9,418 | 193 | 15 | 9,596 | 8,171 | 100 | 28 | 8,243 | |||||||||||||||||||
Non-U.S. | 4,134 | 149 | 1 | 4,282 | 6,049 | 158 | 7 | 6,200 | |||||||||||||||||||
Commercial | 6,562 | 111 | 6 | 6,667 | 9,002 | 122 | 20 | 9,104 | |||||||||||||||||||
Total mortgage-backed securities | 87,367 | 1,506 | 411 | 88,462 | 86,589 | 1,492 | 529 | 87,552 | |||||||||||||||||||
U.S. Treasury and government agencies(a) | 28,247 | 192 | 281 | 28,158 | 44,822 | 75 | 796 | 44,101 | |||||||||||||||||||
Obligations of U.S. states and municipalities | 30,735 | 1,870 | 66 | 32,539 | 30,284 | 1,492 | 184 | 31,592 | |||||||||||||||||||
Certificates of deposit | 57 | — | — | 57 | 106 | — | — | 106 | |||||||||||||||||||
Non-U.S. government debt securities | 30,007 | 591 | 27 | 30,571 | 34,497 | 836 | 45 | 35,288 | |||||||||||||||||||
Corporate debt securities | 4,047 | 91 | 6 | 4,132 | 4,916 | 64 | 22 | 4,958 | |||||||||||||||||||
Asset-backed securities: | |||||||||||||||||||||||||||
Collateralized loan obligations | 24,285 | 47 | 5 | 24,327 | 27,352 | 75 | 26 | 27,401 | |||||||||||||||||||
Other | 6,460 | 79 | 13 | 6,526 | 6,950 | 62 | 45 | 6,967 | |||||||||||||||||||
Total available-for-sale debt securities | 211,205 | 4,376 | 809 | 214,772 | 235,516 | 4,096 | 1,647 | 237,965 | |||||||||||||||||||
Available-for-sale equity securities | 925 | — | — | 925 | 914 | 12 | — | 926 | |||||||||||||||||||
Total available-for-sale securities | 212,130 | 4,376 | 809 | 215,697 | 236,430 | 4,108 | 1,647 | 238,891 | |||||||||||||||||||
Held-to-maturity debt securities | |||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||
U.S. government agencies(c) | 27,558 | 655 | 35 | 28,178 | 29,910 | 638 | 37 | 30,511 | |||||||||||||||||||
Commercial | 5,766 | 2 | 70 | 5,698 | 5,783 | — | 129 | 5,654 | |||||||||||||||||||
Total mortgage-backed securities | 33,324 | 657 | 105 | 33,876 | 35,693 | 638 | 166 | 36,165 | |||||||||||||||||||
Obligations of U.S. states and municipalities | 14,437 | 556 | 73 | 14,920 | 14,475 | 374 | 125 | 14,724 | |||||||||||||||||||
Total held-to-maturity debt securities | 47,761 | 1,213 | 178 | 48,796 | 50,168 | 1,012 | 291 | 50,889 | |||||||||||||||||||
Total securities | $ | 259,891 | $ | 5,589 | $ | 987 | $ | 264,493 | $ | 286,598 | $ | 5,120 | $ | 1,938 | $ | 289,780 |
(a) | Included total U.S. government-sponsored enterprise obligations with fair values of $51.3 billion and $45.8 billion at June 30, 2017, and December 31, 2016, respectively, which were predominantly mortgage-related. |
(b) | Prior period amounts have been revised to conform with current period presentation. |
(c) | Included total U.S. government-sponsored enterprise obligations with amortized cost of $23.7 billion and $25.6 billion at June 30, 2017, and December 31, 2016, respectively, which were mortgage-related. |
Securities with gross unrealized losses | |||||||||||||||||||
Less than 12 months | 12 months or more | ||||||||||||||||||
June 30, 2017 (in millions) | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | Total fair value | Total gross unrealized losses | |||||||||||||
Available-for-sale debt securities | |||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||
U.S. government agencies | $ | 27,165 | $ | 378 | $ | 609 | $ | 11 | $ | 27,774 | $ | 389 | |||||||
Residential: | |||||||||||||||||||
U.S. (a) | 620 | 3 | 944 | 12 | 1,564 | 15 | |||||||||||||
Non-U.S. | — | — | 505 | 1 | 505 | 1 | |||||||||||||
Commercial | 1,009 | 2 | 848 | 4 | 1,857 | 6 | |||||||||||||
Total mortgage-backed securities | 28,794 | 383 | 2,906 | 28 | 31,700 | 411 | |||||||||||||
U.S. Treasury and government agencies | 5,464 | 260 | 2,485 | 21 | 7,949 | 281 | |||||||||||||
Obligations of U.S. states and municipalities | 3,528 | 64 | 38 | 2 | 3,566 | 66 | |||||||||||||
Certificates of deposit | — | — | — | — | — | — | |||||||||||||
Non-U.S. government debt securities | 3,317 | 25 | 198 | 2 | 3,515 | 27 | |||||||||||||
Corporate debt securities | 640 | 2 | 165 | 4 | 805 | 6 | |||||||||||||
Asset-backed securities: | |||||||||||||||||||
Collateralized loan obligations | — | — | 801 | 5 | 801 | 5 | |||||||||||||
Other | — | — | 1,614 | 13 | 1,614 | 13 | |||||||||||||
Total available-for-sale debt securities | 41,743 | 734 | 8,207 | 75 | 49,950 | 809 | |||||||||||||
Available-for-sale equity securities | — | — | — | — | — | — | |||||||||||||
Held-to-maturity securities | |||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||
U.S. government agencies | 2,477 | 35 | — | — | 2,477 | 35 | |||||||||||||
Commercial | 5,274 | 70 | — | — | 5,274 | 70 | |||||||||||||
Total mortgage-backed securities | 7,751 | 105 | — | — | 7,751 | 105 | |||||||||||||
Obligations of U.S. states and municipalities | 2,758 | 65 | 199 | 8 | 2,957 | 73 | |||||||||||||
Total held-to-maturity securities | 10,509 | 170 | 199 | 8 | 10,708 | 178 | |||||||||||||
Total securities with gross unrealized losses | $ | 52,252 | $ | 904 | $ | 8,406 | $ | 83 | $ | 60,658 | $ | 987 |
(a) | Prior period amounts have been revised to conform with current period presentation. |
Securities with gross unrealized losses | |||||||||||||||||||
Less than 12 months | 12 months or more | ||||||||||||||||||
December 31, 2016 (in millions) | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | Total fair value | Total gross unrealized losses | |||||||||||||
Available-for-sale debt securities | |||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||
U.S. government agencies | $ | 29,856 | $ | 463 | $ | 506 | $ | 11 | $ | 30,362 | $ | 474 | |||||||
Residential: | |||||||||||||||||||
U.S. (a) | 1,373 | 6 | 1,073 | 22 | $ | 2,446 | 28 | ||||||||||||
Non-U.S. | — | — | 886 | 7 | 886 | 7 | |||||||||||||
Commercial | 2,328 | 17 | 1,078 | 3 | 3,406 | 20 | |||||||||||||
Total mortgage-backed securities | 33,557 | 486 | 3,543 | 43 | 37,100 | 529 | |||||||||||||
U.S. Treasury and government agencies | 23,543 | 796 | — | — | 23,543 | 796 | |||||||||||||
Obligations of U.S. states and municipalities | 7,215 | 181 | 55 | 3 | 7,270 | 184 | |||||||||||||
Certificates of deposit | — | — | — | — | — | — | |||||||||||||
Non-U.S. government debt securities | 4,436 | 36 | 421 | 9 | 4,857 | 45 | |||||||||||||
Corporate debt securities | 797 | 2 | 829 | 20 | 1,626 | 22 | |||||||||||||
Asset-backed securities: | |||||||||||||||||||
Collateralized loan obligations | 766 | 2 | 5,263 | 24 | 6,029 | 26 | |||||||||||||
Other | 739 | 6 | 1,992 | 39 | 2,731 | 45 | |||||||||||||
Total available-for-sale debt securities | 71,053 | 1,509 | 12,103 | 138 | 83,156 | 1,647 | |||||||||||||
Available-for-sale equity securities | — | — | — | — | — | — | |||||||||||||
Held-to-maturity debt securities | |||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||
U.S. government agencies | 3,129 | 37 | — | — | 3,129 | 37 | |||||||||||||
Commercial | 5,163 | 114 | 441 | 15 | 5,604 | 129 | |||||||||||||
Total mortgage-backed securities | 8,292 | 151 | 441 | 15 | 8,733 | 166 | |||||||||||||
Obligations of U.S. states and municipalities | 4,702 | 125 | — | — | 4,702 | 125 | |||||||||||||
Total Held-to-maturity securities | 12,994 | 276 | 441 | 15 | 13,435 | 291 | |||||||||||||
Total securities with gross unrealized losses | $ | 84,047 | $ | 1,785 | $ | 12,544 | $ | 153 | $ | 96,591 | $ | 1,938 |
(a) | Prior period amounts have been revised to conform with current period presentation. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Realized gains | $ | 393 | $ | 80 | $ | 542 | $ | 189 | |||||
Realized losses | (427 | ) | (27 | ) | (572 | ) | (79 | ) | |||||
OTTI losses(a) | — | (32 | ) | (7 | ) | (38 | ) | ||||||
Net securities gains/(losses) | $ | (34 | ) | $ | 21 | $ | (37 | ) | $ | 72 | |||
OTTI losses | |||||||||||||
Credit-related losses recognized in income | $ | — | $ | — | $ | — | $ | (1 | ) | ||||
Securities the Firm intends to sell(a) | — | (32 | ) | (7 | ) | (37 | ) | ||||||
Total OTTI losses recognized in income | $ | — | $ | (32 | ) | $ | (7 | ) | $ | (38 | ) |
(a) | Excludes realized losses on securities sold of $5 million for both the six months ended June 30, 2017 and 2016 that had been previously reported as an OTTI loss due to the intention to sell the securities. |
By remaining maturity June 30, 2017 (in millions) | Due in one year or less | Due after one year through five years | Due after five years through 10 years | Due after 10 years(c) | Total | |||||||||||
Available-for-sale debt securities | ||||||||||||||||
Mortgage-backed securities(a) | ||||||||||||||||
Amortized cost | 961 | 1,681 | 6,427 | 78,298 | $ | 87,367 | ||||||||||
Fair value | 966 | 1,714 | 6,617 | 79,165 | $ | 88,462 | ||||||||||
Average yield(b) | 1.40 | % | 2.33 | % | 3.14 | % | 3.30 | % | 3.24 | % | ||||||
U.S. Treasury and government agencies | ||||||||||||||||
Amortized cost | 146 | — | 25,005 | 3,096 | $ | 28,247 | ||||||||||
Fair value | 146 | — | 24,895 | 3,117 | $ | 28,158 | ||||||||||
Average yield(b) | 0.59 | % | — | % | 1.52 | % | 1.50 | % | 1.51 | % | ||||||
Obligations of U.S. states and municipalities | ||||||||||||||||
Amortized cost | 73 | 781 | 1,184 | 28,697 | $ | 30,735 | ||||||||||
Fair value | 73 | 803 | 1,254 | 30,409 | $ | 32,539 | ||||||||||
Average yield(b) | 2.61 | % | 3.61 | % | 6.56 | % | 6.60 | % | 6.51 | % | ||||||
Certificates of deposit | ||||||||||||||||
Amortized cost | 57 | — | — | — | $ | 57 | ||||||||||
Fair value | 57 | — | — | — | $ | 57 | ||||||||||
Average yield(b) | 0.50 | % | — | % | — | % | — | % | 0.50 | % | ||||||
Non-U.S. government debt securities | ||||||||||||||||
Amortized cost | 4,593 | 14,229 | 11,133 | 52 | $ | 30,007 | ||||||||||
Fair value | 4,597 | 14,480 | 11,444 | 50 | $ | 30,571 | ||||||||||
Average yield(b) | 2.64 | % | 1.61 | % | 1.04 | % | 0.79 | % | 1.55 | % | ||||||
Corporate debt securities | ||||||||||||||||
Amortized cost | 1,402 | 1,105 | 1,441 | 99 | $ | 4,047 | ||||||||||
Fair value | 1,404 | 1,136 | 1,487 | 105 | $ | 4,132 | ||||||||||
Average yield(b) | 2.78 | % | 3.31 | % | 3.39 | % | 3.58 | % | 3.16 | % | ||||||
Asset-backed securities | ||||||||||||||||
Amortized cost | — | 813 | 20,777 | 9,155 | $ | 30,745 | ||||||||||
Fair value | — | 814 | 20,811 | 9,228 | $ | 30,853 | ||||||||||
Average yield(b) | — | % | 1.34 | % | 2.54 | % | 2.14 | % | 2.39 | % | ||||||
Total available-for-sale debt securities | ||||||||||||||||
Amortized cost | $ | 7,232 | $ | 18,609 | $ | 65,967 | $ | 119,397 | $ | 211,205 | ||||||
Fair value | $ | 7,243 | $ | 18,947 | $ | 66,508 | $ | 122,074 | $ | 214,772 | ||||||
Average yield(b) | 2.44 | % | 1.85 | % | 2.05 | % | 3.95 | % | 3.12 | % | ||||||
Available-for-sale equity securities | ||||||||||||||||
Amortized cost | — | — | — | 925 | 925 | |||||||||||
Fair value | — | — | — | 925 | 925 | |||||||||||
Average yield(b) | — | % | — | % | — | % | 0.41 | % | 0.41 | % | ||||||
Total available-for-sale securities | ||||||||||||||||
Amortized cost | $ | 7,232 | $ | 18,609 | $ | 65,967 | $ | 120,322 | $ | 212,130 | ||||||
Fair value | $ | 7,243 | $ | 18,947 | $ | 66,508 | $ | 122,999 | $ | 215,697 | ||||||
Average yield(b) | 2.44 | % | 1.85 | % | 2.05 | % | 3.93 | % | 3.11 | % | ||||||
Held-to-maturity debt securities | ||||||||||||||||
Mortgage-backed securities(a) | ||||||||||||||||
Amortized cost | — | — | — | 33,324 | $ | 33,324 | ||||||||||
Fair value | — | — | — | 33,876 | $ | 33,876 | ||||||||||
Average yield(b) | — | % | — | % | — | % | 3.29 | % | 3.29 | % | ||||||
Obligations of U.S. states and municipalities | ||||||||||||||||
Amortized cost | — | 29 | 1,664 | 12,744 | $ | 14,437 | ||||||||||
Fair value | — | 29 | 1,727 | 13,164 | $ | 14,920 | ||||||||||
Average yield(b) | — | % | 6.77 | % | 5.12 | % | 5.69 | % | 5.63 | % | ||||||
Total held-to-maturity securities | ||||||||||||||||
Amortized cost | $ | — | $ | 29 | $ | 1,664 | $ | 46,068 | $ | 47,761 | ||||||
Fair value | $ | — | $ | 29 | $ | 1,727 | $ | 47,040 | $ | 48,796 | ||||||
Average yield(b) | — | % | 6.77 | % | 5.12 | % | 3.95 | % | 4.00 | % |
(a) | As of June 30, 2017, mortgage-backed securities issued by Fannie Mae exceeded 10% of JPMorgan Chase’s total stockholders’ equity; the amortized cost and fair value of such securities was $59.9 billion and $61.1 billion, respectively. |
(b) | Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid. |
(c) | Includes securities with no stated maturity. Substantially all of the Firm’s U.S. residential MBS and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately 7 years for agency residential MBS, 3 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations. |
June 30, 2017 | ||||||||||||||||
(in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets(b) | Amounts not nettable on the Consolidated balance sheets(c) | Net amounts(d) | |||||||||||
Assets | ||||||||||||||||
Securities purchased under resale agreements | $ | 494,707 | $ | (276,359 | ) | $ | 218,348 | $ | (209,548 | ) | $ | 8,800 | ||||
Securities borrowed | 93,224 | (2,570 | ) | 90,654 | (64,626 | ) | 26,028 | |||||||||
Liabilities | ||||||||||||||||
Securities sold under repurchase agreements | $ | 427,884 | $ | (276,359 | ) | $ | 151,525 | $ | (135,810 | ) | $ | 15,715 | ||||
Securities loaned and other(a) | 26,608 | (2,570 | ) | 24,038 | (23,690 | ) | 348 |
December 31, 2016 | ||||||||||||||||
(in millions) | Gross amounts | Amounts netted on the Consolidated balance sheets | Amounts presented on the Consolidated balance sheets(b) | Amounts not nettable on the Consolidated balance sheets(c) | Net amounts(d) | |||||||||||
Assets | ||||||||||||||||
Securities purchased under resale agreements | $ | 480,735 | $ | (250,832 | ) | $ | 229,903 | $ | (222,413 | ) | $ | 7,490 | ||||
Securities borrowed | 96,409 | — | 96,409 | (66,822 | ) | 29,587 | ||||||||||
Liabilities | ||||||||||||||||
Securities sold under repurchase agreements | $ | 402,465 | $ | (250,832 | ) | $ | 151,633 | $ | (133,300 | ) | $ | 18,333 | ||||
Securities loaned and other(a) | 22,451 | — | 22,451 | (22,177 | ) | 274 |
(a) | Includes securities-for-securities lending transactions of $11.5 billion and $9.1 billion at June 30, 2017 and December 31, 2016, respectively, accounted for at fair value, where the Firm is acting as lender. These amounts are presented within other liabilities in the Consolidated balance sheets. |
(b) | Includes securities financing agreements accounted for at fair value. At June 30, 2017 and December 31, 2016, included securities purchased under resale agreements of $18.0 billion and $21.5 billion, respectively and securities sold under agreements to repurchase of $721 million and $687 million, respectively. There were $1.6 billion of securities borrowed at June 30, 2017 and there were no securities borrowed at December 31, 2016. There were no securities loaned accounted for at fair value in either period. |
(c) | In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related asset or liability with that counterparty. |
(d) | Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At June 30, 2017 and December 31, 2016, included $6.3 billion and $4.8 billion, respectively, of securities purchased under resale agreements; $22.9 billion and $27.1 billion, respectively, of securities borrowed; $12.1 billion and $15.9 billion, respectively, of securities sold under agreements to repurchase; and $200 million and $90 million, respectively, of securities loaned and other. |
Gross liability balance | |||||||||||||
June 30, 2017 | December 31, 2016 | ||||||||||||
(in millions) | Securities sold under repurchase agreements | Securities loaned and other(a) | Securities sold under repurchase agreements | Securities loaned and other(a) | |||||||||
Mortgage-backed securities | $ | 9,745 | $ | — | $ | 10,546 | $ | — | |||||
U.S. Treasury and government agencies | 202,102 | 942 | 199,030 | — | |||||||||
Obligations of U.S. states and municipalities | 1,355 | — | 2,491 | — | |||||||||
Non-U.S. government debt | 180,773 | 3,607 | 149,008 | 1,279 | |||||||||
Corporate debt securities | 14,677 | 53 | 18,140 | 108 | |||||||||
Asset-backed securities | 4,137 | 103 | 7,721 | — | |||||||||
Equity securities | 15,095 | 21,903 | 15,529 | 21,064 | |||||||||
Total | $ | 427,884 | $ | 26,608 | $ | 402,465 | $ | 22,451 |
Remaining contractual maturity of the agreements | |||||||||||||||
Overnight and continuous | Greater than 90 days | ||||||||||||||
June 30, 2017 (in millions) | Up to 30 days | 30 – 90 days | Total | ||||||||||||
Total securities sold under repurchase agreements | $ | 154,721 | $ | 178,772 | $ | 53,376 | $ | 41,015 | $ | 427,884 | |||||
Total securities loaned and other(a) | 20,989 | 1,192 | 1,687 | 2,740 | 26,608 |
Remaining contractual maturity of the agreements | |||||||||||||||
Overnight and continuous | Greater than 90 days | ||||||||||||||
December 31, 2016 (in millions) | Up to 30 days | 30 – 90 days | Total | ||||||||||||
Total securities sold under repurchase agreements | $ | 140,318 | $ | 157,860 | $ | 55,621 | $ | 48,666 | $ | 402,465 | |||||
Total securities loaned and other(a) | 13,586 | 1,371 | 2,877 | 4,617 | 22,451 |
(a) | Includes securities-for-securities lending transactions of $11.5 billion and $9.1 billion at June 30, 2017 and December 31, 2016, respectively, accounted for at fair value, where the Firm is acting as lender. These amounts are presented within other liabilities on the Consolidated balance sheets. |
• | Originated or purchased loans held-for-investment (i.e., “retained”), other than PCI loans |
• | Loans held-for-sale |
• | Loans at fair value |
• | PCI loans held-for-investment |
Consumer, excluding credit card(a) | Credit card | Wholesale(f) | ||
Residential real estate – excluding PCI • Home equity(b) • Residential mortgage(c) Other consumer loans • Auto(d) • Consumer & Business Banking(d)(e) • Student Residential real estate – PCI • Home equity • Prime mortgage • Subprime mortgage • Option ARMs | • Credit card loans | • Commercial and industrial • Real estate • Financial institutions • Government agencies • Other(g) |
(a) | Includes loans held in CCB, prime mortgage and home equity loans held in AWM and prime mortgage loans held in Corporate. |
(b) | Includes senior and junior lien home equity loans. |
(c) | Predominantly includes prime (including option ARMs) and subprime loans. |
(d) | Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by CCB, and therefore, for consistency in presentation, are included with the other consumer loan classes. |
(e) | Predominantly includes Business Banking loans. |
(f) | Includes loans held in CIB, CB, AWM and Corporate. Excludes prime mortgage and home equity loans held in AWM and prime mortgage loans held in Corporate. Classes are internally defined and may not align with regulatory definitions. |
(g) | Includes loans to: individuals; SPEs; and private education and civic organizations. For more information on SPEs, see Note 16 of JPMorgan Chase’s 2016 Annual Report. |
June 30, 2017 | Consumer, excluding credit card | Credit card(a) | Wholesale | Total | ||||||||||||
(in millions) | ||||||||||||||||
Retained | $ | 365,115 | $ | 140,035 | $ | 394,426 | $ | 899,576 | (b) | |||||||
Held-for-sale | 256 | 106 | 6,850 | 7,212 | ||||||||||||
At fair value | — | — | 1,979 | 1,979 | ||||||||||||
Total | $ | 365,371 | $ | 140,141 | $ | 403,255 | $ | 908,767 | ||||||||
December 31, 2016 | Consumer, excluding credit card | Credit card(a) | Wholesale | Total | ||||||||||||
(in millions) | ||||||||||||||||
Retained | $ | 364,406 | $ | 141,711 | $ | 383,790 | $ | 889,907 | (b) | |||||||
Held-for-sale | 238 | 105 | 2,285 | 2,628 | ||||||||||||
At fair value | — | — | 2,230 | 2,230 | ||||||||||||
Total | $ | 364,644 | $ | 141,816 | $ | 388,305 | $ | 894,765 |
(a) | Includes accrued interest and fees net of an allowance for the uncollectible portion of accrued interest and fee income. |
(b) | Loans (other than PCI loans and loans for which the fair value option has been elected) are presented net of unearned income, unamortized discounts and premiums, and net deferred loan costs. These amounts were not material as of June 30, 2017, and December 31, 2016. |
2017 | 2016 | |||||||||||||||||||||||||||
Three months ended June 30, (in millions) | Consumer, excluding credit card | Credit card | Wholesale | Total | Consumer, excluding credit card | Credit card | Wholesale | Total | ||||||||||||||||||||
Purchases | $ | 626 | (a)(b) | $ | — | $ | 594 | $ | 1,220 | $ | 824 | (a)(b) | $ | — | $ | 405 | $ | 1,229 | ||||||||||
Sales | 763 | — | 2,377 | 3,140 | 905 | — | 2,082 | 2,987 | ||||||||||||||||||||
Retained loans reclassified to held-for-sale | 31 | — | 307 | 338 | 18 | — | 127 | 145 | ||||||||||||||||||||
2017 | 2016 | |||||||||||||||||||||||||||
Six months ended June 30, (in millions) | Consumer, excluding credit card | Credit card | Wholesale | Total | Consumer, excluding credit card | Credit card | Wholesale | Total | ||||||||||||||||||||
Purchases | $ | 1,566 | (a)(b) | $ | — | $ | 878 | $ | 2,444 | $ | 2,089 | (a)(b) | $ | — | $ | 693 | $ | 2,782 | ||||||||||
Sales | 1,353 | — | 4,824 | 6,177 | 1,665 | — | 3,746 | 5,411 | ||||||||||||||||||||
Retained loans reclassified to held-for-sale | 6,340 | (c) | — | 768 | 7,108 | 83 | — | 616 | 699 |
(a) | Purchases predominantly represent the Firm’s voluntary repurchase of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“Ginnie Mae”) guidelines. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, FHA, RHS, and/or VA. |
(b) | Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards. Such purchases were $5.9 billion and $8.4 billion for the three months ended June 30, 2017 and 2016, respectively, and $11.3 billion and $17.1 billion for the six months ended June 30, 2017 and 2016, respectively. |
(c) | Includes the Firm’s student loan portfolio, which was transferred to held-for-sale in the first quarter of 2017. For additional information see Note 23. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Net gains/(losses) on sales of loans (including lower of cost or fair value adjustments)(a) | |||||||||||||
Consumer, excluding credit card(b) | $ | 12 | $ | 64 | $ | (214 | ) | $ | 117 | ||||
Credit card | (3 | ) | (4 | ) | (2 | ) | (4 | ) | |||||
Wholesale | 17 | — | 22 | (2 | ) | ||||||||
Total net gains on sales of loans (including lower of cost or fair value adjustments) | $ | 26 | $ | 60 | $ | (194 | ) | $ | 111 |
(a) | Excludes sales related to loans accounted for at fair value. |
(b) | Includes the Firm’s student loan portfolio, which was transferred to held-for-sale in the first quarter of 2017. For additional information see Note 23. |
(in millions) | June 30, 2017 | December 31, 2016 | ||||
Residential real estate – excluding PCI | ||||||
Home equity | $ | 36,000 | $ | 39,063 | ||
Residential mortgage(a) | 205,380 | 192,486 | ||||
Other consumer loans | ||||||
Auto | 65,627 | 65,814 | ||||
Consumer & Business Banking(a) | 25,044 | 24,307 | ||||
Student(a) | — | 7,057 | ||||
Residential real estate – PCI | ||||||
Home equity | 11,838 | 12,902 | ||||
Prime mortgage | 7,023 | 7,602 | ||||
Subprime mortgage | 2,771 | 2,941 | ||||
Option ARMs | 11,432 | 12,234 | ||||
Total retained loans | $ | 365,115 | $ | 364,406 |
(a) | Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation. |
Residential real estate – excluding PCI loans | ||||||||||||||||||||||
(in millions, except ratios) | Home equity | Residential mortgage(g) | Total residential real estate – excluding PCI | |||||||||||||||||||
Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||||||||
Loan delinquency(a) | ||||||||||||||||||||||
Current | $ | 35,061 | $ | 37,941 | $ | 198,261 | $ | 184,133 | $ | 233,322 | $ | 222,074 | ||||||||||
30–149 days past due | 535 | 646 | 3,284 | 3,828 | 3,819 | 4,474 | ||||||||||||||||
150 or more days past due | 404 | 476 | 3,835 | 4,525 | 4,239 | 5,001 | ||||||||||||||||
Total retained loans | $ | 36,000 | $ | 39,063 | $ | 205,380 | $ | 192,486 | $ | 241,380 | $ | 231,549 | ||||||||||
% of 30+ days past due to total retained loans(b) | 2.61 | % | 2.87 | % | 0.63 | % | 0.75 | % | 0.92 | % | 1.11 | % | ||||||||||
90 or more days past due and government guaranteed(c) | $ | — | $ | — | $ | 3,959 | $ | 4,858 | $ | 3,959 | $ | 4,858 | ||||||||||
Nonaccrual loans | 1,645 | 1,845 | 2,089 | 2,256 | 3,734 | 4,101 | ||||||||||||||||
Current estimated LTV ratios(d)(e) | ||||||||||||||||||||||
Greater than 125% and refreshed FICO scores: | ||||||||||||||||||||||
Equal to or greater than 660 | $ | 18 | $ | 70 | $ | 25 | $ | 30 | $ | 43 | $ | 100 | ||||||||||
Less than 660 | 7 | 15 | 39 | 48 | 46 | 63 | ||||||||||||||||
101% to 125% and refreshed FICO scores: | ||||||||||||||||||||||
Equal to or greater than 660 | 370 | 668 | 58 | 135 | 428 | 803 | ||||||||||||||||
Less than 660 | 120 | 221 | 128 | 177 | 248 | 398 | ||||||||||||||||
80% to 100% and refreshed FICO scores: | ||||||||||||||||||||||
Equal to or greater than 660 | 2,138 | 2,961 | 3,330 | 4,026 | 5,468 | 6,987 | ||||||||||||||||
Less than 660 | 692 | 945 | 555 | 718 | 1,247 | 1,663 | ||||||||||||||||
Less than 80% and refreshed FICO scores: | ||||||||||||||||||||||
Equal to or greater than 660 | 26,400 | 27,317 | 184,119 | 169,579 | 210,519 | 196,896 | ||||||||||||||||
Less than 660 | 4,135 | 4,380 | 6,993 | 6,759 | 11,128 | 11,139 | ||||||||||||||||
No FICO/LTV available | 2,120 | 2,486 | 1,548 | 1,650 | 3,668 | 4,136 | ||||||||||||||||
U.S. government-guaranteed | — | — | 8,585 | 9,364 | 8,585 | 9,364 | ||||||||||||||||
Total retained loans | $ | 36,000 | $ | 39,063 | $ | 205,380 | $ | 192,486 | $ | 241,380 | $ | 231,549 | ||||||||||
Geographic region | ||||||||||||||||||||||
California | $ | 7,053 | $ | 7,644 | $ | 64,827 | $ | 59,802 | $ | 71,880 | $ | 67,446 | ||||||||||
New York | 7,377 | 7,978 | 26,479 | 24,916 | 33,856 | 32,894 | ||||||||||||||||
Illinois | 2,705 | 2,947 | 13,884 | 13,126 | 16,589 | 16,073 | ||||||||||||||||
Texas | 2,124 | 2,225 | 11,693 | 10,772 | 13,817 | 12,997 | ||||||||||||||||
Florida | 1,973 | 2,133 | 9,176 | 8,395 | 11,149 | 10,528 | ||||||||||||||||
New Jersey | 2,091 | 2,253 | 6,735 | 6,374 | 8,826 | 8,627 | ||||||||||||||||
Colorado | 630 | 677 | 6,865 | 6,306 | 7,495 | 6,983 | ||||||||||||||||
Washington | 1,122 | 1,229 | 6,177 | 5,451 | 7,299 | 6,680 | ||||||||||||||||
Massachusetts | 332 | 371 | 6,060 | 5,834 | 6,392 | 6,205 | ||||||||||||||||
Arizona | 1,598 | 1,772 | 3,899 | 3,595 | 5,497 | 5,367 | ||||||||||||||||
All other(f) | 8,995 | 9,834 | 49,585 | 47,915 | 58,580 | 57,749 | ||||||||||||||||
Total retained loans | $ | 36,000 | $ | 39,063 | $ | 205,380 | $ | 192,486 | $ | 241,380 | $ | 231,549 |
(a) | Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $2.8 billion and $2.5 billion; 30–149 days past due included $2.6 billion and $3.1 billion; and 150 or more days past due included $3.2 billion and $3.8 billion at June 30, 2017, and December 31, 2016, respectively. |
(b) | At June 30, 2017, and December 31, 2016, residential mortgage loans excluded mortgage loans insured by U.S. government agencies of $5.8 billion and $6.9 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee. |
(c) | These balances, which are 90 days or more past due, were excluded from nonaccrual loans as the loans are guaranteed by U.S government agencies. Typically the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed-upon servicing guidelines. At June 30, 2017, and December 31, 2016, these balances included $1.9 billion and $2.2 billion, respectively, of loans that are no longer accruing interest based on the agreed-upon servicing guidelines. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate. There were no loans that were not guaranteed by U.S. government agencies that are 90 or more days past due and still accruing interest at June 30, 2017, and December 31, 2016. |
(d) | Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. |
(e) | Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis. |
(f) | At June 30, 2017, and December 31, 2016, included mortgage loans insured by U.S. government agencies of $8.6 billion and $9.4 billion, respectively. |
(g) | Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation. |
Total loans | Total 30+ day delinquency rate | ||||||||||
(in millions, except ratios) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||
HELOCs:(a) | |||||||||||
Within the revolving period(b) | $ | 7,951 | $ | 10,304 | 0.79 | % | 1.27 | % | |||
Beyond the revolving period | 13,572 | 13,272 | 2.76 | 3.05 | |||||||
HELOANs | 1,599 | 1,861 | 2.69 | 2.85 | |||||||
Total | $ | 23,122 | $ | 25,437 | 2.08 | % | 2.32 | % |
(a) | These HELOCs are predominantly revolving loans for a 10-year period, after which time the HELOC converts to a loan with a 20-year amortization period, but also include HELOCs that allow interest-only payments beyond the revolving period. |
(b) | The Firm manages the risk of HELOCs during their revolving period by closing or reducing the undrawn line to the extent permitted by law when borrowers are experiencing financial difficulty. |
(in millions) | Home equity | Residential mortgage | Total residential real estate – excluding PCI | |||||||||||||||||
Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||||||
Impaired loans | ||||||||||||||||||||
With an allowance | $ | 1,241 | $ | 1,266 | $ | 4,529 | $ | 4,689 | $ | 5,770 | $ | 5,955 | ||||||||
Without an allowance(a) | 921 | 998 | 1,275 | 1,343 | 2,196 | 2,341 | ||||||||||||||
Total impaired loans(b)(c) | $ | 2,162 | $ | 2,264 | $ | 5,804 | $ | 6,032 | $ | 7,966 | $ | 8,296 | ||||||||
Allowance for loan losses related to impaired loans | $ | 126 | $ | 121 | $ | 67 | $ | 68 | $ | 193 | $ | 189 | ||||||||
Unpaid principal balance of impaired loans(d) | 3,805 | 3,847 | 7,996 | 8,285 | 11,801 | 12,132 | ||||||||||||||
Impaired loans on nonaccrual status(e) | 1,056 | 1,116 | 1,684 | 1,755 | 2,740 | 2,871 |
(a) | Represents collateral-dependent residential real estate loans that are charged off to the fair value of the underlying collateral less cost to sell. The Firm reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status. At June 30, 2017, Chapter 7 residential real estate loans included approximately 11% of home equity and 13% of residential mortgages that were 30 days or more past due. |
(b) | At June 30, 2017, and December 31, 2016, $3.9 billion and $3.4 billion, respectively, of loans modified subsequent to repurchase from Ginnie Mae in accordance with the standards of the appropriate government agency (i.e., FHA, VA, RHS) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure. |
(c) | Predominantly all residential real estate impaired loans, excluding PCI loans, are in the U.S. |
(d) | Represents the contractual amount of principal owed at June 30, 2017, and December 31, 2016. The unpaid principal balance differs from the impaired loan balances due to various factors including charge-offs, net deferred loan fees or costs, and unamortized discounts or premiums on purchased loans. |
(e) | At both June 30, 2017 and December 31, 2016, nonaccrual loans included $2.3 billion of TDRs for which the borrowers were less than 90 days past due. For additional information about loans modified in a TDR that are on nonaccrual status refer, to the Loan accounting framework in Note 14 of JPMorgan Chase’s 2016 Annual Report. |
Three months ended June 30, (in millions) | Average impaired loans | Interest income on impaired loans(a) | Interest income on impaired loans on a cash basis(a) | |||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||
Home equity | $ | 2,241 | $ | 2,340 | $ | 30 | $ | 32 | $ | 18 | $ | 20 | ||||||||
Residential mortgage | 5,865 | 6,453 | 68 | 77 | 14 | 20 | ||||||||||||||
Total residential real estate – excluding PCI | $ | 8,106 | $ | 8,793 | $ | 98 | $ | 109 | $ | 32 | $ | 40 | ||||||||
Six months ended June 30, (in millions) | Average impaired loans | Interest income on impaired loans(a) | Interest income on impaired loans on a cash basis(a) | |||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||
Home equity | $ | 2,245 | $ | 2,350 | $ | 61 | $ | 63 | $ | 38 | $ | 41 | ||||||||
Residential mortgage | 5,921 | 6,534 | 141 | 155 | 33 | 39 | ||||||||||||||
Total residential real estate – excluding PCI | $ | 8,166 | $ | 8,884 | $ | 202 | $ | 218 | $ | 71 | $ | 80 |
(a) | Generally, interest income on loans modified in TDRs is recognized on a cash basis until such time as the borrower has made a minimum of six payments under the new terms, unless the loan is deemed to be collateral-dependent. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Home equity | $ | 69 | $ | 70 | $ | 150 | $ | 196 | |||||
Residential mortgage | 96 | 59 | 168 | 122 | |||||||||
Total residential real estate – excluding PCI | $ | 165 | $ | 129 | $ | 318 | $ | 318 |
Three months ended June 30, | Total residential real estate – excluding PCI | |||||||||||||
Home equity | Residential mortgage | |||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||
Number of loans approved for a trial modification | 565 | 688 | 390 | 555 | 955 | 1,243 | ||||||||
Number of loans permanently modified | 1,583 | 949 | 659 | 979 | 2,242 | 1,928 | ||||||||
Concession granted:(a) | ||||||||||||||
Interest rate reduction | 59 | % | 80 | % | 69 | % | 71 | % | 62 | % | 75 | % | ||
Term or payment extension | 78 | 84 | 82 | 90 | 79 | 87 | ||||||||
Principal and/or interest deferred | 9 | 20 | 20 | 16 | 13 | 18 | ||||||||
Principal forgiveness | 9 | 11 | 18 | 29 | 12 | 20 | ||||||||
Other(b) | 15 | 1 | 23 | 23 | 18 | 12 | ||||||||
Six months ended June 30, | Total residential real estate – excluding PCI | |||||||||||||
Home equity | Residential mortgage | |||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||
Number of loans approved for a trial modification | 1,308 | 1,737 | 846 | 1,135 | 2,154 | 2,872 | ||||||||
Number of loans permanently modified | 2,800 | 2,641 | 1,442 | 1,711 | 4,242 | 4,352 | ||||||||
Concession granted:(a) | ||||||||||||||
Interest rate reduction | 71 | % | 71 | % | 76 | % | 72 | % | 72 | % | 71 | % | ||
Term or payment extension | 84 | 88 | 86 | 90 | 84 | 89 | ||||||||
Principal and/or interest deferred | 13 | 18 | 14 | 19 | 14 | 18 | ||||||||
Principal forgiveness | 9 | 10 | 19 | 27 | 12 | 17 | ||||||||
Other(b) | 13 | 1 | 27 | 21 | 18 | 9 |
(a) | Represents concessions granted in permanent modifications as a percentage of the number of loans permanently modified. The sum of the percentages exceeds 100% because predominantly all of the modifications include more than one type of concession. A significant portion of trial modifications include interest rate reductions and/or term or payment extensions. |
(b) | Predominantly represents variable interest rate to fixed interest rate modifications. |
Three months ended June 30, (in millions, except weighted-average data and number of loans) | Home equity | Residential mortgage | Total residential real estate – excluding PCI | |||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||
Weighted-average interest rate of loans with interest rate reductions – before TDR | 5.04 | % | 5.28 | % | 5.13 | % | 5.67 | % | 5.09 | % | 5.54 | % | ||||||||
Weighted-average interest rate of loans with interest rate reductions – after TDR | 2.39 | 2.52 | 3.12 | 2.98 | 2.79 | 2.83 | ||||||||||||||
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR | 26 | 17 | 23 | 25 | 25 | 22 | ||||||||||||||
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR | 38 | 38 | 37 | 38 | 38 | 38 | ||||||||||||||
Charge-offs recognized upon permanent modification | $ | — | $ | $ | $ | 1 | $ | $ | 1 | |||||||||||
Principal deferred | 2 | 4 | 4 | 9 | 6 | 13 | ||||||||||||||
Principal forgiven | 3 | 1 | 6 | 13 | 9 | 14 | ||||||||||||||
Balance of loans that redefaulted within one year of permanent modification(a) | $ | 12 | $ | 11 | $ | 30 | $ | 26 | $ | 42 | $ | 37 | ||||||||
Six months ended June 30, (in millions, except weighted-average data and number of loans) | Home equity | Residential mortgage | Total residential real estate – excluding PCI | |||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||
Weighted-average interest rate of loans with interest rate reductions – before TDR | 4.82 | % | 5.13 | % | 5.25 | % | 5.60 | % | 5.06 | % | 5.40 | % | ||||||||
Weighted-average interest rate of loans with interest rate reductions – after TDR | 2.42 | 2.46 | 3.00 | 2.92 | 2.74 | 2.73 | ||||||||||||||
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – before TDR | 23 | 18 | 24 | 25 | 24 | 22 | ||||||||||||||
Weighted-average remaining contractual term (in years) of loans with term or payment extensions – after TDR | 39 | 38 | 38 | 38 | 38 | 38 | ||||||||||||||
Charge-offs recognized upon permanent modification | $ | 1 | $ | 1 | $ | 1 | $ | 2 | $ | 2 | $ | 3 | ||||||||
Principal deferred | 7 | 12 | 7 | 19 | 14 | 31 | ||||||||||||||
Principal forgiven | 5 | 4 | 11 | 25 | 16 | 29 | ||||||||||||||
Balance of loans that redefaulted within one year of permanent modification(a) | $ | 21 | $ | 20 | $ | 58 | $ | 48 | $ | 79 | $ | 68 |
(a) | Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes two contractual payments past due. In the event that a modified loan redefaults, it is probable that the loan will ultimately be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12 months may not be representative of ultimate redefault levels. |
(in millions, except ratios) | Auto | Consumer & Business Banking(c) | ||||||||||||
Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||
Loan delinquency | ||||||||||||||
Current | $ | 65,050 | $ | 65,029 | $ | 24,746 | $ | 23,920 | ||||||
30–119 days past due | 568 | 773 | 150 | 247 | ||||||||||
120 or more days past due | 9 | 12 | 148 | 140 | ||||||||||
Total retained loans | $ | 65,627 | $ | 65,814 | $ | 25,044 | $ | 24,307 | ||||||
% of 30+ days past due to total retained loans | 0.88 | % | 1.19 | % | 1.19 | % | 1.59 | % | ||||||
Nonaccrual loans(a) | 158 | 214 | 301 | 287 | ||||||||||
Geographic region | ||||||||||||||
California | $ | 8,347 | $ | 7,975 | $ | 4,731 | $ | 4,426 | ||||||
Texas | 6,807 | 7,041 | 2,929 | 2,954 | ||||||||||
New York | 3,974 | 4,078 | 4,066 | 3,979 | ||||||||||
Illinois | 4,052 | 3,984 | 1,867 | 1,758 | ||||||||||
Florida | 3,369 | 3,374 | 1,263 | 1,195 | ||||||||||
Ohio | 2,126 | 2,194 | 1,412 | 1,402 | ||||||||||
Arizona | 2,132 | 2,209 | 1,305 | 1,307 | ||||||||||
Michigan | 1,552 | 1,567 | 1,350 | 1,343 | ||||||||||
New Jersey | 2,044 | 2,031 | 658 | 623 | ||||||||||
Louisiana | 1,712 | 1,814 | 951 | 979 | ||||||||||
All other | 29,512 | 29,547 | 4,512 | 4,341 | ||||||||||
Total retained loans | $ | 65,627 | $ | 65,814 | $ | 25,044 | $ | 24,307 | ||||||
Loans by risk ratings(b) | ||||||||||||||
Noncriticized | $ | 14,863 | $ | 13,899 | $ | 17,465 | $ | 16,858 | ||||||
Criticized performing | 119 | 201 | 750 | 816 | ||||||||||
Criticized nonaccrual | 56 | 94 | 227 | 217 |
(a) | There were no loans that were 90 or more days past due and still accruing interest at June 30, 2017, and December 31, 2016. |
(b) | For risk-rated business banking and auto loans, the primary credit quality indicator is the risk rating of the loan, including whether the loans are considered to be criticized and/or nonaccrual. |
(c) | Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation. |
(in millions) | June 30, 2017 | December 31, 2016 | |||||
Impaired loans | |||||||
With an allowance | $ | 345 | $ | 614 | |||
Without an allowance(a) | 29 | 30 | |||||
Total impaired loans(b)(c) | $ | 374 | $ | 644 | |||
Allowance for loan losses related to impaired loans | $ | 103 | $ | 119 | |||
Unpaid principal balance of impaired loans(d) | 462 | 753 | |||||
Impaired loans on nonaccrual status | 331 | 508 |
(a) | When discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged off and/or there have been interest payments received and applied to the loan balance. |
(b) | Predominantly all other consumer impaired loans are in the U.S. |
(c) | Other consumer average impaired loans were $381 million and $622 million for the three months ended June 30, 2017 and 2016, respectively, and $501 million and $596 million for the six months ended June 30, 2017 and 2016, respectively. The related interest income on impaired loans, including those on a cash basis, was not material for the three and six months ended June 30, 2017 and 2016. |
(d) | Represents the contractual amount of principal owed at June 30, 2017, and December 31, 2016. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs, interest payments received and applied to the principal balance, net deferred loan fees or costs, and unamortized discounts or premiums on purchased loans. |
(in millions) | June 30, 2017 | December 31, 2016 | |||||
Loans modified in TDRs(a)(b) | $ | 119 | $ | 362 | |||
TDRs on nonaccrual status | 76 | 226 |
(a) | The impact of these modifications were not material to the Firm for the three and six months ended June 30, 2017 and 2016. |
(b) | Additional commitments to lend to borrowers whose loans have been modified in TDRs as of June 30, 2017, and December 31, 2016, were immaterial. |
(in millions, except ratios) | Home equity | Prime mortgage | Subprime mortgage | Option ARMs | Total PCI | |||||||||||||||||||||||||||||
Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||||||||||||||||
Carrying value(a) | $ | 11,838 | $ | 12,902 | $ | 7,023 | $ | 7,602 | $ | 2,771 | $ | 2,941 | $ | 11,432 | $ | 12,234 | $ | 33,064 | $ | 35,679 | ||||||||||||||
Related allowance for loan losses(b) | 1,133 | 1,433 | 903 | 829 | 150 | — | 79 | 49 | 2,265 | 2,311 | ||||||||||||||||||||||||
Loan delinquency (based on unpaid principal balance) | ||||||||||||||||||||||||||||||||||
Current | $ | 11,396 | $ | 12,423 | $ | 6,367 | $ | 6,840 | $ | 2,914 | $ | 3,005 | $ | 10,443 | $ | 11,074 | $ | 31,120 | $ | 33,342 | ||||||||||||||
30–149 days past due | 268 | 291 | 296 | 336 | 292 | 361 | 466 | 555 | 1,322 | 1,543 | ||||||||||||||||||||||||
150 or more days past due | 434 | 478 | 384 | 451 | 188 | 240 | 774 | 917 | 1,780 | 2,086 | ||||||||||||||||||||||||
Total loans | $ | 12,098 | $ | 13,192 | $ | 7,047 | $ | 7,627 | $ | 3,394 | $ | 3,606 | $ | 11,683 | $ | 12,546 | $ | 34,222 | $ | 36,971 | ||||||||||||||
% of 30+ days past due to total loans | 5.80 | % | 5.83 | % | 9.65 | % | 10.32 | % | 14.14 | % | 16.67 | % | 10.61 | % | 11.73 | % | 9.06 | % | 9.82 | % | ||||||||||||||
Current estimated LTV ratios (based on unpaid principal balance)(c)(d) | ||||||||||||||||||||||||||||||||||
Greater than 125% and refreshed FICO scores: | ||||||||||||||||||||||||||||||||||
Equal to or greater than 660 | $ | 44 | $ | 69 | $ | 6 | $ | 6 | $ | 5 | $ | 7 | $ | 6 | $ | 12 | $ | 61 | $ | 94 | ||||||||||||||
Less than 660 | 23 | 39 | 16 | 17 | 25 | 31 | 13 | 18 | 77 | 105 | ||||||||||||||||||||||||
101% to 125% and refreshed FICO scores: | ||||||||||||||||||||||||||||||||||
Equal to or greater than 660 | 365 | 555 | 27 | 52 | 26 | 39 | 61 | 83 | 479 | 729 | ||||||||||||||||||||||||
Less than 660 | 175 | 256 | 56 | 84 | 94 | 135 | 91 | 144 | 416 | 619 | ||||||||||||||||||||||||
80% to 100% and refreshed FICO scores: | ||||||||||||||||||||||||||||||||||
Equal to or greater than 660 | 1,480 | 1,860 | 292 | 442 | 146 | 214 | 376 | 558 | 2,294 | 3,074 | ||||||||||||||||||||||||
Less than 660 | 678 | 804 | 289 | 381 | 356 | 439 | 463 | 609 | 1,786 | 2,233 | ||||||||||||||||||||||||
Lower than 80% and refreshed FICO scores: | ||||||||||||||||||||||||||||||||||
Equal to or greater than 660 | 6,461 | 6,676 | 3,781 | 3,967 | 936 | 919 | 6,438 | 6,754 | 17,616 | 18,316 | ||||||||||||||||||||||||
Less than 660 | 2,159 | 2,183 | 2,209 | 2,287 | 1,641 | 1,645 | 3,691 | 3,783 | 9,700 | 9,898 | ||||||||||||||||||||||||
No FICO/LTV available | 713 | 750 | 371 | 391 | 165 | 177 | 544 | 585 | 1,793 | 1,903 | ||||||||||||||||||||||||
Total unpaid principal balance | $ | 12,098 | $ | 13,192 | $ | 7,047 | $ | 7,627 | $ | 3,394 | $ | 3,606 | $ | 11,683 | $ | 12,546 | $ | 34,222 | $ | 36,971 | ||||||||||||||
Geographic region (based on unpaid principal balance) | ||||||||||||||||||||||||||||||||||
California | $ | 7,218 | $ | 7,899 | $ | 4,034 | $ | 4,396 | $ | 846 | $ | 899 | $ | 6,626 | $ | 7,128 | $ | 18,724 | $ | 20,322 | ||||||||||||||
Florida | 1,224 | 1,306 | 465 | 501 | 313 | 332 | 971 | 1,026 | 2,973 | 3,165 | ||||||||||||||||||||||||
New York | 653 | 697 | 487 | 515 | 347 | 363 | 660 | 711 | 2,147 | 2,286 | ||||||||||||||||||||||||
Washington | 603 | 673 | 151 | 167 | 64 | 68 | 263 | 290 | 1,081 | 1,198 | ||||||||||||||||||||||||
New Jersey | 259 | 280 | 196 | 210 | 119 | 125 | 373 | 401 | 947 | 1,016 | ||||||||||||||||||||||||
Illinois | 294 | 314 | 215 | 226 | 169 | 178 | 269 | 282 | 947 | 1,000 | ||||||||||||||||||||||||
Massachusetts | 88 | 94 | 159 | 173 | 104 | 110 | 321 | 346 | 672 | 723 | ||||||||||||||||||||||||
Maryland | 60 | 64 | 138 | 144 | 138 | 145 | 248 | 267 | 584 | 620 | ||||||||||||||||||||||||
Arizona | 219 | 241 | 113 | 124 | 63 | 68 | 167 | 181 | 562 | 614 | ||||||||||||||||||||||||
Virginia | 71 | 77 | 132 | 142 | 53 | 56 | 296 | 314 | 552 | 589 | ||||||||||||||||||||||||
All other | 1,409 | 1,547 | 957 | 1,029 | 1,178 | 1,262 | 1,489 | 1,600 | 5,033 | 5,438 | ||||||||||||||||||||||||
Total unpaid principal balance | $ | 12,098 | $ | 13,192 | $ | 7,047 | $ | 7,627 | $ | 3,394 | $ | 3,606 | $ | 11,683 | $ | 12,546 | $ | 34,222 | $ | 36,971 |
(a) | Carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition. |
(b) | Management concluded as part of the Firm’s regular assessment of the PCI loan pools that it was probable that higher expected credit losses would result in a decrease in expected cash flows. As a result, an allowance for loan losses for impairment of these pools has been recognized. |
(c) | Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property. |
(d) | Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis. |
Total loans | Total 30+ day delinquency rate | ||||||||||
(in millions, except ratios) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||
HELOCs:(a) | |||||||||||
Within the revolving period(b) | $ | 787 | $ | 2,126 | 3.94 | % | 3.67 | % | |||
Beyond the revolving period(c) | 7,957 | 7,452 | 3.97 | 4.03 | |||||||
HELOANs | 409 | 465 | 4.65 | 5.38 | |||||||
Total | $ | 9,153 | $ | 10,043 | 4.00 | % | 4.01 | % |
(a) | In general, these HELOCs are revolving loans for a 10-year period, after which time the HELOC converts to an interest-only loan with a balloon payment at the end of the loan’s term. |
(b) | Substantially all undrawn HELOCs within the revolving period have been closed. |
(c) | Includes loans modified into fixed rate amortizing loans. |
Total PCI | |||||||||||||
(in millions, except ratios) | Three months ended June 30, | Six months ended June 30, | |||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||
Beginning balance | $ | 13,122 | $ | 12,674 | $ | 11,768 | $ | 13,491 | |||||
Accretion into interest income | (357 | ) | (395 | ) | (716 | ) | (802 | ) | |||||
Changes in interest rates on variable-rate loans | 51 | 25 | 167 | 101 | |||||||||
Other changes in expected cash flows(a) | (177 | ) | (3 | ) | 1,420 | (489 | ) | ||||||
Balance at June 30 | $ | 12,639 | $ | 12,301 | $ | 12,639 | $ | 12,301 | |||||
Accretable yield percentage | 4.55 | % | 4.37 | % | 4.45 | % | 4.36 | % |
(a) | Other changes in expected cash flows may vary from period to period as the Firm continues to refine its cash flow model, for example cash flows expected to be collected due to the impact of modifications and changes in prepayment assumptions. |
(in millions, except ratios) | June 30, 2017 | December 31, 2016 | ||||
Loan delinquency | ||||||
Current and less than 30 days past due and still accruing | $ | 137,811 | $ | 139,434 | ||
30–89 days past due and still accruing | 1,099 | 1,134 | ||||
90 or more days past due and still accruing | 1,125 | 1,143 | ||||
Total retained credit card loans | $ | 140,035 | $ | 141,711 | ||
Loan delinquency ratios | ||||||
% of 30+ days past due to total retained loans | 1.59 | % | 1.61 | % | ||
% of 90+ days past due to total retained loans | 0.80 | 0.81 | ||||
Credit card loans by geographic region | ||||||
California | $ | 20,592 | $ | 20,571 | ||
Texas | 13,256 | 13,220 | ||||
New York | 12,236 | 12,249 | ||||
Florida | 8,481 | 8,585 | ||||
Illinois | 8,080 | 8,189 | ||||
New Jersey | 6,134 | 6,271 | ||||
Ohio | 4,745 | 4,906 | ||||
Pennsylvania | 4,624 | 4,787 | ||||
Colorado | 3,752 | 3,699 | ||||
Michigan | 3,621 | 3,741 | ||||
All other | 54,514 | 55,493 | ||||
Total retained credit card loans | $ | 140,035 | $ | 141,711 | ||
Percentage of portfolio based on carrying value with estimated refreshed FICO scores | ||||||
Equal to or greater than 660 | 84.2 | % | 84.4 | % | ||
Less than 660 | 14.4 | 14.2 | ||||
No FICO available | 1.4 | 1.4 |
(in millions) | June 30, 2017 | December 31, 2016 | ||||
Impaired credit card loans with an allowance(a)(b) | ||||||
Credit card loans with modified payment terms(c) | $ | 1,078 | $ | 1,098 | ||
Modified credit card loans that have reverted to pre-modification payment terms(d) | 126 | 142 | ||||
Total impaired credit card loans(e) | $ | 1,204 | $ | 1,240 | ||
Allowance for loan losses related to impaired credit card loans | $ | 370 | $ | 358 |
(a) | The carrying value and the unpaid principal balance are the same for credit card impaired loans. |
(b) | There were no impaired loans without an allowance. |
(c) | Represents credit card loans outstanding to borrowers enrolled in a credit card modification program as of the date presented. |
(d) | Represents credit card loans that were modified in TDRs but that have subsequently reverted back to the loans’ pre-modification payment terms. |
(e) | Predominantly all impaired credit card loans are in the U.S. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Average impaired credit card loans | $ | 1,212 | $ | 1,345 | $ | 1,220 | $ | 1,390 | |||||
Interest income on impaired credit card loans | 15 | 16 | 29 | 33 |
(in millions, except weighted-average data) | Three months ended June 30, | Six months ended June 30, | |||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||
Weighted-average interest rate of loans – before TDR | 16.55 | % | 15.61 | % | 16.35 | % | 15.54 | % | |||||
Weighted-average interest rate of loans – after TDR | 4.80 | 4.85 | 4.78 | 4.82 | |||||||||
Loans that redefaulted within one year of modification(a) | $ | 24 | $ | 18 | $ | 45 | $ | 37 |
(a) | Represents loans modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The amounts presented represent the balance of such loans as of the end of the quarter in which they defaulted. |
Commercial and industrial | Real estate | Financial institutions | Government agencies | Other(d) | Total retained loans | ||||||||||||||||||||||||||||||||||
(in millions, except ratios) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||||||||||||||||||
Loans by risk ratings | |||||||||||||||||||||||||||||||||||||||
Investment-grade | $ | 68,142 | $ | 65,687 | $ | 93,465 | $ | 88,649 | $ | 23,705 | $ | 24,294 | $ | 15,601 | $ | 15,935 | $ | 101,773 | $ | 95,358 | $ | 302,686 | $ | 289,923 | |||||||||||||||
Noninvestment-grade: | |||||||||||||||||||||||||||||||||||||||
Noncriticized | 46,729 | 47,531 | 15,461 | 16,155 | 11,630 | 11,075 | 393 | 439 | 9,383 | 9,360 | 83,596 | 84,560 | |||||||||||||||||||||||||||
Criticized performing | 5,270 | 6,186 | 826 | 798 | 320 | 200 | — | 6 | 94 | 163 | 6,510 | 7,353 | |||||||||||||||||||||||||||
Criticized nonaccrual | 1,176 | 1,491 | 152 | 200 | 30 | 9 | — | — | 276 | 254 | 1,634 | 1,954 | |||||||||||||||||||||||||||
Total noninvestment- grade | 53,175 | 55,208 | 16,439 | 17,153 | 11,980 | 11,284 | 393 | 445 | 9,753 | 9,777 | 91,740 | 93,867 | |||||||||||||||||||||||||||
Total retained loans | $ | 121,317 | $ | 120,895 | $ | 109,904 | $ | 105,802 | $ | 35,685 | $ | 35,578 | $ | 15,994 | $ | 16,380 | $ | 111,526 | $ | 105,135 | $ | 394,426 | $ | 383,790 | |||||||||||||||
% of total criticized exposure to total retained loans | 5.31 | % | 6.35 | % | 0.89 | % | 0.94 | % | 0.98 | % | 0.59 | % | — | % | 0.04 | % | 0.33 | % | 0.40 | % | 2.06 | % | 2.43 | % | |||||||||||||||
% of criticized nonaccrual to total retained loans | 0.97 | 1.23 | 0.14 | 0.19 | 0.08 | 0.03 | — | — | 0.25 | 0.24 | 0.41 | 0.51 | |||||||||||||||||||||||||||
Loans by geographic distribution(a) | |||||||||||||||||||||||||||||||||||||||
Total non-U.S. | $ | 29,631 | $ | 30,563 | $ | 2,936 | $ | 3,302 | $ | 15,165 | $ | 15,147 | $ | 3,634 | $ | 3,726 | $ | 41,987 | $ | 38,776 | $ | 93,353 | $ | 91,514 | |||||||||||||||
Total U.S. | 91,686 | 90,332 | 106,968 | 102,500 | 20,520 | 20,431 | 12,360 | 12,654 | 69,539 | 66,359 | 301,073 | 292,276 | |||||||||||||||||||||||||||
Total retained loans | $ | 121,317 | $ | 120,895 | $ | 109,904 | $ | 105,802 | $ | 35,685 | $ | 35,578 | $ | 15,994 | $ | 16,380 | $ | 111,526 | $ | 105,135 | $ | 394,426 | $ | 383,790 | |||||||||||||||
Loan delinquency(b) | |||||||||||||||||||||||||||||||||||||||
Current and less than 30 days past due and still accruing | $ | 119,863 | $ | 119,050 | $ | 109,612 | $ | 105,396 | $ | 35,565 | $ | 35,523 | $ | 15,988 | $ | 16,269 | $ | 110,313 | $ | 104,280 | $ | 391,341 | $ | 380,518 | |||||||||||||||
30–89 days past due and still accruing | 192 | 268 | 130 | 204 | 74 | 25 | 1 | 107 | 932 | 582 | 1,329 | 1,186 | |||||||||||||||||||||||||||
90 or more days past due and still accruing(c) | 86 | 86 | 10 | 2 | 16 | 21 | 5 | 4 | 5 | 19 | 122 | 132 | |||||||||||||||||||||||||||
Criticized nonaccrual | 1,176 | 1,491 | 152 | 200 | 30 | 9 | — | — | 276 | 254 | 1,634 | 1,954 | |||||||||||||||||||||||||||
Total retained loans | $ | 121,317 | $ | 120,895 | $ | 109,904 | $ | 105,802 | $ | 35,685 | $ | 35,578 | $ | 15,994 | $ | 16,380 | $ | 111,526 | $ | 105,135 | $ | 394,426 | $ | 383,790 |
(a) | The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower. |
(b) | The credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor’s ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. For further discussion, see Note 14 of JPMorgan Chase’s 2016 Annual Report. |
(c) | Represents loans that are considered well-collateralized and therefore still accruing interest. |
(d) | Includes loans to: individuals; SPEs; and private education and civic organizations. For more information on SPEs, see Note 16 of JPMorgan Chase’s 2016 Annual Report. |
(in millions, except ratios) | Multifamily | Other commercial | Total real estate loans | |||||||||||||||||
Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||||||
Real estate retained loans | $ | 75,542 | $ | 72,143 | $ | 34,362 | $ | 33,659 | $ | 109,904 | $ | 105,802 | ||||||||
Criticized exposure | 457 | 539 | 521 | 459 | 978 | 998 | ||||||||||||||
% of total criticized exposure to total real estate retained loans | 0.60 | % | 0.75 | % | 1.52 | % | 1.36 | % | 0.89 | % | 0.94 | % | ||||||||
Criticized nonaccrual | $ | 45 | $ | 57 | $ | 107 | $ | 143 | $ | 152 | $ | 200 | ||||||||
% of criticized nonaccrual loans to total real estate retained loans | 0.06 | % | 0.08 | % | 0.31 | % | 0.42 | % | 0.14 | % | 0.19 | % |
(in millions) | Commercial and industrial | Real estate | Financial institutions | Government agencies | Other | Total retained loans | |||||||||||||||||||||||||||||||||||||
Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | ||||||||||||||||||||||||||||||||
Impaired loans | |||||||||||||||||||||||||||||||||||||||||||
With an allowance | $ | 942 | $ | 1,127 | $ | 84 | $ | 124 | $ | 5 | $ | 9 | $ | — | $ | — | $ | 211 | $ | 180 | $ | 1,242 | $ | 1,440 | |||||||||||||||||||
Without an allowance(a) | 369 | 414 | 75 | 87 | 9 | — | — | — | 65 | 76 | 518 | 577 | |||||||||||||||||||||||||||||||
Total impaired loans | $ | 1,311 | $ | 1,541 | $ | 159 | $ | 211 | $ | 14 | $ | 9 | $ | — | $ | — | $ | 276 | $ | 256 | $ | 1,760 | (c) | $ | 2,017 | (c) | |||||||||||||||||
Allowance for loan losses related to impaired loans | $ | 259 | $ | 260 | $ | 9 | $ | 18 | $ | 14 | $ | 3 | $ | — | $ | — | $ | 63 | $ | 61 | $ | 345 | $ | 342 | |||||||||||||||||||
Unpaid principal balance of impaired loans(b) | 1,566 | 1,754 | 237 | 295 | 14 | 12 | — | — | 214 | 284 | 2,031 | 2,345 |
(a) | When the discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance. |
(b) | Represents the contractual amount of principal owed at June 30, 2017, and December 31, 2016. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and unamortized discount or premiums on purchased loans. |
(c) | Based upon the domicile of the borrower, largely consists of loans in the U.S. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Commercial and industrial | $ | 868 | $ | 1,704 | $ | 982 | $ | 1,413 | |||||
Real estate | 149 | 235 | 161 | 234 | |||||||||
Financial institutions | 4 | 11 | 4 | 11 | |||||||||
Government agencies | — | — | — | — | |||||||||
Other | 209 | 194 | 205 | 189 | |||||||||
Total(a) | $ | 1,230 | $ | 2,144 | $ | 1,352 | $ | 1,847 |
(a) | The related interest income on accruing impaired loans and interest income recognized on a cash basis were not material for the three and six months ended June 30, 2017 and 2016. |
2017 | 2016 | ||||||||||||||||||||||||||
Six months ended June 30, (in millions) | Consumer, excluding credit card | Credit card | Wholesale | Total | Consumer, excluding credit card | Credit card | Wholesale | Total | |||||||||||||||||||
Allowance for loan losses | |||||||||||||||||||||||||||
Beginning balance at January 1, | $ | 5,198 | $ | 4,034 | $ | 4,544 | $ | 13,776 | 5,806 | $ | 3,434 | $ | 4,315 | $ | 13,555 | ||||||||||||
Gross charge-offs | 1,105 | 2,223 | 99 | 3,427 | 688 | 1,874 | 228 | 2,790 | |||||||||||||||||||
Gross recoveries | (307 | ) | (193 | ) | (69 | ) | (569 | ) | (301 | ) | (184 | ) | (14 | ) | (499 | ) | |||||||||||
Net charge-offs/(recoveries) | 798 | 2,030 | 30 | 2,858 | 387 | 1,690 | 214 | 2,291 | |||||||||||||||||||
Write-offs of PCI loans(a) | 46 | — | — | 46 | 88 | — | — | 88 | |||||||||||||||||||
Provision for loan losses | 448 | 2,380 | (337 | ) | 2,491 | 316 | 1,940 | 796 | 3,052 | ||||||||||||||||||
Other | (2 | ) | — | 2 | — | (1 | ) | — | — | (1 | ) | ||||||||||||||||
Ending balance at June 30, | $ | 4,800 | $ | 4,384 | $ | 4,179 | $ | 13,363 | $ | 5,646 | $ | 3,684 | $ | 4,897 | $ | 14,227 | |||||||||||
Allowance for loan losses by impairment methodology | |||||||||||||||||||||||||||
Asset-specific(b) | $ | 296 | $ | 370 | (c) | $ | 345 | $ | 1,011 | $ | 365 | $ | 361 | (c) | $ | 525 | $ | 1,251 | |||||||||
Formula-based | 2,239 | 4,014 | 3,834 | 10,087 | 2,627 | 3,323 | 4,372 | 10,322 | |||||||||||||||||||
PCI | 2,265 | — | — | 2,265 | 2,654 | — | — | 2,654 | |||||||||||||||||||
Total allowance for loan losses | $ | 4,800 | $ | 4,384 | $ | 4,179 | $ | 13,363 | $ | 5,646 | $ | 3,684 | $ | 4,897 | $ | 14,227 | |||||||||||
Loans by impairment methodology | |||||||||||||||||||||||||||
Asset-specific | $ | 8,340 | $ | 1,204 | $ | 1,760 | $ | 11,304 | $ | 9,370 | $ | 1,307 | $ | 2,149 | $ | 12,826 | |||||||||||
Formula-based | 323,711 | 138,831 | 392,663 | 855,205 | 313,320 | 130,200 | 372,021 | 815,541 | |||||||||||||||||||
PCI | 33,064 | — | 3 | 33,067 | 38,360 | — | 4 | 38,364 | |||||||||||||||||||
Total retained loans | $ | 365,115 | $ | 140,035 | $ | 394,426 | $ | 899,576 | $ | 361,050 | $ | 131,507 | $ | 374,174 | $ | 866,731 | |||||||||||
Impaired collateral-dependent loans | |||||||||||||||||||||||||||
Net charge-offs | $ | 36 | $ | — | $ | 16 | $ | 52 | $ | 43 | $ | — | $ | 5 | $ | 48 | |||||||||||
Loans measured at fair value of collateral less cost to sell | 2,234 | — | 296 | 2,530 | 2,431 | — | 295 | 2,726 | |||||||||||||||||||
Allowance for lending-related commitments | |||||||||||||||||||||||||||
Beginning balance at January 1, | $ | 26 | $ | — | $ | 1,052 | $ | 1,078 | $ | 14 | $ | — | $ | 772 | $ | 786 | |||||||||||
Provision for lending-related commitments | 6 | — | 33 | 39 | — | — | 174 | 174 | |||||||||||||||||||
Other | — | — | — | — | — | — | — | — | |||||||||||||||||||
Ending balance at June 30, | $ | 32 | $ | — | $ | 1,085 | $ | 1,117 | $ | 14 | $ | — | $ | 946 | $ | 960 | |||||||||||
Allowance for lending-related commitments by impairment methodology | |||||||||||||||||||||||||||
Asset-specific | $ | — | $ | — | $ | 211 | $ | 211 | $ | — | $ | — | $ | 143 | $ | 143 | |||||||||||
Formula-based | 32 | — | 874 | 906 | 14 | — | 803 | 817 | |||||||||||||||||||
Total allowance for lending-related commitments | $ | 32 | $ | — | $ | 1,085 | $ | 1,117 | $ | 14 | $ | — | $ | 946 | $ | 960 | |||||||||||
Lending-related commitments by impairment methodology | |||||||||||||||||||||||||||
Asset-specific | $ | — | $ | — | $ | 750 | $ | 750 | $ | — | $ | — | $ | 460 | $ | 460 | |||||||||||
Formula-based | 58,162 | 576,264 | 365,748 | 1,000,174 | 59,224 | 539,105 | 356,685 | 955,014 | |||||||||||||||||||
Total lending-related commitments | $ | 58,162 | $ | 576,264 | $ | 366,498 | $ | 1,000,924 | $ | 59,224 | $ | 539,105 | $ | 357,145 | $ | 955,474 |
(a) | Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. A write-off of a PCI loan is recognized when the underlying loan is removed from a pool (e.g., upon liquidation). |
(b) | Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR. |
(c) | The asset-specific credit card allowance for loan losses is related to loans that have been modified in a TDR; such allowance is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates. |
Line of Business | Transaction Type | Activity | Form 10-Q page reference |
CCB | Credit card securitization trusts | Securitization of both originated and purchased credit card receivables | 139 |
Mortgage securitization trusts | Servicing and securitization of both originated and purchased residential mortgages | 139–141 | |
CIB | Mortgage and other securitization trusts | Securitization of both originated and purchased residential and commercial mortgages, and student loans | 139–141 |
Multi-seller conduits Investor intermediation activities | Assist clients in accessing the financial markets in a cost-efficient manner and structures transactions to meet investor needs | 141 |
Principal amount outstanding | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | ||||||||||||||||||
June 30, 2017 (in millions) | Total assets held by securitization VIEs | Assets held in consolidated securitization VIEs | Assets held in nonconsolidated securitization VIEs with continuing involvement | Trading assets | AFS securities | Total interests held by JPMorgan Chase | |||||||||||||
Securitization-related(a) | |||||||||||||||||||
Residential mortgage: | |||||||||||||||||||
Prime/Alt-A and option ARMs | $ | 71,894 | $ | 3,927 | $ | 54,473 | $ | 209 | $ | 1,121 | $ | 1,330 | |||||||
Subprime | 20,241 | — | 18,758 | 99 | — | 99 | |||||||||||||
Commercial and other(b) | 93,625 | 95 | 65,915 | 605 | 1,553 | 2,158 | |||||||||||||
Total | $ | 185,760 | $ | 4,022 | $ | 139,146 | $ | 913 | $ | 2,674 | $ | 3,587 |
Principal amount outstanding | JPMorgan Chase interest in securitized assets in nonconsolidated VIEs(c)(d)(e) | ||||||||||||||||||
December 31, 2016 (in millions) | Total assets held by securitization VIEs | Assets held in consolidated securitization VIEs | Assets held in nonconsolidated securitization VIEs with continuing involvement | Trading assets | AFS securities | Total interests held by JPMorgan Chase | |||||||||||||
Securitization-related(a) | |||||||||||||||||||
Residential mortgage: | |||||||||||||||||||
Prime/Alt-A and option ARMs | $ | 76,789 | $ | 4,209 | $ | 57,543 | $ | 226 | $ | 1,334 | $ | 1,560 | |||||||
Subprime | 21,542 | — | 19,903 | 76 | — | 76 | |||||||||||||
Commercial and other(b) | 101,265 | 107 | 71,464 | 509 | 2,064 | 2,573 | |||||||||||||
Total | $ | 199,596 | $ | 4,316 | $ | 148,910 | $ | 811 | $ | 3,398 | $ | 4,209 |
(a) | Excludes U.S. government agency securitizations and re-securitizations, which are not Firm-sponsored. See page 143 of this Note for information on the Firm’s loan sales to U.S. government agencies. |
(b) | Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. |
(c) | Excludes the following: retained servicing (see Note 14 for a discussion of MSRs); securities retained from loan sales to U.S. government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (See Note 4 for further information on derivatives); senior and subordinated securities of $119 million and $44 million, respectively, at June 30, 2017, and $180 million and $49 million, respectively, at December 31, 2016, which the Firm purchased in connection with CIB’s secondary market-making activities. |
(d) | Includes interests held in re-securitization transactions. |
(e) | As of June 30, 2017, and December 31, 2016, 63% and 61%, respectively, of the Firm’s retained securitization interests, which are carried at fair value and include amounts required to be held pursuant to credit risk retention rules, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $1.3 billion and $1.5 billion of investment-grade and $37 million and $77 million of noninvestment-grade retained interests at June 30, 2017, and December 31, 2016, respectively. The retained interests in commercial and other securitizations trusts consisted of $1.9 billion and $2.4 billion of investment-grade and $242 million and $210 million of noninvestment-grade retained interests at June 30, 2017, and December 31, 2016, respectively. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Transfers of securities to VIEs | |||||||||||||||
Firm-sponsored private-label | $ | — | $ | 144 | $ | — | $ | 144 | |||||||
Agency | $ | 1,462 | $ | 3,494 | $ | 4,686 | $ | 6,350 |
Nonconsolidated re-securitization VIEs | |||||||
(in millions) | June 30, 2017 | December 31, 2016 | |||||
Firm-sponsored private-label | |||||||
Assets held in VIEs with continuing involvement(a) | $ | 651 | $ | 875 | |||
Interest in VIEs | 31 | 43 | |||||
Agency | |||||||
Interest in VIEs | 1,876 | 1,986 |
(a) | Includes the notional amount of interest-only securities. |
Assets | Liabilities | |||||||||||||||||||||
June 30, 2017 (in millions) | Trading assets | Loans | Other(d) | Total assets(e) | Beneficial interests in VIE assets(f) | Other(g) | Total liabilities | |||||||||||||||
VIE program type(a) | ||||||||||||||||||||||
Firm-sponsored credit card trusts | $ | — | $ | 41,997 | $ | 711 | $ | 42,708 | $ | 25,732 | $ | 17 | $ | 25,749 | ||||||||
Firm-administered multi-seller conduits | 2 | 25,039 | 43 | 25,084 | 2,928 | 29 | 2,957 | |||||||||||||||
Municipal bond vehicles | 2,534 | — | 6 | 2,540 | 1,693 | 2 | 1,695 | |||||||||||||||
Mortgage securitization entities(b) | 90 | 3,976 | 72 | 4,138 | 406 | 273 | 679 | |||||||||||||||
Student loan securitization entities(c) | — | — | — | — | — | — | — | |||||||||||||||
Other | 62 | — | 1,987 | 2,049 | 139 | 106 | 245 | |||||||||||||||
Total | $ | 2,688 | $ | 71,012 | $ | 2,819 | $ | 76,519 | $ | 30,898 | $ | 427 | $ | 31,325 | ||||||||
Assets | Liabilities | |||||||||||||||||||||
December 31, 2016 (in millions) | Trading assets | Loans | Other(d) | Total assets(e) | Beneficial interests in VIE assets(f) | Other(g) | Total liabilities | |||||||||||||||
VIE program type(a) | ||||||||||||||||||||||
Firm-sponsored credit card trusts | $ | — | $ | 45,919 | $ | 790 | $ | 46,709 | $ | 31,181 | $ | 18 | $ | 31,199 | ||||||||
Firm-administered multi-seller conduits | — | 23,760 | 43 | 23,803 | 2,719 | 33 | 2,752 | |||||||||||||||
Municipal bond vehicles | 2,897 | — | 8 | 2,905 | 2,969 | 2 | 2,971 | |||||||||||||||
Mortgage securitization entities(b) | 143 | 4,246 | 103 | 4,492 | 468 | 313 | 781 | |||||||||||||||
Student loan securitization entities(c) | — | 1,689 | 59 | 1,748 | 1,527 | 4 | 1,531 | |||||||||||||||
Other | 145 | — | 2,318 | 2,463 | 183 | 120 | 303 | |||||||||||||||
Total | $ | 3,185 | $ | 75,614 | $ | 3,321 | $ | 82,120 | $ | 39,047 | $ | 490 | $ | 39,537 |
(a) | Excludes intercompany transactions which are eliminated in consolidation. |
(b) | Includes residential and commercial mortgage securitizations as well as re-securitizations. |
(c) | The Firm deconsolidated the student loan securitization entities in the second quarter of 2017 as it no longer had a controlling financial interest in these entities as a result of the sale of the student loan portfolio. For additional information see Note 23. |
(d) | Includes assets classified as cash and other assets on the Consolidated balance sheets. |
(e) | The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The difference between total assets and total liabilities recognized for consolidated VIEs represents the Firm’s interest in the consolidated VIEs for each program type. |
(f) | The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated balance sheets titled, “Beneficial interests issued by consolidated VIEs.” The holders of these beneficial interests do not have recourse to the general credit of JPMorgan Chase. Included in beneficial interests in VIE assets are long-term beneficial interests of $26.3 billion and $33.4 billion at June 30, 2017, and December 31, 2016, respectively. The maturities of the long-term beneficial interests as of June 30, 2017, were as follows: $10.6 billion under one year, $14.5 billion between one and five years, and $1.2 billion over five years. |
(g) | Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||||||||||||||
(in millions) | Residential mortgage(c) | Commercial and other(d) | Residential mortgage(c) | Commercial and other(d) | Residential mortgage(c) | Commercial and other(d) | Residential mortgage(c) | Commercial and other(d) | |||||||||||||||||||
Principal securitized | $ | 1,020 | $ | 1,997 | $ | 413 | $ | 1,034 | $ | 2,049 | $ | 3,312 | $ | 413 | $ | 2,358 | |||||||||||
All cash flows during the period(a): | |||||||||||||||||||||||||||
Proceeds from loan sales as securities | |||||||||||||||||||||||||||
Level 2 | $ | 1,048 | $ | 2,029 | $ | 413 | $ | 1,062 | $ | 2,083 | $ | 3,377 | $ | 413 | $ | 2,373 | |||||||||||
Level 3 | $ | — | $ | — | $ | — | $ | 2 | $ | — | $ | — | $ | — | $ | 2 | |||||||||||
Total proceeds received from loan sales | $ | 1,048 | $ | 2,029 | $ | 413 | $ | 1,064 | $ | 2,083 | $ | 3,377 | $ | 413 | $ | 2,375 | |||||||||||
Servicing fees collected | 134 | 1 | 111 | 1 | 267 | 2 | 223 | 1 | |||||||||||||||||||
Purchases of previously transferred financial assets (or the underlying collateral)(b) | 1 | — | — | — | 1 | — | 37 | — | |||||||||||||||||||
Cash flows received on interests | 128 | 206 | 111 | 307 | 259 | 541 | 205 | 580 |
(a) | Excludes re-securitization transactions. |
(b) | Includes cash paid by the Firm to reacquire assets from off–balance sheet, nonconsolidated entities – for example, loan repurchases due to representation and warranties and servicer clean-up calls. |
(c) | Includes prime, Alt-A, subprime, and option ARMs. Excludes certain loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac. |
(d) | Includes commercial mortgage and student loan securitizations. |
Three months ended June 30, | Six months ended June 30, | ||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||
Carrying value of loans sold | $ | 11,711 | $ | 8,824 | $ | 28,880 | $ | 17,836 | |||||
Proceeds received from loan sales as cash | 4 | 234 | 13 | 238 | |||||||||
Proceeds received from loan sales as securities(a) | 11,602 | 8,548 | 28,589 | 17,503 | |||||||||
Total proceeds received from loan sales(b) | $ | 11,606 | $ | 8,782 | $ | 28,602 | $ | 17,741 | |||||
Gains on loan sales(c)(d) | $ | 42 | $ | 64 | $ | 73 | $ | 114 |
(a) | Predominantly includes securities from U.S. GSEs and Ginnie Mae that are generally sold shortly after receipt. |
(b) | Excludes the value of MSRs retained upon the sale of loans. |
(c) | Gains on loan sales include the value of MSRs. |
(d) | The carrying value of the loans accounted for at fair value approximated the proceeds received upon loan sale. |
(in millions) | June 30, 2017 | Dec 31, 2016 | ||||
Loans repurchased or option to repurchase(a) | $ | 8,744 | $ | 9,556 | ||
Real estate owned | 105 | 142 | ||||
Foreclosed government-guaranteed residential mortgage loans(b) | 762 | 1,007 |
(a) | Predominantly all of these amounts relate to loans that have been repurchased from Ginnie Mae loan pools. |
(b) | Relates to voluntary repurchases of loans, which are included in accrued interest and accounts receivable. |
Liquidation losses | |||||||||||||||||||||||||||
Securitized assets | 90 days past due | Three months ended June 30, | Six months ended June 30, | ||||||||||||||||||||||||
(in millions) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Securitized loans | |||||||||||||||||||||||||||
Residential mortgage: | |||||||||||||||||||||||||||
Prime / Alt-A & option ARMs | $ | 54,473 | $ | 57,543 | $ | 5,385 | $ | 6,169 | $ | 226 | $ | 318 | $ | 438 | $ | 658 | |||||||||||
Subprime | 18,758 | 19,903 | 3,662 | 4,186 | 201 | 296 | 376 | 618 | |||||||||||||||||||
Commercial and other | 65,915 | 71,464 | 1,632 | 1,755 | 5 | 93 | 57 | 486 | |||||||||||||||||||
Total loans securitized | $ | 139,146 | $ | 148,910 | $ | 10,679 | $ | 12,110 | $ | 432 | $ | 707 | $ | 871 | $ | 1,762 |
(in millions) | June 30, 2017 | December 31, 2016 | ||||
Consumer & Community Banking | $ | 30,806 | $ | 30,797 | ||
Corporate & Investment Bank | 6,775 | 6,772 | ||||
Commercial Banking | 2,861 | 2,861 | ||||
Asset & Wealth Management | 6,858 | 6,858 | ||||
Total goodwill | $ | 47,300 | $ | 47,288 |
Three months ended June 30, | Six months ended June 30, | ||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | |||||||||||
Balance at beginning of period | $ | 47,292 | $ | 47,310 | $ | 47,288 | $ | 47,325 | |||||||
Changes during the period from: | |||||||||||||||
Dispositions(a) | — | — | — | (71 | ) | ||||||||||
Other(b) | 8 | (7 | ) | 12 | 49 | ||||||||||
Balance at June 30, | $ | 47,300 | $ | 47,303 | $ | 47,300 | $ | 47,303 |
(a) | During the six months ended June 30, 2016, represents AWM goodwill, which was disposed of as part of AWM sales completed in March 2016. |
(b) | Includes foreign currency translation adjustments and other tax-related adjustments. |
As of or for the three months ended June 30, | As of or for the six months ended June 30, | |||||||||||||||
(in millions, except where otherwise noted) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
Fair value at beginning of period | $ | 6,079 | $ | 5,658 | $ | 6,096 | $ | 6,608 | ||||||||
MSR activity: | ||||||||||||||||
Originations of MSRs | 154 | 113 | 371 | 220 | ||||||||||||
Purchase of MSRs | — | — | — | — | ||||||||||||
Disposition of MSRs(a) | (67 | ) | (3 | ) | (138 | ) | (67 | ) | ||||||||
Net additions | 87 | 110 | 233 | 153 | ||||||||||||
Changes due to collection/realization of expected cash flows | (213 | ) | (239 | ) | (419 | ) | (480 | ) | ||||||||
Changes in valuation due to inputs and assumptions: | ||||||||||||||||
Changes due to market interest rates and other(b) | (178 | ) | (433 | ) | (121 | ) | (1,195 | ) | ||||||||
Changes in valuation due to other inputs and assumptions: | ||||||||||||||||
Projected cash flows (e.g., cost to service) | 2 | (14 | ) | 14 | (7 | ) | ||||||||||
Discount rates | (7 | ) | — | (19 | ) | 7 | ||||||||||
Prepayment model changes and other(c) | (17 | ) | (10 | ) | (31 | ) | (14 | ) | ||||||||
Total changes in valuation due to other inputs and assumptions | (22 | ) | (24 | ) | (36 | ) | (14 | ) | ||||||||
Total changes in valuation due to inputs and assumptions | (200 | ) | (457 | ) | (157 | ) | (1,209 | ) | ||||||||
Fair value at June 30, | $ | 5,753 | $ | 5,072 | $ | 5,753 | $ | 5,072 | ||||||||
Change in unrealized gains/(losses) included in income related to MSRs held at June 30, | $ | (200 | ) | $ | (457 | ) | $ | (157 | ) | $ | (1,209 | ) | ||||
Contractual service fees, late fees and other ancillary fees included in income | 477 | 545 | 964 | 1,106 | ||||||||||||
Third-party mortgage loans serviced at June 30, (in billions) | 569 | 632 | 569 | 632 | ||||||||||||
Net servicer advances at June 30, (in billions)(d) | 4.1 | 5.6 | 4.1 | 5.6 |
(a) | Includes excess MSRs transferred to agency-sponsored trusts in exchange for stripped mortgage backed securities (“SMBS”). In each transaction, a portion of the SMBS was acquired by third parties at the transaction date; the Firm acquired the remaining balance of those SMBS as trading securities. |
(b) | Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments. |
(c) | Represents changes in prepayments other than those attributable to changes in market interest rates. |
(d) | Represents amounts the Firm pays as the servicer (e.g., scheduled principal and interest, taxes and insurance), which will generally be reimbursed within a short period of time after the advance from future cash flows from the trust or the underlying loans. The Firm’s credit risk associated with these servicer advances is minimal because reimbursement of the advances is typically senior to all cash payments to investors. In addition, the Firm maintains the right to stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable if they were not made in accordance with applicable rules and agreements. |
Three months ended June 30, | Six months ended June 30, | |||||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||||
CCB mortgage fees and related income | ||||||||||||||||
Net production revenue | $ | 152 | $ | 261 | $ | 293 | $ | 423 | ||||||||
Net mortgage servicing revenue: | ||||||||||||||||
Operating revenue: | ||||||||||||||||
Loan servicing revenue | 518 | 593 | 1,040 | 1,209 | ||||||||||||
Changes in MSR asset fair value due to collection/realization of expected cash flows | (212 | ) | (238 | ) | (417 | ) | (478 | ) | ||||||||
Total operating revenue | 306 | 355 | 623 | 731 | ||||||||||||
Risk management: | ||||||||||||||||
Changes in MSR asset fair value due to market interest rates and other(a) | (178 | ) | (433 | ) | (121 | ) | (1,195 | ) | ||||||||
Other changes in MSR asset fair value due to other inputs and assumptions in model(b) | (22 | ) | (24 | ) | (36 | ) | (14 | ) | ||||||||
Change in derivative fair value and other | 143 | 530 | 48 | 1,411 | ||||||||||||
Total risk management | (57 | ) | 73 | (109 | ) | 202 | ||||||||||
Total net mortgage servicing revenue | 249 | 428 | 514 | 933 | ||||||||||||
Total CCB mortgage fees and related income | 401 | 689 | 807 | 1,356 | ||||||||||||
All other | 3 | — | 3 | — | ||||||||||||
Mortgage fees and related income | $ | 404 | $ | 689 | $ | 810 | $ | 1,356 |
(a) | Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments. |
(b) | Represents the aggregate impact of changes in model inputs and assumptions such as projected cash flows (e.g., cost to service), discount rates and changes in prepayments other than those attributable to changes in market interest rates (e.g., changes in prepayments due to changes in home prices). |
(in millions, except rates) | Jun 30, 2017 | Dec 31, 2016 | ||||||
Weighted-average prepayment speed assumption (“CPR”) | 9.62 | % | 9.41 | % | ||||
Impact on fair value of 10% adverse change | $ | (216 | ) | $ | (231 | ) | ||
Impact on fair value of 20% adverse change | (415 | ) | (445 | ) | ||||
Weighted-average option adjusted spread | 9.18 | % | 8.55 | % | ||||
Impact on fair value of a 100 basis point adverse change | $ | (232 | ) | $ | (248 | ) | ||
Impact on fair value of a 200 basis point adverse change | (446 | ) | (477 | ) |
(in millions) | June 30, 2017 | December 31, 2016 | |||||
U.S. offices | |||||||
Noninterest-bearing | $ | 394,921 | $ | 400,831 | |||
Interest-bearing (included $14,285 and $12,245 at fair value)(a) | 781,709 | 737,949 | |||||
Total deposits in U.S. offices | 1,176,630 | 1,138,780 | |||||
Non-U.S. offices | |||||||
Noninterest-bearing | 17,152 | 14,764 | |||||
Interest-bearing (included $3,469 and $1,667 at fair value)(a) | 245,691 | 221,635 | |||||
Total deposits in non-U.S. offices | 262,843 | 236,399 | |||||
Total deposits | $ | 1,439,473 | $ | 1,375,179 |
(a) | Includes structured notes classified as deposits for which the fair value option has been elected. For further discussion, see Note 3 of JPMorgan Chase’s 2016 Annual Report. |
(in millions, except per share amounts) | Three months ended June 30, | Six months ended June 30, | |||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||
Basic earnings per share | |||||||||||||
Net income | $ | 7,029 | $ | 6,200 | $ | 13,477 | $ | 11,720 | |||||
Less: Preferred stock dividends | 411 | 411 | 823 | 823 | |||||||||
Net income applicable to common equity | 6,618 | 5,789 | 12,654 | 10,897 | |||||||||
Less: Dividends and undistributed earnings allocated to participating securities(a) | 63 | 61 | 123 | 124 | |||||||||
Net income applicable to common stockholders(a) | $ | 6,555 | $ | 5,728 | $ | 12,531 | $ | 10,773 | |||||
Total weighted-average basic shares outstanding(a) | 3,574.1 | 3,675.5 | 3,587.9 | 3,693.0 | |||||||||
Net income per share | $ | 1.83 | $ | 1.56 | $ | 3.49 | $ | 2.92 | |||||
Diluted earnings per share | |||||||||||||
Net income applicable to common stockholders(a) | $ | 6,555 | $ | 5,728 | $ | 12,531 | $ | 10,773 | |||||
Total weighted-average basic shares outstanding(a) | 3,574.1 | 3,675.5 | 3,587.9 | 3,693.0 | |||||||||
Add: Employee stock options, SARs, warrants and unvested PSUs | 24.9 | 30.7 | 26.8 | 28.9 | |||||||||
Total weighted-average diluted shares outstanding(a) | 3,599.0 | 3,706.2 | 3,614.7 | 3,721.9 | |||||||||
Net income per share | $ | 1.82 | $ | 1.55 | $ | 3.47 | $ | 2.89 |
(a) | The prior period amounts have been revised to conform with the current period presentation. The revision had no impact on the Firm’s reported earnings per share. |
As of or for the three months ended June 30, 2017 (in millions) | Unrealized gains on investment securities(b) | Translation adjustments, net of hedges | Cash flow hedges | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | ||||||||||||||||||||||||||||
Balance at April 1, 2017 | $ | 1,762 | $ | (157 | ) | $ | (9 | ) | $ | (2,274 | ) | $ | (245 | ) | $ | (923 | ) | |||||||||||||||||
Net change | 457 | — | 53 | 19 | 2 | 531 | ||||||||||||||||||||||||||||
Balance at June 30, 2017 | $ | 2,219 | $ | (157 | ) | $ | 44 | $ | (2,255 | ) | $ | (243 | ) | $ | (392 | ) | ||||||||||||||||||
As of or for the three months ended June 30, 2016 (in millions) | Unrealized gains on investment securities(b) | Translation adjustments, net of hedges | Cash flow hedges | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | ||||||||||||||||||||||||||||
Balance at April 1, 2016 | $ | 3,054 | $ | (164 | ) | $ | (114 | ) | $ | (2,206 | ) | $ | 212 | $ | 782 | |||||||||||||||||||
Net change | 867 | 3 | (87 | ) | 56 | (3 | ) | 836 | ||||||||||||||||||||||||||
Balance at June 30, 2016 | $ | 3,921 | $ | (161 | ) | $ | (201 | ) | $ | (2,150 | ) | $ | 209 | $ | 1,618 | |||||||||||||||||||
As of or for the six months ended June 30, 2017 (in millions) | Unrealized gains/(losses) on investment securities(b) | Translation adjustments, net of hedges | Cash flow hedges | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | ||||||||||||||||||||||||||||
Balance at January 1, 2017 | $ | 1,524 | $ | (164 | ) | $ | (100 | ) | $ | (2,259 | ) | $ | (176 | ) | $ | (1,175 | ) | |||||||||||||||||
Net change | 695 | 7 | 144 | 4 | (67 | ) | 783 | |||||||||||||||||||||||||||
Balance at June 30, 2017 | $ | 2,219 | $ | (157 | ) | $ | 44 | $ | (2,255 | ) | $ | (243 | ) | $ | (392 | ) | ||||||||||||||||||
As of or for the six months ended June 30, 2016 (in millions) | Unrealized gains/(losses) on investment securities(b) | Translation adjustments, net of hedges | Cash flow hedges | Defined benefit pension and OPEB plans | DVA on fair value option elected liabilities | Accumulated other comprehensive income/(loss) | ||||||||||||||||||||||||||||
Balance at January 1, 2016 | $ | 2,629 | $ | (162 | ) | $ | (44 | ) | $ | (2,231 | ) | NA | $ | 192 | ||||||||||||||||||||
Cumulative effect of change in accounting principle(a) | — | — | — | — | $ | 154 | 154 | |||||||||||||||||||||||||||
Net change | 1,292 | 1 | (157 | ) | 81 | $ | 55 | 1,272 | ||||||||||||||||||||||||||
Balance at June 30, 2016 | $ | 3,921 | $ | (161 | ) | $ | (201 | ) | $ | (2,150 | ) | $ | 209 | $ | 1,618 |
(a) | Effective January 1, 2016, the Firm adopted new accounting guidance related to the recognition and measurement of financial liabilities where the fair value option has been elected. This guidance requires the portion of the total change in fair value caused by changes in the Firm’s own credit risk (DVA) to be presented separately in OCI; previously these amounts were recognized in net income. |
(b) | Represents the after-tax difference between the fair value and amortized cost of securities accounted for as AFS, including net unamortized unrealized gains and losses related to AFS securities transferred to HTM. |
2017 | 2016 | ||||||||||||||||||||||
Three months ended June 30, (in millions) | Pre-tax | Tax effect | After-tax | Pre-tax | Tax effect | After-tax | |||||||||||||||||
Unrealized gains/(losses) on investment securities: | |||||||||||||||||||||||
Net unrealized gains/(losses) arising during the period | $ | 695 | $ | (259 | ) | $ | 436 | $ | 1,408 | $ | (528 | ) | $ | 880 | |||||||||
Reclassification adjustment for realized (gains)/losses included in net income(a) | 34 | (13 | ) | 21 | (21 | ) | 8 | (13 | ) | ||||||||||||||
Net change | 729 | (272 | ) | 457 | 1,387 | (520 | ) | 867 | |||||||||||||||
Translation adjustments(b): | |||||||||||||||||||||||
Translation | 317 | (117 | ) | 200 | (10 | ) | 4 | (6 | ) | ||||||||||||||
Hedges | (319 | ) | 119 | (200 | ) | 17 | (8 | ) | 9 | ||||||||||||||
Net change | (2 | ) | 2 | — | 7 | (4 | ) | 3 | |||||||||||||||
Cash flow hedges: | |||||||||||||||||||||||
Net unrealized gains/(losses) arising during the period | 23 | (10 | ) | 13 | (187 | ) | 70 | (117 | ) | ||||||||||||||
Reclassification adjustment for realized (gains)/losses included in net income(c) | 65 | (25 | ) | 40 | 48 | (18 | ) | 30 | |||||||||||||||
Net change | 88 | (35 | ) | 53 | (139 | ) | 52 | (87 | ) | ||||||||||||||
Defined benefit pension and OPEB plans: | |||||||||||||||||||||||
Net gains/(losses) arising during the period | 6 | (2 | ) | 4 | 8 | (3 | ) | 5 | |||||||||||||||
Reclassification adjustments included in net income(d): | |||||||||||||||||||||||
Amortization of net loss | 62 | (23 | ) | 39 | 64 | (25 | ) | 39 | |||||||||||||||
Prior service costs/(credits) | (9 | ) | 4 | (5 | ) | (9 | ) | 3 | (6 | ) | |||||||||||||
Foreign exchange and other | (25 | ) | 6 | (19 | ) | 28 | (10 | ) | 18 | ||||||||||||||
Net change | 34 | (15 | ) | 19 | 91 | (35 | ) | 56 | |||||||||||||||
DVA on fair value option elected liabilities, net change: | $ | 2 | $ | — | $ | 2 | $ | (4 | ) | $ | 1 | $ | (3 | ) | |||||||||
Total other comprehensive income/(loss) | $ | 851 | $ | (320 | ) | $ | 531 | $ | 1,342 | $ | (506 | ) | $ | 836 | |||||||||
2017 | 2016 | ||||||||||||||||||||||
Six months ended June 30, (in millions) | Pre-tax | Tax effect | After-tax | Pre-tax | Tax effect | After-tax | |||||||||||||||||
Unrealized gains/(losses) on investment securities: | |||||||||||||||||||||||
Net unrealized gains/(losses) arising during the period | $ | 1,062 | $ | (390 | ) | $ | 672 | $ | 2,140 | $ | (803 | ) | $ | 1,337 | |||||||||
Reclassification adjustment for realized (gains)/losses included in net income(a) | 37 | (14 | ) | 23 | (72 | ) | 27 | (45 | ) | ||||||||||||||
Net change | 1,099 | (404 | ) | 695 | 2,068 | (776 | ) | 1,292 | |||||||||||||||
Translation adjustments:(b) | |||||||||||||||||||||||
Translation | 899 | (342 | ) | 557 | 579 | (216 | ) | 363 | |||||||||||||||
Hedges | (875 | ) | 325 | (550 | ) | (573 | ) | 211 | (362 | ) | |||||||||||||
Net change | 24 | (17 | ) | 7 | 6 | (5 | ) | 1 | |||||||||||||||
Cash flow hedges: | |||||||||||||||||||||||
Net unrealized gains/(losses) arising during the period | 82 | (31 | ) | 51 | (354 | ) | 133 | (221 | ) | ||||||||||||||
Reclassification adjustment for realized (gains)/losses included in net income(c) | 150 | (57 | ) | 93 | 103 | (39 | ) | 64 | |||||||||||||||
Net change | 232 | (88 | ) | 144 | (251 | ) | 94 | (157 | ) | ||||||||||||||
Defined benefit pension and OPEB plans: | |||||||||||||||||||||||
Net gains/(losses) arising during the period | (52 | ) | 19 | (33 | ) | (15 | ) | 6 | (9 | ) | |||||||||||||
Reclassification adjustments included in net income(d): | |||||||||||||||||||||||
Amortization of net loss | 124 | (46 | ) | 78 | 128 | (49 | ) | 79 | |||||||||||||||
Prior service costs/(credits) | (18 | ) | 7 | (11 | ) | (18 | ) | 7 | (11 | ) | |||||||||||||
Settlement (gain)/loss | (3 | ) | 1 | (2 | ) | — | — | — | |||||||||||||||
Foreign exchange and other | (32 | ) | 4 | (28 | ) | 34 | (12 | ) | 22 | ||||||||||||||
Net change | 19 | (15 | ) | 4 | 129 | (48 | ) | 81 | |||||||||||||||
DVA on fair value option elected liabilities, net change: | $ | (105 | ) | $ | 38 | $ | (67 | ) | $ | 88 | $ | (33 | ) | $ | 55 | ||||||||
Total other comprehensive income/(loss) | $ | 1,269 | $ | (486 | ) | $ | 783 | $ | 2,040 | $ | (768 | ) | $ | 1,272 |
(a) | The pre-tax amount is reported in securities gains/(losses) in the Consolidated statements of income. |
(b) | Reclassifications of pre-tax realized gains/(losses) on translation adjustments and related hedges are reported in other income/expense in the Consolidated statements of income. The amounts were not material for the periods presented. |
(c) | The pre-tax amounts are predominantly recorded in net interest income in the Consolidated statements of income. |
(d) | The pre-tax amount is reported in compensation expense in the Consolidated statements of income. |
JPMorgan Chase & Co. | |||||||||||||||
Basel III Standardized Transitional | Basel III Advanced Transitional | ||||||||||||||
(in millions, except ratios) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||
Regulatory capital | |||||||||||||||
CET1 capital | $ | 186,942 | $ | 182,967 | $ | 186,942 | $ | 182,967 | |||||||
Tier 1 capital(a) | 212,353 | 208,112 | 212,353 | 208,112 | |||||||||||
Total capital | 243,061 | 239,553 | 233,345 | 228,592 | |||||||||||
Assets | |||||||||||||||
Risk-weighted | 1,478,816 | 1,464,981 | 1,459,196 | 1,476,915 | |||||||||||
Adjusted average(b) | 2,512,120 | 2,484,631 | 2,512,120 | 2,484,631 | |||||||||||
Capital ratios(c) | |||||||||||||||
CET1 | 12.6 | % | 12.5 | % | 12.8 | % | 12.4 | % | |||||||
Tier 1(a) | 14.4 | 14.2 | 14.6 | 14.1 | |||||||||||
Total | 16.4 | 16.4 | 16.0 | 15.5 | |||||||||||
Tier 1 leverage(d) | 8.5 | 8.4 | 8.5 | 8.4 |
JPMorgan Chase Bank, N.A. | |||||||||||||||
Basel III Standardized Transitional | Basel III Advanced Transitional | ||||||||||||||
(in millions, except ratios) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||
Regulatory capital | |||||||||||||||
CET1 capital | $ | 184,141 | $ | 179,319 | $ | 184,141 | $ | 179,319 | |||||||
Tier 1 capital(a) | 184,141 | 179,341 | 184,141 | 179,341 | |||||||||||
Total capital | 195,851 | 191,662 | 189,381 | 184,637 | |||||||||||
Assets | |||||||||||||||
Risk-weighted | 1,304,939 | 1,293,203 | 1,245,670 | 1,262,613 | |||||||||||
Adjusted average(b) | 2,107,302 | 2,088,851 | 2,107,302 | 2,088,851 | |||||||||||
Capital ratios(c) | |||||||||||||||
CET1 | 14.1 | % | 13.9 | % | 14.8 | % | 14.2 | % | |||||||
Tier 1(a) | 14.1 | 13.9 | 14.8 | 14.2 | |||||||||||
Total | 15.0 | 14.8 | 15.2 | 14.6 | |||||||||||
Tier 1 leverage(d) | 8.7 | 8.6 | 8.7 | 8.6 |
Chase Bank USA, N.A. | |||||||||||||||
Basel III Standardized Transitional | Basel III Advanced Transitional | ||||||||||||||
(in millions, except ratios) | Jun 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||
Regulatory capital | |||||||||||||||
CET1 capital | $ | 19,647 | $ | 16,784 | $ | 19,647 | $ | 16,784 | |||||||
Tier 1 capital(a) | 19,647 | 16,784 | 19,647 | 16,784 | |||||||||||
Total capital | 25,684 | 22,862 | 24,297 | 21,434 | |||||||||||
Assets | |||||||||||||||
Risk-weighted | 109,002 | 112,297 | 194,110 | 186,378 | |||||||||||
Adjusted average(b) | 122,880 | 120,304 | 122,880 | 120,304 | |||||||||||
Capital ratios(c) | |||||||||||||||
CET1 | 18.0 | % | 14.9 | % | 10.1 | % | 9.0 | % | |||||||
Tier 1(a) | 18.0 | 14.9 | 10.1 | 9.0 | |||||||||||
Total | 23.6 | 20.4 | 12.5 | 11.5 | |||||||||||
Tier 1 leverage(d) | 16.0 | 14.0 | 16.0 | 14.0 |
(a) | Includes the deduction associated with the permissible holdings of covered funds (as defined by the Volcker Rule) acquired after December 31, 2013. The deduction was not material as of June 30, 2017 and December 31, 2016. |
(b) | Adjusted average assets, for purposes of calculating the Tier 1 leverage ratio, includes total quarterly average assets adjusted for unrealized gains/(losses) on AFS securities, less deductions for goodwill and other intangible assets, defined benefit pension plan assets, and deferred tax assets related to NOL and tax credit carryforwards. |
(c) | For each of the risk-based capital ratios, the capital adequacy of the Firm and its national bank subsidiaries is evaluated against the lower of the two ratios as calculated under Basel III approaches (Standardized or Advanced) as required by the Collins Amendment of the Dodd-Frank Act (the “Collins Floor”). |
(d) | The Tier 1 leverage ratio is not a risk-based measure of capital. This ratio is calculated by dividing Tier 1 capital by adjusted average assets. |
Minimum capital ratios | Well-capitalized ratios | ||||||||
BHC(a)(e) | IDI(b)(e) | BHC(c) | IDI(d) | ||||||
Capital ratios | |||||||||
CET1 | 7.50 | % | 5.75 | % | — | % | 6.5 | % | |
Tier 1 | 9.00 | 7.25 | 6.0 | 8.0 | |||||
Total | 11.00 | 9.25 | 10.0 | 10.0 | |||||
Tier 1 leverage | 4.0 | 4.0 | — | 5.0 |
(a) | Represents the Transitional minimum capital ratios applicable to the Firm under Basel III at June 30, 2017. At June 30, 2017, the CET1 minimum capital ratio includes 1.25% resulting from the phase in of the Firm’s 2.5% capital conservation buffer and 1.75%, resulting from the phase in of the Firm’s 3.5% GSIB surcharge. |
(b) | Represents requirements for JPMorgan Chase’s banking subsidiaries. The CET1 minimum capital ratio includes 1.25% resulting from the phase in of the 2.5% capital conservation buffer that is applicable to the banking subsidiaries. The banking subsidiaries are not subject to the GSIB surcharge. |
(c) | Represents requirements for bank holding companies pursuant to regulations issued by the Federal Reserve. |
(d) | Represents requirements for bank subsidiaries pursuant to regulations issued under the FDIC Improvement Act. |
Off–balance sheet lending-related financial instruments, guarantees and other commitments | ||||||||||||||||||||||||||
Contractual amount | Carrying value(h) | |||||||||||||||||||||||||
June 30, 2017 | Dec 31, 2016 | Jun 30, 2017 | Dec 31, 2016 | |||||||||||||||||||||||
By remaining maturity (in millions) | Expires in 1 year or less | Expires after 1 year through 3 years | Expires after 3 years through 5 years | Expires after 5 years | Total | Total | ||||||||||||||||||||
Lending-related | ||||||||||||||||||||||||||
Consumer, excluding credit card: | ||||||||||||||||||||||||||
Home equity | $ | 3,927 | $ | 1,929 | $ | 1,287 | $ | 14,169 | $ | 21,312 | $ | 21,714 | $ | 11 | $ | 12 | ||||||||||
Residential mortgage(a)(b) | 14,828 | — | — | 11 | 14,839 | 11,882 | — | — | ||||||||||||||||||
Auto | 7,174 | 996 | 173 | 78 | 8,421 | 8,468 | 2 | 2 | ||||||||||||||||||
Consumer & Business Banking(b) | 12,023 | 938 | 111 | 518 | 13,590 | 12,733 | 19 | 12 | ||||||||||||||||||
Total consumer, excluding credit card | $ | 37,952 | $ | 3,863 | $ | 1,571 | $ | 14,776 | $ | 58,162 | $ | 54,797 | $ | 32 | $ | 26 | ||||||||||
Credit card | $ | 576,264 | $ | — | $ | — | $ | — | $ | 576,264 | $ | 553,891 | $ | — | $ | — | ||||||||||
Total consumer(c) | $ | 614,216 | $ | 3,863 | $ | 1,571 | $ | 14,776 | $ | 634,426 | $ | 608,688 | $ | 32 | $ | 26 | ||||||||||
Wholesale: | ||||||||||||||||||||||||||
Other unfunded commitments to extend credit(d) | $ | 70,287 | $ | 112,057 | $ | 137,158 | $ | 10,585 | $ | 330,087 | $ | 328,497 | $ | 904 | $ | 905 | ||||||||||
Standby letters of credit and other financial guarantees(d) | 15,264 | 9,930 | 6,988 | 1,140 | 33,322 | 35,947 | 621 | 586 | ||||||||||||||||||
Other letters of credit(d) | 2,754 | 233 | 101 | 1 | 3,089 | 3,570 | 4 | 2 | ||||||||||||||||||
Total wholesale(e) | $ | 88,305 | $ | 122,220 | $ | 144,247 | $ | 11,726 | $ | 366,498 | $ | 368,014 | $ | 1,529 | $ | 1,493 | ||||||||||
Total lending-related | $ | 702,521 | $ | 126,083 | $ | 145,818 | $ | 26,502 | $ | 1,000,924 | $ | 976,702 | $ | 1,561 | $ | 1,519 | ||||||||||
Other guarantees and commitments | ||||||||||||||||||||||||||
Securities lending indemnification agreements and guarantees(f) | $ | 161,004 | $ | — | $ | — | $ | — | $ | 161,004 | $ | 137,209 | $ | — | $ | — | ||||||||||
Derivatives qualifying as guarantees | 3,569 | 208 | 10,606 | 39,779 | 54,162 | 51,966 | 378 | 80 | ||||||||||||||||||
Unsettled reverse repurchase and securities borrowing agreements | 98,140 | — | — | — | 98,140 | 50,722 | — | — | ||||||||||||||||||
Unsettled repurchase and securities lending agreements | 80,583 | — | — | — | 80,583 | 26,948 | — | — | ||||||||||||||||||
Loan sale and securitization-related indemnifications: | ||||||||||||||||||||||||||
Mortgage repurchase liability | NA | NA | NA | NA | NA | NA | 129 | 133 | ||||||||||||||||||
Loans sold with recourse | NA | NA | NA | NA | 1,814 | 2,730 | 49 | 64 | ||||||||||||||||||
Other guarantees and commitments(g) | 459 | 2,484 | 1,012 | 1,570 | 5,525 | 5,715 | (100 | ) | (118 | ) |
(a) | Includes certain commitments to purchase loans from correspondents. |
(b) | Certain loan portfolios have been reclassified. The prior period amounts have been revised to conform with the current period presentation. |
(c) | Predominantly all consumer lending-related commitments are in the U.S. |
(d) | At June 30, 2017, and December 31, 2016, reflected the contractual amount net of risk participations totaling $361 million and $328 million, respectively, for other unfunded commitments to extend credit; $10.7 billion and $11.1 billion, respectively, for standby letters of credit and other financial guarantees; and $334 million and $265 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations. |
(e) | At June 30, 2017, and December 31, 2016, the U.S. portion of the contractual amount of total wholesale lending-related commitments was 77% and 79%, respectively. |
(f) | At June 30, 2017, and December 31, 2016, collateral held by the Firm in support of securities lending indemnification agreements was $169.2 billion and $143.2 billion, respectively. Securities lending collateral primarily consists of cash and securities issued by governments that are members of the Organisation for Economic Co-operation and Development and U.S. government agencies. |
(g) | Included unfunded commitments of $41 million and $48 million at June 30, 2017, and December 31, 2016, respectively to third-party private equity funds; and $918 million and $1.0 billion, at June 30, 2017, and December 31, 2016, respectively, to other equity investments. These commitments included $30 million and $34 million, respectively, related to investments that are generally fair valued at net asset value as discussed in Note 2. In addition, included letters of credit hedged by derivative transactions and managed on a market risk basis of $4.5 billion and $4.6 billion at June 30, 2017, and December 31, 2016, respectively. |
(h) | For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative-related products, the carrying value represents the fair value. |
June 30, 2017 | December 31, 2016 | ||||||||||||||
(in millions) | Standby letters of credit and other financial guarantees | Other letters of credit | Standby letters of credit and other financial guarantees | Other letters of credit | |||||||||||
Investment-grade(a) | $ | 26,592 | $ | 2,245 | $ | 28,245 | $ | 2,781 | |||||||
Noninvestment-grade(a) | 6,730 | 844 | 7,702 | 789 | |||||||||||
Total contractual amount | $ | 33,322 | $ | 3,089 | $ | 35,947 | $ | 3,570 | |||||||
Allowance for lending-related commitments | $ | 177 | $ | 4 | $ | 145 | $ | 2 | |||||||
Guarantee liability | 444 | — | 441 | — | |||||||||||
Total carrying value | $ | 621 | $ | 4 | $ | 586 | $ | 2 | |||||||
Commitments with collateral | $ | 17,878 | $ | 894 | $ | 19,346 | $ | 940 |
(a) | The ratings scale is based on the Firm’s internal ratings which generally correspond to ratings as defined by S&P and Moody’s. |
(in millions) | June 30, 2017 | December 31, 2016 | |||
Total notional value of derivatives(a) | 54,162 | 51,966 | |||
Notional amount of stable value contracts(b) | 28,892 | 28,665 | |||
Maximum exposure to loss on stable value contracts | 3,031 | 3,012 | |||
Fair value(c) | |||||
Derivative payables | 393 | 96 | |||
Derivative receivables | 15 | 16 |
(a) | The notional amount generally represents the Firm’s maximum exposure to derivatives qualifying as guarantees. |
(b) | Exposure to certain stable value contracts is contractually limited to a substantially lower percentage of the notional amount. |
(c) | The fair value of the contracts reflect the probability, in the Firm’s view, of whether the Firm will be required to perform under the contract. |
(in billions) | June 30, 2017 | December 31, 2016 | |||||
Assets that may be sold or repledged or otherwise used by secured parties | $ | 154.3 | $ | 133.6 | |||
Assets that may not be sold or repledged or otherwise used by secured parties | 60.4 | 53.5 | |||||
Assets pledged at Federal Reserve banks and FHLBs | 478.2 | 441.9 | |||||
Total assets pledged | $ | 692.9 | $ | 629.0 |
(in billions) | June 30, 2017 | December 31, 2016 | |||||
Collateral that could be sold or repledged, delivered, or otherwise used | $ | 972.2 | $ | 914.1 | |||
Collateral sold, repledged, delivered or otherwise used | 779.8 | 746.6 |
Segment results and reconciliation(a) | |||||||||||||||||||||||||||
As of or for the three months ended June 30, (in millions, except ratios) | Consumer & Community Banking | Corporate & Investment Bank | Commercial Banking | Asset & Wealth Management | |||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | ||||||||||||||||||||
Noninterest revenue | $ | 3,684 | $ | 4,138 | $ | 6,444 | $ | 6,475 | $ | 583 | $ | 586 | $ | 2,366 | $ | 2,192 | |||||||||||
Net interest income | 7,728 | 7,313 | 2,445 | 2,690 | 1,505 | 1,231 | 846 | 747 | |||||||||||||||||||
Total net revenue | 11,412 | 11,451 | 8,889 | 9,165 | 2,088 | 1,817 | 3,212 | 2,939 | |||||||||||||||||||
Provision for credit losses | 1,394 | 1,201 | (53 | ) | 235 | (130 | ) | (25 | ) | 4 | (8 | ) | |||||||||||||||
Noninterest expense | 6,500 | 6,004 | 4,841 | 5,078 | 790 | 731 | 2,192 | 2,098 | |||||||||||||||||||
Income before income tax expense | 3,518 | 4,246 | 4,101 | 3,852 | 1,428 | 1,111 | 1,016 | 849 | |||||||||||||||||||
Income tax expense | 1,295 | 1,590 | 1,391 | 1,359 | 526 | 415 | 392 | 328 | |||||||||||||||||||
Net income | $ | 2,223 | $ | 2,656 | $ | 2,710 | $ | 2,493 | $ | 902 | $ | 696 | $ | 624 | $ | 521 | |||||||||||
Average equity | $ | 51,000 | $ | 51,000 | $ | 70,000 | $ | 64,000 | $ | 20,000 | $ | 16,000 | $ | 9,000 | $ | 9,000 | |||||||||||
Total assets | 529,859 | 519,187 | 847,377 | 826,019 | 220,676 | 208,151 | 147,508 | 134,380 | |||||||||||||||||||
Return on equity | 17% | 20% | 15% | 15% | 17% | 16% | 27% | 22% | |||||||||||||||||||
Overhead ratio | 57 | 52 | 54 | 55 | 38 | 40 | 68 | 71 |
As of or for the three months ended June 30, (in millions, except ratios) | Corporate | Reconciling Items(a) | Total | |||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||
Noninterest revenue | $ | 781 | $ | 171 | $ | (596 | ) | $ | (529 | ) | $ | 13,262 | $ | 13,033 | ||||||
Net interest income | 23 | (329 | ) | (339 | ) | $ | (305 | ) | 12,208 | 11,347 | ||||||||||
Total net revenue | 804 | (158 | ) | (935 | ) | $ | (834 | ) | 25,470 | 24,380 | ||||||||||
Provision for credit losses | — | (1 | ) | — | — | 1,215 | 1,402 | |||||||||||||
Noninterest expense | 183 | (273 | ) | — | — | 14,506 | 13,638 | |||||||||||||
Income/(loss) before income tax expense/(benefit) | 621 | 116 | (935 | ) | (834 | ) | 9,749 | 9,340 | ||||||||||||
Income tax expense/(benefit) | 51 | 282 | (935 | ) | (834 | ) | 2,720 | 3,140 | ||||||||||||
Net income/(loss) | $ | 570 | $ | (166 | ) | $ | — | $ | — | $ | 7,029 | $ | 6,200 | |||||||
Average equity | $ | 80,200 | $ | 84,429 | $ | — | $ | — | $ | 230,200 | $ | 224,429 | ||||||||
Total assets | 817,754 | 778,359 | NA | NA | 2,563,174 | 2,466,096 | ||||||||||||||
Return on equity | NM | NM | NM | NM | 12 | % | 10 | % | ||||||||||||
Overhead ratio | NM | NM | NM | NM | 57 | 56 |
(a) | Segment managed results reflect revenue on a FTE basis with the corresponding income tax impact recorded within income tax expense/(benefit). These adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results. |
Segment results and reconciliation(a) | |||||||||||||||||||||||||||
As of or for the six months ended June 30, (in millions, except ratios) | Consumer & Community Banking | Corporate & Investment Bank | Commercial Banking | Asset & Wealth Management | |||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | ||||||||||||||||||||
Noninterest revenue | $ | 7,001 | $ | 7,944 | $ | 13,380 | $ | 12,009 | $ | 1,182 | $ | 1,142 | $ | 4,634 | $ | 4,437 | |||||||||||
Net interest income | 15,381 | 14,624 | 5,045 | 5,291 | 2,924 | 2,478 | 1,665 | 1,474 | |||||||||||||||||||
Total net revenue | 22,382 | 22,568 | 18,425 | 17,300 | 4,106 | 3,620 | 6,299 | 5,911 | |||||||||||||||||||
Provision for credit losses | 2,824 | 2,251 | (149 | ) | 694 | (167 | ) | 279 | 22 | 5 | |||||||||||||||||
Noninterest expense | 12,895 | 12,092 | 9,962 | 9,886 | 1,615 | 1,444 | 4,772 | 4,173 | |||||||||||||||||||
Income before income tax expense | 6,663 | 8,225 | 8,612 | 6,720 | 2,658 | 1,897 | 1,505 | 1,733 | |||||||||||||||||||
Income tax expense | 2,452 | 3,079 | 2,661 | 2,248 | 957 | 705 | 496 | 625 | |||||||||||||||||||
Net income | $ | 4,211 | $ | 5,146 | $ | 5,951 | $ | 4,472 | $ | 1,701 | $ | 1,192 | $ | 1,009 | $ | 1,108 | |||||||||||
Average common equity | $ | 51,000 | $ | 51,000 | $ | 70,000 | $ | 64,000 | $ | 20,000 | $ | 16,000 | $ | 9,000 | $ | 9,000 | |||||||||||
Total assets | 529,859 | 519,187 | 847,377 | 826,019 | 220,676 | 208,151 | 147,508 | 134,380 | |||||||||||||||||||
Return on common equity | 16% | 19 | % | 16% | 13 | % | 16% | 14 | % | 22% | 24 | % | |||||||||||||||
Overhead ratio | 58 | 54 | 54 | 57 | 39 | 40 | 76 | 71 |
As of or for the six months ended June 30, (in millions, except ratios) | Corporate | Reconciling Items(a) | Total | |||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||
Noninterest revenue | $ | 854 | $ | 440 | $ | (1,178 | ) | $ | (1,080 | ) | $ | 25,873 | $ | 24,892 | ||||||
Net interest income | (75 | ) | (542 | ) | (668 | ) | (598 | ) | 24,272 | 22,727 | ||||||||||
Total net revenue | 779 | (102 | ) | (1,846 | ) | (1,678 | ) | 50,145 | 47,619 | |||||||||||
Provision for credit losses | — | (3 | ) | — | — | 2,530 | 3,226 | |||||||||||||
Noninterest expense | 281 | (120 | ) | — | — | 29,525 | 27,475 | |||||||||||||
Income/(loss) before income tax expense/(benefit) | 498 | 21 | (1,846 | ) | (1,678 | ) | 18,090 | 16,918 | ||||||||||||
Income tax expense/(benefit) | (107 | ) | 219 | (1,846 | ) | (1,678 | ) | 4,613 | 5,198 | |||||||||||
Net income/(loss) | $ | 605 | $ | (198 | ) | $ | — | $ | — | $ | 13,477 | $ | 11,720 | |||||||
Average common equity | $ | 78,959 | $ | 82,995 | $ | — | $ | — | $ | 228,959 | $ | 222,995 | ||||||||
Total assets | 817,754 | 778,359 | NA | NA | 2,563,174 | 2,466,096 | ||||||||||||||
Return on common equity | NM | NM | NM | NM | 11% | 10 | % | |||||||||||||
Overhead ratio | NM | NM | NM | NM | 59 | 58 |
(a) | Segment managed results reflect revenue on a FTE basis with the corresponding income tax impact recorded within income tax expense/(benefit). These FTE adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results. |
JPMorgan Chase & Co. | |||||||||||||||||||||
Consolidated average balance sheets, interest and rates | |||||||||||||||||||||
(Taxable-equivalent interest and rates; in millions, except rates) | |||||||||||||||||||||
Three months ended June 30, 2017 | Three months ended June 30, 2016 | ||||||||||||||||||||
Average balance | Interest(e) | Rate (annualized) | Average balance | Interest(e) | Rate (annualized) | ||||||||||||||||
Assets | |||||||||||||||||||||
Deposits with banks | $ | 437,637 | $ | 1,008 | 0.92 | % | $ | 379,001 | $ | 466 | 0.49% | ||||||||||
Federal funds sold and securities purchased under resale agreements | 193,302 | 528 | 1.10 | 201,871 | 576 | 1.15 | |||||||||||||||
Securities borrowed | 90,151 | (21 | ) | (f) | (0.09 | ) | 101,669 | (96 | ) | (f) | (0.38 | ) | |||||||||
Trading assets – debt instruments | 234,809 | 1,834 | 3.13 | 215,780 | 1,878 | 3.50 | |||||||||||||||
Taxable securities | 229,196 | 1,410 | 2.47 | 235,641 | 1,380 | 2.36 | |||||||||||||||
Nontaxable securities(a) | 45,499 | 720 | 6.35 | 44,400 | 671 | 6.08 | |||||||||||||||
Total securities | 274,695 | 2,130 | 3.11 | (g) | 280,041 | 2,051 | 2.95 | (g) | |||||||||||||
Loans | 904,969 | 10,066 | 4.46 | 859,727 | 9,032 | 4.22 | |||||||||||||||
Other assets(b) | 41,546 | 444 | 4.28 | 41,436 | 211 | 2.06 | |||||||||||||||
Total interest-earning assets | 2,177,109 | 15,989 | 2.95 | 2,079,525 | 14,118 | 2.73 | |||||||||||||||
Allowance for loan losses | (13,350 | ) | (13,983 | ) | |||||||||||||||||
Cash and due from banks | 19,742 | 18,956 | |||||||||||||||||||
Trading assets – equity instruments | 126,127 | 99,626 | |||||||||||||||||||
Trading assets – derivative receivables | 58,250 | 69,823 | |||||||||||||||||||
Goodwill | 47,290 | 47,309 | |||||||||||||||||||
Mortgage servicing rights | 5,774 | 5,512 | |||||||||||||||||||
Other intangible assets | 838 | 928 | |||||||||||||||||||
Other assets | 137,456 | 133,493 | |||||||||||||||||||
Total assets | $ | 2,559,236 | $ | 2,441,189 | |||||||||||||||||
Liabilities | |||||||||||||||||||||
Interest-bearing deposits | $ | 1,006,008 | $ | 629 | 0.25 | % | $ | 919,759 | $ | 321 | 0.14% | ||||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | 196,331 | 387 | 0.79 | 176,855 | 282 | 0.64 | |||||||||||||||
Commercial paper | 19,466 | 63 | 1.29 | 17,462 | 38 | 0.88 | |||||||||||||||
Trading liabilities – debt, short-term and other liabilities(c)(d) | 197,066 | 548 | 1.12 | 200,141 | 314 | 0.63 | |||||||||||||||
Beneficial interests issued by consolidated VIEs | 34,083 | 128 | 1.51 | 38,411 | 118 | 1.24 | |||||||||||||||
Long-term debt | 295,868 | 1,687 | 2.29 | 291,726 | 1,393 | 1.92 | |||||||||||||||
Total interest-bearing liabilities | 1,748,822 | 3,442 | 0.79 | 1,644,354 | 2,466 | 0.60 | |||||||||||||||
Noninterest-bearing deposits | 404,121 | 396,207 | |||||||||||||||||||
Trading liabilities – equity instruments(d) | 19,346 | 20,747 | |||||||||||||||||||
Trading liabilities – derivative payables | 44,740 | 54,048 | |||||||||||||||||||
All other liabilities, including the allowance for lending-related commitments | 85,939 | 75,336 | |||||||||||||||||||
Total liabilities | 2,302,968 | 2,190,692 | |||||||||||||||||||
Stockholders’ equity | |||||||||||||||||||||
Preferred stock | 26,068 | 26,068 | |||||||||||||||||||
Common stockholders’ equity | 230,200 | 224,429 | |||||||||||||||||||
Total stockholders’ equity | 256,268 | 250,497 | |||||||||||||||||||
Total liabilities and stockholders’ equity | $ | 2,559,236 | $ | 2,441,189 | |||||||||||||||||
Interest rate spread | 2.16 | % | 2.13% | ||||||||||||||||||
Net interest income and net yield on interest-earning assets | $ | 12,547 | 2.31 | $ | 11,652 | 2.25 |
(a) | Represents securities which are tax exempt for U.S. federal income tax purposes. |
(b) | Includes margin loans. |
(c) | Includes brokerage customer payables. |
(d) | Included trading liabilities – debt and equity instruments of $90,499 million and $95,151 million for the three months ended June 30, 2017 and 2016, respectively. |
(e) | Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable. |
(f) | Negative interest income and yield is related to client-driven demand for certain securities combined with the impact of low interest rates; this is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense and reported within trading liabilities – debt, short-term and other liabilities. |
(g) | For the three months ended June 30, 2017 and 2016, the annualized rates for securities, based on amortized cost, were 3.15% and 3.00%, respectively; this does not give effect to changes in fair value that are reflected in accumulated other comprehensive income/(loss). |
JPMorgan Chase & Co. | |||||||||||||||||||||
Consolidated average balance sheets, interest and rates | |||||||||||||||||||||
(Taxable-equivalent interest and rates; in millions, except rates) | |||||||||||||||||||||
Six months ended June 30, 2017 | Six months ended June 30, 2016 | ||||||||||||||||||||
Average balance | Interest(e) | Rate (annualized) | Average balance | Interest(e) | Rate (annualized) | ||||||||||||||||
Assets | |||||||||||||||||||||
Deposits with banks | $ | 429,946 | $ | 1,730 | 0.81 | % | $ | 371,600 | $ | 926 | 0.50 | % | |||||||||
Federal funds sold and securities purchased under resale agreements | 195,122 | 1,054 | 1.09 | 203,433 | 1,130 | 1.12 | |||||||||||||||
Securities borrowed | 92,747 | (65 | ) | (f) | (0.14 | ) | 102,565 | (188 | ) | (f) | (0.37 | ) | |||||||||
Trading assets – debt instruments | 230,330 | 3,717 | 3.25 | 212,047 | 3,594 | 3.41 | |||||||||||||||
Taxable securities | 234,967 | 2,840 | 2.44 | 238,008 | 2,822 | 2.38 | |||||||||||||||
Nontaxable securities(a) | 45,133 | 1,410 | 6.30 | 44,257 | 1,336 | 6.07 | |||||||||||||||
Total securities | 280,100 | 4,250 | 3.06 | (g) | 282,265 | 4,158 | 2.96 | (g) | |||||||||||||
Loans | 898,473 | 19,888 | 4.46 | 850,126 | 17,939 | 4.24 | |||||||||||||||
Other assets(b) | 42,337 | 786 | 3.74 | 39,718 | 404 | 2.05 | |||||||||||||||
Total interest-earning assets | 2,169,055 | 31,360 | 2.92 | 2,061,754 | 27,963 | 2.73 | |||||||||||||||
Allowance for loan losses | (13,536 | ) | (13,810 | ) | |||||||||||||||||
Cash and due from banks | 19,800 | 18,450 | |||||||||||||||||||
Trading assets – equity instruments | 120,735 | 92,453 | |||||||||||||||||||
Trading assets – derivative receivables | 59,816 | 70,237 | |||||||||||||||||||
Goodwill | 47,292 | 47,320 | |||||||||||||||||||
Mortgage servicing rights | 5,938 | 5,715 | |||||||||||||||||||
Other intangible assets | 845 | 957 | |||||||||||||||||||
Other assets | 136,326 | 134,979 | |||||||||||||||||||
Total assets | $ | 2,546,271 | $ | 2,418,055 | |||||||||||||||||
Liabilities | |||||||||||||||||||||
Interest-bearing deposits | $ | 996,067 | $ | 1,112 | 0.23 | % | $ | 904,050 | $ | 641 | 0.14 | % | |||||||||
Federal funds purchased and securities loaned or sold under repurchase agreements | 192,990 | 680 | 0.71 | 174,050 | 542 | 0.63 | |||||||||||||||
Commercial paper | 16,432 | 103 | 1.26 | 17,499 | 71 | 0.82 | |||||||||||||||
Trading liabilities – debt, short-term and other liabilities(c)(d) | 198,515 | 986 | 1.00 | 198,187 | 541 | 0.55 | |||||||||||||||
Beneficial interests issued by consolidated VIEs | 36,416 | 263 | 1.46 | 39,125 | 231 | 1.19 | |||||||||||||||
Long-term debt | 294,056 | 3,276 | 2.25 | 289,943 | 2,612 | 1.81 | |||||||||||||||
Total interest-bearing liabilities | 1,734,476 | 6,420 | 0.75 | 1,622,854 | 4,638 | 0.57 | |||||||||||||||
Noninterest-bearing deposits | 404,831 | 395,568 | |||||||||||||||||||
Trading liabilities – equity instruments(d) | 20,204 | 19,625 | |||||||||||||||||||
Trading liabilities – derivative payables | 46,547 | 57,319 | |||||||||||||||||||
All other liabilities, including the allowance for lending-related commitments | 85,186 | 73,626 | |||||||||||||||||||
Total liabilities | 2,291,244 | 2,168,992 | |||||||||||||||||||
Stockholders’ equity | |||||||||||||||||||||
Preferred stock | 26,068 | 26,068 | |||||||||||||||||||
Common stockholders’ equity | 228,959 | 222,995 | |||||||||||||||||||
Total stockholders’ equity | 255,027 | 249,063 | |||||||||||||||||||
Total liabilities and stockholders’ equity | $ | 2,546,271 | $ | 2,418,055 | |||||||||||||||||
Interest rate spread | 2.17 | % | 2.16 | % | |||||||||||||||||
Net interest income and net yield on interest-earning assets | $ | 24,940 | 2.32 | $ | 23,325 | 2.28 |
(a) | Represents securities which are tax exempt for U.S. federal income tax purposes. |
(b) | Includes margin loans. |
(c) | Includes brokerage customer payables. |
(d) | Included trading liabilities - debt and equity instruments of $92,283 million and $91,434 million for the six months ended June 30, 2017 and 2016, respectively. |
(e) | Interest includes the effect of certain related hedging derivatives. Taxable-equivalent amounts are used where applicable. |
(f) | Negative interest income and yield is related to client-driven demand for certain securities combined with the impact of low interest rates; this is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense and reported within trading liabilities - debt, short-term and other liabilities. |
(g) | For the six months ended June 30, 2017 and 2016, the annualized rates for securities, based on amortized cost, were 3.09% and 3.01% respectively; this does not give effect to changes in fair value that are reflected in accumulated other comprehensive income/(loss). |
GLOSSARY OF TERMS AND ACRONYMS |
• | All wholesale nonaccrual loans |
• | All TDRs (both wholesale and consumer), including ones that have returned to accrual status |
LINE OF BUSINESS METRICS |
• | Actual gross income earned from servicing third-party mortgage loans, such as contractually specified servicing fees and ancillary income; and |
• | The change in the fair value of the MSR asset due to the collection or realization of expected cash flows. |
Three months ended June 30, | Six months ended June 30, | |||||||||||||
(in millions) | 2017 | 2016 | 2017 | 2016 | ||||||||||
Total shares of common stock repurchased | 35.0 | 45.8 | 67.1 | 75.0 | ||||||||||
Aggregate common stock repurchases | $ | 3,007 | $ | 2,840 | $ | 5,839 | $ | 4,536 |
Six months ended June 30, 2017 | Total shares of common stock repurchased | Average price paid per share of common stock(a) | Aggregate repurchases of common equity (in millions)(a) | Dollar value of remaining authorized repurchase (in millions)(a) | |||||||||||
First quarter | 32,132,964 | $ | 88.14 | $ | 2,832 | $ | 3,221 | (b) | |||||||
April | 12,141,723 | 86.43 | 1,049 | 2,172 | |||||||||||
May | 12,032,546 | 86.38 | 1,040 | 1,132 | |||||||||||
June | 10,765,858 | 85.26 | 918 | 214 | |||||||||||
Second quarter | 34,940,127 | 86.05 | 3,007 | 214 | |||||||||||
Year-to-date | 67,073,091 | $ | 87.05 | $ | 5,839 | $ | 214 | (c) |
(a) | Excludes commissions cost. |
(b) | Represents the amount remaining under the $10.6 billion repurchase program that was authorized by the Board of Directors on June 29, 2016. |
(c) | The $214 million unused portion under the prior Board authorization was canceled when the $19.4 billion program was authorized. |
Exhibit No. | Description of Exhibit | |
15 | Letter re: Unaudited Interim Financial Information.(a) | |
31.1 | Certification.(a) | |
31.2 | Certification.(a) | |
32 | Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.(b) | |
101.INS | XBRL Instance Document.(a)(c) | |
101.SCH | XBRL Taxonomy Extension Schema Document.(a) | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document.(a) | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document.(a) | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document.(a) | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document.(a) |
(a) | Filed herewith. |
(b) | Furnished herewith. This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. |
(c) | Pursuant to Rule 405 of Regulation S-T, includes the following financial information included in the Firm’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2017, formatted in XBRL (eXtensible Business Reporting Language) interactive data files: (i) the Consolidated statements of income (unaudited) for the three and six months ended June 30, 2017 and 2016, (ii) the Consolidated statements of comprehensive income (unaudited) for the three and six months ended June 30, 2017 and 2016, (iii) the Consolidated balance sheets (unaudited) as of June 30, 2017, and December 31, 2016, (iv) the Consolidated statements of changes in stockholders’ equity (unaudited) for the six months ended June 30, 2017 and 2016, (v) the Consolidated statements of cash flows (unaudited) for the six months ended June 30, 2017 and 2016, and (vi) the Notes to Consolidated Financial Statements (unaudited). |
JPMorgan Chase & Co. |
(Registrant) |
By: | /s/ Nicole Giles |
Nicole Giles | |
Managing Director and Corporate Controller | |
(Principal Accounting Officer) |
Date: | August 2, 2017 |
Exhibit No. | Description of Exhibit | |
15 | Letter re: Unaudited Interim Financial Information. | |
31.1 | Certification. | |
31.2 | Certification. | |
32 | Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.† | |
101.INS | XBRL Instance Document. | |
101.SCH | XBRL Taxonomy Extension Schema Document. | |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document. | |
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document. | |
101.LAB | XBRL Taxonomy Extension Label Linkbase Document. | |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document. | |
† | This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. |