JP Morgan Chase 2014 Annual Report Download - page 153

JPMorgan Chase & Co./2014 Annual Report 151
RWA rollforward
The following table presents changes in the components of
RWA under Basel III Advanced Fully Phased-In for the year
ended December 31, 2014. The amounts in the rollforward
categories are estimates, based on the predominant driver
of the change.
Year ended December 31, (in millions)
(in billions)
Credit
risk
RWA
Market
risk
RWA Operational
risk RWA Total RWA
Basel I RWA at December
31, 2013 $1,223 $ 165 NA $1,388
Effect of rule changes(a) (168) (4) 375 203
Basel III Advanced Fully
Phased-In RWA at
December 31, 2013 1,055 161 375 1,591
Model & data changes(b) 56 36 25 117
Portfolio runoff(c) (22) (22) —(44)
Movement in portfolio
levels(d) (49) 4 — (45)
Changes in RWA (15) 18 25 28
Basel III Advanced Fully
Phased-In RWA at
December 31, 2014 $1,040 $ 179 $ 400 $1,619
(a) Effect of rule changes refers to movements in levels of RWA as a result
of changing to calculating RWA under the Basel III Advanced Fully
Phased-In rules. See Risk-weighted assets on page 147 for additional
information on the calculation of RWA under Basel III.
(b) 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).
(c) Portfolio runoff for credit risk RWA reflects lower loan balances in
Mortgage Banking and reduced risk from position rolloffs in legacy
portfolios, and for market risk RWA reflects reduced risk from position
rolloffs in legacy portfolios.
(d) 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.
Basel III Transitional
Basel III Transitional capital requirements became effective
on January 1, 2014, and will become fully phased-in on
January 1, 2019. The following table presents a
reconciliation of the Firm’s Basel III Advanced Transitional
capital and RWA to the Firm’s estimated Basel III Advanced
Fully Phased-In capital and RWA as of December 31, 2014.
December 31, 2014
(in millions)
Basel III Advanced Transitional CET1 capital $ 164,764
AOCI phase-in(a) 2,249
CET1 capital deduction phased-in(b) (1,212)
Intangibles deduction phase-in(c) (850)
Other adjustments to CET1 capital(d) (99)
Basel III Advanced Fully Phased-In CET1 capital $ 164,852
Basel III Advanced Transitional Additional Tier 1
capital $ 21,868
Non-qualifying instruments phase-out (2,670)
Tier 1 capital deduction phased-out(b) 1,212
Other adjustments to Tier 1 capital(d) (352)
Basel III Advanced Fully Phased-In Additional Tier 1
capital $ 20,058
Basel III Advanced Fully Phased-In Tier 1 capital $ 184,910
Basel III Advanced Transitional Tier 2 capital $ 24,390
Non-qualifying instruments phase-out (2,670)
Other adjustments to Tier 2 capital(e) (36)
Basel III Advanced Fully Phased-In Tier 2 capital $ 21,684
Basel III Advanced Fully Phased-In Total capital $ 206,594
Basel III Advanced Transitional RWA $ 1,608,240
Adjustment related to change in risk-weighting(f) 11,047
Basel III Advanced Fully Phased-In RWA $ 1,619,287
(a) Includes the remaining balance of AOCI related to AFS debt securities
and defined benefit pension and OPEB plans that will qualify as Basel
III CET1 capital upon full phase-in.
(b) Predominantly includes regulatory adjustments related to changes in
FVA/DVA, as well as CET1 deductions for defined benefit pension plan
assets and DTA related to net operating loss 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.
(e) Includes the Firm’s investments in its own Tier 2 capital instruments
and unrealized gains on AFS equity securities.
(f) Primarily relates to the risk-weighting of items not subject to capital
deduction thresholds including MSRs.