JP Morgan Chase 2015 Annual Report Download - page 165

JPMorgan Chase & Co./2015 Annual Report 155
RWA rollforward
The following table presents changes in the components of RWA under Basel III Standardized and Advanced Fully Phased-In for
the year ended December 31, 2015. The amounts in the rollforward categories are estimates, based on the predominant
driver of the change.
Standardized Advanced
Year ended December 31, 2015
(in billions)
Credit risk
RWA
Market risk
RWA Total RWA Credit risk RWA
Market risk
RWA
Operational risk
RWA Total RWA
December 31, 2014 $ 1,381 $ 180 $ 1,561 $ 1,040 $ 179 $ 400 $ 1,619
Model & data changes(a) (17) (15) (32) (38) (15) — (53)
Portfolio runoff(b) (13) (8) (21) (21) (8) — (29)
Movement in portfolio levels(c) (18) (15) (33) (27) (14) — (41)
Changes in RWA (48) (38) (86) (86) (37) — (123)
December 31, 2015 $ 1,333 $ 142 $ 1,475 $ 954 $ 142 $ 400 $ 1,496
(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 reflects reduced risk from position rolloffs in legacy portfolios in Mortgage Banking, (primarily under the Advanced framework)
and Broker Dealer Services (primarily under the Standardized framework); and for market risk RWA reflects reduced risk from position rolloffs in legacy portfolios in
the wholesale businesses.
(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.
Supplementary leverage ratio
The SLR is defined as Tier 1 capital under Basel III divided
by the Firm’s total leverage exposure. Total leverage
exposure is calculated by taking the Firm’s total average on-
balance sheet assets, less amounts permitted to be
deducted for Tier 1 capital, and adding certain off-balance
sheet exposures, such as undrawn commitments and
derivatives potential future exposure.
On September 3, 2014, the U.S. banking regulators adopted
a final rule for the calculation of the SLR. The U.S. final rule
requires public disclosure of the SLR beginning with the first
quarter of 2015, and also requires U.S. bank holding
companies, including the Firm, to have a minimum SLR of
5% and IDI subsidiaries, including JPMorgan Chase Bank,
N.A. and Chase Bank USA, N.A., to have a minimum SLR of
6%, both beginning January 1, 2018. As of December 31,
2015, the Firm estimates that JPMorgan Chase Bank, N.A.’s
and Chase Bank USA, N.A.’s Fully Phased-In SLRs are
approximately 6.6% and 8.3%, respectively.
The following table presents the components of the Firm’s
Fully Phased-In SLR, a non-GAAP financial measure, as of
December 31, 2015.
(in millions, except ratio) December 31,
2015
Fully Phased-in Tier 1 Capital $ 199,047
Total average assets 2,408,253
Less: amounts deducted from Tier 1 capital 47,754
Total adjusted average assets(a) 2,360,499
Off-balance sheet exposures(b) 718,620
SLR leverage exposure $ 3,079,119
SLR 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 in the reporting quarter.
Planning and stress testing
Comprehensive Capital Analysis and Review
The Federal Reserve requires large bank holding
companies, including the Firm, to submit a capital plan on
an annual basis. The Federal Reserve uses the CCAR and
Dodd-Frank Act stress test processes to ensure that large
bank holding companies have sufficient capital during
periods of economic and financial stress, and have robust,
forward-looking capital assessment and planning processes
in place that address each bank holding company’s (“BHC”)
unique risks to enable them to have the ability to absorb
losses under certain stress scenarios. Through the CCAR,
the Federal Reserve evaluates each BHC’s capital adequacy
and internal capital adequacy assessment processes, as well
as its plans to make capital distributions, such as dividend
payments or stock repurchases.
On March 11, 2015, the Federal Reserve informed the Firm
that it did not object, on either a quantitative or qualitative
basis, to the Firm’s 2015 capital plan. For information on
actions taken by the Firm’s Board of Directors following the
2015 CCAR results, see Capital actions on page 157.
For 2016, the Federal Reserve revised the capital plan cycle
for the CCAR process. Under the revised time line, the Firm
is required to submit its 2016 capital plan to the Federal
Reserve by April 5, 2016. The Federal Reserve has
indicated that it expects to respond to the capital plan
submissions of bank holding companies by June 30, 2016.
The Firm’s CCAR process is integrated into and employs the
same methodologies utilized in the Firm’s ICAAP process, as
discussed below.