JPM · 10-Q · 2026Q2 · Full report

Interest Rate Risk Sensitivity

JPMORGAN CHASE & CO · 2026-08-06 · Importance 42 · Surprise 40

JPMorgan’s earnings-at-risk sensitivity to a 100-basis-point parallel rate increase declined to $1.8 billion at June 30, 2026 from $2.1 billion at year-end, while sensitivity to a 200-basis-point increase declined to $2.9 billion from $3.7 billion. Downside sensitivity to a 200-basis-point rate decline improved to negative $5.1 billion from negative $6.0 billion. The changes were primarily driven by Treasury and CIO actions, including more cash-flow hedges of floating-rate loans and investment securities, which increased duration, together with higher rates. Changes in firmwide deposits partially offset those effects.

Key facts

• Earnings-at-risk sensitivity for a -200 bps shift in rates at June 30, 2026 was $(5.1) billion and at December 31, 2025 was $(6.0) billion. source
• Earnings-at-risk sensitivity for a +100 bps parallel shift in rates at June 30, 2026 was $1.8 billion and at December 31, 2025 was $2.1 billion. source
• Earnings-at-risk sensitivity for a -100 bps parallel shift in rates at June 30, 2026 was $(2.4) billion and at December 31, 2025 was $(2.4) billion. source
• Earnings-at-risk sensitivity for a +200 bps shift in rates at June 30, 2026 was $2.9 billion and at December 31, 2025 was $3.7 billion. source
• Earnings-at-risk steeper yield curve +100 bps shift in long-term rates sensitivity was $1.1 billion at June 30, 2026 and $1.4 billion at December 31, 2025; -100 bps shift in short-term rates was $(1.2) billion at June 30, 2026 and $(1.0) billion at December 31, 2025. source
• Earnings-at-risk flatter yield curve +100 bps shift in short-term rates sensitivity was $0.6 billion at June 30, 2026 and $0.7 billion at December 31, 2025; -100 bps shift in long-term rates was $(1.2) billion at June 30, 2026 and $(1.4) billion at December 31, 2025. source