JPM · 10-Q · 2026Q3 · Full report
Interest Rate Sensitivity
JPMORGAN CHASE & CO · 2026-11-03 · Importance 60 · Surprise 56 · No source text
The Firm identifies interest rate exposure as a significant market risk and measures structural exposure through earnings-at-risk scenarios over the following 12 months. As of September 30, 2026, a parallel 100-basis-point rate increase was estimated to raise earnings by $1.4 billion, compared with $2.1 billion at December 31, 2025; a 200-basis-point increase was estimated to raise earnings by $2.4 billion, down from $3.7 billion. A 200-basis-point decline was estimated to reduce earnings by $4.4 billion, versus $6.0 billion at year-end 2025. Management attributed the sensitivity changes primarily to higher rates and Treasury and CIO actions that added duration, including increased investment securities and cash flow hedges of floating-rate loans, partly offset by higher deposits.
Key facts
- JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was a loss of $4.4 billion for a -200 bps parallel rate shift, versus a loss of $6.0 billion at December 31, 2025. source
- JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was $0.1 billion for a 100 bps increase in short-term rates under a flatter yield curve, versus $0.7 billion at December 31, 2025. source
- JPMorgan Chase & Co.'s derivatives funding-spread risk had a potential $3 million loss at September 30, 2026 for a 1 basis point parallel increase in spread, compared with $2 million at December 31, 2025. source
- JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was a loss of $2.2 billion for a -100 bps parallel rate shift, versus a loss of $2.4 billion at December 31, 2025. source
- JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was $2.4 billion for a +200 bps parallel rate shift, versus $3.7 billion at December 31, 2025. source
- JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was $1.4 billion for a +100 bps parallel rate shift, versus $2.1 billion at December 31, 2025. source
- JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was $1.3 billion for a 100 bps increase in long-term rates under a steeper yield curve, versus $1.4 billion at December 31, 2025. source
- JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was a loss of $0.8 billion for a 100 bps decrease in short-term rates under a steeper yield curve, versus a loss of $1.0 billion at December 31, 2025. source
Impact estimates
| metric | direction | stage | expected | basis |
|---|---|---|---|---|
| net_income | positive | contingent | +0.5% | JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was a loss of $4.4 billion for a -200 bps parallel rate shift,… |
| net_income | negative | contingent | -0.4% | JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was $2.4 billion for a +200 bps parallel rate shift, versus $3.7… |
| net_income | negative | contingent | -0.2% | JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was $0.1 billion for a 100 bps increase in short-term rates… |
| net_income | positive | contingent | +0.1% | JPMorgan Chase & Co.'s earnings-at-risk sensitivity at September 30, 2026 was a loss of $2.2 billion for a -100 bps parallel rate shift,… |
| net_income | negative | contingent | 0.0% | JPMorgan Chase & Co.'s derivatives funding-spread risk had a potential $3 million loss at September 30, 2026 for a 1 basis point parallel… |