JPMorgan NII Attribution
Net interest income and deposit-beta attribution across 18 quarters — source-verified from SEC EDGAR and FRED in a formula-verified workbook.
Challenge
Deposit beta had two answers: contemporaneous data said down-beta (0.53) beats up-beta (0.26), while cumulative said the reverse (0.53 vs 0.44). A single pooled beta (0.43) hid the entire question.
Solution
Two-tier attribution across 18 quarters (2022-Q1→2026-Q2): an NII rate/volume bridge plus regime-separated OLS betas with n attached to every number. Tested the asymmetry directly — repricing lags 2+ quarters on the way up but tracks cuts promptly on the way down — flagged the FRB acquisition quarters with sensitivity runs, byte-matched all 18 quarters to EDGAR, and verified the workbook through two independent engines, 194/194 cells.
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