Fair Value Measurement

3 Months Ended

Mar. 31, 2015

Fair Value Disclosures [Abstract]

Fair value measurement

Fair value measurement

For a discussion of the Firm’s valuation methodologies for assets, liabilities and lending-related commitments measured at fair value and the fair value hierarchy, see Note 3 of JPMorgan Chase’s 2014 Annual Report.

The following table presents the asset and liabilities reported at fair value as of March 31, 2015, and December 31, 2014, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy								Derivative netting adjustments
March 31, 2015 (in millions)	Level 1		Level 2			Level 3						Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	29,299		$	—		$	—		$	29,299
Securities borrowed	—		792			—			—			792
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	—		23,873			888			—			24,761
Residential – nonagency	—		1,466			449			—			1,915
Commercial – nonagency	—		895			211			—			1,106
Total mortgage-backed securities	—		26,234			1,548			—			27,782
U.S. Treasury and government agencies(a)	19,935		7,055			—			—			26,990
Obligations of U.S. states and municipalities	—		9,178			1,331			—			10,509
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,570			—			—			1,570
Non-U.S. government debt securities	23,883		32,115			180			—			56,178
Corporate debt securities	—		28,579			2,759			—			31,338
Loans(b)	—		21,246			10,763			—			32,009
Asset-backed securities	—		2,830			1,233			—			4,063
Total debt instruments	43,818		128,807			17,814			—			190,439
Equity securities	111,167		563			317			—			112,047
Physical commodities(c)	3,881		1,169			—			—			5,050
Other	—		8,830			1,041			—			9,871
Total debt and equity instruments(d)	158,866		139,369			19,172			—			317,407
Derivative receivables:
Interest rate	598		894,227			4,256			(862,933		)	36,148
Credit	—		60,642			2,694			(61,808		)	1,528
Foreign exchange	894		223,859			3,204			(202,261		)	25,696
Equity	—		43,644			2,245			(38,479		)	7,410
Commodity	199		38,537			452			(28,396		)	10,792
Total derivative receivables(e)	1,691		1,260,909			12,851			(1,193,877		)	81,574
Total trading assets	160,557		1,400,278			32,023			(1,193,877		)	398,981
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		65,556			—			—			65,556
Residential – nonagency	—		42,580			23			—			42,603
Commercial – nonagency	—		22,507			99			—			22,606
Total mortgage-backed securities	—		130,643			122			—			130,765
U.S. Treasury and government agencies(a)	11,915		50			—			—			11,965
Obligations of U.S. states and municipalities	—		31,199			—			—			31,199
Certificates of deposit	—		1,023			—			—			1,023
Non-U.S. government debt securities	22,231		23,626			—			—			45,857
Corporate debt securities	—		17,191			—			—			17,191
Asset-backed securities:
Collateralized loan obligations	—		28,913			770			—			29,683
Other	—		11,753			111			—			11,864
Equity securities	2,325		—			—			—			2,325
Total available-for-sale securities	36,471		244,398			1,003			—			281,872
Loans	—		68			2,222			—			2,290
Mortgage servicing rights (“MSRs”)	—		—			6,641			—			6,641
Other assets:
Private equity investments(f)	383		254			2,314			—			2,951
All other	4,026		326			1,816			—			6,168
Total other assets	4,409		580			4,130			—			9,119
Total assets measured at fair value on a recurring basis	$	201,437	$	1,675,415	(g)	$	46,019	(g)	$	(1,193,877	)	$	728,994
Deposits	$	—	$	7,610		$	3,340		$	—		$	10,950
Federal funds purchased and securities loaned or sold under repurchase agreements	—		3,628			—			—			3,628
Other borrowed funds	—		13,343			1,116			—			14,459
Trading liabilities:
Debt and equity instruments(d)	65,431		18,924			82			—			84,437
Derivative payables:
Interest rate	659		861,758			3,606			(848,133		)	17,890
Credit	—		60,006			2,419			(61,205		)	1,220
Foreign exchange	880		239,402			2,497			(215,685		)	27,094
Equity	—		47,704			4,990			(39,504		)	13,190
Commodity	124		40,649			1,187			(27,518		)	14,442
Total derivative payables(e)	1,663		1,249,519			14,699			(1,192,045		)	73,836
Total trading liabilities	67,094		1,268,443			14,781			(1,192,045		)	158,273
Accounts payable and other liabilities	—		—			23			—			23
Beneficial interests issued by consolidated VIEs	—		258			1,023			—			1,281
Long-term debt	—		18,630			12,003			—			30,633
Total liabilities measured at fair value on a recurring basis	$	67,094	$	1,311,912		$	32,286		$	(1,192,045	)	$	219,247

	Fair value hierarchy								Derivative netting adjustments
December 31, 2014 (in millions)	Level 1		Level 2			Level 3							Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	28,585		$	—		$	—			$	28,585
Securities borrowed	—		992			—			—				992
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	14		31,904			922			—				32,840
Residential – nonagency	—		1,381			663			—				2,044
Commercial – nonagency	—		927			306			—				1,233
Total mortgage-backed securities	14		34,212			1,891			—				36,117
U.S. Treasury and government agencies(a)	17,816		8,460			—			—				26,276
Obligations of U.S. states and municipalities	—		9,298			1,273			—				10,571
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,429			—			—				1,429
Non-U.S. government debt securities	25,854		27,294			302			—				53,450
Corporate debt securities	—		28,099			2,989			—				31,088
Loans(b)	—		23,080			13,287			—				36,367
Asset-backed securities	—		3,088			1,264			—				4,352
Total debt instruments	43,684		134,960			21,006			—				199,650
Equity securities	104,890		748			431			—				106,069
Physical commodities(c)	2,739		1,741			2			—				4,482
Other	—		8,762			1,050			—				9,812
Total debt and equity instruments(d)	151,313		146,211			22,489			—				320,013
Derivative receivables:
Interest rate	473		945,635		(h)	4,149			(916,532		)	(h)	33,725
Credit	—		73,853			2,989			(75,004		)		1,838
Foreign exchange	758		212,153		(h)	2,276			(193,934		)	(h)	21,253
Equity	—		39,937		(h)	2,552			(34,312		)	(h)	8,177
Commodity	247		42,807			599			(29,671		)		13,982
Total derivative receivables(e)	1,478		1,314,385		(h)	12,565			(1,249,453		)	(h)	78,975
Total trading assets	152,791		1,460,596		(h)	35,054			(1,249,453		)	(h)	398,988
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		65,319			—			—				65,319
Residential – nonagency	—		50,865			30			—				50,895
Commercial – nonagency	—		21,009			99			—				21,108
Total mortgage-backed securities	—		137,193			129			—				137,322
U.S. Treasury and government agencies(a)	13,591		54			—			—				13,645
Obligations of U.S. states and municipalities	—		30,068			—			—				30,068
Certificates of deposit	—		1,103			—			—				1,103
Non-U.S. government debt securities	24,074		28,669			—			—				52,743
Corporate debt securities	—		18,532			—			—				18,532
Asset-backed securities:
Collateralized loan obligations	—		29,402			792			—				30,194
Other	—		12,499			116			—				12,615
Equity securities	2,530		—			—			—				2,530
Total available-for-sale securities	40,195		257,520			1,037			—				298,752
Loans	—		70			2,541			—				2,611
Mortgage servicing rights	—		—			7,436			—				7,436
Other assets:									—
Private equity investments(f)	648		2,624			2,475			—				5,747
All other	4,018		230			1,914			—				6,162
Total other assets	4,666		2,854			4,389			—				11,909
Total assets measured at fair value on a recurring basis	$	197,652	$	1,750,617	(g)(h)	$	50,457	(g)	$	(1,249,453	)	(h)	$	749,273
Deposits	$	—	$	5,948		$	2,859		$	—			$	8,807
Federal funds purchased and securities loaned or sold under repurchase agreements	—		2,979			—			—				2,979
Other borrowed funds	—		13,286			1,453			—				14,739
Trading liabilities:
Debt and equity instruments(d)	62,914		18,713			72			—				81,699
Derivative payables:									—
Interest rate	499		914,357		(h)	3,523			(900,634		)	(h)	17,745
Credit	—		73,095			2,800			(74,302		)		1,593
Foreign exchange	746		221,066		(h)	2,802			(201,644		)	(h)	22,970
Equity	—		41,925		(h)	4,337			(34,522		)	(h)	11,740
Commodity	141		44,318			1,164			(28,555		)		17,068
Total derivative payables(e)	1,386		1,294,761		(h)	14,626			(1,239,657		)	(h)	71,116
Total trading liabilities	64,300		1,313,474		(h)	14,698			(1,239,657		)	(h)	152,815
Accounts payable and other liabilities	—		—			26			—				26
Beneficial interests issued by consolidated VIEs	—		1,016			1,146			—				2,162
Long-term debt	—		18,349			11,877			—				30,226
Total liabilities measured at fair value on a recurring basis	$	64,300	$	1,355,052	(h)	$	32,059		$	(1,239,657	)	(h)	$	211,754

(a) At March 31, 2015, and December 31, 2014, included total U.S. government-sponsored enterprise obligations of $75.2 billion and $84.1 billion, respectively, which were predominantly mortgage-related.

(b) At March 31, 2015, and December 31, 2014, included within trading loans were $13.3 billion and $17.0 billion, respectively, of residential first-lien mortgages, and $4.4 billion and $5.8 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $6.0 billion and $7.7 billion, respectively, and reverse mortgages of $2.9 billion and $3.4 billion, respectively.

(c) Physical commodities inventories are generally accounted for at the lower of cost or market. “Market” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, market approximates fair value for the Firm’s physical commodities inventories. When fair value hedging has been applied (or when market is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. For a further discussion of the Firm’s hedge accounting relationships, see Note 5. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented.

(d) Balances reflect the reduction of securities owned (long positions) by the amount of identical securities sold but not yet purchased (short positions).

(e) As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. Therefore, the balances reported in the fair value hierarchy table are gross of any counterparty netting adjustments. However, if the Firm were to net such balances within level 3, the reduction in the level 3 derivative receivables and payables balances would be $2.3 billion and $2.5 billion at March 31, 2015, and December 31, 2014, respectively; this is exclusive of the netting benefit associated with cash collateral, which would further reduce the level 3 balances.

(f) Private equity instruments represent investments within the Corporate line of business. The cost basis of the private equity investment portfolio totaled $4.2 billion and $6.0 billion at March 31, 2015, and December 31, 2014, respectively.

(g) Includes investments in hedge funds, private equity funds, real estate and other funds that do not have readily determinable fair values. The Firm uses net asset value per share when measuring the fair value of these investments. At March 31, 2015, and December 31, 2014, the fair values of these investments were $1.8 billion and $1.8 billion, respectively, of which $374 million and $337 million, respectively, were classified in level 2, and $1.4 billion and $1.4 billion, respectively, in level 3.

(h) The prior period amounts have been revised to conform with the current period presentation. This revision had no impact on the Firm's Consolidated balance sheets or its results of operations.

Transfers between levels for instruments carried at fair value on a recurring basis

For the three months endedMarch 31, 2015 and 2014, there were no individually significant transfers between levels 1, 2 and 3.

All transfers are assumed to occur at the beginning of the quarterly reporting period in which they occur.

Level 3 valuations

For further information on the Firm’s valuation process and a detailed discussion of the determination of fair value for individual financial instruments, see Note 3 of JPMorgan Chase’s 2014 Annual Report.

The following table presents the Firm’s primary level 3 financial instruments, the valuation techniques used to measure the fair value of those financial instruments, the significant unobservable inputs, the range of values for those inputs and, for certain instruments, the weighted averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the unobservable components. The level 1 and/or level 2 inputs are not included in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.

The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value.

In the Firm’s view, the input range and the weighted average value do not reflect the degree of input uncertainty or an assessment of the reasonableness of the Firm’s estimates and assumptions. Rather, they reflect the characteristics of the various instruments held by the Firm and the relative distribution of instruments within the range characteristics. For example, two option contracts may have similar levels of market risk exposure and valuation uncertainty, but may have significantly different implied volatility levels because the option contracts have different underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to period and parameter to parameter based on the characteristics of the instruments held by the Firm at each balance sheet date.

For the Firm’s derivatives and structured notes positions classified within level 3, the equity and interest rate correlation inputs used in estimating fair value were concentrated at the upper end of the range presented, while the credit correlation inputs were distributed across the range presented and the foreign exchange correlation inputs were concentrated at the top end of the range presented. In addition, the interest rate volatility inputs used in estimating fair value were concentrated at the upper end of the range presented and the foreign exchange correlation inputs were concentrated at the top end of the range presented. The equity volatilities are concentrated at the lower half end of the range. The forward commodity prices used in estimating the fair value of commodity derivatives were concentrated within the lower end of the range presented.

Level 3 inputs(a)
March 31, 2015 (in millions, except for ratios and basis points)
Product/Instrument	Fair value			Principal valuation technique	Unobservable inputs	Range of input values					Weighted average
Residential mortgage-backed securities and loans	$	6,816		Discounted cash flows	Yield	1		%	–	24%	5		%
					Prepayment speed	0		%	–	20%	7		%
					Conditional default rate	0		%	–	100%	10		%
					Loss severity	0		%	–	100%	27		%
Commercial mortgage-backed securities and loans(b)	4,634			Discounted cash flows	Yield	1		%	–	34%	4		%
					Conditional default rate	0		%	–	100%	7		%
					Loss severity	0		%	–	40%	28		%
Corporate debt securities, obligations of U.S. states and municipalities, and other(c)	6,434			Discounted cash flows	Credit spread	60 bps			–	350 bps	158 bps
					Yield	2		%	–	16%	5		%
	5,268			Market comparables	Price	$	—		–	$139	$	105
Net interest rate derivatives	650			Option pricing	Interest rate correlation	(75		)%	–	93%
					Interest rate spread volatility	0		%	–	60%
Net credit derivatives(b)(c)	275			Discounted cash flows	Credit correlation	40		%	–	90%
Net foreign exchange derivatives	707			Option pricing	Foreign exchange correlation	0		%	–	60%
Net equity derivatives	(2,745		)	Option pricing	Equity volatility	15		%	–	60%
Net commodity derivatives	(735		)	Discounted cash flows	Forward commodity price	$	50		–	$90 per barrel
Collateralized loan obligations	770			Discounted cash flows	Credit spread	275 bps			–	445 bps	296 bps
					Prepayment speed	20%					20		%
					Conditional default rate	2%					2		%
					Loss severity	40%					40		%
	291			Market comparables	Price	$	—		–	$140	$	83
Mortgage servicing rights (“MSRs”)	6,641			Discounted cash flows	Refer to Note 16
Private equity direct investments	1,897			Market comparables	EBITDA multiple	6.9x			–	11.8x	8.5x
					Liquidity adjustment	0		%	–	15%	10		%
Private equity fund investments	417			Net asset value	Net asset value(e)
Long-term debt, other borrowed funds, and deposits(d)	15,195			Option pricing	Interest rate correlation	(75		)%	–	93%
					Interest rate spread volatility	0		%	–	60%
					Foreign exchange correlation	0		%	–	60%
					Equity correlation	(50		)%	–	85%
	1,264			Discounted cash flows	Credit correlation	40		%	–	90%

(a) The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated balance sheets.

(b) The unobservable inputs and associated input ranges for approximately $465 million of credit derivative receivables and $408 million of credit derivative payables with underlying commercial mortgage risk have been included in the inputs and ranges provided for commercial mortgage-backed securities (“MBS”) and loans.

(c) The unobservable inputs and associated input ranges for approximately $746 million of credit derivative receivables and $654 million of credit derivative payables with underlying asset-backed securities (“ABS”) risk have been included in the inputs and ranges provided for corporate debt securities, obligations of U.S. states and municipalities and other.

(d) Long-term debt, other borrowed funds and deposits include structured notes issued by the Firm that are predominantly financial instruments containing embedded derivatives. The estimation of the fair value of structured notes is predominantly based on the derivative features embedded within the instruments. The significant unobservable inputs are broadly consistent with those presented for derivative receivables.

(e) The range has not been disclosed due to the wide range of possible values given the diverse nature of the underlying investments.

Changes in and ranges of unobservable inputs

For a discussion of the impact on fair value of changes in unobservable inputs and the relationships between unobservable inputs as well as a description of attributes of the underlying instruments and external market factors that affect the range of inputs used in the valuation of the Firm’s positions see Note 3 of JPMorgan Chase’s 2014 Annual Report.

Changes in level 3 recurring fair value measurements

The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three months ended March 31, 2015 and 2014. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable parameters to the overall fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2015 (in millions)	Fair value at January 1, 2015			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at March 31, 2015				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2015
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	922		$	(53	)		$	74		$	(17	)			$	(40	)	$	2			$	888		$	(52	)
Residential – nonagency	663			(10		)		152			(347		)			(6		)	(3		)		449			(34		)
Commercial – nonagency	306			(11		)		82			(151		)			(8		)	(7		)		211			(16		)
Total mortgage-backed securities	1,891			(74		)		308			(515		)			(54		)	(8		)		1,548			(102		)
Obligations of U.S. states and municipalities	1,273			10				144			(71		)			(25		)	—				1,331			8
Non-U.S. government debt securities	302			1				101			(92		)			(31		)	(101		)		180			1
Corporate debt securities	2,989			(55		)		533			(496		)			(92		)	(120		)		2,759			(26		)
Loans	13,287			(285		)		736			(1,997		)			(469		)	(509		)		10,763			(275		)
Asset-backed securities	1,264			(37		)		559			(521		)			32			(64		)		1,233			(44		)
Total debt instruments	21,006			(440		)		2,381			(3,692		)			(639		)	(802		)		17,814			(438		)
Equity securities	431			38				29			(110		)			(3		)	(68		)		317			31
Other	1,052			8				661			(584		)			(79		)	(17		)		1,041			15
Total trading assets – debt and equity instruments	22,489			(394		)	(c)	3,071			(4,386		)			(721		)	(887		)		19,172			(392		)	(c)
Net derivative receivables:(a)
Interest rate	626			142				309			(74		)			(255		)	(98		)		650			308
Credit	189			77				9			(3		)			19			(16		)		275			75
Foreign exchange	(526		)	827				5			(3		)			201			203				707			779
Equity	(1,785		)	(476		)		208			(289		)			(355		)	(48		)		(2,745		)	(484		)
Commodity	(565		)	(40		)		—			—					(98		)	(32		)		(735		)	(49		)
Total net derivative receivables	(2,061		)	530			(c)	531			(369		)			(488		)	9				(1,848		)	629			(c)
Available-for-sale securities:
Asset-backed securities	908			(9		)		49			(43		)			(24		)	—				881			(4		)
Other	129			—				—			—					(7		)	—				122			—
Total available-for-sale securities	1,037			(9		)	(d)	49			(43		)			(31		)	—				1,003			(4		)	(d)
Loans	2,541			(205		)	(c)	120			(83		)			(151		)	—				2,222			(205		)	(c)
Mortgage servicing rights	7,436			(579		)	(e)	156			(157		)			(215		)	—				6,641			(579		)	(e)
Other assets:
Private equity investments	2,475			36			(c)	—			—					(71		)	(126		)		2,314			21			(c)
All other	1,914			19			(f)	95			(88		)			(124		)	—				1,816			2			(f)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2015 (in millions)	Fair value at January 1, 2015			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at March 31, 2015				Change in unrealized (gains)/losses related to financial instruments held at March 31, 2015
								Purchases			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,859		$	92		(c)	$	—		$	—		$	775	$	(115	)	$	(271	)		$	3,340		$	88		(c)
Other borrowed funds	1,453			(119		)	(c)	—			—			1,048		(981		)	(285		)		1,116			(110		)	(c)
Trading liabilities – debt and equity instruments	72			3			(c)	(108		)	126			—		(9		)	(2		)		82			2			(c)
Accounts payable and other liabilities	26			—			(c)	—			—			—		(3		)	—				23			—			(c)
Beneficial interests issued by consolidated VIEs	1,146			(53		)	(c)	—			—			2		(72		)	—				1,023			(47		)	(c)
Long-term debt	11,877			(105		)	(c)	—			(12		)	2,837		(2,371		)	(223		)		12,003			(96		)	(c)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2014 (in millions)	Fair value at January 1, 2014			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at March 31, 2014				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2014
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	1,005		$	3			$	331		$	(162	)			$	(27	)	$	—			$	1,150		$	5
Residential – nonagency	726			24				192			(200		)			(12		)	(15		)		715			14
Commercial – nonagency	432			20				321			(294		)			(14		)	—				465			10
Total mortgage-backed securities	2,163			47				844			(656		)			(53		)	(15		)		2,330			29
Obligations of U.S. states and municipalities	1,382			22				—			(185		)			—			—				1,219			9
Non-U.S. government debt securities	143			16				410			(516		)			(1		)	—				52			22
Corporate debt securities	5,920			238				1,197			(1,352		)			(841		)	(289		)		4,873			213
Loans	13,455			319				2,158			(1,794		)			(1,546		)	(71		)		12,521			295
Asset-backed securities	1,272			24				550			(556		)			(20		)	(114		)		1,156			19
Total debt instruments	24,335			666				5,159			(5,059		)			(2,461		)	(489		)		22,151			587
Equity securities	885			81				36			(19		)			(9		)	(89		)		885			70
Physical commodities	4			—				—			—					(1		)	—				3			—
Other	2,000			(97		)		54			(51		)			(28		)	(594		)		1,284			(19		)
Total trading assets – debt and equity instruments	27,224			650			(c)	5,249			(5,129		)			(2,499		)	(1,172		)		24,323			638			(c)
Net derivative receivables:(a)
Interest rate	2,379			24				48			(43		)			(338		)	20				2,090			(342		)
Credit	95			(115		)		58			—					206			—				244			(97		)
Foreign exchange	(1,200		)	(199		)		61			(16		)			49			23				(1,282		)	(349		)
Equity	(1,063		)	71				801			(1,033		)			125			39				(1,060		)	582
Commodity	115			(154		)		1			—					(42		)	22				(58		)	(60		)
Total net derivative receivables	326			(373		)	(c)	969			(1,092		)			—			104				(66		)	(266		)	(c)
Available-for-sale securities:
Asset-backed securities	1,088			(2		)		—			(2		)			(20		)	63				1,127			(2		)
Other	1,234			(3		)		—			—					(41		)	—				1,190			(3		)
Total available-for-sale securities	2,322			(5		)	(d)	—			(2		)			(61		)	63				2,317			(5		)	(d)
Loans	1,931			32			(c)	684			(142		)			(234		)	—				2,271			28			(c)
Mortgage servicing rights	9,614			(822		)	(e)	195			(188		)			(247		)	—				8,552			(822		)	(e)
Other assets:
Private equity investments	6,474			96			(c)	87			(1,018		)			(304		)	—				5,335			(3		)	(c)
All other	2,589			(34		)	(f)	73			(37		)			(155		)	—				2,436			(44		)	(f)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2014 (in millions)	Fair value at January 1, 2014			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at March 31, 2014				Change in unrealized (gains)/ losses related to financial instruments held at March 31, 2014
								Purchases			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,255		$	37		(c)	$	—		$	—		$	290	$	(42	)	$	(154	)		$	2,386		$	28		(c)
Other borrowed funds	2,074			39			(c)	—			—			1,333		(2,107		)	196				1,535			113			(c)
Trading liabilities – debt and equity instruments	113			—				(216		)	208			—		(4		)	—				101			—
Accounts payable and other liabilities	—			—				—			—			—		—			—				—			—
Beneficial interests issued by consolidated VIEs	1,240			47			(c)	—			—			78		(205		)	—				1,160			50			(c)
Long-term debt	10,008			102			(c)	—			—			1,832		(1,010		)	271				11,203			129			(c)

(a) All level 3 derivatives are presented on a net basis, irrespective of the underlying counterparty.

(b) Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) was 15% at March 31, 2015 and December 31, 2014.

(c) Predominantly reported in principal transactions revenue, except for changes in fair value for Consumer & Community Banking mortgage loans, lending-related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income.

(d) Realized gains/(losses) on available-for-sale (“AFS”) securities, as well as other-than-temporary impairment losses that are recorded in earnings, are reported in securities gains. Unrealized gains/(losses) are reported in OCI. Realized gains/(losses) and foreign exchange remeasurement adjustments recorded in income on AFS securities were $(7) million and $(1) million for the three months ended March 31, 2015 and 2014, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $(2) million and $(4) million for the three months ended March 31, 2015 and 2014, respectively.

(e) Changes in fair value for CCB mortgage servicing rights are reported in mortgage fees and related income.

(f) Predominantly reported in other income.

(g) Loan originations are included in purchases.

(h) All transfers into and/or out of level 3 are assumed to occur at the beginning of the quarterly reporting period in which they occur.

Level 3 analysis

Consolidated balance sheets changes

Level 3 assets (including assets measured at fair value on a nonrecurring basis) were 1.9% of total Firm assets at March 31, 2015. The following describes significant changes to level 3 assets since December 31, 2014, for those items measured at fair value on a recurring basis. For further information on changes impacting items measured at fair value on a nonrecurring basis, see Assets and liabilities measured at fair value on a nonrecurring basis on page 87.

Three months ended March 31, 2015

Level 3 assets were $46.0 billion at March 31, 2015, reflecting a decrease of $4.4 billion from December 31, 2014, largely due to the following:

• $3.3 billion decrease in trading assets, debt and equity securities predominantly driven by a decrease in trading loans due to sales and a number of transfers from Level 3 to Level 2 as a result of an increase in observability of certain valuation inputs.

Gains and losses

The following describes significant components of total realized/unrealized gains/(losses) for instruments measured at fair value on a recurring basis for the periods indicated. For further information on these instruments, see Changes in level 3 recurring fair value measurements rollforward tables on pages 84–85.

Three months ended March 31, 2015

• $602 million of net losses and $182 million of net gains on assets and liabilities, respectively, measured at fair value on a recurring basis, none of which were individually significant.

Three months ended March 31, 2014

• $456 million and $225 million of net losses on assets and liabilities, respectively, measured at fair value on a recurring basis, none of which were individually significant.

Credit & funding adjustments

The following table provides the credit and funding adjustments, excluding the effect of any associated hedging activities, reflected within the Consolidated balance sheets as of the dates indicated.

(in millions)	Mar 31, 2015			Dec 31, 2014
Derivative receivables balance(a)	$	81,574		$	78,975
Derivative payables balance(a)	73,836			71,116
Derivatives CVA(b)	(2,493		)	(2,674		)
Derivatives DVA and FVA(b)(c)	(521		)	(380		)
Structured notes balance(a)(d)	56,042			53,772
Structured notes DVA and FVA(b)(e)	1,300			1,152

(a) Balances are presented net of applicable credit valuation adjustments (“CVA”) and debit valuation adjustments (“DVA”)/funding valuation adjustments (“FVA”).

(b) Positive CVA and DVA/FVA represent amounts that increased receivable balances or decreased payable balances; negative CVA and DVA/FVA represent amounts that decreased receivable balances or increased payable balances.

(c) At March 31, 2015, and December 31, 2014, included derivatives DVA of $727 million and $714 million, respectively.

(d) Structured notes are predominantly financial instruments containing embedded derivatives that are measured at fair value based on the Firm’s election under the fair value option. At March 31, 2015, and December 31, 2014, included $943 million and $943 million, respectively, of financial instruments with no embedded derivative for which the fair value option has also been elected. For further information on these elections, see Note 4.

(e) At March 31, 2015, and December 31, 2014 included structured notes DVA of $1.5 billion and $1.4 billion, respectively.

The following table provides the impact of credit and funding adjustments on Principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities.

	Three months ended March 31,
(in millions)	2015			2014
Credit adjustments:
Derivatives CVA	$	181		$	(19	)
Derivatives DVA and FVA(a)	(141		)	(125		)
Structured notes DVA and FVA(b)	148			17

(a) Included derivatives DVA of $13 million and $(94) million for the three months ended March 31, 2015 and 2014, respectively.

(b) Included structured notes DVA of $108 million and $(115) million for the three months ended March 31, 2015 and 2014, respectively.

Assets and liabilities measured at fair value on a nonrecurring basis

At March 31, 2015 and 2014, assets measured at fair value on a nonrecurring basis were $3.5 billion and $3.8 billion, respectively, which predominantly consisted of loans that had fair value adjustments for the three months ended March 31, 2015 and 2014. At March 31, 2015, $1.3 billion and $2.2 billion of these assets were classified in levels 2 and 3 of the fair value hierarchy, respectively. At March 31, 2014, $333 million and $3.5 billion of these assets were classified in levels 2 and 3 of the fair value hierarchy, respectively. Liabilities measured at fair value on a nonrecurring basis were not significant at March 31, 2015 and 2014. For the three months endedMarch 31, 2015 and 2014, there were no significant transfers between levels 1, 2, and 3.

Of the $2.2 billion of level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2015:

• $1.3 billion related to consumer credit card loans that were reclassified to held-for-sale during the fourth quarter of 2014 subject to a lower of cost or fair value adjustment. These loans were classified as level 3, as they are valued based on the Firm’s internal valuation methodology;

• $495 million related to trade finance loans that were reclassified to held-for-sale during the fourth quarter of 2013 and subject to a lower of cost or fair value adjustment. These loans were classified as level 3 as they are valued based on the indicative pricing received from external investors, with a spread and weighted average of 58 bps.

• $186 million related to residential real estate loans measured at the net realizable value of the underlying collateral (i.e., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 as they are valued using a broker’s price opinion and discounted based upon the Firm’s experience with actual liquidation values. These discounts to the broker price opinions ranged from 8% to 59%, with a weighted average of 22%.

The total change in the recorded value of assets and liabilities for which a fair value adjustment has been included in the Consolidated Statements of Income for the three months ended March 31, 2015 and 2014, related to financial instruments held at those dates, was a reduction of $88 million and $226 million, respectively.

For information about the measurement of impaired collateral-dependent loans, and other loans where the carrying value is based on the fair value of the underlying collateral (e.g., residential mortgage loans charged off in accordance with regulatory guidance), see Note 14 of JPMorgan Chase’s 2014 Annual Report.

Additional disclosures about the fair value of financial instruments that are not carried on the Consolidated balance sheets at fair value

The following table presents the carrying values and estimated fair values at March 31, 2015, and December 31, 2014, of financial assets and liabilities, excluding financial instruments which are carried at fair value on a recurring basis, and information is provided on their classification within the fair value hierarchy. For additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value, see Note 3 of JPMorgan Chase’s 2014 Annual Report.

	March 31, 2015										December 31, 2014
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value		Level 1		Level 2		Level 3		Total estimated fair value
Financial assets
Cash and due from banks	$	22.8	$	22.8	$	—	$	—	$	22.8	$	27.8	$	27.8	$	—	$	—	$	27.8
Deposits with banks	506.4		502.8		3.6		—		506.4		484.5		480.4		4.1		—		484.5
Accrued interest and accounts receivable	70.0		—		70.0		0.1		70.1		70.1		—		70.0		0.1		70.1
Federal funds sold and securities purchased under resale agreements	190.0		—		190.0		—		190.0		187.2		—		187.2		—		187.2
Securities borrowed	107.6		—		107.6		—		107.6		109.4		—		109.4		—		109.4
Securities, held-to-maturity(a)	49.3		—		51.4		—		51.4		49.3		—		51.2		—		51.2
Loans, net of allowance for loan losses(b)	747.8		—		18.3		734.4		752.7		740.5		—		21.8		723.1		744.9
Other	65.8		—		56.5		13.3		69.8		64.7		—		55.7		13.3		69.0
Financial liabilities
Deposits	$	1,356.9	$	—	$	1,356.0	$	1.2	$	1,357.2	$	1,354.6	$	—	$	1,353.6	$	1.2	$	1,354.8
Federal funds purchased and securities loaned or sold under repurchase agreements	193.0		—		193.0		—		193.0		189.1		—		189.1		—		189.1
Commercial paper	55.7		—		55.7		—		55.7		66.3		—		66.3		—		66.3
Other borrowed funds	14.6		—		14.6		—		14.6		15.5				15.5		—		15.5
Accounts payable and other liabilities	174.5		—		172.0		2.4		174.4		176.7		—		173.7		2.9		176.6
Beneficial interests issued by consolidated VIEs	49.8		—		47.9		2.0		49.9		50.2		—		48.2		2.0		50.2
Long-term debt and junior subordinated deferrable interest debentures(c)	250.0		—		255.9		3.8		259.7		246.6		—		251.6		3.8		255.4

(a) Carrying value includes unamortized discount or premium.

(b) Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of the Firm’s methodologies for estimating the fair value of loans and lending-related commitments, see Valuation hierarchy on pages 181–184 of JPMorgan Chase’s 2014 Annual Report.

(c) Carrying value includes unamortized original issue discount and other valuation adjustments.

The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated Balance Sheets, nor are they actively traded. The carrying value and estimated fair value of the Firm’s wholesale lending-related commitments were as follows for the periods indicated.

	March 31, 2015										December 31, 2014
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value(a)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a)		Level 1		Level 2		Level 3		Total estimated fair value
Wholesale lending-related commitments	$	0.6	$	—	$	—	$	1.3	$	1.3	$	0.6	$	—	$	—	$	1.6	$	1.6

(a) Represents the allowance for wholesale lending-related commitments. Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which are recognized at fair value at the inception of guarantees.

The Firm does not estimate the fair value of consumer lending-related commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower notice or, in some cases as permitted by law, without notice. For a further discussion of the valuation of lending-related commitments, see page 182 of JPMorgan Chase’s 2014 Annual Report.