Fair Value Measurement

6 Months Ended

Jun. 30, 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 June 30, 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
June 30, 2015 (in millions)	Level 1		Level 2			Level 3						Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	28,670		$	—		$	—		$	28,670
Securities borrowed	—		495			—			—			495
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	5		27,893			901			—			28,799
Residential – nonagency	—		1,960			123			—			2,083
Commercial – nonagency	—		1,173			138			—			1,311
Total mortgage-backed securities	5		31,026			1,162			—			32,193
U.S. Treasury and government agencies(a)	19,151		6,664						—			25,815
Obligations of U.S. states and municipalities	—		6,764			1,247			—			8,011
Certificates of deposit, bankers’ acceptances and commercial paper	—		947			—			—			947
Non-U.S. government debt securities	25,313		29,106			208			—			54,627
Corporate debt securities	—		24,855			943			—			25,798
Loans(b)	—		24,419			9,563			—			33,982
Asset-backed securities	—		2,699			1,539			—			4,238
Total debt instruments	44,469		126,480			14,662			—			185,611
Equity securities	107,828		448			310			—			108,586
Physical commodities(c)	3,714		1,185			—			—			4,899
Other	—		10,286			969			—			11,255
Total debt and equity instruments(d)	156,011		138,399			15,941			—			310,351
Derivative receivables:
Interest rate	592		652,204			3,867			(625,340		)	31,323
Credit	—		51,926			2,651			(53,256		)	1,321
Foreign exchange	758		171,741			2,351			(156,510		)	18,340
Equity	—		40,618			1,772			(36,332		)	6,058
Commodity	191		29,254			487			(19,523		)	10,409
Total derivative receivables(e)	1,541		945,743			11,128			(890,961		)	67,451
Total trading assets	157,552		1,084,142			27,069			(890,961		)	377,802
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		57,315			—			—			57,315
Residential – nonagency	—		39,560			13			—			39,573
Commercial – nonagency	—		22,207			—			—			22,207
Total mortgage-backed securities	—		119,082			13			—			119,095
U.S. Treasury and government agencies(a)	11,544		46			—			—			11,590
Obligations of U.S. states and municipalities	—		31,424			—			—			31,424
Certificates of deposit	—		429			—			—			429
Non-U.S. government debt securities	23,548		19,244			—			—			42,792
Corporate debt securities	—		15,822			—			—			15,822
Asset-backed securities:
Collateralized loan obligations	—		30,600			772			—			31,372
Other	—		10,866			90			—			10,956
Equity securities	2,721		—			—			—			2,721
Total available-for-sale securities	37,813		227,513			875			—			266,201
Loans	—		136			2,295			—			2,431
Mortgage servicing rights (“MSRs”)	—		—			7,571			—			7,571
Other assets:
Private equity investments(f)	144		164			1,987			—			2,295
All other	3,948		26			839			—			4,813
Total other assets	4,092		190			2,826			—			7,108
Total assets measured at fair value on a recurring basis	$	199,457	$	1,341,146	(g)	$	40,636	(g)	$	(890,961	)	$	690,278
Deposits	$	—	$	7,957		$	3,528		$	—		$	11,485
Federal funds purchased and securities loaned or sold under repurchase agreements	—		3,586			—			—			3,586
Other borrowed funds	—		12,726			1,261			—			13,987
Trading liabilities:
Debt and equity instruments(d)	63,033		17,291			72			—			80,396
Derivative payables:
Interest rate	509		618,340			3,008			(607,977		)	13,880
Credit	—		51,611			2,219			(52,568		)	1,262
Foreign exchange	759		186,948			1,946			(171,197		)	18,456
Equity	—		44,358			3,620			(36,439		)	11,539
Commodity	102		31,496			1,081			(18,790		)	13,889
Total derivative payables(e)	1,370		932,753			11,874			(886,971		)	59,026
Total trading liabilities	64,403		950,044			11,946			(886,971		)	139,422
Accounts payable and other liabilities	—		—			23			—			23
Beneficial interests issued by consolidated VIEs	—		190			1,140			—			1,330
Long-term debt	—		18,727			12,589			—			31,316
Total liabilities measured at fair value on a recurring basis	$	64,403	$	993,230		$	30,487		$	(886,971	)	$	201,149

	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		624		431		—			105,945
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		146,087		22,489		—			319,889
Derivative receivables:
Interest rate	473		945,635		4,149		(916,532		)	33,725
Credit	—		73,853		2,989		(75,004		)	1,838
Foreign exchange	758		212,153		2,276		(193,934		)	21,253
Equity	—		39,937		2,552		(34,312		)	8,177
Commodity	247		42,807		599		(29,671		)	13,982
Total derivative receivables(e)	1,478		1,314,385		12,565		(1,249,453		)	78,975
Total trading assets	152,791		1,460,472		35,054		(1,249,453		)	398,864
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		2,225		—			5,497
All other	4,018		17		959		—			4,994
Total other assets	4,666		2,641		3,184		—			10,491
Total assets measured at fair value on a recurring basis	$	197,652	$	1,750,280	$	49,252	$	(1,249,453	)	$	747,731
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		3,523		(900,634		)	17,745
Credit	—		73,095		2,800		(74,302		)	1,593
Foreign exchange	746		221,066		2,802		(201,644		)	22,970
Equity	—		41,925		4,337		(34,522		)	11,740
Commodity	141		44,318		1,164		(28,555		)	17,068
Total derivative payables(e)	1,386		1,294,761		14,626		(1,239,657		)	71,116
Total trading liabilities	64,300		1,313,474		14,698		(1,239,657		)	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	$	32,059	$	(1,239,657	)	$	211,754

Note: Effective April 1, 2015, the Firm adopted new accounting guidance for investments in certain entities that calculate net asset value per share (or its equivalent). As a result of the adoption of this new guidance, certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At June 30, 2015, and December 31, 2014, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $1.6 billion and $1.5 billion, respectively, of which $337 million and $1.2 billion had been previously classified in level 2 and level 3, respectively, at December 31, 2014. Included in the balances at June 30, 2015, and December 31, 2014, were trading assets of $68 million and $124 million, respectively, and other assets of $1.5 billion and $1.4 billion, respectively. The guidance was required to be applied retrospectively, and accordingly, prior period amounts have been revised to conform with the current period presentation.

(a) At June 30, 2015, and December 31, 2014, included total U.S. government-sponsored enterprise obligations of $67.4 billion and $84.1 billion, respectively, which were predominantly mortgage-related.

(b) At June 30, 2015, and December 31, 2014, included within trading loans were $13.7 billion and $17.0 billion, respectively, of residential first-lien mortgages, and $4.6 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 $2.8 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. 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 $1.9 billion and $2.5 billion at June 30, 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 $4.0 billion and $6.0 billion at June 30, 2015, and December 31, 2014, respectively.

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

For the three and six months endedJune 30, 2015 and 2014, there were no individually significant transfers between levels 1 and 2, or from level 2 into level 3.

During the three and six months ended June 30, 2015, transfers from level 3 into level 2 included $1.9 billion and $2.0 billion, respectively, of corporate debt driven by a reduction of the significance in the unobservable inputs and an increase in observability for certain structured products and $1.3 billion and $1.9 billion of trading loans, respectively, driven by an increase in observability of certain collateralized financing transactions.

During the three and six months ended June 30, 2014, transfers from level 3 into level 2 included $3.0 billion and $3.2 billion of equity derivative receivables, respectively, and $2.7 billion and $2.9 billion of equity derivative payables, respectively, due to increased observability of certain equity options.

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 of 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, interest rate correlation inputs used in estimating fair value were concentrated towards the upper end of the range presented, equities correlation inputs were concentrated at the low end of the range, 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)
June 30, 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	$	6,287		Discounted cash flows	Yield	3		%	–	45%		6		%
					Prepayment speed	0		%	–	16%		6		%
					Conditional default rate	0		%	–	100%		13		%
					Loss severity	0		%	–	100%		28		%
Commercial mortgage-backed securities and loans(b)	4,136			Discounted cash flows	Yield	1		%	–	25%		4		%
					Conditional default rate	0		%	–	94%		8		%
					Loss severity	40%						40		%
Corporate debt securities, obligations of U.S. states and municipalities, and other(c)	3,956			Discounted cash flows	Credit spread	60 bps			–	270 bps		231 bps
					Yield	1		%	–	18%		5		%
	4,652			Market comparables	Price	$	—		–	$129		$	92
Net interest rate derivatives	859			Option pricing	Interest rate correlation	(54		)%	–	99%
					Interest rate spread volatility	4		%	–	26%
Net credit derivatives(b)(c)	432			Discounted cash flows	Credit correlation	40		%	–	90%
Net foreign exchange derivatives	405			Option pricing	Foreign exchange correlation	0		%	–	60%
Net equity derivatives	(1,848		)	Option pricing	Equity volatility	20		%	–	65%
Net commodity derivatives	(594		)	Discounted cash flows	Forward commodity price	$	50		–	$90 per barrel
Collateralized loan obligations	772			Discounted cash flows	Credit spread	289 bps			–	399 bps		305 bps
					Prepayment speed	20					%	20		%
					Conditional default rate	2					%	2		%
					Loss severity	40					%	40		%
	146			Market comparables	Price	$	—		–	$99		$	70
Mortgage servicing rights (“MSRs”)	7,571			Discounted cash flows	Refer to Note 16
Private equity investments	1,987			Market comparables	EBITDA multiple	6.7x			–	9.9x		8.3x
					Liquidity adjustment	0		%	–	17%		8		%
Long-term debt, other borrowed funds, and deposits(d)	15,661			Option pricing	Interest rate correlation	(54		)%	–	99%
					Interest rate spread volatility	4		%	–	26%
					Foreign exchange correlation	0		%	–	60%
					Equity correlation	(50		)%	–	80%
	1,717			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 $450 million of credit derivative receivables and $396 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 $617 million of credit derivative receivables and $569 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.

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 and six months ended June 30, 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 June 30, 2015 (in millions)	Fair value at April 1, 2015			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at June 30, 2015				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2015
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	888		$	91			$	108		$	(148	)			$	(34	)	$	(4	)		$	901		$	84
Residential – nonagency	449			54				25			(116		)			(4		)	(285		)		123			28
Commercial – nonagency	211			2				98			(49		)			(6		)	(118		)		138			(2		)
Total mortgage-backed securities	1,548			147				231			(313		)			(44		)	(407		)		1,162			110
Obligations of U.S. states and municipalities	1,331			3				47			(39		)			(2		)	(93		)		1,247			3
Non-U.S. government debt securities	180			8				54			(20		)			(11		)	(3		)		208			16
Corporate debt securities	2,759			5				288			(313		)			57			(1,853		)		943			10
Loans	10,763			294				1,160			(1,152		)			(350		)	(1,152		)		9,563			264
Asset-backed securities	1,233			21				737			(371		)			(26		)	(55		)		1,539			15
Total debt instruments	17,814			478				2,517			(2,208		)			(376		)	(3,563		)		14,662			418
Equity securities	317			8				21			(13		)			(14		)	(9		)		310			9
Other	1,041			80				450			(451		)			(137		)	(14		)		969			(3		)
Total trading assets – debt and equity instruments	19,172			566			(c)	2,988			(2,672		)			(527		)	(3,586		)		15,941			424			(c)
Net derivative receivables:(a)
Interest rate	650			351				133			(84		)			(98		)	(93		)		859			309
Credit	275			17				1			(1		)			107			33				432			22
Foreign exchange	707			118				8			(8		)			(187		)	(233		)		405			245
Equity	(2,745		)	801				216			(383		)			93			170				(1,848		)	621
Commodity	(735		)	129				—			—					47			(35		)		(594		)	180
Total net derivative receivables	(1,848		)	1,416			(c)	358			(476		)			(38		)	(158		)		(746		)	1,377			(c)
Available-for-sale securities:
Asset-backed securities	881			2				—			—					(21		)	—				862			2
Other	122			—				—			—					(10		)	(99		)		13			—
Total available-for-sale securities	1,003			2			(d)	—			—					(31		)	(99		)		875			2			(d)
Loans	2,222			85			(c)	297			—					(309		)	—				2,295			83			(c)
Mortgage servicing rights	6,641			794			(e)	583			(218		)			(229		)	—				7,571			794			(e)
Other assets:
Private equity investments	2,314			11			(c)	7			(27		)			(295		)	(23		)		1,987			(14		)	(c)
All other	894			12			(f)	11			(57		)			(21		)	—				839			3			(f)
	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2015 (in millions)	Fair value at April 1, 2015			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at June 30, 2015				Change in unrealized (gains)/losses related to financial instruments held at June 30, 2015
								Purchases			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	3,340		$	(156	)	(c)	$	—		$	—		$	673	$	(30	)	$	(299	)		$	3,528		$	(139	)	(c)
Other borrowed funds	1,116			(4		)	(c)	45			—			1,274		(1,161		)	(9		)		1,261			38			(c)
Trading liabilities – debt and equity instruments	82			2			(c)	(23		)	21			—		(5		)	(5		)		72			2			(c)
Accounts payable and other liabilities	23			—				—			—			—		—			—				23			—
Beneficial interests issued by consolidated VIEs	1,023			36			(c)	(16		)	—			284		(187		)	—				1,140			26			(c)
Long-term debt	12,003			(92		)	(c)	—			—			2,546		(1,774		)	(94		)		12,589			19			(c)

	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2014 (in millions)	Fair value at April 1, 2014			Total realized/unrealized gains/(losses)																	Transfers into and/or out of level 3(h)			Fair value at June 30, 2014				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2014
								Purchases(g)				Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	1,150		$	27			$	12			$	(12	)			$	(33	)		$	(19	)		$	1,125		$	28
Residential – nonagency	715			67				181				(314		)			(12		)		(94		)		543			21
Commercial – nonagency	465			8				260				(187		)			(34		)		(185		)		327			—
Total mortgage-backed securities	2,330			102				453				(513		)			(79		)		(298		)		1,995			49
Obligations of U.S. states and municipalities	1,219			(35		)		—				(105		)			—				—				1,079			(44		)
Non-U.S. government debt securities	52			3				25				(3		)			(1		)		52				128			3
Corporate debt securities	4,873			130				1,163				(663		)			(823		)		113				4,793			74
Loans	12,521			372				3,129				(1,108		)			(1,172		)		(221		)		13,521			376
Asset-backed securities	1,156			46				807				(776		)			(151		)		134				1,216			32
Total debt instruments	22,151			618				5,577				(3,168		)			(2,226		)		(220		)		22,732			490
Equity securities	868			19				49				(56		)			(22		)		(167		)		691			83
Physical commodities	3			—				—				—					—				—				3			—
Other	1,284			266				656				(127		)			(67		)		329				2,341			173
Total trading assets – debt and equity instruments	24,306			903			(c)	6,282				(3,351		)			(2,315		)		(58		)		25,767			746			(c)
Net derivative receivables:(a)
Interest rate	2,090			2				50				(63		)			(427		)		(119		)		1,533			(49		)
Credit	244			(124		)		164				(21		)			(79		)		(50		)		134			(91		)
Foreign exchange	(1,282		)	(143		)		33				(3		)			206				(5		)		(1,194		)	(141		)
Equity	(1,060		)	(143		)	(i)	57			(i)	(547		)	(i)		(74		)	(i)	(439		)	(i)	(2,206		)	(204		)
Commodity	(58		)	(18		)		—				—					29				(75		)		(122		)	16
Total net derivative receivables	(66		)	(426		)	(c)(i)	304			(i)	(634		)	(i)		(345		)	(i)	(688		)	(i)	(1,855		)	(469		)	(c)
Available-for-sale securities:
Asset-backed securities	1,127			(9		)		225				—					(21		)		—				1,322			(9		)
Other	1,190			1				122				—					(27		)		(772		)		514			2
Total available-for-sale securities	2,317			(8		)	(d)	347				—					(48		)		(772		)		1,836			(7		)	(d)
Loans	2,271			40			(c)	2,396				—					(480		)		—				4,227			21			(c)
Mortgage servicing rights	8,552			(149		)	(e)	181				2					(239		)		—				8,347			(149		)	(e)
Other assets:
Private equity investments	4,946			144			(c)	22				(470		)			(8		)		(4		)		4,630			128			(c)
All other	1,295			17			(f)	3				(102		)			(14		)		—				1,199			17			(f)
	Fair value measurements using significant unobservable inputs
Fair value at April 1, 2014	Fair value at April 1, 2014			Total realized/unrealized (gains)/losses																	Transfers into and/or out of level 3(h)			Fair value at June 30, 2014				Change in unrealized (gains)/losses related to financial instruments held at June 30, 2014
								Purchases				Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,386		$	74		(c)	$	—			$	—		$	519	$	(24	)		$	(117	)		$	2,838		$	63		(c)
Other borrowed funds	1,535			(132		)	(c)	—				—			1,343		(1,380		)		172				1,538			(30		)	(c)
Trading liabilities – debt and equity instruments	101			(4		)	(c)	(46		)		71			—		(4		)		(38		)		80			1			(c)
Accounts payable and other liabilities	—			27			(f)	—				—			—		—				—				27			27			(f)
Beneficial interests issued by consolidated VIEs	1,160			54			(c)	—				—			4		(54		)		(102		)		1,062			58			(c)
Long-term debt	11,203			437			(c)	—				—			1,912		(1,369		)		(437		)		11,746			410			(c)

	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2015				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2015
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	922		$	38			$	182		$	(165	)			$	(74	)	$	(2	)		$	901		$	40
Residential – nonagency	663			44				177			(463		)			(10		)	(288		)		123			26
Commercial – nonagency	306			(9		)		180			(200		)			(14		)	(125		)		138			(6		)
Total mortgage-backed securities	1,891			73				539			(828		)			(98		)	(415		)		1,162			60
Obligations of U.S. states and municipalities	1,273			13				191			(110		)			(27		)	(93		)		1,247			12
Non-U.S. government debt securities	302			9				155			(112		)			(42		)	(104		)		208			19
Corporate debt securities	2,989			(50		)		821			(809		)			(35		)	(1,973		)		943			18
Loans	13,287			9				1,896			(3,149		)			(819		)	(1,661		)		9,563			(67		)
Asset-backed securities	1,264			(16		)		1,296			(892		)			6			(119		)		1,539			(14		)
Total debt instruments	21,006			38				4,898			(5,900		)			(1,015		)	(4,365		)		14,662			28
Equity securities	431			46				50			(123		)			(17		)	(77		)		310			51
Other	1,052			88				1,111			(1,035		)			(216		)	(31		)		969			14
Total trading assets – debt and equity instruments	22,489			172			(c)	6,059			(7,058		)			(1,248		)	(4,473		)		15,941			93			(c)
Net derivative receivables:(a)
Interest rate	626			493				442			(158		)			(353		)	(191		)		859			541
Credit	189			94				10			(4		)			126			17				432			195
Foreign exchange	(526		)	945				13			(11		)			14			(30		)		405			551
Equity	(1,785		)	325				424			(672		)			(262		)	122				(1,848		)	137
Commodity	(565		)	89				—			—					(51		)	(67		)		(594		)	(101		)
Total net derivative receivables	(2,061		)	1,946			(c)	889			(845		)			(526		)	(149		)		(746		)	1,323			(c)
Available-for-sale securities:
Asset-backed securities	908			(7		)		49			(43		)			(45		)	—				862			(2		)
Other	129			—				—			—					(17		)	(99		)		13			—
Total available-for-sale securities	1,037			(7		)	(d)	49			(43		)			(62		)	(99		)		875			(2		)	(d)
Loans	2,541			(120		)	(c)	417			(83		)			(460		)	—				2,295			(118		)	(c)
Mortgage servicing rights	7,436			215			(e)	739			(375		)			(444		)	—				7,571			215			(e)
Other assets:
Private equity investments	2,475			47			(c)	7			(27		)			(366		)	(149		)		1,987			(16		)	(c)
All other	965			10			(f)	65			(143		)			(58		)	—				839			(16		)	(f)
	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2015				Change in unrealized (gains)/losses related to financial instruments held at June 30, 2015
								Purchases			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,859		$	(64	)	(c)	$	—		$	—		$	1,448	$	(145	)	$	(570	)		$	3,528		$	7		(c)
Other borrowed funds	1,453			(123		)	(c)	45			—			2,322		(2,142		)	(294		)		1,261			(122		)	(c)
Trading liabilities – debt and equity instruments	72			5			(c)	(131		)	147			—		(14		)	(7		)		72			8			(c)
Accounts payable and other liabilities	26			—			(c)	—			—			—		(3		)	—				23			—			(c)
Beneficial interests issued by consolidated VIEs	1,146			(17		)	(c)	(16		)	—			286		(259		)	—				1,140			—			(c)
Long-term debt	11,877			(197		)	(c)	—			(12		)	5,383		(4,145		)	(317		)		12,589			(37		)	(c)

	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2014				Change in unrealized gains/(losses) related to financial instruments held at June 30, 2014
								Purchases(g)				Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	1,005		$	30			$	343			$	(174	)			$	(60	)		$	(19	)		$	1,125		$	32
Residential – nonagency	726			91				373				(514		)			(24		)		(109		)		543			29
Commercial – nonagency	432			28				581				(481		)			(48		)		(185		)		327			4
Total mortgage-backed securities	2,163			149				1,297				(1,169		)			(132		)		(313		)		1,995			65
Obligations of U.S. states and municipalities	1,382			(13		)		—				(290		)			—				—				1,079			7
Non-U.S. government debt securities	143			19				435				(519		)			(2		)		52				128			24
Corporate debt securities	5,920			368				2,360				(2,015		)			(1,664		)		(176		)		4,793			280
Loans	13,455			691				5,287				(2,902		)			(2,718		)		(292		)		13,521			882
Asset-backed securities	1,272			70				1,357				(1,332		)			(171		)		20				1,216			43
Total debt instruments	24,335			1,284				10,736				(8,227		)			(4,687		)		(709		)		22,732			1,301
Equity securities	867			100				85				(75		)			(30		)		(256		)		691			147
Physical commodities	4			—				—				—					(1		)		—				3			—
Other	2,000			169				710				(178		)			(95		)		(265		)		2,341			146
Total trading assets – debt and equity instruments	27,206			1,553			(c)	11,531				(8,480		)			(4,813		)		(1,230		)		25,767			1,594			(c)
Net derivative receivables:(a)
Interest rate	2,379			26				98				(106		)			(765		)		(99		)		1,533			(690		)
Credit	95			(239		)		222				(21		)			127				(50		)		134			(186		)
Foreign exchange	(1,200		)	(342		)		94				(19		)			255				18				(1,194		)	(291		)
Equity	(1,063		)	(72		)	(i)	858			(i)	(1,580		)	(i)		51			(i)	(400		)	(i)	(2,206		)	343
Commodity	115			(172		)		1				—					(13		)		(53		)		(122		)	(156		)
Total net derivative receivables	326			(799		)	(c)(i)	1,273			(i)	(1,726		)	(i)		(345		)	(i)	(584		)	(i)	(1,855		)	(980		)	(c)
Available-for-sale securities:
Asset-backed securities	1,088			(11		)		225				(2		)			(41		)		63				1,322			(11		)
Other	1,234			(2		)		122				—					(68		)		(772		)		514			(1		)
Total available-for-sale securities	2,322			(13		)	(d)	347				(2		)			(109		)		(709		)		1,836			(12		)	(d)
Loans	1,931			72			(c)	3,080				(142		)			(714		)		—				4,227			47			(c)
Mortgage servicing rights	9,614			(971		)	(e)	376				(186		)			(486		)		—				8,347			(971		)	(e)
Other assets:
Private equity investments	5,817			240			(c)	103				(1,488		)			(308		)		266				4,630			109			(c)
All other	1,382			(3		)	(f)	6				(130		)			(56		)		—				1,199			(3		)	(f)
	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2014				Change in unrealized (gains)/ losses related to financial instruments held at June 30, 2014
								Purchases				Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,255		$	111		(c)	$	—			$	—		$	809	$	(66	)		$	(271	)		$	2,838		$	98		(c)
Other borrowed funds	2,074			(93		)	(c)	—				—			2,676		(3,487		)		368				1,538			84			(c)
Trading liabilities – debt and equity instruments	113			(4		)	(c)	(262		)		279			—		(8		)		(38		)		80			1			(c)
Accounts payable and other liabilities	—			27			(f)	—				—			—		—				—				27			27			(f)
Beneficial interests issued by consolidated VIEs	1,240			101			(c)	—				—			82		(259		)		(102		)		1,062			88			(c)
Long-term debt	10,008			539			(c)	—				—			3,744		(2,379		)		(166		)		11,746			585			(c)

Note: Effective April 1, 2015, the Firm adopted new accounting guidance for certain investments where the Firm measures fair value using the net asset value per share (or its equivalent) as a practical expedient and excluded them from the fair value hierarchy. Accordingly, such investments are not included within these tables. The guidance was required to be applied retrospectively, and accordingly, prior period amounts have been revised to conform with the current period presentation. For further information, see page 92.

(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 both June 30, 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 zero and $(11) million for the three months ended June 30, 2015 and 2014 and $(7) million and $(12) million for the six months ended June 30, 2015 and 2014, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $2 million and $3 million for the three months ended June 30, 2015 and 2014 and $161 million and $(1) million for the six months ended June 30, 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.

(i) The prior period amounts have been revised. The revision had no impact on the Firm’s Consolidated balance sheets or its results of operations.

Level 3 analysis

Consolidated balance sheets changes

Level 3 assets (including assets measured at fair value on a nonrecurring basis) were 1.7% of total Firm assets at June 30, 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 100.

Three months ended June 30, 2015

Level 3 assets were $40.6 billion at June 30, 2015, reflecting a decrease of $5.4 billion from March 31, 2015, largely due to the following:

• $3.2 billion decrease in trading assets, debt and equity instruments predominantly driven by a decrease in corporate debt and trading loans due to transfers from Level 3 to Level 2 as a result of a reduction of the significance in the unobservable inputs in corporate debt and an increase in observability of certain valuation inputs for both corporate debt and trading loans.

Six months ended June 30, 2015

Level 3 assets were $40.6 billion at June 30, 2015, reflecting a decrease of $8.6 billion from December 31, 2014, largely due to the following:

• $6.5 billion decrease in trading assets, debt and equity instruments predominantly driven by a decrease in trading loans due to sales and transfers of corporate debt and trading loans 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 95–99.

Three months ended June 30, 2015

• $1.4 billion of gains on derivatives, largely driven by equity derivatives due to market movements.

Three months ended June 30, 2014

• $521 million of net gains and $456 million of net losses on assets and liabilities, respectively, measured at fair value on a recurring basis, none of which were individually significant.

Six months ended June 30, 2015

• $2.0 billion of gains on derivatives, largely driven by foreign exchange derivatives and interest rate derivatives due to market movements.

Six months ended June 30, 2014

• $1.6 billion of net gains in trading assets – debt and equity instruments, largely driven by client-driven activities in corporate debt and trading loans.

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)	Jun 30, 2015			Dec 31, 2014
Derivative receivables balance(a)	$	67,451		$	78,975
Derivative payables balance(a)	59,026			71,116
Derivatives CVA(b)	(2,152		)	(2,674		)
Derivatives DVA and FVA(b)(c)	(317		)	(380		)
Structured notes balance(a)(d)	56,788			53,772
Structured notes DVA and FVA(b)(e)	1,803			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 June 30, 2015, and December 31, 2014, included derivatives DVA of $771 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 June 30, 2015, and December 31, 2014, included $1.7 billion 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 June 30, 2015, and December 31, 2014, included structured notes DVA of $1.7 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 June 30,					Six months ended June 30,
(in millions)	2015		2014			2015		2014
Credit adjustments:
Derivatives CVA	$	341	$	272		$	522	$	253
Derivatives DVA and FVA(a)	204		(36		)	63		(161		)
Structured notes DVA and FVA(b)	503		162			651		179

(a) Included derivatives DVA of $44 million and $(1) million for the three months ended June 30, 2015 and 2014, respectively, and $57 million and $(95) million for the six months ended June 30, 2015 and 2014, respectively.

(b) Included structured notes DVA of $215 million and $134 million for the three months ended June 30, 2015 and 2014, respectively, and $323 million and $19 million for the six months ended June 30, 2015 and 2014, respectively.

Assets and liabilities measured at fair value on a nonrecurring basis

At June 30, 2015 and 2014, assets measured at fair value on a nonrecurring basis were $2.0 billion and $3.4 billion, respectively, which predominantly consisted of loans that had fair value adjustments in the first six months of both 2015 and 2014. At June 30, 2015, $94 million and $1.9 billion of these assets were classified in levels 2 and 3 of the fair value hierarchy, respectively. At June 30, 2014, $597 million and $2.8 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 June 30, 2015 and 2014. For the three and six months endedJune 30, 2015 and 2014, there were no significant transfers between levels 1, 2, and 3.

Of the $1.9 billion of level 3 assets measured at fair value on a nonrecurring basis as of June 30, 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;

• $312 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 23%.

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 June 30, 2015 and 2014, related to financial instruments held at those dates, was a reduction of $114 million and $318 million, respectively, and for the six months ended June 30, 2015 and 2014, was a reduction of $183 million and $456 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 June 30, 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.

	June 30, 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	$	24.1	$	24.1	$	—	$	—	$	24.1	$	27.8	$	27.8	$	—	$	—	$	27.8
Deposits with banks	398.8		395.2		3.6		—		398.8		484.5		480.4		4.1		—		484.5
Accrued interest and accounts receivable	69.6		—		69.4		0.2		69.6		70.1		—		70.0		0.1		70.1
Federal funds sold and securities purchased under resale agreements	184.2		—		184.2		—		184.2		187.2		—		187.2		—		187.2
Securities borrowed	98.0		—		98.0		—		98.0		109.4		—		109.4		—		109.4
Securities, held-to-maturity(a)	51.6		—		52.7		—		52.7		49.3		—		51.2		—		51.2
Loans, net of allowance for loan losses(b)	774.9		—		22.7		757.3		780.0		740.5		—		21.8		723.1		744.9
Other	65.2		—		56.6		13.1		69.7		64.7		—		55.7		13.3		69.0
Financial liabilities
Deposits	$	1,275.8	$	—	$	1,274.7	$	1.2	$	1,275.9	$	1,354.6	$	—	$	1,353.6	$	1.2	$	1,354.8
Federal funds purchased and securities loaned or sold under repurchase agreements	177.4		—		177.3		—		177.3		189.1		—		189.1		—		189.1
Commercial paper	42.2		—		42.2		—		42.2		66.3		—		66.3		—		66.3
Other borrowed funds	16.1		—		16.1		—		16.1		15.5				15.5		—		15.5
Accounts payable and other liabilities	163.5		—		160.9		2.4		163.3		176.7		—		173.7		2.9		176.6
Beneficial interests issued by consolidated VIEs	48.7		—		46.8		1.9		48.7		50.2		—		48.2		2.0		50.2
Long-term debt and junior subordinated deferrable interest debentures(c)	255.4		—		257.3		4.0		261.3		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.

	June 30, 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	$	—	$	—	$	1.6	$	1.6	$	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.