Fair value measurement

9 Months Ended

Sep. 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 ofSeptember 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
September 30, 2015 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	27,433	$	—	$	—		$	27,433
Securities borrowed	—		405		—		—			405
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	5		35,038		786		—			35,829
Residential – nonagency	—		1,505		119		—			1,624
Commercial – nonagency	—		1,047		29		—			1,076
Total mortgage-backed securities	5		37,590		934		—			38,529
U.S. Treasury and government agencies(a)	22,451		7,308		—		—			29,759
Obligations of U.S. states and municipalities	—		6,543		572		—			7,115
Certificates of deposit, bankers’ acceptances and commercial paper	—		525		—		—			525
Non-U.S. government debt securities	28,349		28,394		86		—			56,829
Corporate debt securities	—		25,411		837		—			26,248
Loans(b)	—		25,809		8,014		—			33,823
Asset-backed securities	—		2,549		1,806		—			4,355
Total debt instruments	50,805		134,129		12,249		—			197,183
Equity securities	79,946		390		335		—			80,671
Physical commodities(c)	2,845		1,140		—		—			3,985
Other	—		10,625		495		—			11,120
Total debt and equity instruments(d)	133,596		146,284		13,079		—			292,959
Derivative receivables:
Interest rate	657		735,468		2,826		(709,835		)	29,116
Credit	—		51,967		2,442		(52,685		)	1,724
Foreign exchange	777		183,986		1,786		(165,433		)	21,116
Equity	—		45,246		1,481		(39,237		)	7,490
Commodity	218		27,899		343		(19,238		)	9,222
Total derivative receivables(e)	1,652		1,044,566		8,878		(986,428		)	68,668
Total trading assets	135,248		1,190,850		21,957		(986,428		)	361,627
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		54,578		—		—			54,578
Residential – nonagency	—		36,600		5		—			36,605
Commercial – nonagency	—		22,893		—		—			22,893
Total mortgage-backed securities	—		114,071		5		—			114,076
U.S. Treasury and government agencies(a)	11,305		42		—		—			11,347
Obligations of U.S. states and municipalities	—		32,709		—		—			32,709
Certificates of deposit	—		418		—		—			418
Non-U.S. government debt securities	23,628		15,492		—		—			39,120
Corporate debt securities	—		14,781		—		—			14,781
Asset-backed securities:
Collateralized loan obligations	—		30,549		755		—			31,304
Other	—		10,056		75		—			10,131
Equity securities	2,605		—		—		—			2,605
Total available-for-sale securities	37,538		218,118		835		—			256,491
Loans	—		260		2,875		—			3,135
Mortgage servicing rights (“MSRs”)	—		—		6,716		—			6,716
Other assets:
Private equity investments(f)	148		64		1,700		—			1,912
All other	3,616		29		819		—			4,464
Total other assets	3,764		93		2,519		—			6,376
Total assets measured at fair value on a recurring basis	$	176,550	$	1,437,159	$	34,902	$	(986,428	)	$	662,183
Deposits	$	—	$	7,685	$	3,377	$	—		$	11,062
Federal funds purchased and securities loaned or sold under repurchase agreements	—		3,565		—		—			3,565
Other borrowed funds	—		8,897		768		—			9,665
Trading liabilities:
Debt and equity instruments(d)	64,715		19,552		67		—			84,334
Derivative payables:
Interest rate	629		699,215		1,995		(691,114		)	10,725
Credit	—		51,181		1,930		(51,465		)	1,646
Foreign exchange	876		199,256		2,321		(180,409		)	22,044
Equity	—		44,544		3,005		(38,543		)	9,006
Commodity	132		30,865		1,563		(18,841		)	13,719
Total derivative payables(e)	1,637		1,025,061		10,814		(980,372		)	57,140
Total trading liabilities	66,352		1,044,613		10,881		(980,372		)	141,474
Accounts payable and other liabilities	5,829		—		21		—			5,850
Beneficial interests issued by consolidated variable interest entities ("VIEs")	—		181		1,018		—			1,199
Long-term debt	—		20,304		10,856		—			31,160
Total liabilities measured at fair value on a recurring basis	$	72,181	$	1,085,245	$	26,921	$	(980,372	)	$	203,975

	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(g)	4,129		—		26		—			4,155
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	$	68,429	$	1,355,052	$	32,059	$	(1,239,657	)	$	215,883

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 September 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 $1.4 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 September 30, 2015, and December 31, 2014, were trading assets of $81 million and $124 million, respectively, and other assets of $1.3 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 September 30, 2015, and December 31, 2014, included total U.S. government-sponsored enterprise obligations of $67.5 billion and $84.1 billion, respectively, which were predominantly mortgage-related.

(b) At September 30, 2015, and December 31, 2014, included within trading loans were $13.1 billion and $17.0 billion, respectively, of residential first-lien mortgages, and $5.2 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 $2.7 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 $1.8 billion and $2.5 billion at September 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 $3.6 billion and $6.0 billion at September 30, 2015, and December 31, 2014, respectively.

(g) Certain prior period amounts (including the corresponding fair value parenthetical disclosure for accounts payable and other liabilities on the Consolidated balance sheets) were revised to conform with the current period presentation.

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

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

During the three months ended September 30, 2015, transfers from level 3 into level 2 included $2.4 billion of long-term debt driven by an increase in observability on certain structured notes with embedded interest rate and FX derivatives and a reduction of the significance in the unobservable inputs for certain structured notes with embedded equity derivatives; further, $1.1 billion of interest rate derivative receivables was transferred from level 3 to level 2 as a result of an increase in observability.

In addition, during the nine months ended September 30, 2015 transfers from level 3 into level 2 included $2.3 billion of trading loans driven by an increase in observability of certain collateralized financing transactions; $2.2 billion of corporate debt driven by a reduction of the significance in the unobservable inputs and an increase in observability for certain structured products.

During the nine months ended September 30, 2014, transfers from level 3 into level 2 included$3.4 billion and $3.1 billionof equity derivative receivables and payables, respectively,due to increased observability of certain equity option valuation inputs; and $1.1 billion of corporate debt, $1.1 billion of long-term debt and $1.0 billion of trading loans based on increased liquidity and price transparency. Transfers from level 2 into level 3 included $1.1 billion of other borrowed funds based on a decrease in observability of valuation inputs and price transparency.

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.

Forthe Firm’s derivatives and structured notes positions classified within level 3 at September 30, 2015, 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. 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)
September 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	$	5,653		Discounted cash flows	Yield	4		%	–	26%		6		%
					Prepayment speed	0		%	–	20%		7		%
					Conditional default rate	0		%	–	11%		2		%
					Loss severity	0		%	–	100%		37		%
Commercial mortgage-backed securities and loans(b)	3,970			Discounted cash flows	Yield	0		%	–	25%		3		%
					Conditional default rate	0		%	–	91%		21		%
					Loss severity	0		%		40%		29		%
Corporate debt securities, obligations of U.S. states and municipalities, and other(c)	3,556			Discounted cash flows	Credit spread	60 bps			–	270 bps		254bps
					Yield	1		%	–	22%		5		%
	3,513			Market comparables	Price	$	—		–	$139		$	94
Net interest rate derivatives	831			Option pricing	Interest rate correlation	(49		)%	–	99%
					Interest rate spread volatility	4		%	–	30%
Net credit derivatives(b)(c)	512			Discounted cash flows	Credit correlation	35		%	–	90%
Net foreign exchange derivatives	(535		)	Option pricing	Foreign exchange correlation	0		%	–	60%
Net equity derivatives	(1,524		)	Option pricing	Equity volatility	20		%	–	65%
Net commodity derivatives	(1,220		)	Discounted cash flows	Forward commodity price	$	33		–	$54 per barrel
Collateralized loan obligations	755			Discounted cash flows	Credit spread	350 bps			–	525 bps		390 bps
					Prepayment speed	20					%	20		%
					Conditional default rate	2					%	2		%
					Loss severity	40					%	40		%
	160			Market comparables	Price	$	—		–	$100		$	76
Mortgage servicing rights (“MSRs”)	6,716			Discounted cash flows	Refer to Note 16
Private equity investments	1,700			Market comparables	EBITDA multiple	6.4x			–	9.9x		8.7x
					Liquidity adjustment	0		%	–	15%		6		%
Long-term debt, other borrowed funds, and deposits(d)	14,495			Option pricing	Interest rate correlation	(49		)%	–	99%
					Interest rate spread volatility	4		%	–	30%
					Foreign exchange correlation	0		%	–	60%
					Equity correlation	(50		)%	–	80%
	506			Discounted cash flows	Credit correlation	35		%	–	90%
Beneficial interests issued by consolidated VIEs(e)	1,018			Discounted Cash Flows	Yield	4		%	–	28%		4		%
					Prepayment Speed	1		%	–	12%		8		%
					Conditional default rate	2		%	–	15%		2		%
					Loss severity	40		%	–	100%		48		%

(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 $394 million of credit derivative receivables and $355 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 $491 million of credit derivative receivables and $453 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 parameters are related to residential mortgage-backed securities.

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 nine months endedSeptember 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 September 30, 2015 (in millions)	Fair value at July 1, 2015			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at September 30, 2015				Change in unrealized gains/(losses) related to financial instruments held at September 30, 2015
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	901		$	(81	)		$	68		$	(21	)			$	(28	)	$	(53	)		$	786		$	(79	)
Residential – nonagency	123			64				25			(95		)			(9		)	11				119			8
Commercial – nonagency	138			(3		)		5			(15		)			(8		)	(88		)		29			(4		)
Total mortgage-backed securities	1,162			(20		)		98			(131		)			(45		)	(130		)		934			(75		)
Obligations of U.S. states and municipalities	1,247			(7		)		90			(23		)			—			(735		)		572			(8		)
Non-U.S. government debt securities	208			11				18			(7		)			(1		)	(143		)		86			18
Corporate debt securities	943			(21		)		123			(100		)			(84		)	(24		)		837			(6		)
Loans	9,563			(73		)		945			(672		)			(1,494		)	(255		)		8,014			(104		)
Asset-backed securities	1,539			(15		)		485			(207		)			(10		)	14				1,806			(14		)
Total debt instruments	14,662			(125		)		1,759			(1,140		)			(1,634		)	(1,273		)		12,249			(189		)
Equity securities	310			9				26			(15		)			(2		)	7				335			9
Other	969			(23		)		460			(263		)			(89		)	(559		)		495			(15		)
Total trading assets – debt and equity instruments	15,941			(139		)	(c)	2,245			(1,418		)			(1,725		)	(1,825		)		13,079			(195		)	(c)
Net derivative receivables:(a)
Interest rate	859			244				9			(6		)			(147		)	(128		)		831			77
Credit	432			7				6			(1		)			48			20				512			13
Foreign exchange	405			(254		)		1			(135		)			(154		)	(398		)		(535		)	(222		)
Equity	(1,848		)	348				196			(187		)			172			(205		)		(1,524		)	277
Commodity	(594		)	(553		)		—			(2		)			(100		)	29				(1,220		)	(231		)
Total net derivative receivables	(746		)	(208		)	(c)	212			(331		)			(181		)	(682		)		(1,936		)	(86		)	(c)
Available-for-sale securities:
Asset-backed securities	862			(27		)		—			—					(5		)	—				830			(26		)
Other	13			—				—			—					(8		)	—				5			—
Total available-for-sale securities	875			(27		)	(d)	—			—					(13		)	—				835			(26		)	(d)
Loans	2,295			9			(c)	869			—					(298		)	—				2,875			9			(c)
Mortgage servicing rights	7,571			(765		)	(e)	143			—					(233		)	—				6,716			(765		)	(e)
Other assets:
Private equity investments	1,987			(32		)	(c)	70			(267		)			(58		)	—				1,700			(32		)	(c)
All other	839			80			(f)	—			—					(100		)	—				819			82			(f)
	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2015 (in millions)	Fair value at July 1, 2015			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at September 30, 2015				Change in unrealized (gains)/losses related to financial instruments held at September 30, 2015
								Purchases			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	3,528		$	42		(c)	$	—		$	—		$	327	$	(280	)	$	(240	)		$	3,377		$	54		(c)
Other borrowed funds	1,261			(402		)	(c)	—			28			575		(431		)	(263		)		768			(317		)	(c)
Trading liabilities – debt and equity instruments	72			8			(c)	(10		)	2			—		(6		)	1				67			7			(c)
Accounts payable and other liabilities	23			—				—			—			—		(2		)	—				21			—
Beneficial interests issued by consolidated VIEs	1,140			(35		)	(c)	(59		)	—			—		(28		)	—				1,018			(36		)	(c)
Long-term debt	12,589			(420		)	(c)	(11		)	—			2,057		(1,048		)	(2,311		)		10,856			(392		)	(c)

	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2014 (in millions)	Fair value at July 1, 2014			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at September 30, 2014				Change in unrealized gains/(losses) related to financial instruments held at September 30, 2014
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	1,125		$	(18	)		$	2		$	(12	)			$	(31	)	$	(8	)		$	1,058		$	(18	)
Residential – nonagency	543			(13		)		224			(120		)			(5		)	(38		)		591			(22		)
Commercial – nonagency	327			(2		)		251			(323		)			(6		)	16				263			(6		)
Total mortgage-backed securities	1,995			(33		)		477			(455		)			(42		)	(30		)		1,912			(46		)
Obligations of U.S. states and municipalities	1,079			158				1			(49		)			—			—				1,189			156
Non-U.S. government debt securities	128			7				88			(20		)			(1		)	(67		)		135			6
Corporate debt securities	4,793			(88		)		1,280			(776		)			(72		)	(75		)		5,062			168
Loans	13,521			(179		)		4,563			(1,476		)			(1,349		)	251				15,331			(184		)
Asset-backed securities	1,216			(21		)		564			(477		)			(88		)	26				1,220			(27		)
Total debt instruments	22,732			(156		)		6,973			(3,253		)			(1,552		)	105				24,849			73
Equity securities	691			22				140			(12		)			(42		)	35				834			19
Physical commodities	3			(1		)		—			—					—			—				2			—
Other	2,341			(53		)		480			(66		)			(17		)	—				2,685			(53		)
Total trading assets – debt and equity instruments	25,767			(188		)	(c)	7,593			(3,331		)			(1,611		)	140				28,370			39			(c)
Net derivative receivables:(a)
Interest rate	1,533			(46		)		31			(61		)			(232		)	(15		)		1,210			(133		)
Credit	134			89				23			(4		)			19			(2		)		259			112
Foreign exchange	(1,194		)	176				43			(3		)			51			(4		)		(931		)	194
Equity	(2,206		)	(201		)		699			(791		)			(4		)	82				(2,421		)	(164		)
Commodity	(122		)	178				—			—					(80		)	10				(14		)	448
Total net derivative receivables	(1,855		)	196			(c)	796			(859		)			(246		)	71				(1,897		)	457			(c)
Available-for-sale securities:
Asset-backed securities	1,322			(25		)		50			—					(39		)	—				1,308			(24		)
Other	514			(18		)		—			—					(133		)	—				363			(2		)
Total available-for-sale securities	1,836			(43		)	(d)	50			—					(172		)	—				1,671			(26		)	(d)
Loans	4,227			(240		)	(c)	233			(89		)			(589		)	—				3,542			(241		)	(c)
Mortgage servicing rights	8,347			(57		)	(e)	151			11					(216		)	—				8,236			(57		)	(e)
Other assets:
Private equity investments	4,630			147			(c)	4			(458		)			18			—				4,341			346			(c)
All other	1,199			12			(f)	2			—					(38		)	—				1,175			12			(f)
	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2014 (in millions)	Fair value at July 1, 2014			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at September 30, 2014				Change in unrealized (gains)/losses related to financial instruments held at September 30, 2014
								Purchases			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,838		$	(52	)	(c)	$	—		$	—		$	452	$	(44	)	$	(359	)		$	2,835		$	(52	)	(c)
Other borrowed funds	1,538			(45		)	(c)	—			—			1,575		(1,494		)	418				1,992			(41		)	(c)
Trading liabilities – debt and equity instruments	80			(12		)	(c)	(36		)	22			—		9			(9		)		54			(12		)	(c)
Accounts payable and other liabilities	45			—			(f)	—			—			—		(5		)	—				40			—			(f)
Beneficial interests issued by consolidated VIEs	1,062			(42		)	(c)	—			—			653		(24		)	—				1,649			(44		)	(c)
Long-term debt	11,746			(382		)	(c)	—			—			2,175		(1,583		)	4				11,960			(266		)	(c)

	Fair value measurements using significant unobservable inputs
Nine months ended September 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 September 30, 2015				Change in unrealized gains/(losses) related to financial instruments held at September 30, 2015
									Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	922			$	(43	)		$	250		$	(186	)			$	(102	)	$	(55	)		$	786		$	(41	)
Residential – nonagency	663				108				202			(558		)			(19		)	(277		)		119			7
Commercial – nonagency	306				(12		)		185			(215		)			(22		)	(213		)		29			(5		)
Total mortgage-backed securities	1,891				53				637			(959		)			(143		)	(545		)		934			(39		)
Obligations of U.S. states and municipalities	1,273				6				281			(133		)			(27		)	(828		)		572			(7		)
Non-U.S. government debt securities	302				20				173			(119		)			(43		)	(247		)		86			16
Corporate debt securities	2,989				(71		)		944			(909		)			(119		)	(1,997		)		837			(2		)
Loans	13,287				(64		)		2,841			(3,821		)			(2,313		)	(1,916		)		8,014			(254		)
Asset-backed securities	1,264				(31		)		1,781			(1,099		)			(4		)	(105		)		1,806			(19		)
Total debt instruments	21,006				(87		)		6,657			(7,040		)			(2,649		)	(5,638		)		12,249			(305		)
Equity securities	431				55				76			(138		)			(19		)	(70		)		335			58
Other	1,052				65				1,571			(1,298		)			(305		)	(590		)		495			(25		)
Total trading assets – debt and equity instruments	22,489				33			(c)	8,304			(8,476		)			(2,973		)	(6,298		)		13,079			(272		)	(c)
Net derivative receivables:(a)
Interest rate	626				737				451			(164		)			(500		)	(319		)		831			310
Credit	189				101				16			(5		)			174			37				512			237
Foreign exchange	(526		)		691				14			(146		)			(140		)	(428		)		(535		)	222
Equity	(1,785		)		673				620			(859		)			(90		)	(83		)		(1,524		)	414
Commodity	(565		)		(464		)		—			(2		)			(151		)	(38		)		(1,220		)	(154		)
Total net derivative receivables	(2,061		)		1,738			(c)	1,101			(1,176		)			(707		)	(831		)		(1,936		)	1,029			(c)
Available-for-sale securities:
Asset-backed securities	908				(34		)		49			(43		)			(50		)	—				830			(28		)
Other	129				—				—			—					(25		)	(99		)		5			—
Total available-for-sale securities	1,037				(34		)	(d)	49			(43		)			(75		)	(99		)		835			(28		)	(d)
Loans	2,541				(111		)	(c)	1,286			(83		)			(758		)	—				2,875			(108		)	(c)
Mortgage servicing rights	7,436				(550		)	(e)	882			(375		)			(677		)	—				6,716			(550		)	(e)
Other assets:
Private equity investments	2,225			(i)	15			(c)	77			(294		)			(174		)	(149		)		1,700			—			(c)
All other	959			(i)	90			(f)	65			(143		)			(152		)	—				819			66			(f)
	Fair value measurements using significant unobservable inputs
Nine months ended September 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 September 30, 2015				Change in unrealized (gains)/losses related to financial instruments held at September 30, 2015
									Purchases			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,859			$	(22	)	(c)	$	—		$	—		$	1,775	$	(425	)	$	(810	)		$	3,377		$	49		(c)
Other borrowed funds	1,453				(525		)	(c)	45			28			2,897		(2,573		)	(557		)		768			(424		)	(c)
Trading liabilities – debt and equity instruments	72				13			(c)	(141		)	149			—		(20		)	(6		)		67			7			(c)
Accounts payable and other liabilities	26				—			(c)	—			—			—		(5		)	—				21			—			(c)
Beneficial interests issued by consolidated VIEs	1,146				(52		)	(c)	(75		)	—			286		(287		)	—				1,018			(49		)	(c)
Long-term debt	11,877				(617		)	(c)	(11		)	(12		)	7,440		(5,193		)	(2,628		)		10,856			(583		)	(c)

	Fair value measurements using significant unobservable inputs
Nine months ended September 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 September 30, 2014				Change in unrealized gains/(losses) related to financial instruments held at September 30, 2014
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	1,005		$	12			$	345		$	(186	)			$	(91	)	$	(27	)		$	1,058		$	16
Residential – nonagency	726			78				597			(634		)			(29		)	(147		)		591			5
Commercial – nonagency	432			26				832			(804		)			(54		)	(169		)		263			(5		)
Total mortgage-backed securities	2,163			116				1,774			(1,624		)			(174		)	(343		)		1,912			16
Obligations of U.S. states and municipalities	1,382			145				1			(339		)			—			—				1,189			14
Non-U.S. government debt securities	143			26				523			(539		)			(3		)	(15		)		135			9
Corporate debt securities	5,920			280				3,640			(2,791		)			(1,736		)	(251		)		5,062			458
Loans	13,455			512				9,850			(4,378		)			(4,067		)	(41		)		15,331			297
Asset-backed securities	1,272			49				1,921			(1,809		)			(259		)	46				1,220			(19		)
Total debt instruments	24,335			1,128				17,709			(11,480		)			(6,239		)	(604		)		24,849			775
Equity securities	867			122				225			(87		)			(72		)	(221		)		834			92
Physical commodities	4			(1		)		—			—					(1		)	—				2			(1		)
Other	2,000			116				1,190			(244		)			(112		)	(265		)		2,685			122
Total trading assets – debt and equity instruments	27,206			1,365			(c)	19,124			(11,811		)			(6,424		)	(1,090		)		28,370			988			(c)
Net derivative receivables:(a)
Interest rate	2,379			(20		)		129			(167		)			(997		)	(114		)		1,210			(643		)
Credit	95			(150		)		245			(25		)			146			(52		)		259			(74		)
Foreign exchange	(1,200		)	(166		)		137			(22		)			306			14				(931		)	(389		)
Equity	(1,063		)	(273		)		1,557			(2,371		)			47			(318		)		(2,421		)	239
Commodity	115			6				1			—					(93		)	(43		)		(14		)	(126		)
Total net derivative receivables	326			(603		)	(c)	2,069			(2,585		)			(591		)	(513		)		(1,897		)	(993		)	(c)
Available-for-sale securities:
Asset-backed securities	1,088			(36		)		275			(2		)			(80		)	63				1,308			(36		)
Other	1,234			(20		)		122			—					(201		)	(772		)		363			(3		)
Total available-for-sale securities	2,322			(56		)	(d)	397			(2		)			(281		)	(709		)		1,671			(39		)	(d)
Loans	1,931			(168		)	(c)	3,313			(231		)			(1,303		)	—				3,542			(208		)	(c)
Mortgage servicing rights	9,614			(1,028		)	(e)	527			(175		)			(702		)	—				8,236			(1,028		)	(e)
Other assets:
Private equity investments	5,817			387			(c)	107			(1,946		)			(290		)	266				4,341			249			(c)
All other	1,382			9			(f)	8			(130		)			(94		)	—				1,175			10			(f)
	Fair value measurements using significant unobservable inputs
Nine months ended September 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 September 30, 2014				Change in unrealized (gains)/ losses related to financial instruments held at September 30, 2014
								Purchases			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,255		$	59		(c)	$	—		$	—		$	1,261	$	(110	)	$	(630	)		$	2,835		$	61		(c)
Other borrowed funds	2,074			(138		)	(c)	—			—			4,251		(4,981		)	786				1,992			51			(c)
Trading liabilities – debt and equity instruments	113			(16		)	(c)	(298		)	301			—		1			(47		)		54			(6		)	(c)
Accounts payable and other liabilities	25			27			(f)	—			—			—		(12		)	—				40			—			(f)
Beneficial interests issued by consolidated VIEs	1,240			59			(c)	—			—			735		(283		)	(102		)		1,649			45			(c)
Long-term debt	10,008			157			(c)	—			—			5,919		(3,962		)	(162		)		11,960			231			(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 94.

(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 13% at September 30, 2015 and 15% at 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 hedge accounting adjustments recorded in income on AFS securities were zero and $(30) million for the three months ended September 30, 2015 and 2014 and $(7) million and $(43) million for the nine months ended September 30, 2015 and 2014, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $(27) million and $(12) million for the three months ended September 30, 2015 and 2014 and $(27) million and $(13) million for the nine months ended September 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) were1.5%of total Firm assets at September 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 onpage 102.

Three months ended September 30, 2015

Level 3 assets were $34.9 billion at September 30, 2015, reflecting a decrease of $5.8 billion from June 30, 2015, largely due to the following:

• $2.9 billiondecrease in trading assets, debt and equity Instruments driven by the decrease in trading loans primarily due to maturities and transfers from level 3 to level 2 as a result of an increase in observability of certain valuation inputs; additionally, a decrease in the obligations of U.S. states and municipalities securities predominantly driven by transfers from level 3 to level 2 as a result of an increase in observability of certain valuation inputs.

• $2.3 billion decrease in derivative receivables due to decreases in interest rate and foreign exchange derivatives driven by transfers from level 3 to level 2 as a result of an increase in transparency of certain valuation inputs and market movements.

Nine months ended September 30, 2015

Level 3 assets decreased by $14.4 billion from December 31, 2014, largely due to the following:

• $9.4 billion decrease in trading assets, debt and equity instruments predominantly driven by a decrease in trading loans due to sales, maturities and transfers from level 3 to level 2 as a result of increase in observability of certain valuation inputs, and a decrease in corporate debt securities due to transfers from level 3 to level 2 as a result of a reduction of the significance in the unobservable inputs.

• $3.7 billion decrease in derivative receivables predominantly driven by a decrease in interest rate and equity derivatives due to transfers from level 3 to level 2 as a result of increase in observability of certain valuation inputs and market movements, and a decrease in credit derivatives due to maturities and settlements.

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 onpages 97–101.

Three months ended September 30, 2015

• $1.1 billion of net loss on assets of which $765 million was on mortgage servicing rights. For more information, see Note 16.

• $807 million of net loss on liabilities none of which were individually significant.

Three months ended September 30, 2014

• $173 million of net losses and $533 million of gains on assets and liabilities, respectively, none of which were individually significant.

Nine months ended September 30, 2015

• $1.7 billion gain in derivative receivables due to gains in interest rate, foreign exchange and equity derivatives driven by market movements, partially offset by loss from sales of commodity derivatives.

• $1.2 billion loss in liabilities due to loss in other borrowed funds and long-term debt due to market movements, partially offset by gains from the sale of long term debt.

Nine months ended September 30, 2014

• $1.0 billion of losses on MSRs. For further discussion of the change, refer to Note 16.

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)	Sep 30, 2015			Dec 31, 2014
Derivative receivables balance(a)	$	68,668		$	78,975
Derivative payables balance(a)	57,140			71,116
Derivatives CVA(b)	(2,279		)	(2,674		)
Derivatives DVA and FVA(b)(c)	(437		)	(380		)
Structured notes balance(a)(d)	51,887			53,772
Structured notes DVA and FVA(b)(e)	2,355			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 September 30, 2015, and December 31, 2014, included derivatives DVA of $822 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 September 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 September 30, 2015, and December 31, 2014, included structured notes DVA of $1.9 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 September 30,						Nine months ended September 30,
(in millions)	2015			2014			2015			2014
Credit adjustments:
Derivatives CVA	$	(127	)	$	(57	)	$	395		$	196
Derivatives DVA and FVA(a)	(121		)	144			(58		)	(17		)
Structured notes DVA and FVA(b)	552			161			1,203			340

(a) Included derivatives DVA of $51 million and $68 million for the three months ended September 30, 2015 and 2014, respectively, and $108 million and $(27) million for the nine months ended September 30, 2015 and 2014, respectively.

(b) Included structured notes DVA of $169 million and $190 million for the three months ended September 30, 2015 and 2014, respectively, and $492 million and $209 million for the nine months ended September 30, 2015 and 2014, respectively.

Assets and liabilities measured at fair value on a nonrecurring basis

At September 30, 2015 and 2014, assets measured at fair value on a nonrecurring basis were$2.3 billion and $2.6 billion, respectively, which predominantly consisted of loans that had fair value adjustments in the first nine months of both 2015 and 2014. At September 30, 2015, $1.5 billion and $867 millionof these loans were classified in levels 2 and 3 of the fair value hierarchy, respectively. At September 30, 2014, $102 million and $2.5 billionof these loans 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 atSeptember 30, 2015 and 2014. During the three and nine months ended September 30, 2015, $1.3 billion of level 3 nonrecurring assets related to consumer credit card loans were transferred to level 2 due to increased observability. For the three and nine months ended September 30, 2014 there were no significant transfers between levels 1, 2 and 3.

Of the$867 millionof level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2015:

• $528 millionrelated 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 from5% to 59%, with a weighted average of21%.

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 September 30, 2015 and 2014, related to financial instruments held at those dates, was a reduction of $66 million and $280 million, respectively, and for the nine months ended September 30, 2015 and 2014, was a reduction of$170 million and $709 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 atSeptember 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.

	September 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	$	21.3	$	21.3	$	—	$	—	$	21.3	$	27.8	$	27.8	$	—	$	—	$	27.8
Deposits with banks	376.2		372.0		4.2		—		376.2		484.5		480.4		4.1		—		484.5
Accrued interest and accounts receivable	57.9		—		57.7		0.2		57.9		70.1		—		70.0		0.1		70.1
Federal funds sold and securities purchased under resale agreements	191.1		—		191.1		—		191.1		187.2		—		187.2		—		187.2
Securities borrowed	105.3		—		105.3		—		105.3		109.4		—		109.4		—		109.4
Securities, held-to-maturity(a)	50.2		—		51.8		—		51.8		49.3		—		51.2		—		51.2
Loans, net of allowance for loan losses(b)	792.9		—		20.7		776.9		797.6		740.5		—		21.8		723.1		744.9
Other	66.7		0.1		57.7		13.5		71.3		64.7		—		55.7		13.3		69.0
Financial liabilities
Deposits	$	1,262.0	$	—	$	1,261.0	$	1.2	$	1,262.2	$	1,354.6	$	—	$	1,353.6	$	1.2	$	1,354.8
Federal funds purchased and securities loaned or sold under repurchase agreements	176.7		—		176.7		—		176.7		189.1		—		189.1		—		189.1
Commercial paper	19.7		—		19.7		—		19.7		66.3		—		66.3		—		66.3
Other borrowed funds	17.5		—		17.5		—		17.5		15.5				15.5		—		15.5
Accounts payable and other liabilities(c)	152.2		—		149.5		2.5		152.0		172.6		—		169.6		2.9		172.5
Beneficial interests issued by consolidated VIEs	47.5		—		45.7		1.8		47.5		50.2		—		48.2		2.0		50.2
Long-term debt and junior subordinated deferrable interest debentures(d)	261.7		—		263.8		4.0		267.8		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) Certain prior period amounts have been revised to conform with the current presentation.

(d) 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.

	September 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	$	0.7	$	—	$	—	$	2.6	$	2.6	$	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.