Fair Value Measurement

3 Months Ended

Mar. 31, 2016

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 Note3 of JPMorgan Chase’s 2015 Annual Report.

The following table presents the asset and liabilities reported at fair value as ofMarch 31, 2016, and December 31, 2015, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy						Derivative netting adjustments
March 31, 2016 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	24,118	$	4	$	—		$	24,122
Securities borrowed	—		—		—		—			—
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	35		31,398		650		—			32,083
Residential – nonagency	—		1,318		186		—			1,504
Commercial – nonagency	—		1,365		195		—			1,560
Total mortgage-backed securities	35		34,081		1,031		—			35,147
U.S. Treasury and government agencies(a)	21,861		5,399		—		—			27,260
Obligations of U.S. states and municipalities	—		7,460		620		—			8,080
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,303		—		—			2,303
Non-U.S. government debt securities	31,008		27,407		40		—			58,455
Corporate debt securities	—		23,893		654		—			24,547
Loans(b)	—		22,596		6,776		—			29,372
Asset-backed securities	—		2,507		1,190		—			3,697
Total debt instruments	52,904		125,646		10,311		—			188,861
Equity securities	87,551		737		279		—			88,567
Physical commodities(c)	5,688		1,269		—		—			6,957
Other	—		10,779		723		—			11,502
Total debt and equity instruments(d)	146,143		138,431		11,313		—			295,887
Derivative receivables:
Interest rate	439		855,037		2,884		(822,750		)	35,610
Credit	—		46,736		1,885		(47,527		)	1,094
Foreign exchange	1,279		205,790		1,469		(189,606		)	18,932
Equity	—		37,825		822		(32,382		)	6,265
Commodity	111		21,715		264		(13,782		)	8,308
Total derivative receivables(e)	1,829		1,167,103		7,324		(1,106,047		)	70,209
Total trading assets(f)	147,972		1,305,534		18,637		(1,106,047		)	366,096
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		55,884		—		—			55,884
Residential – nonagency	—		25,942		1		—			25,943
Commercial – nonagency	—		22,649		—		—			22,649
Total mortgage-backed securities	—		104,475		1		—			104,476
U.S. Treasury and government agencies(a)	12,053		36		—		—			12,089
Obligations of U.S. states and municipalities	—		33,350		—		—			33,350
Certificates of deposit	—		53		—		—			53
Non-U.S. government debt securities	24,401		13,390		—		—			37,791
Corporate debt securities	—		8,051		—		—			8,051
Asset-backed securities:
Collateralized loan obligations	—		30,392		752		—			31,144
Other	—		8,468		57		—			8,525
Equity securities	1,912		—		—		—			1,912
Total available-for-sale securities	38,366		198,215		810		—			237,391
Loans	—		914		1,009		—			1,923
Mortgage servicing rights (“MSRs”)	—		—		5,658		—			5,658
Other assets:
Private equity investments(g)	110		89		1,644		—			1,843
All other	3,975		30		707		—			4,712
Total other assets(f)	4,085		119		2,351		—			6,555
Total assets measured at fair value on a recurring basis	$	190,423	$	1,528,900	$	28,469	$	(1,106,047	)	$	641,745
Deposits	$	—	$	9,600	$	2,419	$	—		$	12,019
Federal funds purchased and securities loaned or sold under repurchase agreements	—		3,423		6		—			3,429
Other borrowed funds	—		9,067		568		—			9,635
Trading liabilities:
Debt and equity instruments(d)	66,322		21,589		52		—			87,963
Derivative payables:
Interest rate	474		814,727		2,038		(800,686		)	16,553
Credit	—		46,508		1,483		(46,919		)	1,072
Foreign exchange	1,285		211,865		2,501		(193,716		)	21,935
Equity	—		37,204		2,877		(31,671		)	8,410
Commodity	136		23,815		1,216		(13,818		)	11,349
Total derivative payables(e)	1,895		1,134,119		10,115		(1,086,810		)	59,319
Total trading liabilities	68,217		1,155,708		10,167		(1,086,810		)	147,282
Accounts payable and other liabilities	4,583		—		16		—			4,599
Beneficial interests issued by consolidated VIEs	—		21		649		—			670
Long-term debt	—		22,628		12,587		—			35,215
Total liabilities measured at fair value on a recurring basis	$	72,800	$	1,200,447	$	26,412	$	(1,086,810	)	$	212,849

	Fair value hierarchy						Derivative netting adjustments
December 31, 2015 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	23,141	$	—	$	—		$	23,141
Securities borrowed	—		395		—		—			395
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	6		31,815		715		—			32,536
Residential – nonagency	—		1,299		194		—			1,493
Commercial – nonagency	—		1,080		115		—			1,195
Total mortgage-backed securities	6		34,194		1,024		—			35,224
U.S. Treasury and government agencies(a)	12,036		6,985		—		—			19,021
Obligations of U.S. states and municipalities	—		6,986		651		—			7,637
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,042		—		—			1,042
Non-U.S. government debt securities	27,974		25,064		74		—			53,112
Corporate debt securities	—		22,807		736		—			23,543
Loans(b)	—		22,211		6,604		—			28,815
Asset-backed securities	—		2,392		1,832		—			4,224
Total debt instruments	40,016		121,681		10,921		—			172,618
Equity securities	94,059		606		265		—			94,930
Physical commodities(c)	3,593		1,064		—		—			4,657
Other	—		11,152		744		—			11,896
Total debt and equity instruments(d)	137,668		134,503		11,930		—			284,101
Derivative receivables:
Interest rate	354		666,491		2,766		(643,248		)	26,363
Credit	—		48,850		2,618		(50,045		)	1,423
Foreign exchange	734		177,525		1,616		(162,698		)	17,177
Equity	—		35,150		709		(30,330		)	5,529
Commodity	108		24,720		237		(15,880		)	9,185
Total derivative receivables(e)	1,196		952,736		7,946		(902,201		)	59,677
Total trading assets(f)	138,864		1,087,239		19,876		(902,201		)	343,778
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		55,066		—		—			55,066
Residential – nonagency	—		27,618		1		—			27,619
Commercial – nonagency	—		22,897		—		—			22,897
Total mortgage-backed securities	—		105,581		1		—			105,582
U.S. Treasury and government agencies(a)	10,998		38		—		—			11,036
Obligations of U.S. states and municipalities	—		33,550		—		—			33,550
Certificates of deposit	—		283		—		—			283
Non-U.S. government debt securities	23,199		13,477		—		—			36,676
Corporate debt securities	—		12,436		—		—			12,436
Asset-backed securities:
Collateralized loan obligations	—		30,248		759		—			31,007
Other	—		9,033		64		—			9,097
Equity securities	2,087		—		—		—			2,087
Total available-for-sale securities	36,284		204,646		824		—			241,754
Loans	—		1,343		1,518		—			2,861
Mortgage servicing rights	—		—		6,608		—			6,608
Other assets:							—
Private equity investments(g)	102		101		1,657		—			1,860
All other	3,815		28		744		—			4,587
Total other assets(f)	3,917		129		2,401		—			6,447
Total assets measured at fair value on a recurring basis	$	179,065	$	1,316,893	$	31,227	$	(902,201	)	$	624,984
Deposits	$	—	$	9,566	$	2,950	$	—		$	12,516
Federal funds purchased and securities loaned or sold under repurchase agreements	—		3,526		—		—			3,526
Other borrowed funds	—		9,272		639		—			9,911
Trading liabilities:
Debt and equity instruments(d)	53,845		20,199		63		—			74,107
Derivative payables:
Interest rate	216		633,060		1,890		(624,945		)	10,221
Credit	—		48,460		2,069		(48,988		)	1,541
Foreign exchange	669		187,890		2,341		(171,131		)	19,769
Equity	—		36,440		2,223		(29,480		)	9,183
Commodity	52		26,430		1,172		(15,578		)	12,076
Total derivative payables(e)	937		932,280		9,695		(890,122		)	52,790
Total trading liabilities	54,782		952,479		9,758		(890,122		)	126,897
Accounts payable and other liabilities	4,382		—		19		—			4,401
Beneficial interests issued by consolidated VIEs	—		238		549		—			787
Long-term debt	—		21,452		11,613		—			33,065
Total liabilities measured at fair value on a recurring basis	$	59,164	$	996,533	$	25,528	$	(890,122	)	$	191,103

(a) At March 31, 2016, and December 31, 2015, included total U.S. government-sponsored enterprise obligations of $64.1 billion and $67.0 billion, respectively, which were predominantly mortgage-related.

(b) At March 31, 2016, and December 31, 2015, included within trading loans were $12.3 billion and $11.8 billion, respectively, of residential first-lien mortgages, and $3.3 billion and $4.3 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 $5.9 billion and $5.3 billion, respectively, and reverse mortgages of $2.5 billion and $2.5 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 $2.7 billion and $546 million at March 31, 2016, and December 31, 2015, respectively; this is exclusive of the netting benefit associated with cash collateral, which would further reduce the level 3 balances.

(f) 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 March 31, 2016, and December 31, 2015, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $1.0 billion and $1.2 billion, respectively. Included in the balances at March 31, 2016, and December 31, 2015, were trading assets of $57 million and $61 million, respectively, and other assets of $965 million and $1.2 billion, respectively.

(g) Private equity instruments represent investments within Corporate. The portion of the private equity investment portfolio carried at fair value on a recurring basis had a cost basis of $3.3 billion and $3.5 billion at March 31, 2016, and December 31, 2015, respectively.

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

For the three months ended March 31, 2016 and 2015, there were no individually significant transfers between levels 1 and 2, or between level 2 and level 3.

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

Level 3 valuations

For further information on the Firm’s valuation process and a detailed discussion of the determination of fair value for individual financial instruments, see Note3 of JPMorgan Chase’s 2015 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 at March 31, 2016, 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 upper end of the range; 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 and the foreign exchange correlation inputs used in estimating fair value were each concentrated at the upper end of the range presented. The equity volatilities are concentrated in the lower half end of the range. The forward commodity prices used in estimating the fair value of commodity derivatives were concentrated in the middle of the range presented.

Level 3 inputs(a)
March 31, 2016 (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	$	4,630		Discounted cash flows	Yield	3		%	–	17%		5		%
					Prepayment speed	0		%	–	20%		6		%
					Conditional default rate	0		%	–	20%		3		%
					Loss severity	0		%	–	100%		30		%
Commercial mortgage-backed securities and loans(b)	2,557			Discounted cash flows	Yield	1		%	–	25%		6		%
					Conditional default rate	0		%	–	100%		27		%
					Loss severity	40%						40		%
Corporate debt securities, obligations of U.S. states and municipalities, and other(c)	2,534			Discounted cash flows	Credit spread	50 bps			–	225 bps		168 bps
					Yield	2		%	–	20%		6		%
	3,233			Market comparables	Price	$	—		–	$238		$	91
Net interest rate derivatives	846			Option pricing	Interest rate correlation	(30		)%	–	96%
					Interest rate spread volatility	3		%	–	38%
Net credit derivatives(b)(c)	402			Discounted cash flows	Credit correlation	30		%	–	85%
Net foreign exchange derivatives	(1,032		)	Option pricing	Foreign exchange correlation	0		%	–	70%
Net equity derivatives	(2,055		)	Option pricing	Equity volatility	15		%	–	70%
Net commodity derivatives	(952		)	Discounted cash flows	Forward commodity price	$	23		–	$45 per barrel
Collateralized loan obligations	752			Discounted cash flows	Credit spread	425 bps			–	705 bps		454 bps
					Prepayment speed	20					%	20		%
					Conditional default rate	2					%	2		%
					Loss severity	40					%	40		%
	133			Market comparables	Price	$	—		–	$100		$	57
MSRs	5,658			Discounted cash flows	Refer to Note 16
Private equity investments	1,644			Market comparables	EBITDA multiple	6.0 x			–	9.9 x		7.8 x
					Liquidity adjustment	0		%	–	23%		9		%
Long-term debt, other borrowed funds, and deposits(d)	15,069			Option pricing	Interest rate correlation	(30		)%	–	96%
					Interest rate spread volatility	3		%	–	38%
					Foreign exchange correlation	0		%	–	70%
					Equity correlation	(50		)%	–	80%
	505			Discounted cash flows	Credit correlation	30		%	–	85%
Beneficial interests issued by consolidated VIEs(e)	649			Discounted Cash Flows	Yield	3		%	–	7%		4		%
					Prepayment Speed	7		%	–	8%		7		%
					Conditional default rate	2		%	–	20%		3		%
					Loss severity	30		%	–	30%		30		%

(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 $320 million of credit derivative receivables and $283 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 $397 million of credit derivative receivables and $361 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 2015 Annual Report.

Changes in level 3 recurring fair value measurements

The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three months endedMarch 31, 2016 and 2015. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable parameters to the overall fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2016 (in millions)	Fair value at January 1, 2016			Total realized/unrealized gains/(losses)														Transfers into and/or out of level 3(i)			Fair value at March 31, 2016				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2016
								Purchases(g)		Sales					Settlements(h)
Assets:
Federal funds sold and securities purchased under resale agreements	$	—		$	—			$	—	$	—				$	—		$	4			$	4		$	—
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	715			(50		)		128		(158		)			(30		)	45				650			(53		)
Residential – nonagency	194			—				34		(36		)			(5		)	(1		)		186			(3		)
Commercial – nonagency	115			(5		)		50		(5		)			—			40				195			(4		)
Total mortgage-backed securities	1,024			(55		)		212		(199		)			(35		)	84				1,031			(60		)
Obligations of U.S. states and municipalities	651			5				36		(66		)			(6		)	—				620			5
Non-U.S. government debt securities	74			10				4		(32		)			—			(16		)		40			7
Corporate debt securities	736			22				79		(55		)			(57		)	(71		)		654			24
Loans	6,604			29				444		(411		)			(304		)	414				6,776			8
Asset-backed securities	1,832			1				177		(136		)			(875		)	191				1,190			(8		)
Total debt instruments	10,921			12				952		(899		)			(1,277		)	602				10,311			(24		)
Equity securities	265			6				31		(9		)			(19		)	5				279			3
Other	744			(9		)		184		(143		)			(6		)	(47		)		723			38
Total trading assets – debt and equity instruments	11,930			9			(c)	1,167		(1,051		)			(1,302		)	560				11,313			17			(c)
Net derivative receivables:(a)
Interest rate	876			206				44		(8		)			(262		)	(10		)		846			7
Credit	549			(246		)		—		(1		)			69			31				402			(210		)
Foreign exchange	(725		)	(247		)		—		(15		)			(42		)	(3		)		(1,032		)	(265		)
Equity	(1,514		)	(352		)		70		(107		)			78			(230		)		(2,055		)	(399		)
Commodity	(935		)	(8		)		—		—					(11		)	2				(952		)	(28		)
Total net derivative receivables	(1,749		)	(647		)	(c)	114		(131		)			(168		)	(210		)		(2,791		)	(895		)	(c)
Available-for-sale securities:
Asset-backed securities	823			(8		)		—		—					(6		)	—				809			(8		)
Other	1			—				—		—					—			—				1			—
Total available-for-sale securities	824			(8		)	(d)	—		—					(6		)	—				810			(8		)	(d)
Loans	1,518			22			(c)	—		—					(218		)	(313		)		1,009			22			(c)
Mortgage servicing rights	6,608			(752		)	(e)	107		(64		)			(241		)	—				5,658			(752		)	(e)
Other assets:
Private equity investments	1,657			45			(c)	14		(16		)			(56		)	—				1,644			38			(c)
All other	744			(13		)	(f)	—		—					(24		)	—				707			(11		)	(f)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2016 (in millions)	Fair value at January 1, 2016			Total realized/unrealized (gains)/losses														Transfers into and/or out of level 3(i)			Fair value at March 31, 2016				Change in unrealized (gains)/losses related to financial instruments held at March 31, 2016
								Purchases		Sales			Issuances		Settlements(h)
Liabilities:(b)
Deposits	$	2,950		$	42		(c)	$	—	$	—		$	166	$	(509	)	$	(230	)		$	2,419		$	57		(c)
Federal funds purchased and securities loaned or sold under repurchase agreements	—			—				—		—			—		—			6				6			—
Other borrowed funds	639			(125		)	(c)	—		—			257		(199		)	(4		)		568			(42		)	(c)
Trading liabilities – debt and equity instruments	63			(4		)	(c)	—		1			—		(3		)	(5		)		52			—			(c)
Accounts payable and other liabilities	19			—				—		—			—		(3		)	—				16			—
Beneficial interests issued by consolidated VIEs	549			8			(c)	—		—			143		(51		)	—				649			8			(c)
Long-term debt	11,613			439			(c)	—		—			2,161		(1,397		)	(229		)		12,587			330			(c)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2015 (in millions)	Fair value at Jan 1, 2015			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(i)			Fair value at March 31, 2015				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2015
								Purchases(g)			Sales					Settlements(h)
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	922		$	(53	)		$	74		$	(17	)			$	(40	)	$	2			$	888		$	(52	)
Residential – nonagency	663			(10		)		152			(347		)			(6		)	(3		)		449			(34		)
Commercial – nonagency	306			(11		)		82			(151		)			(8		)	(7		)		211			(16		)
Total mortgage-backed securities	1,891			(74		)		308			(515		)			(54		)	(8		)		1,548			(102		)
Obligations of U.S. states and municipalities	1,273			10				144			(71		)			(25		)	—				1,331			8
Non-U.S. government debt securities	302			1				101			(92		)			(31		)	(101		)		180			1
Corporate debt securities	2,989			(55		)		533			(496		)			(92		)	(120		)		2,759			(26		)
Loans	13,287			(285		)		736			(1,997		)			(469		)	(509		)		10,763			(275		)
Asset-backed securities	1,264			(37		)		559			(521		)			32			(64		)		1,233			(44		)
Total debt instruments	21,006			(440		)		2,381			(3,692		)			(639		)	(802		)		17,814			(438		)
Equity securities	431			38				29			(110		)			(3		)	(68		)		317			31
Physical commodities	2			—				—			—					—			—				2			—
Other	1,050			8				661			(584		)			(79		)	(17		)		1,039			15
Total trading assets – debt and equity instruments	22,489			(394		)	(c)	3,071			(4,386		)			(721		)	(887		)		19,172			(392		)	(c)
Net derivative receivables:(a)
Interest rate	626			142				309			(74		)			(255		)	(98		)		650			308
Credit	189			77				9			(3		)			19			(16		)		275			75
Foreign exchange	(526		)	827				5			(3		)			201			203				707			779
Equity	(1,785		)	(476		)		208			(289		)			(355		)	(48		)		(2,745		)	(484		)
Commodity	(565		)	(40		)		—			—					(98		)	(32		)		(735		)	(49		)
Total net derivative receivables	(2,061		)	530			(c)	531			(369		)			(488		)	9				(1,848		)	629			(c)
Available-for-sale securities:
Asset-backed securities	908			(9		)		49			(43		)			(24		)	—				881			(4		)
Other	129			—				—			—					(7		)	—				122			—
Total available-for-sale securities	1,037			(9		)	(d)	49			(43		)			(31		)	—				1,003			(4		)	(d)
Loans	2,541			(205		)	(c)	120			(83		)			(151		)	—				2,222			(205		)	(c)
Mortgage servicing rights	7,436			(579		)	(e)	156			(157		)			(215		)	—				6,641			(579		)	(e)
Other assets:
Private equity investments	2,225			35			(c)	—			—					(61		)	(126		)		2,073			(1		)	(c)
All other	959			(1		)	(f)	55			(87		)			(36		)	—				890			2			(f)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2015 (in millions)	Fair value at Jan 1, 2015			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(i)			Fair value at March 31, 2015				Change in unrealized (gains)/losses related to financial instruments held at March 31, 2015
								Purchases			Sales			Issuances		Settlements(h)
Liabilities:(b)
Deposits	$	2,859		$	92		(c)	$	—		$	—		$	775	$	(115	)	$	(271	)		$	3,340		$	88		(c)
Other borrowed funds	1,453			(119		)	(c)	—			—			1,048		(981		)	(285		)		1,116			(110		)	(c)
Trading liabilities – debt and equity instruments	72			3			(c)	(108		)	126			—		(9		)	(2		)		82			2			(c)
Accounts payable and other liabilities	26			—			(f)	—			—			—		(3		)	—				23			—			(f)
Beneficial interests issued by consolidated VIEs	1,146			(53		)	(c)	—			—			2		(72		)	—				1,023			(47		)	(c)
Long-term debt	11,877			(105		)	(c)	—			—			2,837		(2,383		)	(223		)		12,003			(96		)	(c)

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

(b) Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 12% at March 31, 2016 and 13% at December 31, 2015.

(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 other comprehensive income (“OCI”). Realized gains/(losses) and foreign exchange hedge accounting adjustments recorded in income on AFS securities were zero and $(7) million for the three months ended March 31, 2016 and 2015 respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $(8) million and $(2) million for the three months ended March 31, 2016 and 2015, respectively.

(e) Changes in fair value for Consumer & Community Banking (“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) Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, and deconsolidations associated with beneficial interests in VIEs.

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

Level 3 analysis

Consolidated balance sheets changes

Level 3 assets (including assets measured at fair value on a nonrecurring basis) were1.2%of total Firm assets at March 31, 2016. The following describes significant changes to level 3 assets since December 31, 2015, 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 85.

Three months ended March 31, 2016

Level 3 assets were $28.5 billion at March 31, 2016, reflecting a decrease of $2.8 billion from December 31, 2015, largely due to settlements within trading assets and a decrease in the fair value of MSRs. For further information on MSRs, see Note 16.

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 82–84.

Three months ended March 31, 2016

• $1.3 billion of net losses on assets and $360 million of net losses on liabilities, respectively, none of which were individually significant.

Three months ended March 31, 2015

• $623 million of net losses and $182 million of net gains on assets and liabilities, respectively, none of which were individually significant.

Credit & funding adjustments — derivatives

Derivatives are generally valued using models that use as their basis observable market parameters. These market parameters generally do not consider factors such as counterparty nonperformance risk, the Firm’s own credit quality, and funding costs. Therefore, it is generally necessary to make adjustments to the base estimate of fair value to reflect these factors.

Credit valuation adjustments (“CVA”) represents the adjustment, relative to the relevant benchmark interest rate, necessary to reflect counterparty nonperformance risk. The Firm estimates CVA using a scenario analysis to estimate the expected credit exposure across all of the Firm’s positions with each counterparty, and then estimates losses as a result of a counterparty credit event. The key inputs to this methodology are (i) the expected positive exposure to each counterparty based on a simulation that assumes the current population of existing derivatives with each counterparty remains unchanged and considers contractual factors designed to mitigate the Firm’s credit exposure, such as collateral and legal rights of offset; (ii) the probability of a default event occurring for each counterparty, as derived from observed or estimated credit default swaps (“CDS”) spreads; and (iii) estimated recovery rates implied by CDS spreads, adjusted to consider the differences in recovery rates as a derivative creditor relative to those reflected in CDS spreads, which generally reflect senior unsecured creditor risk.

Debit valuation adjustments (“DVA”) represents the adjustment, relative to the relevant benchmark interest rate, necessary to reflect the credit quality of the Firm. The derivative DVA calculation methodology is generally consistent with the CVA methodology described above and incorporates JPMorgan Chase’s credit spread as observed through the CDS market to estimate the probability of default and loss given default as a result of a systemic event affecting the Firm.

Funding valuation adjustments (“FVA”) represents the adjustment to reflect the impact of funding and is recognized where there is evidence that a market participant in the principal market would incorporate it in a transfer of the instrument. The Firm’s FVA framework, applied to uncollateralized (including partially collateralized) over-the-counter (“OTC”) derivatives, leverages its existing CVA and DVA calculation methodologies, and considers the fact that the Firm’s own credit risk is a significant component of funding costs.

The key inputs to FVA are: (i) the expected funding requirements arising from the Firm’s positions with each counterparty and collateral arrangements; (ii) for assets, the estimated market funding cost in the principal market; and (iii) for liabilities, the hypothetical market funding cost for a transfer to a market participant with a similar credit standing as the Firm. For collateralized derivatives, the fair value is estimated by discounting expected future cash flows at the relevant overnight indexed swap (“OIS”) rate given the underlying collateral agreement with the counterparty, and therefore a separate FVA is not necessary.

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. The DVA and FVA reported below include the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time.

	Three months ended March 31,
(in millions)	2016			2015
Credit adjustments:
Derivatives CVA	$	(588	)	$	181
Derivatives DVA and FVA	(166		)	(141		)

Valuation adjustments on fair value option elected liabilities

The valuation of the Firm’s liabilities for which the fair value option has been elected requires consideration of the Firm’s own credit risk. DVA on fair value option elected liabilities is measured using (i) the current fair value of the liability and (ii) changes (subsequent to the issuance of the liability) in the Firm’s probability of default and loss given default, which are estimated based on changes in the Firm’s credit spread observed in the bond market. Effective January 1, 2016, the effect of DVA on fair value option elected liabilities is recognized in OCI. See Note 19 for further information.

Assets and liabilities measured at fair value on a nonrecurring basis

At March 31, 2016 and 2015, assets measured at fair value on a nonrecurring basis were$597 million and $3.5 billion, respectively, which predominantly consisted of loans that had fair value adjustments in the first three months of both 2016 and 2015. At March 31, 2016, $314 million and $283 millionof these loans were classified in levels 2 and 3 of the fair value hierarchy, respectively. At March 31, 2015, $1.3 billion and $2.2 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 atMarch 31, 2016 and 2015. For the three months ended March 31, 2016 there were no significant transfers between levels 1, 2 and 3 related to assets held at the balance sheet date.

Of the$283 millionof level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2016:

• $136 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 from8% to 38%, 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 March 31, 2016 and 2015, related to financial instruments held at those dates, was a reduction of $71 million and $88 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 2015 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 atMarch 31, 2016, and December 31, 2015, of financial assets and liabilities, excluding financial instruments which are carried at fair value on a recurring basis, and 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 2015 Annual Report.

	March 31, 2016										December 31, 2015
			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	$	18.2	$	18.2	$	—	$	—	$	18.2	$	20.5	$	20.5	$	—	$	—	$	20.5
Deposits with banks	360.2		354.1		6.1		—		360.2		340.0		335.9		4.1		—		340.0
Accrued interest and accounts receivable	57.6		—		57.4		0.2		57.6		46.6		—		46.4		0.2		46.6
Federal funds sold and securities purchased under resale agreements	199.1		—		198.9		0.2		199.1		189.5		—		189.5		—		189.5
Securities borrowed	102.9		—		102.9		—		102.9		98.3		—		98.3		—		98.3
Securities, held-to-maturity(a)	47.9		—		50.2		—		50.2		49.1		—		50.6		—		50.6
Loans, net of allowance for loan losses(b)	831.4		—		24.5		813.2		837.7		820.8		—		25.4		802.7		828.1
Other	71.4		0.1		61.6		14.3		76.0		66.0		0.1		56.3		14.3		70.7
Financial liabilities
Deposits	$	1,309.8	$	—	$	1,308.3	$	1.6	$	1,309.9	$	1,267.2	$	—	$	1,266.1	$	1.2	$	1,267.3
Federal funds purchased and securities loaned or sold under repurchase agreements	157.6		—		156.8		0.7		157.5		149.2		—		149.2		—		149.2
Commercial paper	17.5		—		17.5		—		17.5		15.6		—		15.6		—		15.6
Other borrowed funds	10.1		—		10.1		—		10.1		11.2		—		11.2		—		11.2
Accounts payable and other liabilities	148.4		—		145.6		2.6		148.2		144.6		—		141.7		2.8		144.5
Beneficial interests issued by consolidated VIEs(c)	38.0		—		37.2		0.8		38.0		41.1		—		40.2		0.9		41.1
Long-term debt and junior subordinated deferrable interest debentures(d)	255.6		—		259.8		4.3		264.1		255.6		—		257.4		4.3		261.7

(a) Carrying value reflects 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 185–188 of JPMorgan Chase’s 2015 Annual Report.

(c) Carrying value reflects unamortized issuance costs.

(d) Carrying value reflects unamortized premiums and discounts, issuance costs, 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 of the allowance and the estimated fair value of the Firm’s wholesale lending-related commitments were as follows for the periods indicated.

	March 31, 2016										December 31, 2015
			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	$	1.0	$	—	$	—	$	2.9	$	2.9	$	0.8	$	—	$	—	$	3.0	$	3.0

(a) 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 186 of JPMorgan Chase’s 2015 Annual Report.