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Fair Value Measurement (Tables)
 9 Months Ended
Sep. 30, 2018
Fair Value Disclosures [Abstract]  
Assets and liabilities measured at fair value on a recurring basis The following table presents the assets and liabilities reported at fair value as of September 30, 2018, and December 31, 2017, 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, 2018 (in millions)
Level 1
Level 2

Level 3

Total fair value

Federal funds sold and securities purchased under resale agreements
$
—

$
12,226


$
—


$
—

$
12,226

Securities borrowed
—

4,528


—


—

4,528

Trading assets:












Debt instruments:












Mortgage-backed securities:












U.S. government agencies(a)
—

46,252


529


—

46,781

Residential – nonagency
—

1,681


77


—

1,758

Commercial – nonagency
—

1,420


13


—

1,433

Total mortgage-backed securities
—

49,353


619


—

49,972

U.S. Treasury and government agencies(a)
40,815

7,443


—


—

48,258

Obligations of U.S. states and municipalities
—

8,785


699


—

9,484

Certificates of deposit, bankers’ acceptances and commercial paper
—

3,070

 
—

 
—

3,070

Non-U.S. government debt securities
26,824

28,875

 
164

 
—

55,863

Corporate debt securities
—

23,210

 
395

 
—

23,605

Loans(b)
—

40,051

 
1,533

 
—

41,584

Asset-backed securities
—

2,779

 
76

 
—

2,855

Total debt instruments
67,639

163,566

 
3,486

 
—

234,691

Equity securities
104,701

405

 
329

 
—

105,435

Physical commodities(c)
3,727

1,256

 
—

 
—

4,983

Other
—

14,188

 
413

 
—

14,601

Total debt and equity instruments(d)
176,067

179,415

 
4,228

 
—

359,710

Derivative receivables:
 
 
 
 
 
 
 
Interest rate
715

258,744

 
2,000

 
(238,062
)
23,397

Credit
—

22,553

 
952

 
(22,923
)
582

Foreign exchange
734

187,377

 
773

 
(171,841
)
17,043

Equity
—

43,791

 
3,141

 
(36,828
)
10,104

Commodity
—

22,129

 
239

 
(13,432
)
8,936

Total derivative receivables(e)
1,449

534,594

 
7,105

 
(483,086
)
60,062

Total trading assets(f)
177,516

714,009

 
11,333

 
(483,086
)
419,772

Available-for-sale securities:
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
U.S. government agencies(a)
—

63,110

 
—

 
—

63,110

Residential – nonagency
—

9,216

 
1

 
—

9,217

Commercial – nonagency
—

7,048

 
—

 
—

7,048

Total mortgage-backed securities
—

79,374

 
1

 
—

79,375

U.S. Treasury and government agencies
27,816

—

 
—

 
—

27,816

Obligations of U.S. states and municipalities
—

38,121

 
—

 
—

38,121

Certificates of deposit
—

75

 
—

 
—

75

Non-U.S. government debt securities
16,544

8,130

 
—

 
—

24,674

Corporate debt securities
—

2,056

 
—

 
—

2,056

Asset-backed securities:
 
 
 
 
 
 
 
Collateralized loan obligations
—

20,048

 
61

 
—

20,109

Other
—

7,804

 
—

 
—

7,804

Total available-for-sale securities
44,360

155,608

 
62

 
—

200,030

Loans
—

2,847

 
140

 
—

2,987

Mortgage servicing rights
—

—

 
6,433

 
—

6,433

Other assets(f)(g)
10,684

20

 
1,063

 
—

11,767

Total assets measured at fair value on a recurring basis
$
232,560

$
889,238

 
$
19,031

 
$
(483,086
)
$
657,743

Deposits
$
—

$
16,060

 
$
4,440

 
$
—

$
20,500

Federal funds purchased and securities loaned or sold under repurchase agreements
—

1,059

 
—

 
—

1,059

Short-term borrowings
—

5,914

 
1,971

 
—

7,885

Trading liabilities:
 
 
 
 
 
 


Debt and equity instruments(d)
84,958

24,403

 
96

 
—

109,457

Derivative payables:
 
 
 
 
 
 


Interest rate
310

232,614

 
1,309

 
(227,142
)
7,091

Credit


22,435

 
925

 
(21,908
)
1,452

Foreign exchange
880

175,664

 
1,075

 
(165,217
)
12,402

Equity
—

45,937

 
5,418

 
(39,377
)
11,978

Commodity
—

22,075

 
764

 
(14,069
)
8,770

Total derivative payables(e)
1,190

498,725

 
9,491

 
(467,713
)
41,693

Total trading liabilities
86,148

523,128

 
9,587

 
(467,713
)
151,150

Accounts payable and other liabilities
5,127

20

 
12

 
—

5,159

Beneficial interests issued by consolidated VIEs
—

16

 
1

 
—

17

Long-term debt
—

34,074

 
20,038

 
—

54,112

Total liabilities measured at fair value on a recurring basis
$
91,275

$
580,271

 
$
36,049

 
$
(467,713
)
$
239,882



Fair value hierarchy

Derivative
netting
adjustments
 

 
 
 
 
 
 
 
 
December 31, 2017 (in millions)
Level 1

Level 2


Level 3


 
Total fair value

Federal funds sold and securities purchased under resale agreements
$
—

$
14,732


$
—


$
—

 
$
14,732

Securities borrowed
—

3,049


—


—

 
3,049

Trading assets:
 
 

 

 
 
 
Debt instruments:
 
 

 

 
 
 
Mortgage-backed securities:
 
 

 

 
 
 
U.S. government agencies(a)
—

41,515


307


—

 
41,822

Residential – nonagency
—

1,835


60


—

 
1,895

Commercial – nonagency
—

1,645


11


—

 
1,656

Total mortgage-backed securities
—

44,995


378


—

 
45,373

U.S. Treasury and government agencies(a)
30,758

6,475


1


—

 
37,234

Obligations of U.S. states and municipalities
—

9,067


744


—

 
9,811

Certificates of deposit, bankers’ acceptances and commercial paper
—

226


—


—

 
226

Non-U.S. government debt securities
28,887

28,831


78


—

 
57,796

Corporate debt securities
—

24,146


312


—

 
24,458

Loans(b)
—

35,242


2,719


—

 
37,961

Asset-backed securities
—

3,284


153


—

 
3,437

Total debt instruments
59,645

152,266


4,385


—

 
216,296

Equity securities
87,346

197


295


—

 
87,838

Physical commodities(c)
4,924

1,322


—


—

 
6,246

Other
—

14,197


690


—

 
14,887

Total debt and equity instruments(d)
151,915

167,982


5,370


—

 
325,267

Derivative receivables:
 








 


Interest rate
181

314,107


1,704


(291,319
)
 
24,673

Credit
—

21,995


1,209


(22,335
)
 
869

Foreign exchange
841

158,834


557


(144,081
)
 
16,151

Equity
—

37,722


2,318


(32,158
)
 
7,882

Commodity
—

19,875


210


(13,137
)
 
6,948

Total derivative receivables(e)
1,022

552,533


5,998


(503,030
)
 
56,523

Total trading assets(f)
152,937

720,515


11,368


(503,030
)
 
381,790

Available-for-sale securities:
 








 


Mortgage-backed securities:
 








 


U.S. government agencies(a)
—

70,280


—


—

 
70,280

Residential – nonagency
—

11,366


1


—

 
11,367

Commercial – nonagency
—

5,025


—


—

 
5,025

Total mortgage-backed securities
—

86,671


1


—

 
86,672

U.S. Treasury and government agencies
22,745

—


—


—

 
22,745

Obligations of U.S. states and municipalities
—

32,338


—


—

 
32,338

Certificates of deposit
—

59


—


—

 
59

Non-U.S. government debt securities
18,140

9,154


—


—

 
27,294

Corporate debt securities
—

2,757


—


—

 
2,757

Asset-backed securities:
 








 


Collateralized loan obligations
—

20,720


276


—

 
20,996

Other
—

8,817


—


—

 
8,817

Equity securities(g)
547

—


—


—

 
547

Total available-for-sale securities
41,432

160,516


277


—

 
202,225

Loans
—

2,232


276


—

 
2,508

Mortgage servicing rights
—

—


6,030


—

 
6,030

Other assets(f)(g)
13,795

343


1,265


—

 
15,403

Total assets measured at fair value on a recurring basis
$
208,164

$
901,387


$
19,216


$
(503,030
)
 
$
625,737

Deposits
$
—

$
17,179


$
4,142


$
—

 
$
21,321

Federal funds purchased and securities loaned or sold under repurchase agreements
—

697


—


—

 
697

Short-term borrowings
—

7,526


1,665


—

 
9,191

Trading liabilities:
 
 

 



 


Debt and equity instruments(d)
64,664

21,183


39


—

 
85,886

Derivative payables:
 
 




 
 
 
Interest rate
170

282,825


1,440


(277,306
)
 
7,129

Credit
—

22,009


1,244


(21,954
)
 
1,299

Foreign exchange
794

154,075


953


(143,349
)
 
12,473

Equity
—

39,668


5,727


(36,203
)
 
9,192

Commodity
—

21,017


884


(14,217
)
 
7,684

Total derivative payables(e)
964

519,594


10,248


(493,029
)
 
37,777

Total trading liabilities
65,628

540,777


10,287


(493,029
)
 
123,663

Accounts payable and other liabilities
9,074

121


13


—

 
9,208

Beneficial interests issued by consolidated VIEs
—

6


39


—

 
45

Long-term debt
—

31,394


16,125


—

 
47,519

Total liabilities measured at fair value on a recurring basis
$
74,702

$
597,700


$
32,271


$
(493,029
)
 
$
211,644

(a)
At September 30, 2018, and December 31, 2017, included total U.S. government-sponsored enterprise obligations of $77.3 billion and $78.0 billion, respectively, which were predominantly mortgage-related.
(b)
At September 30, 2018, and December 31, 2017, included within trading loans were $13.8 billion and $11.4 billion, respectively, of residential first-lien mortgages, and $2.6 billion and $4.2 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 $9.2 billion and $5.7 billion, respectively, and reverse mortgages of zero and $836 million respectively.
(c)
Physical commodities inventories are generally accounted for at the lower of cost or net realizable value. “Net realizable value” 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, net realizable value approximates fair value for the Firm’s physical commodities inventories. When fair value hedging has been applied (or when net realizable value 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, refer to Note 4. 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. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.
(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 September 30, 2018, and December 31, 2017, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $767 million and $779 million, respectively. Included in these balances at September 30, 2018, and December 31, 2017, were trading assets of $55 million and $54 million, respectively, and other assets of $712 million and $725 million, respectively.
(g)
Effective January 1, 2018, the Firm adopted the recognition and measurement guidance. Equity securities that were previously reported as AFS securities were reclassified to other assets upon adoption.
Fair value inputs, assets and liabilities, quantitative information
Level 3 inputs(a)
 
 
 
 
 
 
September 30, 2018
 
 
 
 
 
 
Product/Instrument
Fair value
(in millions)
 
Principal valuation technique
Unobservable inputs(g)
Range of input values
Weighted average
 
Residential mortgage-backed securities and loans(b)
$
823

 
Discounted cash flows
Yield
0
 %
–
28
%
 
6
%
 
 
 
Prepayment speed
0
 %
–
39
%
 
9
%
 
 
 
 
Conditional default rate
0
 %
–
6
%
 
1
%
 
 
 
 
Loss severity
0
 %
–
100
%
 
5
%
Commercial mortgage-backed securities and loans(c)
439

 
Market comparables
Price
$
4

–
$
101

 
$
93

Obligations of U.S. states and municipalities
699

 
Market comparables
Price
$
60

–
$
100

 
$
97

Corporate debt securities
395

 
Market comparables
Price
$
3

–
$
110

 
$
80

Loans(d)
1,031

 
Market comparables
Price
$
3

–
$
102

 
$
79

Asset-backed securities
61

 
Discounted cash flows
Credit spread
219
 bps
 
219
 bps
 
 
 
 
Prepayment speed
20
%
 
20
%
 
 
 
 
Conditional default rate
2
%
 
2
%
 
 
 
 
Loss severity
30
%
 
30
%
 
76

 
Market comparables
Price
$
0

–
$
100

 
$
51

Net interest rate derivatives
528

 
Option pricing
Interest rate spread volatility
16
 bps
–
38
 bps
 
 
 
 
 
Interest rate correlation
(45
)%
–
97
%
 
 
 
 
 
 
IR-FX correlation
55
 %
–
60
%
 
 
 
163

 
Discounted cash flows
Prepayment speed
0
 %
–
30
%
 
 
Net credit derivatives
26

 
Discounted cash flows
Credit correlation
35
 %
–
60
%
 
 
 
 
 
 
Credit spread
6
 bps
–
1,543
 bps
 
 
 
 
 
 
Recovery rate
20
 %
–
70
%
 
 
 
 
 
 
Yield
3
 %
–
52
%
 
 
 
 
 
 
Prepayment speed
5
 %
–
17
%
 
 
 
 
 
 
Conditional default rate
0
 %
–
100
%
 
 
 
 
 
 
Loss severity
0
 %
–
100
%
 
 
 
1

 
Market comparables
Price
$
10

–
$
98

 
 
Net foreign exchange derivatives
(121
)
 
Option pricing
IR-FX correlation
(45
)%
–
60
%
 
 
 
(181
)
 
Discounted cash flows
Prepayment speed
8
 %
–
9
%
 
 
Net equity derivatives
(2,277
)
 
Option pricing
Equity volatility
10
 %
–
60
%
 
 
 
 
 
 
Equity correlation
10
 %
–
95
%
 
 
 
 
 
 
Equity-FX correlation
(75
)%
–
60
%
 
 
 
 
 
 
Equity-IR correlation
20
 %
–
60
%
 
 
Net commodity derivatives
(525
)
 
Option pricing
Forward commodity price
$
61

–
$ 83 per barrel
 
 
 
 
Commodity volatility
5
 %
–
48
%
 
 
 
 
 
 
Commodity correlation
(52
)%
–
95
%
 
 
MSRs
6,433

 
Discounted cash flows
Refer to Note 14
 
 
Other assets
322

 
Discounted cash flows
Credit spread
70
 bps
 
70
 bps
 
 
 
 
Yield
8
 %
–
10
%
 
8
%
 
1,154

 
Market comparables
Price
$
34

–
$
106

 
$
45

 
 
 
 
EBITDA multiple

3.0x

–
9.2x

 
8.4x

Long-term debt, short-term borrowings, and deposits(e)
26,449

 
Option pricing
Interest rate spread volatility
16
 bps
–
38
 bps
 
 
 
 
Interest rate correlation
(45
)%
–
97
%
 
 
 
 
 
IR-FX correlation
(45
)%
–
60
%
 
 
 
 
 
Equity correlation
10
 %
–
95
%
 
 
 
 
 
Equity-FX correlation
(75
)%
–
60
%
 
 
 
 
 
Equity-IR correlation
20
 %
–
60
%
 
 
Other level 3 assets and liabilities, net(f)
384

 
 
 
 
 
 
 
 
(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. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ.
(b)
Includes U.S. government agency securities of $502 million, nonagency securities of $78 million and trading loans of $243 million.
(c)
Includes U.S. government agency securities of $27 million, nonagency securities of $13 million, trading loans of $259 million and non-trading loans of $140 million.
(d)
Comprises trading loans.
(e)
Long-term debt, short-term borrowings and deposits include structured notes issued by the Firm that are financial instruments that typically contain embedded derivatives. The estimation of the fair value of structured notes includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables.
(f)
Includes level 3 assets and liabilities that are insignificant both individually and in aggregate.
(g)
Price is a significant unobservable input for certain instruments. When quoted market prices are not readily available, reliance is generally placed on price-based internal valuation techniques. The price input is expressed assuming a par value of $100.
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 ended September 30, 2018 and 2017. 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, 2018
(in millions)
Fair
value at
July 1, 2018
Total realized/unrealized gains/(losses)
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2018
Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2018
Purchases(f)
Sales
 
Settlements(g)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Debt instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agencies
$
478

 
$
2

 
$
14

$
(28
)
 
$
(17
)
$
83

$
(3
)
 
$
529

 
$
—

 
Residential – nonagency
87

 
1

 
—

(6
)
 
(3
)
18

(20
)
 
77

 
1

 
Commercial – nonagency
18

 
(1
)
 
—

—

 
—

9

(13
)
 
13

 
(1
)
 
Total mortgage-backed securities
583

 
2

 
14

(34
)
 
(20
)
110

(36
)
 
619

 
—

 
U.S. Treasury and government agencies
—

 
—

 
—

—

 
—

—

—

 
—

 
—

 
Obligations of U.S. states and municipalities
736

 
8

 
26

(70
)
 
(1
)
—

—

 
699

 
7

 
Non-U.S. government debt securities
183

 
(9
)
 
44

(29
)
 
(2
)
1

(24
)
 
164

 
(9
)
 
Corporate debt securities
274

 
(2
)
 
156

(87
)
 
(4
)
82

(24
)
 
395

 
(3
)
 
Loans
1,986

 
17

 
188

(146
)
 
(199
)
48

(361
)
 
1,533

 
3

 
Asset-backed securities
87

 
6

 
5

(7
)
 
(13
)
5

(7
)
 
76

 
3

 
Total debt instruments
3,849

 
22

 
433

(373
)
 
(239
)
246

(452
)
 
3,486

 
1

 
Equity securities
288

 
20

 
6

(48
)
 
—

82

(19
)
 
329

 
(18
)
 
Other
406

 
30

 
13

—

 
(37
)
2

(1
)
 
413

 
10

 
Total trading assets – debt and equity instruments
4,543

 
72

(c) 
452

(421
)
 
(276
)
330

(472
)
 
4,228

 
(7
)
(c) 
Net derivative receivables:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
489

 
236

 
28

(22
)
 
(101
)
68

(7
)
 
691

 
216

 
Credit
(24
)
 
(19
)
 
1

—

 
47

6

16

 
27

 
(15
)
 
Foreign exchange
(245
)
 
(56
)
 
29

(7
)
 
(49
)
(2
)
28

 
(302
)
 
(54
)
 
Equity
(2,578
)
 
(94
)
 
643

(635
)
 
622

(251
)
16

 
(2,277
)
 
(121
)
 
Commodity
(752
)
 
318

 
—

—

 
(113
)
15

7

 
(525
)
 
138

 
Total net derivative receivables
(3,110
)
 
385

(c) 
701

(664
)
 
406

(164
)
60

 
(2,386
)
 
164

(c) 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities
147

 
—

 
—

—

 
(86
)
—

—

 
61

 
—

 
Other
1

 
—

 
—

—

 
—

—

—

 
1

 
—

 
Total available-for-sale securities
148

 
—


—

—

 
(86
)
—

—

 
62

 
—


Loans
159

 
(1
)
(c) 
1

—

 
(19
)
—

—

 
140

 
(1
)
(c) 
Mortgage servicing rights
6,241

 
98

(e) 
291

(2
)
 
(195
)
—

—

 
6,433

 
98

(e) 
Other assets
1,225

 
(160
)
(c) 
2

—

 
(7
)
3

—

 
1,063

 
(160
)
(c) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value measurements using significant unobservable inputs
 
 
Three months ended
September 30, 2018
(in millions)
Fair
value at
July 1, 2018
Total realized/unrealized (gains)/losses
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2018
Change in unrealized (gains)/
losses related
to financial instruments held at September 30, 2018
Purchases
Sales
Issuances
Settlements(g)
Liabilities:(b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Deposits
$
4,305

 
$
(84
)
(c)(i) 
$
—

$
—

$
517

$
(170
)
$
1

$
(129
)
 
$
4,440

 
$
(82
)
(c)(i) 
Short-term borrowings
2,209

 
(47
)
(c)(i) 
—

—

713

(885
)
6

(25
)
 
1,971

 
(31
)
(c)(i) 
Trading liabilities – debt and equity instruments
43

 
36

(c) 
(6
)
19

—

(2
)
7

(1
)
 
96

 
36

(c) 
Accounts payable and other liabilities
8

 
1

 
—

—

—

—

3

—

 
12

 
1

 
Beneficial interests issued by consolidated VIEs
1

 
—


—

—

—

—

—

—

 
1

 
—


Long-term debt
18,262

 
194

(c)(i) 
—

—

3,551

(1,809
)
59

(219
)
 
20,038

 
192

(c)(i) 

Fair value measurements using significant unobservable inputs


 
Three months ended
September 30, 2017
(in millions)
Fair
value
at July 1, 2017
Total realized/unrealized gains/(losses)



 

Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2017
Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2017
Purchases(f)
Sales

 
Settlements(g)
Assets:






 


 









Trading assets:






 


 









Debt instruments:






 


 









Mortgage-backed securities:






 


 









U.S. government agencies
$
365

$
(2
)

$
—

$
(15
)

 
$
(20
)
$
10

$
(15
)

$
323


$
(2
)

Residential – nonagency
98

6


4

(4
)

 
(12
)
50

(35
)

107


5


Commercial – nonagency
65

3


10

(24
)

 
—

3

(30
)

27


3


Total mortgage-backed securities
528

7


14

(43
)

 
(32
)
63

(80
)

457


6


U.S. Treasury and
government agencies
—

—

 
—

—

 
 
—

1

—

 
1

 
—

 
Obligations of U.S. states and municipalities
681

3


31

—


 
—

—

—


715


3


Non-U.S. government debt securities
37

—


252

(217
)

 
—

23

(15
)

80


—


Corporate debt securities
461

7


193

(327
)

 
(22
)
68

(19
)

361


8


Loans
4,488

131


564

(1,498
)

 
(421
)
246

(303
)

3,207


71


Asset-backed securities
83

5


170

(10
)

 
(8
)
36

(5
)

271


4


Total debt instruments
6,278

153


1,224

(2,095
)

 
(483
)
437

(422
)

5,092


92


Equity securities
284

6


29

(40
)

 
—

16

(7
)

288


7


Other
731

20


5

(38
)

 
(25
)
—

(2
)

691


16


Total trading assets – debt and equity instruments
7,293

179

(c) 
1,258

(2,173
)

 
(508
)
453

(431
)

6,071


115

(c) 
Net derivative receivables:(a)










 


 









Interest rate
712

101


16

(23
)

 
(182
)
21

19


664


(7
)

Credit
(45
)
(32
)

—

(1
)

 
(2
)
40

4


(36
)

(22
)

Foreign exchange
(686
)
16


9

(2
)

 
68

(39
)
95


(539
)

37


Equity
(2,444
)
(10
)

355

(184
)

 
(132
)
(1
)
41


(2,375
)

82


Commodity
(58
)
(30
)

—

—


 
(3
)
(2
)
(7
)

(100
)

(51
)

Total net derivative receivables
(2,521
)
45

(c) 
380

(210
)

 
(251
)
19

152


(2,386
)

39

(c) 
Available-for-sale securities:
 
 

 
 

 
 
 
 

 

 

Asset-backed securities
547

2


—

—


 
(63
)
—

—


486


2


Other
1

—


—

—


 
—

—

—


1


—


Total available-for-sale securities
548

2

(d) 
—

—


 
(63
)
—

—


487


2

(d) 
Loans
305

8

(c) 
—

(26
)

 
(10
)
—

—


277


8

(c) 
Mortgage servicing rights
5,753

(66
)
(e) 
253

(2
)

 
(200
)
—

—


5,738


(66
)
(e) 
Other assets
1,934

18

(c) 
3

(2
)
 
 
(82
)
—

—

 
1,871

 
16

(c) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Fair value measurements using significant unobservable inputs


Three months ended
September 30, 2017
(in millions)
Fair
value
at July 1, 2017
Total realized/unrealized (gains)/losses



 

Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2017
Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2017
Purchases
Sales
Issuances
Settlements(g)
Liabilities:(b)






 


 








Deposits
$
2,131

$
33

(c) 
$
—

$
—

$
1,909

 
$
(58
)
$
—

$
(177
)

$
3,838


$
27

(c) 
Federal funds purchased and securities loaned or sold under repurchase agreements
—

—

 
—

—

—

 
—

1

—

 
1

 
—

 
Short-term borrowings
1,314

33

(c) 
—

—

818

 
(631
)
13

(76
)

1,471


21

(c) 
Trading liabilities – debt and equity instruments
36

2

(c) 
(23
)
28

—

 
—

—

—


43


3

(c) 
Accounts payable and other liabilities
10

—


—

—

—

 
(1
)
—

—


9


—


Beneficial interests issued by consolidated VIEs
1

—


—

39

—

 
—

78

—


118


—


Long-term debt
14,732

319

(c)(j) 
—

—

3,023

(j) 
(3,552
)
181

(209
)

14,494

(j) 
242

(c)(j) 

 
Fair value measurements using significant unobservable inputs
 
 
Nine months ended
September 30, 2018
(in millions)
Fair
value at
January 1, 2018
Total realized/unrealized gains/(losses)
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2018
Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2018
Purchases(f)
Sales
 
Settlements(g)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Debt instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agencies
$
307

 
$
5

 
$
348

$
(126
)
 
$
(56
)
$
92

$
(41
)
 
$
529

 
$
3

 
Residential – nonagency
60

 
1

 
45

(19
)
 
(6
)
58

(62
)
 
77

 
4

 
Commercial – nonagency
11

 
2

 
7

(8
)
 
(13
)
30

(16
)
 
13

 
(1
)
 
Total mortgage-backed securities
378

 
8

 
400

(153
)
 
(75
)
180

(119
)
 
619

 
6

 
U.S. Treasury and government agencies
1

 
—

 
—

—

 
—

—

(1
)
 
—

 
—

 
Obligations of U.S. states and municipalities
744

 
(3
)
 
107

(70
)
 
(79
)
—

—

 
699

 
(3
)
 
Non-U.S. government debt securities
78

 
(19
)
 
395

(213
)
 
(2
)
18

(93
)
 
164

 
(18
)
 
Corporate debt securities
312

 
(6
)
 
297

(227
)
 
(15
)
249

(215
)
 
395

 
(1
)
 
Loans
2,719

 
58

 
1,223

(1,680
)
 
(528
)
422

(681
)
 
1,533

 
(22
)
 
Asset-backed securities
153

 
15

 
64

(29
)
 
(53
)
18

(92
)
 
76

 
8

 
Total debt instruments
4,385

 
53

 
2,486

(2,372
)
 
(752
)
887

(1,201
)
 
3,486

 
(30
)
 
Equity securities
295

 
(1
)
 
99

(108
)
 
(1
)
86

(41
)
 
329

 
11

 
Other
690

 
(209
)
 
47

(40
)
 
(75
)
3

(3
)
 
413

 
(250
)
 
Total trading assets – debt and equity instruments
5,370

 
(157
)
(c) 
2,632

(2,520
)
 
(828
)
976

(1,245
)
 
4,228

 
(269
)
(c) 
Net derivative receivables:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
264

 
576

 
83

(77
)
 
(234
)
40

39

 
691

 
498

 
Credit
(35
)
 
19

 
3

(7
)
 
22

5

20

 
27

 
7

 
Foreign exchange
(396
)
 
184

 
42

(15
)
 
(46
)
(114
)
43

 
(302
)
 
42

 
Equity
(3,409
)
 
688

 
1,467

(1,919
)
 
1,043

(324
)
177

 
(2,277
)
 
31

 
Commodity
(674
)
 
468

 
—

—

 
(287
)
7

(39
)
 
(525
)
 
158

 
Total net derivative receivables
(4,250
)
 
1,935

(c) 
1,595

(2,018
)
 
498

(386
)
240

 
(2,386
)
 
736

(c) 
Available-for-sale securities:


 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities
276

 
1

 
—

—

 
(216
)
—

—

 
61

 
1

 
Other
1

 
—

 
—

—

 
—

—

—

 
1

 
—

 
Total available-for-sale securities
277

 
1

(d) 
—

—

 
(216
)
—

—

 
62

 
1

(d) 
Loans
276

 
(5
)
(c) 
123

—

 
(180
)
—

(74
)
 
140

 
(5
)
(c) 
Mortgage servicing rights
6,030

 
576

(e) 
770

(401
)
 
(542
)
—

—

 
6,433

 
576

(e) 
Other assets
1,265

 
(210
)
(c) 
49

(16
)
 
(28
)
4

(1
)
 
1,063

 
(217
)
(c) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value measurements using significant unobservable inputs
 
 
Nine months ended
September 30, 2018
(in millions)
Fair
value at
January 1, 2018
Total realized/unrealized (gains)/losses
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2018
Change in unrealized (gains)/
losses related
to financial instruments held at September 30, 2018
Purchases
Sales
Issuances
Settlements(g)
Liabilities:(b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Deposits
$
4,142

 
$
(125
)
(c)(i) 
$
—

$
—

$
1,272

$
(425
)
$
2

$
(426
)
 
$
4,440

 
$
(115
)
(c)(i) 
Short-term borrowings
1,665

 
(229
)
(c)(i) 
—

—

2,783

(2,245
)
61

(64
)
 
1,971

 
26

(c)(i) 
Trading liabilities – debt and equity instruments
39

 
28

(c) 
(68
)
95

—

(1
)
9

(6
)
 
96

 
11

(c) 
Accounts payable and other liabilities
13

 
—

 
(6
)
1

—

—

4

—

 
12

 
—

 
Beneficial interests issued by consolidated VIEs
39

 
—

 
—

—

—

(38
)
—

—

 
1

 
—

 
Long-term debt
16,125

 
(396
)
(c)(i) 
—

—

10,382

(6,155
)
653

(571
)
 
20,038

 
(576
)
(c)(i) 
 
Fair value measurements using significant unobservable inputs
 
 
Nine months ended
September 30, 2017
(in millions)
Fair
value at
January 1, 2017
Total realized/unrealized gains/(losses)
 
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2017
Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2017
Purchases(f)
Sales
 
 
Settlements(g)
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Debt instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agencies
$
392

 
$
(9
)
 
$
161

$
(166
)
 
 
$
(55
)
$
37

$
(37
)
 
$
323

 
$
(17
)
 
Residential – nonagency
83

 
14

 
40

(24
)
 
 
(21
)
111

(96
)
 
107

 
2

 
Commercial – nonagency
17

 
5

 
27

(38
)
 
 
(5
)
63

(42
)
 
27

 
1

 
Total mortgage-backed securities
492

 
10

 
228

(228
)
 
 
(81
)
211

(175
)
 
457

 
(14
)
 
U.S. Treasury and government agencies
—

 
—

 
—

—

 
 
—

1

—

 
1

 
—

 
Obligations of U.S. states and municipalities
649

 
15

 
126

(70
)
 
 
(5
)
—

—

 
715

 
15

 
Non-U.S. government debt securities
46

 
3

 
426

(395
)
 
 
—

50

(50
)
 
80

 
—

 
Corporate debt securities
576

 
—

 
690

(473
)
 
 
(398
)
128

(162
)
 
361

 
11

 
Loans
4,837

 
309

 
2,055

(2,565
)
 
 
(1,186
)
564

(807
)
 
3,207

 
73

 
Asset-backed securities
302

 
27

 
279

(178
)
 
 
(44
)
50

(165
)
 
271

 
2

 
Total debt instruments
6,902

 
364

 
3,804

(3,909
)
 
 
(1,714
)
1,004

(1,359
)
 
5,092

 
87

 
Equity securities
231

 
40

 
142

(87
)
 
 
—

18

(56
)
 
288

 
34

 
Other
761

 
85

 
27

(45
)
 
 
(137
)
10

(10
)
 
691

 
46

 
Total trading assets – debt and equity instruments
7,894

 
489

(c) 
3,973

(4,041
)
 
 
(1,851
)
1,032

(1,425
)
 
6,071

 
167

(c) 
Net derivative receivables:(a)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
1,263

 
182

 
53

(76
)
 
 
(833
)
55

20

 
664

 
(184
)
 
Credit
98

 
(126
)
 
1

(4
)
 
 
(64
)
57

2

 
(36
)
 
(57
)
 
Foreign exchange
(1,384
)
 
86

 
13

(6
)
 
 
633

(16
)
135

 
(539
)
 
(12
)
 
Equity
(2,252
)
 
24

 
840

(312
)
 
 
(660
)
(182
)
167

 
(2,375
)
 
76

 
Commodity
(85
)
 
(34
)
 
—

—

 
 
22

2

(5
)
 
(100
)
 
27

 
Total net derivative receivables
(2,360
)
 
132

(c) 
907

(398
)
 
 
(902
)
(84
)
319

 
(2,386
)
 
(150
)
(c) 
Available-for-sale securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Asset-backed securities
663

 
14

 
—

(50
)
 
 
(141
)
—

—

 
486

 
12

 
Other
1

 
—

 
—

—

 
 
—

—

—

 
1

 
—

 
Total available-for-sale securities
664

 
14

(d) 
—

(50
)
 
 
(141
)
—

—

 
487

 
12

(d) 
Loans
570

 
32

(c) 
—

(26
)
 
 
(299
)
—

—

 
277

 
8

(c) 
Mortgage servicing rights
6,096

 
(223
)
(e) 
624

(140
)
 
 
(619
)
—

—

 
5,738

 
(224
)
(e) 
Other assets
2,223

 
248

(c) 
35

(157
)
 
 
(478
)
—

—

 
1,871

 
126

(c) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair value measurements using significant unobservable inputs
 
 
Nine months ended
September 30, 2017
(in millions)
Fair
value at
January 1, 2017
Total realized/unrealized (gains)/losses
 
 
 
 
 
Transfers into
level 3(h)
Transfers (out of) level 3(h)
Fair value at
September 30, 2017
Change in unrealized (gains)/
losses related
to financial instruments held at September 30, 2017
Purchases
Sales
Issuances
 
Settlements(g)
Liabilities:(b)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Deposits
$
2,117

 
$
39

(c) 
$
—

$
—

$
2,510

 
$
(169
)
$
—

$
(659
)
 
$
3,838

 
$
140

(c) 
Federal funds purchased and securities loaned or sold under repurchase agreements
—

 
—

 
—

—

—

 
—

1

—

 
1

 
—

 
Short-term borrowings
1,134

 
80

(c) 
—

 
2,208

 
(1,873
)
53

(131
)
 
1,471

 
50

(c) 
Trading liabilities – debt and equity instruments
43

 
1

(c) 
(31
)
32

—

 
1

3

(6
)
 
43

 
1

(c) 
Accounts payable and other liabilities
13

 
—

 
(1
)
—

—

 
(3
)
—

—

 
9

 
—

 
Beneficial interests issued by consolidated VIEs
48

 
3

 
(44
)
39

—

 
(6
)
78

—

 
118

 
—

 
Long-term debt
12,850

 
918

(c)(j) 
—

—

9,756

(j) 
(8,637
)
269

(662
)
 
14,494

(j) 
996

(c)(j) 
(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 15% at both September 30, 2018 and December 31, 2017, respectively.
(c)
Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans and 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 AFS securities, as well as other-than-temporary impairment (“OTTI”) losses that are recorded in earnings, are reported in investment securities losses. Unrealized gains/(losses) are reported in OCI. There were no realized gains/(losses) or foreign exchange hedge accounting adjustments recorded in income on AFS securities for the three and nine months ended September 30, 2018 and 2017, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were zero and $2 million for the three months ended September 30, 2018 and 2017, respectively and $1 million and $14 million for the nine months ended September 30, 2018 and 2017, respectively.
(e)
Changes in fair value for CCB MSRs are reported in mortgage fees and related income.
(f)
Loan originations are included in purchases.
(g)
Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidation associated with beneficial interests in VIEs and other items.
(h)
All transfers into and/or out of level 3 are based on changes in the observability of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.
(i)
Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue. Unrealized (gains)/losses are reported in OCI. Unrealized (gains)/losses were $123 million for the three months ended September 30, 2018 and unrealized (gains)/losses were not material for the nine months ended September 30, 2018. There were no material realized (gains)/losses for the three and nine months ended September 30, 2018, respectively.
(j)
The prior period amounts have been revised to conform with the current period presentation.
Impact of credit adjustments on earnings 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 FVA presented below includes 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 September 30,
 
Nine months ended September 30,
(in millions)
2018

 
2017

 
2018

 
2017

Credit and funding adjustments:
 
 
 
 
 
 
 
Derivatives CVA
$
66

 
$
245

 
$
223

 
$
715

Derivatives FVA
88

 
(222
)
 
102

 
(289
)
Assets and liabilities measured at fair value on a nonrecurring basis The following table presents the total change in value of assets and liabilities for which a fair value adjustment has been recognized for the three and nine months ended September 30, 2018 and 2017, related to financial instruments held at those dates.
 
Three months ended September 30,
 
Nine months ended September 30,
(in millions)
2018

 
2017

 
2018

 
2017

Loans
$
(22
)
 
$
(52
)
 
$
(36
)

$
(157
)
Other assets
(117
)
(a) 
(11
)
 
383

(a) 
(44
)
Accounts payable and other liabilities
—

 
—

 
—

 
(1
)
Total nonrecurring fair value gains/(losses)
$
(139
)
 
$
(63
)
 
$
347

 
$
(202
)

(a)
Included $(113) million and $384 million for the three months and nine months ended September 30, 2018, respectively, of fair value gains/(losses) as a result of the measurement alternative. The following tables present the assets still held as of September 30, 2018 and 2017, respectively, for which a nonrecurring fair value adjustment was recorded during the nine months ended September 30, 2018 and 2017, respectively, by major product category and fair value hierarchy.
 
Fair value hierarchy
 
Total fair value
September 30, 2018 (in millions)
Level 1

Level 2

 
Level 3

 
Loans
$
—

$
492


$
243

(a) 
$
735

Other assets(b)
—

216

 
826

 
1,042

Total assets measured at fair value on a nonrecurring basis
$
—

$
708

 
$
1,069


$
1,777

 
Fair value hierarchy
 
Total fair value
September 30, 2017 (in millions)
Level 1

Level 2

 
Level 3

 
Loans
$
—

$
338

 
$
542

 
$
880

Other assets
—

7

 
245

 
252

Total assets measured at fair value on a nonrecurring basis
$
—

$
345

 
$
787

 
$
1,132

(a)
Of the $243 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2018, $200 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans and other loans charged off in accordance with regulatory guidance). These amounts are classified as level 3 as they are valued using a broker’s price opinion and discounted based upon the Firm’s experience with actual liquidation values. These discounts to the broker price opinions ranged from 13% to 40% with a weighted average of 22%.
(b)
Primarily includes equity securities without readily determinable fair values that were adjusted based on observable price changes in orderly transactions from an identical or similar investment of the same issuer (measurement alternative) as a result of the adoption of the recognition and measurement guidance. Of the $826 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2018, $724 million related to such equity securities. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.
Carrying value and estimated fair value of financial assets and liabilities The following table presents by fair value hierarchy classification the carrying values and estimated fair values at September 30, 2018, and December 31, 2017, of financial assets and liabilities, excluding financial instruments that 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, refer to Note 2 of JPMorgan Chase’s 2017 Annual Report.
 
September 30, 2018
 
December 31, 2017
 
 
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
$
23.2

$
23.2

$
—

$
—

$
23.2

 
$
25.9

$
25.9

$
—

$
—

$
25.9

Deposits with banks
395.9

392.2

3.7

—

395.9

 
405.4

401.8

3.6

—

405.4

Accrued interest and accounts receivable
77.7

—

77.6

0.1

77.7

 
67.0

—

67.0

—

67.0

Federal funds sold and securities purchased under resale agreements
205.4

—

205.4

—

205.4

 
183.7

—

183.7

—

183.7

Securities borrowed
117.9

—

117.9

—

117.9

 
102.1

—

102.1

—

102.1

Securities, held-to-maturity
31.4

—

30.9

—

30.9

 
47.7

—

48.7

—

48.7

Loans, net of allowance for loan losses(a)
938.2

—

227.3

710.0

937.3

 
914.6

—

213.2

707.1

920.3

Other(b)
55.0

—

54.1

1.0

55.1

 
53.9

—

52.1

9.2

61.3

Financial liabilities
 
 
 
 
 
 
 
 
 
 
 
Deposits
$
1,438.3

$
—

$
1,438.4

$
—

$
1,438.4

 
$
1,422.7

$
—

$
1,422.7

$
—

$
1,422.7

Federal funds purchased and securities loaned or sold under repurchase agreements
180.5

—

180.5

—

180.5

 
158.2

—

158.2

—

158.2

Short-term borrowings
56.7

—

56.7

—

56.7

 
42.6

—

42.4

0.2

42.6

Accounts payable and other liabilities
173.4

—

170.0

3.1

173.1

 
152.0

—

148.9

2.9

151.8

Beneficial interests issued by consolidated VIEs
20.2

—

20.2

—

20.2

 
26.0

—

26.0

—

26.0

Long-term debt and junior subordinated deferrable interest debentures
216.0

—

217.5

3.3

220.8

 
236.6

—

240.3

3.2

243.5

Effective January 1, 2018, the Firm adopted several new accounting standards. Certain of the new accounting standards were applied retrospectively and, accordingly, prior period amounts were revised.
(a)
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, refer to Valuation hierarchy on pages 156–159 of JPMorgan Chase’s 2017 Annual Report.
(b)
The prior period amounts have been revised to conform with the current period presentation.
The carrying value and estimated fair value of wholesale lending- related commitments The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value of the wholesale allowance for lending-related commitments and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.
 
September 30, 2018
 
December 31, 2017
 
 
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
$1.1
$—
$—
$1.5
$1.5
 
$1.1
$—
$—
$1.6
$1.6
(a)
Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees.
Schedule of equity securities without readily determinable fair values measured under the measurement alternative and related adjustments The following table presents the carrying value of equity securities without readily determinable fair values still held as of September 30, 2018, that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable.
 
As of or for the
(in millions)
Three months ended September 30, 2018
 
Nine months ended September 30, 2018
Other assets
 
 
 
Carrying value
$
1,801

 
$
1,801

Upward carrying value changes
14

 
540

Downward carrying value changes/impairment
(127
)
 
(156
)