Fair Value Measurement

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurement

Fair value measurement Refer to Note 2 of JPMorgan Chase’s 2020 Form 10-K 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.

The following table presents the assets and liabilities reported at fair value as of September 30, 2021, and December 31, 2020, 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(f)
September 30, 2021 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	273,158	$	—	$	—	$	273,158
Securities borrowed	—		72,833		—		—		72,833
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		35,746		299		—		36,045
Residential – nonagency	—		2,281		24		—		2,305
Commercial – nonagency	—		1,662		19		—		1,681
Total mortgage-backed securities	—		39,689		342		—		40,031
U.S. Treasury, GSEs and government agencies(a)	87,623		9,282		—		—		96,905
Obligations of U.S. states and municipalities	—		6,735		7		—		6,742
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,567		—		—		2,567
Non-U.S. government debt securities	41,486		48,345		104		—		89,935
Corporate debt securities	—		31,472		370		—		31,842
Loans	—		6,359		982		—		7,341
Asset-backed securities	—		2,569		28		—		2,597
Total debt instruments	129,109		147,018		1,833		—		277,960
Equity securities	124,349		1,658		634		—		126,641
Physical commodities(b)	6,471		12,887		—		—		19,358
Other	—		23,920		58		—		23,978
Total debt and equity instruments(c)	259,929		185,483		2,525		—		447,937
Derivative receivables:
Interest rate	1,931		281,315		1,863		(260,343)		24,766
Credit	—		10,032		492		(9,349)		1,175
Foreign exchange	235		162,182		779		(148,671)		14,525
Equity	—		71,346		3,076		(63,930)		10,492
Commodity	—		35,781		534		(19,365)		16,950
Total derivative receivables	2,166		560,656		6,744		(501,658)		67,908
Total trading assets(d)	262,095		746,139		9,269		(501,658)		515,845
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		73,049		—		—		73,049
Residential – nonagency	—		6,373		—		—		6,373
Commercial – nonagency	—		3,132		—		—		3,132
Total mortgage-backed securities	—		82,554		—		—		82,554
U.S. Treasury and government agencies	121,471		—		—		—		121,471
Obligations of U.S. states and municipalities	—		17,515		—		—		17,515
Non-U.S. government debt securities	5,457		10,368		—		—		15,825
Corporate debt securities	—		165		95		—		260
Asset-backed securities:
Collateralized loan obligations	—		9,137		—		—		9,137
Other	—		4,828		—		—		4,828
Total available-for-sale securities	126,928		124,567		95		—		251,590
Loans (e)	—		58,557		2,071		—		60,628
Mortgage servicing rights	—		—		5,351		—		5,351
Other assets(d)	9,332		4,061		321		—		13,714
Total assets measured at fair value on a recurring basis	$	398,355	$	1,279,315	$	17,107	$	(501,658)	$	1,193,119
Deposits	$	—	$	9,431	$	2,377	$	—	$	11,808
Federal funds purchased and securities loaned or sold under repurchase agreements	—		187,439		—		—		187,439
Short-term borrowings	—		17,622		2,411		—		20,033
Trading liabilities:
Debt and equity instruments(c)	98,932		27,096		30		—		126,058
Derivative payables:
Interest rate	1,661		248,655		1,976		(243,460)		8,832
Credit	—		11,301		498		(10,406)		1,393
Foreign exchange	248		160,511		1,336		(148,090)		14,005
Equity	—		79,924		6,913		(69,063)		17,774
Commodity	—		33,037		1,406		(22,962)		11,481
Total derivative payables	1,909		533,428		12,129		(493,981)		53,485
Total trading liabilities	100,841		560,524		12,159		(493,981)		179,543
Accounts payable and other liabilities	4,957		332		51		—		5,340
Beneficial interests issued by consolidated VIEs	—		99		—		—		99
Long-term debt	—		52,985		23,514		—		76,499
Total liabilities measured at fair value on a recurring basis	$	105,798	$	828,432	$	40,512	$	(493,981)	$	480,761

	Fair value hierarchy								Derivative netting adjustments(f)
December 31, 2020 (in millions)	Level 1		Level 2			Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	238,015		$	—		$	—	$	238,015
Securities borrowed	—		52,983			—			—		52,983
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		68,395			449			—		68,844
Residential – nonagency	—		2,138			28			—		2,166
Commercial – nonagency	—		1,327			3			—		1,330
Total mortgage-backed securities	—		71,860			480			—		72,340
U.S. Treasury, GSEs and government agencies(a)	104,263		10,996			—			—		115,259
Obligations of U.S. states and municipalities	—		7,184			8			—		7,192
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,230			—			—		1,230
Non-U.S. government debt securities	26,772		40,671			182			—		67,625
Corporate debt securities	—		21,017			507			—		21,524
Loans	—		6,101			893			—		6,994
Asset-backed securities	—		2,304			28			—		2,332
Total debt instruments	131,035		161,363			2,098			—		294,496
Equity securities	97,035		2,652			476		(g)	—		100,163
Physical commodities(b)	6,382		5,189			—			—		11,571
Other	—		21,351		(g)	49		(g)	—		21,400
Total debt and equity instruments(c)	234,452		190,555			2,623			—		427,630
Derivative receivables:
Interest rate(g)	2,318		387,023			2,307			(355,923)		35,725
Credit(g)	—		12,721			624			(12,665)		680
Foreign exchange	146		205,127			987			(190,479)		15,781
Equity	—		67,093		(g)	3,519			(54,125)		16,487
Commodity	—		21,272			231			(14,732)		6,771
Total derivative receivables	2,464		693,236			7,668			(627,924)		75,444
Total trading assets(d)	236,916		883,791			10,291			(627,924)		503,074
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)(g)	7		113,294			—			—		113,301
Residential – nonagency	—		10,233			—			—		10,233
Commercial – nonagency	—		2,856			—			—		2,856
Total mortgage-backed securities	7		126,383			—			—		126,390
U.S. Treasury and government agencies	201,951		—			—			—		201,951
Obligations of U.S. states and municipalities	—		20,396			—			—		20,396
Non-U.S. government debt securities	13,135		9,793			—			—		22,928
Corporate debt securities	—		216			—			—		216
Asset-backed securities:
Collateralized loan obligations	—		10,048			—			—		10,048
Other	—		6,249			—			—		6,249
Total available-for-sale securities	215,093		173,085			—			—		388,178
Loans(e)	—		42,169			2,305			—		44,474
Mortgage servicing rights	—		—			3,276			—		3,276
Other assets(d)	8,110		4,561			538			—		13,209
Total assets measured at fair value on a recurring basis	$	460,119	$	1,394,604		$	16,410		$	(627,924)	$	1,243,209
Deposits	$	—	$	11,571		$	2,913		$	—	$	14,484
Federal funds purchased and securities loaned or sold under repurchase agreements	—		155,735			—			—		155,735
Short-term borrowings	—		14,473			2,420			—		16,893
Trading liabilities:
Debt and equity instruments(c)	82,669		16,838			51			—		99,558
Derivative payables:
Interest rate(g)	2,496		349,442			2,049			(340,975)		13,012
Credit(g)	—		13,984			848			(12,837)		1,995
Foreign exchange	132		214,373			1,421			(194,493)		21,433
Equity	—		74,032			7,381			(55,515)		25,898
Commodity	—		21,767			962			(14,444)		8,285
Total derivative payables	2,628		673,598			12,661			(618,264)		70,623
Total trading liabilities	85,297		690,436			12,712			(618,264)		170,181
Accounts payable and other liabilities	2,895		513			68			—		3,476
Beneficial interests issued by consolidated VIEs	—		41			—			—		41
Long-term debt	—		53,420			23,397			—		76,817
Total liabilities measured at fair value on a recurring basis	$	88,192	$	926,189		$	41,510		$	(618,264)	$	437,627

(a)At September 30, 2021, and December 31, 2020, included total U.S. GSE obligations of $68.6 billion and $117.6 billion, respectively, which were mortgage-related.

(b)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. Refer to Note 4 for a further discussion of the Firm’s hedge accounting relationships. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented.

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

(d)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, 2021, and December 31, 2020, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $813 million and $670 million, respectively. Included in these balances at September 30, 2021, and December 31, 2020, were trading assets of $56 million and $52 million, respectively, and other assets of $757 million and $618 million, respectively.

(e)At September 30, 2021, and December 31, 2020, included $27.2 billion and $15.1 billion, respectively, of residential first-lien mortgages, and $8.1 billion and $6.3 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. GSEs and government agencies of $13.1 billion and $8.4 billion, respectively.

(f)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. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.

(g)Prior-period amounts have been revised to conform with the current presentation.

Level 3 valuations

Refer to Note 2 of JPMorgan Chase’s 2020 Form 10-K for further information on the Firm’s valuation process and a detailed discussion of the determination of fair value for individual financial instruments.

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 the weighted or arithmetic 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, weighted and arithmetic average values 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.

Level 3 inputs(a)
September 30, 2021
Product/Instrument	Fair value (in millions)		Principal valuation technique	Unobservable inputs(g)	Range of input values			Average(i)
Residential mortgage-backed securities and loans(b)	$	1,161	Discounted cash flows	Yield	(2)%	–	15%		4%
				Prepayment speed	0%	–	100%		12%
				Conditional default rate	0%	–	30%		5%
				Loss severity	0%	–	110%		5%
Commercial mortgage-backed securities and loans(c)	480		Market comparables	Price	$0	–	$100		$84
Corporate debt securities	465		Market comparables	Price	$2	–	$150		$95
Loans(d)	1,754		Market comparables	Price	$5	–	$104		$86
Asset-backed securities	28		Market comparables	Price	$6	–	$99		$56
Net interest rate derivatives	(118)		Option pricing	Interest rate volatility	8bps	–	569bps		120bps
				Interest rate spread volatility	11bps	–	23bps		15bps
				Interest rate correlation	(65)%	–	95%		33%
				IR-FX correlation	(35)%	–	50%		(3)%
	5		Discounted cash flows	Prepayment speed	0%	–	30%		8%
Net credit derivatives	(56)		Discounted cash flows	Credit correlation	33%	–	63%		45%
				Credit spread	1bps	–	2,539 bps		395bps
				Recovery rate	40%	–	67%		54%
				Conditional default rate	100%				100%
				Loss severity	100%				100%
	50		Market comparables	Price	$0		$115		$78
Net foreign exchange derivatives	(448)		Option pricing	IR-FX correlation	(40)%	–	65%		21%
	(109)		Discounted cash flows	Prepayment speed	9%		9%		9%
Net equity derivatives	(3,837)		Option pricing	Forward equity price(h)	61%	–	123%		99%
				Equity volatility	2%	–	144%		29%
				Equity correlation	12%	–	100%		55%
				Equity-FX correlation	(79)%	–	59%		(27)%
				Equity-IR correlation	15%	–	50%		28%
Net commodity derivatives	(872)		Option pricing	Oil Commodity Forward	$635 / MT	–	$850 / MT		$743 / MT
				Forward power price	$24 / MWH	–	$64 / MWH		$44 / MWH
				Commodity volatility	2%	–	142%		72%
				Commodity correlation	(50)%	–	77%		14%
MSRs	5,351		Discounted cash flows	Refer to Note 14
Long-term debt, short-term borrowings, and deposits(e)	27,319		Option pricing	Interest rate volatility	8bps	–	569bps		120bps
				Interest rate correlation	(65)%	–	95%		33%
				IR-FX correlation	(35)%	–	50%		(3)%
				Equity correlation	12%	–	100%		55%
				Equity-FX correlation	(79)%	–	59%		(27)%
				Equity-IR correlation	15%	–	50%		28%
	983		Discounted cash flows	Credit correlation	33%	–	63%		45%
Other level 3 assets and liabilities, net(f)	1,043

(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)Comprises U.S. GSE and government agency securities of $299 million, nonagency securities of $24 million and non-trading loans of $838 million.

(c)Comprises nonagency securities of $19 million, trading loans of $41 million and non-trading loans of $420 million.

(d)Comprises trading loans of $941 million and non-trading loans of $813 million.

(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 equity securities of $1.0 billion including $379 million in Other Assets, for which quoted prices are not readily available and the fair value is generally based on internal valuation techniques such as EBITDA multiples and comparable analysis. All other level 3 assets and liabilities 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.

(h)Forward equity price is expressed as a percentage of the current equity price.

(i)Amounts represent weighted averages except for derivative related inputs where arithmetic averages are used.

Changes in and ranges of unobservable inputs

Refer to Note 2 of JPMorgan Chase’s 2020 Form 10-K 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.

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, 2021 and 2020. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable inputs 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, 2021 (in millions)	Fair value at   July 1, 2021		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at September 30, 2021			Change in unrealized gains/(losses) related to financial instruments held at September 30, 2021
						Purchases(f)		Sales				Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	329	$	(12)		$	13	$	(6)			$	(25)	$	—	$	—		$	299	$	(12)
Residential – nonagency	16		—			9		—				(1)		—		—			24		(1)
Commercial – nonagency	10		7			1		—				(13)		14		—			19		6
Total mortgage-backed securities	355		(5)			23		(6)				(39)		14		—			342		(7)
Obligations of U.S. states and municipalities	8		—			—		—				(1)		—		—			7		—
Non-U.S. government debt securities	183		(2)			128		(98)				—		—		(107)			104		(1)
Corporate debt securities	487		(33)			38		(115)				(3)		25		(29)			370		(25)
Loans	795		—			219		(197)				(130)		409		(114)			982		2
Asset-backed securities	35		1			3		(4)				—		—		(7)			28		—
Total debt instruments	1,863		(39)			411		(420)				(173)		448		(257)			1,833		(31)
Equity securities	690		(41)			5		(44)				—		62		(38)			634		(34)
Other	47		26			17		—				(31)		—		(1)			58		26
Total trading assets – debt and equity instruments	2,600		(54)		(c)	433		(464)				(204)		510		(296)			2,525		(39)		(c)
Net derivative receivables:(b)
Interest rate	(22)		618			21		(44)				(683)		13		(16)			(113)		246
Credit	(17)		(9)			4		(7)				59		(4)		(32)			(6)		(1)
Foreign exchange	(583)		2			28		(44)				41		(5)		4			(557)		15
Equity	(4,936)		723			192		(1,001)				912		214		59			(3,837)		397
Commodity	(1,167)		88			130		(88)				156		(2)		11			(872)		178
Total net derivative receivables	(6,725)		1,422		(c)	375		(1,184)				485		216		26			(5,385)		835		(c)
Available-for-sale securities:
Corporate debt securities	—		—			95		—				—		—		—			95		—
Total available-for-sale securities	—		—			95		—				—		—		—			95		—
Loans	1,734		(13)		(c)	209		(1)				(180)		427		(105)			2,071		(11)		(c)
Mortgage servicing rights	4,549		(11)		(d)	1,013		1				(201)		—		—			5,351		(11)		(d)
Other assets	518		(35)		(c)	3		—				(165)		—		—			321		(34)		(c)
	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2021 (in millions)	Fair value at   July 1, 2021		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at September 30, 2021			Change in unrealized (gains)/losses related to financial instruments held at September 30, 2021
						Purchases		Sales		Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	2,684	$	(11)	(c)(e)	$	—	$	—	$	33	$	(172)	$	—	$	(157)		$	2,377	$	(7)	(c)(e)
Short-term borrowings	3,075		(699)		(c)(e)	—		—		1,166		(1,121)		—		(10)			2,411		(124)		(c)(e)
Trading liabilities – debt and equity instruments	36		(2)		(c)	(8)		2		—		—		3		(1)			30		1		(c)
Accounts payable and other liabilities	51		—			—		—		—		—		—		—			51		1		(c)
Long-term debt	23,527		(216)		(c)(e)	—		—		2,950		(2,512)		11		(246)			23,514		(242)		(c)(e)

	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2020 (in millions)	Fair value at July 1, 2020		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at September 30, 2020			Change in unrealized gains/(losses) related to financial instruments held at September 30, 2020
						Purchases(f)		Sales				Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	469	$	(4)		$	110	$	(28)			$	(40)	$	—	$	—		$	507	$	(2)
Residential – nonagency	23		—			8		(2)				(1)		—		(3)			25		—
Commercial – nonagency	2		—			—		—				—		—		—			2		—
Total mortgage-backed securities	494		(4)			118		(30)				(41)		—		(3)			534		(2)
Obligations of U.S. states and municipalities	8		—			—		—				—		—		—			8		—
Non-U.S. government debt securities	167		6			25		(23)				(2)		—		(8)			165		6
Corporate debt securities	946		45			114		(33)				(225)		4		(202)			649		45
Loans	905		22			240		(173)				(21)		69		(312)			730		8
Asset-backed securities	39		3			5		(21)				(2)		9		—			33		—
Total debt instruments	2,559		72			502		(280)				(291)		82		(525)			2,119		57
Equity securities	191		24			13		(104)				—		104		(42)			186		29
Other	379		75			203		(4)				(2)		2		—			653		77
Total trading assets – debt and equity instruments	3,129		171		(c)	718		(388)				(293)		188		(567)			2,958		163		(c)
Net derivative receivables:(b)
Interest rate	(104)		657			15		(30)				(647)		35		102			28		323
Credit	(137)		(62)			22		(16)				154		(12)		2			(49)		(21)
Foreign exchange	(595)		(57)			7		(7)				(34)		7		3			(676)		(90)
Equity	(2,036)		(1,437)			323		(384)				29		33		369			(3,103)		(1,051)
Commodity	(297)		15			11		(79)				36		(302)		(5)			(621)		39
Total net derivative receivables	(3,169)		(884)		(c)	378		(516)				(462)		(239)		471			(4,421)		(800)		(c)
Available-for-sale securities:
Mortgage-backed securities	—		—			—		—				—		—		—			—		—
Total available-for-sale securities	—		—			—		—				—		—		—			—		—
Loans	1,874		(44)		(c)	197		(44)				(324)		316		(169)			1,806		(44)		(c)
Mortgage servicing rights	3,080		34		(d)	221		(104)				(215)		—		—			3,016		34		(d)
Other assets	701		(21)		(c)	5		—				(27)		—		—			658		32		(c)
	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2020 (in millions)	Fair value at July 1, 2020		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at September 30, 2020			Change in unrealized (gains)/losses related to financial instruments held at September 30, 2020
						Purchases		Sales		Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	3,217	$	43	(c)(e)	$	—	$	—	$	170	$	(110)	$	—	$	(264)		$	3,056	$	87	(c)(e)
Short-term borrowings	2,305		(47)		(c)(e)	—		—		1,421		(1,093)		25		(3)			2,608		(47)		(c)(e)
Trading liabilities – debt and equity instruments	59		(2)		(c)	(5)		5		—		1		3		(4)			57		(3)		(c)
Accounts payable and other liabilities	91		3		(c)	(62)		4		—		—		8		—			44		3		(c)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—		—		—		—			—		—
Long-term debt	22,728		766		(c)(e)	—		—		1,225		(2,493)		78		(88)			22,216		646		(c)(e)

	Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2021 (in millions)	Fair value at January 1, 2021		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at September 30, 2021			Change in unrealized gains/(losses) related to financial instruments held at September 30, 2021
						Purchases(f)		Sales				Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	449	$	(22)		$	20	$	(62)			$	(86)	$	1	$	(1)		$	299	$	(25)
Residential – nonagency	28		1			24		(24)				(4)		—		(1)			24		(2)
Commercial – nonagency	3		7			12		(1)				(16)		14		—			19		6
Total mortgage-backed securities	480		(14)			56		(87)				(106)		15		(2)			342		(21)
Obligations of U.S. states and municipalities	8		—			—		—				(1)		—		—			7		—
Non-U.S. government debt securities	182		(10)			330		(284)				(7)		—		(107)			104		(2)
Corporate debt securities	507		(18)			357		(415)				(3)		138		(196)			370		(3)
Loans	893		6			785		(434)				(256)		584		(596)			982		—
Asset-backed securities	28		8			41		(43)				(1)		2		(7)			28		—
Total debt instruments	2,098		(28)			1,569		(1,263)				(374)		739		(908)			1,833		(26)
Equity securities	476		(38)			258		(114)				—		140		(88)			634		(92)
Other	49		74			118		—				(86)		3		(100)			58		37
Total trading assets – debt and equity instruments	2,623		8		(c)	1,945		(1,377)				(460)		882		(1,096)			2,525		(81)		(c)
Net derivative receivables:(b)
Interest rate	258		1,587			92		(146)				(1,874)		68		(98)			(113)		212
Credit	(224)		140			6		(11)				103		(13)		(7)			(6)		143
Foreign exchange	(434)		(196)			67		(98)				140		6		(42)			(557)		(44)
Equity	(3,862)		(195)			667		(2,246)				1,638		233		(72)			(3,837)		(187)
Commodity	(731)		(505)			140		(382)				600		(3)		9			(872)		(223)
Total net derivative receivables	(4,993)		831		(c)	972		(2,883)				607		291		(210)			(5,385)		(99)		(c)
Available-for-sale securities:
Corporate debt securities	—		—			95		—				—		—		—			95		—
Total available-for-sale securities	—		—			95		—				—		—		—			95		—
Loans	2,305		(79)		(c)	516		(326)				(699)		1,027		(673)			2,071		(92)		(c)
Mortgage servicing rights	3,276		258		(d)	2,410		(23)				(570)		—		—			5,351		258		(d)
Other assets	538		9		(c)	10		(18)				(217)		—		(1)			321		22		(c)
	Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2021 (in millions)	Fair value at January 1, 2021		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at September 30, 2021			Change in unrealized (gains)/losses related to financial instruments held at September 30, 2021
						Purchases		Sales		Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	2,913	$	(67)	(c)(e)	$	—	$	—	$	252	$	(360)	$	2	$	(363)		$	2,377	$	(60)	(c)(e)
Short-term borrowings	2,420		(1,095)		(c)(e)	—		—		5,479		(4,333)		9		(69)			2,411		(117)		(c)(e)
Trading liabilities – debt and equity instruments	51		(6)		(c)	(100)		36		—		—		62		(13)			30		(2)		(c)
Accounts payable and other liabilities	68		(10)		(c)	—		1		—		—		—		(8)			51		(9)		(c)
Long-term debt	23,397		190		(c)(e)	—		—		9,884		(9,250)		29		(736)			23,514		48		(c)(e)

	Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2020 (in millions)	Fair value at Jan 1, 2020		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at September 30, 2020			Change in unrealized gains/(losses) related to financial instruments held at September 30, 2020
						Purchases(f)		Sales				Settlements(g)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	797	$	(153)		$	134	$	(149)			$	(122)	$	—	$	—		$	507	$	(140)
Residential – nonagency	23		(1)			12		(4)				(2)		—		(3)			25		2
Commercial – nonagency	4		—			1		—				(1)		1		(3)			2		4
Total mortgage-backed securities	824		(154)			147		(153)				(125)		1		(6)			534		(134)
Obligations of U.S. states and municipalities	10		—			—		(1)				(1)		—		—			8		—
Non-U.S. government debt securities	155		10			164		(148)				(7)		—		(9)			165		7
Corporate debt securities	558		(10)			475		(131)				(234)		296		(305)			649		13
Loans	673		(72)			829		(400)				(130)		676		(846)			730		(35)
Asset-backed securities	37		(4)			42		(36)				(5)		9		(10)			33		(1)
Total debt instruments	2,257		(230)			1,657		(869)				(502)		982		(1,176)			2,119		(150)
Equity securities	196		(79)			37		(109)				—		259		(118)			186		(40)
Other	232		239			213		(9)				(23)		4		(3)			653		263
Total trading assets – debt and equity instruments	2,685		(70)		(c)	1,907		(987)				(525)		1,245		(1,297)			2,958		73		(c)
Net derivative receivables:(b)
Interest rate	(332)		2,052			102		(97)				(1,510)		(317)		130			28		290
Credit	(139)		—			70		(150)				137		59		(26)			(49)		24
Foreign exchange	(607)		(214)			46		(16)				75		15		25			(676)		(181)
Equity	(3,395)		564			912		(1,473)				558		(524)		255			(3,103)		1,342
Commodity	(16)		(248)			22		(107)				54		(306)		(20)			(621)		363
Total net derivative receivables	(4,489)		2,154		(c)	1,152		(1,843)				(686)		(1,073)		364			(4,421)		1,838		(c)
Available-for-sale securities:
Mortgage-backed securities	1		—			—		—				(1)		—		—			—		—
Total available-for-sale securities	1		—			—		—				(1)		—		—			—		—
Loans	516		(195)		(c)	450		(77)				(678)		2,312		(522)			1,806		(147)		(c)
Mortgage servicing rights	4,699		(1,459)		(d)	663		(177)				(710)		—		—			3,016		(1,459)		(d)
Other assets	917		(56)		(c)	66		(28)				(281)		40		—			658		4		(c)
	Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2020 (in millions)	Fair value at Jan 1, 2020		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at September 30, 2020			Change in unrealized (gains)/losses related to financial instruments held at September 30, 2020
						Purchases		Sales		Issuances		Settlements(g)
Liabilities:(a)
Deposits	$	3,360	$	88	(c)(e)	$	—	$	—	$	636	$	(538)	$	265	$	(755)		$	3,056	$	137	(c)(e)
Short-term borrowings	1,674		(294)		(c)(e)	—		—		3,961		(2,769)		77		(41)			2,608		(27)		(c)(e)
Trading liabilities – debt and equity instruments	41		1		(c)	(81)		12		—		(4)		96		(8)			57		—
Accounts payable and other liabilities	45		(1)		(c)	(85)		37		—		—		48		—			44		1		(c)
Long-term debt	23,339		(639)		(c)(e)	—		—		7,432		(7,851)		1,056		(1,121)			22,216		(507)		(c)(e)

(a)Level 3 assets at fair value as a percentage of total Firm assets at fair value (including assets measured at fair value on a nonrecurring basis) were 2% and 1% at September 30, 2021 and December 31, 2020, respectively. Level 3 liabilities at fair value as a percentage of total Firm liabilities at fair value (including liabilities measured at fair value on a nonrecurring basis) were 8% and 9% at September 30, 2021 and December 31, 2020, respectively.

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

(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)Changes in fair value for MSRs are reported in mortgage fees and related income.

(e)Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue, and were not material for the three and nine months ended September 30, 2021 and 2020. Unrealized (gains)/losses are reported in OCI, and were $318 million and $120 million for the three months ended September 30, 2021 and 2020, respectively, and $300 million and $(78) million for the nine months ended September 30, 2021 and 2020, respectively.

(f)Loan originations are included in purchases.

(g)Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, deconsolidations associated with beneficial interests in VIEs and other items.

Level 3 analysis

Consolidated balance sheets changes

The following describes significant changes to level 3 assets since December 31, 2020, for those items measured at fair value on a recurring basis. Refer to Assets and liabilities measured at fair value on a nonrecurring basis on page 109 for further information on changes impacting items measured at fair value on a nonrecurring basis.

Three and nine months ended September 30, 2021

Level 3 assets were $17.1 billion at September 30, 2021, reflecting an increase of $1.2 billion from June 30, 2021 and an increase of $697 million from December 31, 2020.

The increase for the three months ended September 30, 2021 was largely driven by an $802 million increase in MSRs.

The increase for the nine months ended September 30, 2021 was predominantly driven by:

•a $2.1 billion increase in MSRs.

partially offset by

•$444 million decrease in gross interest rate derivative receivables due to settlements net of gains and $443 million decrease in gross equity derivative receivables due to settlements and transfers net of gains.

Refer to Note 14 for information on MSRs.

Refer to the sections below for additional information.

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

For the three months ended September 30, 2021, there were no significant transfers from level 2 into level 3.

For the nine months ended September 30, 2021, significant transfers from level 2 into level 3 included the following:

•$882 million of total debt and equity instruments, largely trading loans, driven by a decrease in observability.

•$937 million of gross equity derivative receivables and $704 million of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.

•$1.0 billion of non-trading loans driven by a decrease in observability.

For the three months ended September 30, 2021, there were no significant transfers from level 3 into level 2.

For the nine months ended September 30, 2021, significant transfers from level 3 into level 2 included the following:

•$1.1 billion of total debt and equity instruments, largely trading loans, driven by an increase in observability.

•$1.7 billion of gross equity derivative receivables and $1.6 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

•$673 million of non-trading loans, driven by an increase in observability.

•$736 million of long-term debt driven, by an increase in observability and a decrease in the significance of unobservable inputs for certain structured notes.

For the three months ended September 30, 2020, there were no significant transfers from level 2 into level 3.

For the nine months ended September 30, 2020, significant transfers from level 2 into level 3 included the following:

•$2.2 billion of gross equity derivative receivables and $2.7 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.

•$2.3 billion of non-trading loans, driven by a decrease in observability.

•$1.1 billion of long-term debt, driven by a decrease in observability and an increase in the significance of unobservable inputs for certain structured notes.

For the three months ended September 30, 2020, significant transfers from level 3 into level 2 included the following:

•$965 million of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

For the nine months ended September 30, 2020, significant transfers from level 3 into level 2 included the following:

•$1.7 billion of gross equity derivative receivables and $1.9 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

•$1.1 billion of long-term debt driven by an increase in observability and a decrease in the significance of unobservable inputs for certain structured notes.

All transfers are based on changes in the observability and/or significance of the valuation inputs and are assumed to occur at the beginning of the quarterly reporting period in which they occur.

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. These amounts exclude any effects of the Firm’s risk management activities where the financial instruments are classified as level 1 and 2 of the fair value hierarchy. Refer to Changes in level 3 recurring fair value measurements rollforward tables on pages 102-108 for further information on these instruments.

Three months ended September 30, 2021

•$1.3 billion of net gains on assets, driven by gains in net interest rate derivative receivables and net equity derivative receivables due to market movements.

•$928 million of net gains on liabilities, largely driven by gains in short-term borrowings due to market movements.

Three months ended September 30, 2020

•$744 million of net losses on assets, driven by market movements in net equity derivative receivables.

•$763 million of net losses on liabilities, driven by market movements in long-term debt.

Nine months ended September 30, 2021

•$1.0 billion of net gains on assets, driven by gains in net interest rate derivative receivables due to market movements, partially offset by losses in net commodity derivative receivables due to market movements.

•$988 million of net gains on liabilities, driven by gains in short-term borrowings due to market movements.

Nine months ended September 30, 2020

•$374 million of net gains on assets, driven by gains in net interest rate derivative receivables due to market movements largely offset by losses in MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 14 for additional information on MSRs.

•$845 million of net gains on liabilities, predominantly driven by market movements in long-term debt.

Credit and funding adjustments — derivatives

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)	2021		2020		2021		2020
Credit and funding adjustments:
Derivatives CVA	$	60	$	144	$	343	$	(574)
Derivatives FVA	38		109		99		(236)

Refer to Note 2 of JPMorgan Chase’s 2020 Form 10-K for further information about both credit and funding adjustments, as well as information about valuation adjustments on fair value option elected liabilities.

Assets and liabilities measured at fair value on a nonrecurring basis

The following tables present the assets and liabilities held as of September 30, 2021 and 2020, for which nonrecurring fair value adjustments were recorded during the nine months ended September 30, 2021 and 2020, by major product category and fair value hierarchy.

	Fair value hierarchy							Total fair value
September 30, 2021 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	1,175	$	314	(b)	$	1,489
Other assets(a)	—		7		1,202			1,209
Total assets measured at fair value on a nonrecurring basis	$	—	$	1,182	$	1,516		$	2,698
Accounts payable and other liabilities	—		—		2			2
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	2		$	2

	Fair value hierarchy						Total fair value
September 30, 2020 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	1,714	$	788	$	2,502
Other assets	—		11		945		956
Total assets measured at fair value on a nonrecurring basis	$	—	$	1,725	$	1,733	$	3,458
Accounts payable and other liabilities	—		—		3		3
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	3	$	3

(a)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). Of the $1.2 billion in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2021, $1.1 billion related to equity securities adjusted based on the measurement alternative. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.

(b)Of the $314 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2021, $208 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans). These amounts are classified as level 3 as they are valued using information from broker’s price opinions, appraisals and automated valuation models and discounted based upon the Firm’s experience with actual liquidation values. These discounts ranged from 12% to 45% with a weighted average of 25%.

Nonrecurring fair value changes

The following table presents the total change in value of assets and liabilities for which fair value adjustments have been recognized for the three and nine months ended September 30, 2021 and 2020, related to assets and liabilities held at those dates.

	Three months ended September 30,				Nine months ended September 30,
(in millions)	2021		2020		2021		2020
Loans	$	(10)	$	(35)	$	(40)	$	(318)
Other assets(a)	84		(363)		177		(539)
Accounts payable and other liabilities	—		92		6		(3)
Total nonrecurring fair value gains/(losses)	$	74	$	(306)	$	143	$	(860)

(a)Included $90 million and $2 million for the three months ended September 30, 2021 and 2020, respectively, and $197 million and $(155) million for the nine months ended September 30, 2021 and 2020, respectively, of net gains/(losses) as a result of the measurement alternative.

Refer to Note 11 for further information about the measurement of collateral-dependent loans.

Equity securities without readily determinable fair values

The Firm measures certain equity securities without readily determinable fair values at cost less impairment (if any), plus or minus observable price changes from an identical or similar investment of the same issuer, with such changes recognized in other income.

In its determination of the new carrying values upon observable price changes, the Firm may adjust the prices if deemed necessary to arrive at the Firm’s estimated fair values. Such adjustments may include adjustments to reflect the different rights and obligations of similar securities, and other adjustments that are consistent with the Firm’s valuation techniques for private equity direct investments.

The following table presents the carrying value of equity securities without readily determinable fair values held as of September 30, 2021 and 2020, 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.

	Three months ended				Nine months ended
	September 30				September 30
As of or for the period ended,
(in millions)	2021		2020		2021		2020
Other assets
Carrying value(a)	$	3,207	$	2,329	$	3,207	$	2,329
Upward carrying value changes(b)	100		36		216		49
Downward carrying value changes/impairment(c)	(10)		(34)		(18)		(204)

(a)The carrying value as of December 31, 2020 was $2.4 billion. The period-end carrying values reflect cumulative purchases and sales in addition to upward and downward carrying value changes.

(b)The cumulative upward carrying value changes between January 1, 2018 and September 30, 2021 were $826 million.

(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and September 30, 2021 were $(335) million.

Included in other assets above is the Firm’s interest in approximately 40 million Visa Class B common shares, recorded at a nominal carrying value. These shares are subject to certain transfer restrictions currently and will be convertible into Visa Class A common shares upon final resolution of certain litigation matters involving Visa. The conversion rate of Visa Class B common shares into Visa Class A common shares is 1.6228 at September 30, 2021, and may be adjusted by Visa depending on developments related to the litigation matters.

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, by fair value hierarchy classification, the carrying values and estimated fair values at September 30, 2021, and December 31, 2020, 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.

	September 30, 2021										December 31, 2020
			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	$	25.9	$	25.9	$	—	$	—	$	25.9	$	24.9	$	24.9	$	—	$	—	$	24.9
Deposits with banks	734.0		734.0		—		—		734.0		502.7		502.7		—		—		502.7
Accrued interest and accounts receivable	115.7		—		115.6		0.1		115.7		89.4		—		89.3		0.1		89.4
Federal funds sold and securities purchased under resale agreements	9.0		—		9.0		—		9.0		58.3		—		58.3		—		58.3
Securities borrowed	130.2		—		130.2		—		130.2		107.7		—		107.7		—		107.7
Investment securities, held-to-maturity	343.5		181.3		163.1		—		344.4		201.8		53.2		152.3		—		205.5
Loans, net of allowance for loan losses(a)	965.8		—		203.2		781.7		984.9		940.1		—		210.9		755.6		966.5
Other	98.0		—		96.7		1.4		98.1		81.8		—		80.0		1.9		81.9
Financial liabilities
Deposits	$	2,390.5	$	—	$	2,390.6	$	—	$	2,390.6	$	2,129.8	$	—	$	2,128.9	$	—	$	2,128.9
Federal funds purchased and securities loaned or sold under repurchase agreements	67.5		—		67.5		—		67.5		59.5		—		59.5		—		59.5
Short-term borrowings	30.4		—		30.4		—		30.4		28.3		—		28.3		—		28.3
Accounts payable and other liabilities	228.6		—		224.0		4.2		228.2		186.6		—		181.9		4.3		186.2
Beneficial interests issued by consolidated VIEs	13.2		—		13.2		—		13.2		17.5		—		17.6		—		17.6
Long-term debt	221.9		—		225.6		3.3		228.9		204.8		—		209.2		3.2		212.4

(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. Carrying value of the loan takes into account the loan’s allowance for loan losses, which represents the loan’s expected credit losses over its remaining expected life. The difference between the estimated fair value and carrying value of a loan is generally attributable to changes in market interest rates, including credit spreads, market liquidity premiums and other factors that affect the fair value of a loan but do not affect its carrying value.

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 and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.

	September 30, 2021										December 31, 2020
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value(a) (b)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a) (b)		Level 1		Level 2		Level 3		Total estimated fair value
Wholesale lending-related commitments	$	2.1	$	—	$	—	$	3.1	$	3.1	$	2.2	$	—	$	—	$	2.1	$	2.1

(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.

(b)Includes the wholesale allowance for lending-related commitments.

The Firm does not estimate the fair value of consumer off-balance sheet 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. Refer to page 173 of JPMorgan Chase’s 2020 Form 10-K for a further discussion of the valuation of lending-related commitments.