Fair Value Measurement

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Fair Value Measurement

Fair value measurement Refer to Note 2 of JPMorgan Chase’s 2021 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 March 31, 2022, and December 31, 2021, 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)
March 31, 2022 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	298,339	$	—	$	—	$	298,339
Securities borrowed	—		87,276		—		—		87,276
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		40,328		286		—		40,614
Residential – nonagency	—		2,301		10		—		2,311
Commercial – nonagency	—		1,695		10		—		1,705
Total mortgage-backed securities	—		44,324		306		—		44,630
U.S. Treasury, GSEs and government agencies(a)	70,115		9,120		—		—		79,235
Obligations of U.S. states and municipalities	—		7,067		7		—		7,074
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,813		—		—		2,813
Non-U.S. government debt securities	39,150		48,129		133		—		87,412
Corporate debt securities	—		29,315		293		—		29,608
Loans	—		6,904		1,049		—		7,953
Asset-backed securities	—		3,117		28		—		3,145
Total debt instruments	109,265		150,789		1,816		—		261,870
Equity securities	125,057		1,248		663		—		126,968
Physical commodities(b)	7,574		17,815		—		—		25,389
Other	—		23,445		175		—		23,620
Total debt and equity instruments(c)	241,896		193,297		2,654		—		437,847
Derivative receivables:
Interest rate	7,352		251,399		3,058		(238,491)		23,318
Credit	—		12,027		578		(11,230)		1,375
Foreign exchange	268		209,463		1,114		(191,342)		19,503
Equity	—		68,876		3,994		(64,228)		8,642
Commodity	—		56,871		651		(36,724)		20,798
Total derivative receivables	7,620		598,636		9,395		(542,015)		73,636
Total trading assets(d)	249,516		791,933		12,049		(542,015)		511,483
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		89,900		—		—		89,900
Residential – nonagency	—		5,515		—		—		5,515
Commercial – nonagency	—		4,905		—		—		4,905
Total mortgage-backed securities	—		100,320		—		—		100,320
U.S. Treasury and government agencies	165,962		—		—		—		165,962
Obligations of U.S. states and municipalities	—		14,786		—		—		14,786
Non-U.S. government debt securities	5,507		10,794		—		—		16,301
Corporate debt securities	—		151		205		—		356
Asset-backed securities:
Collateralized loan obligations	—		10,473		—		—		10,473
Other	—		4,677		—		—		4,677
Total available-for-sale securities	171,469		141,201		205		—		312,875
Loans (e)	—		46,391		2,072		—		48,463
Mortgage servicing rights	—		—		7,294		—		7,294
Other assets(d)	9,020		6,371		341		—		15,732
Total assets measured at fair value on a recurring basis	$	430,005	$	1,371,511	$	21,961	$	(542,015)	$	1,281,462
Deposits	$	—	$	8,322	$	2,121	$	—	$	10,443
Federal funds purchased and securities loaned or sold under repurchase agreements	—		146,112		—		—		146,112
Short-term borrowings	—		17,052		2,146		—		19,198
Trading liabilities:
Debt and equity instruments(c)	108,958		35,281		41		—		144,280
Derivative payables:
Interest rate	5,344		228,527		2,691		(225,032)		11,530
Credit	—		11,317		534		(11,052)		799
Foreign exchange	292		207,398		1,038		(193,067)		15,661
Equity	—		74,450		6,577		(65,210)		15,817
Commodity	—		52,611		1,065		(39,680)		13,996
Total derivative payables	5,636		574,303		11,905		(534,041)		57,803
Total trading liabilities	114,594		609,584		11,946		(534,041)		202,083
Accounts payable and other liabilities	4,903		3,008		108		—		8,019
Beneficial interests issued by consolidated VIEs	—		11		—		—		11
Long-term debt	—		46,310		24,394		—		70,704
Total liabilities measured at fair value on a recurring basis	$	119,497	$	830,399	$	40,715	$	(534,041)	$	456,570

	Fair value hierarchy						Derivative netting adjustments(f)
December 31, 2021 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	252,720	$	—	$	—	$	252,720
Securities borrowed	—		81,463		—		—		81,463
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		38,944		265		—		39,209
Residential – nonagency	—		2,358		28		—		2,386
Commercial – nonagency	—		1,506		10		—		1,516
Total mortgage-backed securities	—		42,808		303		—		43,111
U.S. Treasury, GSEs and government agencies(a)	68,527		9,181		—		—		77,708
Obligations of U.S. states and municipalities	—		7,068		7		—		7,075
Certificates of deposit, bankers’ acceptances and commercial paper	—		852		—		—		852
Non-U.S. government debt securities	26,982		44,581		81		—		71,644
Corporate debt securities	—		24,491		332		—		24,823
Loans	—		7,366		708		—		8,074
Asset-backed securities	—		2,668		26		—		2,694
Total debt instruments	95,509		139,015		1,457		—		235,981
Equity securities	86,904		1,741		662		—		89,307
Physical commodities(b)	5,357		20,788		—		—		26,145
Other	—		24,850		160		—		25,010
Total debt and equity instruments(c)	187,770		186,394		2,279		—		376,443
Derivative receivables:
Interest rate	1,072		267,493		2,020		(248,611)		21,974
Credit	—		9,321		518		(8,808)		1,031
Foreign exchange	134		168,590		855		(156,954)		12,625
Equity	—		65,139		3,492		(58,650)		9,981
Commodity	—		26,232		421		(15,183)		11,470
Total derivative receivables	1,206		536,775		7,306		(488,206)		57,081
Total trading assets(d)	188,976		723,169		9,585		(488,206)		433,524
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	4		72,539		—		—		72,543
Residential – nonagency	—		6,070		—		—		6,070
Commercial – nonagency	—		4,949		—		—		4,949
Total mortgage-backed securities	4		83,558		—		—		83,562
U.S. Treasury and government agencies	177,463		—		—		—		177,463
Obligations of U.S. states and municipalities	—		15,860		—		—		15,860
Non-U.S. government debt securities	5,430		10,779		—		—		16,209
Corporate debt securities	—		160		161		—		321
Asset-backed securities:
Collateralized loan obligations	—		9,662		—		—		9,662
Other	—		5,448		—		—		5,448
Total available-for-sale securities	182,897		125,467		161		—		308,525
Loans(e)	—		56,887		1,933		—		58,820
Mortgage servicing rights	—		—		5,494		—		5,494
Other assets(d)	9,558		4,139		306		—		14,003
Total assets measured at fair value on a recurring basis	$	381,431	$	1,243,845	$	17,479	$	(488,206)	$	1,154,549
Deposits	$	—	$	9,016	$	2,317	$	—	$	11,333
Federal funds purchased and securities loaned or sold under repurchase agreements	—		126,435		—		—		126,435
Short-term borrowings	—		17,534		2,481		—		20,015
Trading liabilities:
Debt and equity instruments(c)	87,831		26,716		30		—		114,577
Derivative payables:
Interest rate	981		237,714		2,036		(232,537)		8,194
Credit	—		10,468		444		(10,032)		880
Foreign exchange	123		174,349		1,274		(161,649)		14,097
Equity	—		72,609		7,118		(62,494)		17,233
Commodity	—		26,600		1,328		(18,216)		9,712
Total derivative payables	1,104		521,740		12,200		(484,928)		50,116
Total trading liabilities	88,935		548,456		12,230		(484,928)		164,693
Accounts payable and other liabilities	5,115		467		69		—		5,651
Beneficial interests issued by consolidated VIEs	—		12		—		—		12
Long-term debt	—		50,560		24,374		—		74,934
Total liabilities measured at fair value on a recurring basis	$	94,050	$	752,480	$	41,471	$	(484,928)	$	403,073

(a)At March 31, 2022, and December 31, 2021, included total U.S. GSE obligations of $72.8 billion and $73.9 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 March 31, 2022, and December 31, 2021, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $845 million and $801 million, respectively. Included in these balances at March 31, 2022, and December 31, 2021, were trading assets of $45 million and $51 million, respectively, and other assets of $800 million and $750 million, respectively.

(e)At March 31, 2022, and December 31, 2021, included $15.1 billion and $26.2 billion, respectively, of residential first-lien mortgages, and $9.3 billion and $8.2 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 $5.0 billion and $13.6 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.

Level 3 valuations

Refer to Note 2 of JPMorgan Chase’s 2021 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)
March 31, 2022
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)	$	1,283	Discounted cash flows	Yield	0%	–	27%		5%
				Prepayment speed	0%	–	15%		13%
				Conditional default rate	0%	–	2%		0%
				Loss severity	0%	–	107%		3%
Commercial mortgage-backed securities and loans(c)	395		Market comparables	Price	$0	–	$102		$86
Corporate debt securities	498		Market comparables	Price	$0	–	$233		$95
Loans(d)	1,749		Market comparables	Price	$0	–	$109		$85
Non-U.S. government debt securities	133		Market comparables	Price	$5	–	$101		$87
Net interest rate derivatives	360		Option pricing	Interest rate volatility	11 bps	–	573 bps		118 bps
				Interest rate spread volatility	11 bps	–	23 bps		15 bps
				Interest rate correlation	(91)%	–	99%		18%
				IR-FX correlation	(35)%	–	65%		4%
	7		Discounted cash flows	Prepayment speed	0%	–	30%		6%
Net credit derivatives	(4)		Discounted cash flows	Credit correlation	30%	–	65%		47%
				Credit spread	1 bps	–	3,827 bps		429 bps
				Recovery rate	25%	–	70%		49%
	48		Market comparables	Price	$0	–	$115		$80
Net foreign exchange derivatives	172		Option pricing	IR-FX correlation	(40)%	–	65%		17%
	(96)		Discounted cash flows	Prepayment speed	9%				9%
				Interest rate curve	1%	–	29%		10%
Net equity derivatives	(2,583)		Option pricing	Forward equity price(h)	67%	–	131%		99%
				Equity volatility	4%	–	131%		33%
				Equity correlation	17%	–	100%		55%
				Equity-FX correlation	(77)%	–	59%		(27)%
				Equity-IR correlation	15%	–	50%		29%
Net commodity derivatives	(414)		Option pricing	Oil Commodity Forward	$85 / BBL	–	$96 / BBL		$91 / BBL
				Industrial metals commodity forward	$3,363 / MT	–	$4,242 / MT		$3,803 / MT
				Commodity volatility	4%	–	320%		162%
				Commodity correlation	(50)%	–	98%		24%
MSRs	7,294		Discounted cash flows	Refer to Note 14
Long-term debt, short-term borrowings, and deposits(e)	27,612		Option pricing	Interest rate volatility	11 bps	–	573 bps		118 bps
				Interest rate correlation	(91)%	–	99%		18%
				IR-FX correlation	(35)%	–	65%		4%
				Equity correlation	17%	–	100%		55%
				Equity-FX correlation	(77)%	–	59%		(27)%
				Equity-IR correlation	15%	–	50%		29%
	1,049		Discounted cash flows	Credit correlation	30%	–	65%		47%
Other level 3 assets and liabilities, net(f)	1,065

(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 $286 million, nonagency securities of $10 million and non-trading loans of $987 million.

(c)Comprises nonagency securities of $10 million, trading loans of $40 million and non-trading loans of $345 million.

(d)Comprises trading loans of $1.0 billion and non-trading loans of $740 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 $850 million including $187 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 2021 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 months ended March 31, 2022 and 2021. 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 March 31, 2022 (in millions)	Fair value at   Jan 1, 2022		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2022			Change in unrealized gains/(losses) related to financial instruments held at March 31, 2022
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	265	$	27		$	22	$	(7)			$	(21)	$	—	$	—		$	286	$	26
Residential – nonagency	28		—			—		—				(11)		—		(7)			10		—
Commercial – nonagency	10		—			—		—				—		—		—			10		—
Total mortgage-backed securities	303		27			22		(7)				(32)		—		(7)			306		26
Obligations of U.S. states and municipalities	7		—			—		—				—		—		—			7		—
Non-U.S. government debt securities	81		(33)			228		(180)				—		37		—			133		(33)
Corporate debt securities	332		(19)			61		(59)				(37)		41		(26)			293		(20)
Loans	708		(4)			297		(98)				(7)		271		(118)			1,049		(4)
Asset-backed securities	26		—			1		—				—		4		(3)			28		—
Total debt instruments	1,457		(29)			609		(344)				(76)		353		(154)			1,816		(31)
Equity securities	662		(813)			223		(240)				—		853		(22)			663		(760)
Other	160		1			20		—				(5)		—		(1)			175		16
Total trading assets – debt and equity instruments	2,279		(841)		(c)	852		(584)				(81)		1,206		(177)			2,654		(775)		(c)
Net derivative receivables:(b)
Interest rate	(16)		233			126		(94)				151		(27)		(6)			367		422
Credit	74		67			4		(4)				(96)		(3)		2			44		66
Foreign exchange	(419)		345			132		(24)				70		(6)		(22)			76		364
Equity	(3,626)		730			498		(559)				443		(331)		262			(2,583)		838
Commodity	(907)		422			50		(137)				156		—		2			(414)		467
Total net derivative receivables	(4,894)		1,797		(c)	810		(818)				724		(367)		238			(2,510)		2,157		(c)
Available-for-sale securities:
Mortgage-backed securities	—		—			—		—				—		—		—			—		—
Corporate debt securities	161		27			17		—				—		—		—			205		27
Total available-for-sale securities	161		27		(d)	17		—				—		—		—			205		27		(d)
Loans	1,933		98		(c)	121		(5)				(281)		390		(184)			2,072		156		(c)
Mortgage servicing rights	5,494		959		(e)	1,130		(57)				(232)		—		—			7,294		959		(e)
Other assets	306		9		(c)	41		—				(17)		2		—			341		9		(c)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2022 (in millions)	Fair value at   Jan 1, 2022		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2022			Change in unrealized (gains)/losses related to financial instruments held at March 31, 2022
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,317	$	(142)	(c)(f)	$	—	$	—	$	108	$	(48)	$	—	$	(114)		$	2,121	$	(143)	(c)(f)
Short-term borrowings	2,481		(401)		(c)(f)	—		—		1,423		(1,347)		1		(11)			2,146		(153)		(c)(f)
Trading liabilities – debt and equity instruments	30		(17)		(c)	(14)		30		—		—		14		(2)			41		31		(c)
Accounts payable and other liabilities	69		(4)		(c)	—		42		—		—		1		—			108		(4)		(c)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—		—		—		—			—		—
Long-term debt	24,374		(1,668)		(c)(f)	—		—		4,050		(2,476)		263		(149)			24,394		(1,575)		(c)(f)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2021 (in millions)	Fair value at Jan 1, 2021		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2021			Change in unrealized gains/(losses) related to financial instruments held at March 31, 2021
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	449	$	23		$	6	$	(48)			$	(33)			$	—		$	397	$	22
Residential – nonagency	28		1			9		(3)				(2)				(1)			32		—
Commercial – nonagency	3		—			—		(1)				—				—			2		—
Total mortgage-backed securities	480		24			15		(52)				(35)		—		(1)			431		22
Obligations of U.S. states and municipalities	8		—			—		—				—		—		—			8		—
Non-U.S. government debt securities	182		(9)			118		(107)				(7)		—		—			177		(9)
Corporate debt securities	507		(15)			91		(146)				—		85		(152)			370		(14)
Loans	893		7			272		(152)				(1)		90		(277)			832		8
Asset-backed securities	28		(1)			28		(3)				—		2		—			54		(1)
Total debt instruments	2,098		6			524		(460)				(43)		177		(430)			1,872		6
Equity securities	476		(5)			230		(43)				—		54		(24)			688		3
Other	49		41			65		—				(29)		—		(4)			122		36
Total trading assets – debt and equity instruments	2,623		42		(c)	819		(503)				(72)		231		(458)			2,682		45		(c)
Net derivative receivables:(b)
Interest rate	258		445			53		(93)				(534)		57		(37)			149		313
Credit	(224)		183			1		(2)				27		(3)		14			(4)		168
Foreign exchange	(434)		(200)			2		(6)				111		10		(22)			(539)		(214)
Equity	(3,862)		23			194		(838)				126		110		413			(3,834)		(213)
Commodity	(731)		(246)			4		(213)				279		(1)		(3)			(911)		(145)
Total net derivative receivables	(4,993)		205		(c)	254		(1,152)				9		173		365			(5,139)		(91)		(c)
Available-for-sale securities:
Mortgage-backed securities	—		—			—		—				—		—		—			—		—
Corporate debt securities	—		—			—		—				—		—		—			—		—
Total available-for-sale securities	—		—		(d)	—		—				—		—		—			—		—		(d)
Loans	2,305		(73)		(c)	67		(190)				(201)		155		(240)			1,823		(112)		(c)
Mortgage servicing rights	3,276		797		(e)	583		1				(187)		—		—			4,470		797		(e)
Other assets	538		13		(c)	3		(18)				(25)		—		—			511		12		(c)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2021 (in millions)	Fair value at Jan 1, 2021		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at March 31, 2021			Change in unrealized (gains)/losses related to financial instruments held at March 31, 2021
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,913	$	(103)	(c)(f)	$	—	$	—	$	69	$	(95)	$	1	$	(133)		$	2,652	$	(105)	(c)(f)
Short-term borrowings	2,420		(113)		(c)(f)	—		—		2,918		(1,506)		—		(55)			3,664		(27)		(c)(f)
Trading liabilities – debt and equity instruments	51		(3)		(c)	(65)		21		—		—		59		(3)			60		—
Accounts payable and other liabilities	68		(1)		(c)	—		1		—		—		—		(7)			61		(1)		(c)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—		—		—		—			—		—
Long-term debt	23,397		(308)		(c)(f)	—		—		3,465		(3,649)		11		(341)			22,575		(324)		(c)(f)

(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 2% at March 31, 2022 and December 31, 2021, 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 9% and 10% at March 31, 2022 and December 31, 2021, 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)Realized gains/(losses) on AFS securities are reported in investment securities gains/(losses). Unrealized gains/(losses) are reported in OCI. There were no realized gains/(losses) recorded in income on AFS securities for the three months ended March 31, 2022 and 2021, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $27 million and zero for the three months ended March 31, 2022 and 2021, respectively.

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

(f)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 months ended March 31, 2022 and 2021. Unrealized (gains)/losses are reported in OCI, and were $(229) million and $(22) million for the three months ended March 31, 2022 and 2021, respectively.

(g)Loan originations are included in purchases.

(h)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, 2021, 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 95 for further information on changes impacting items measured at fair value on a nonrecurring basis.

Three months ended March 31, 2022

Level 3 assets were $22.0 billion at March 31, 2022, reflecting an increase of $4.5 billion from December 31, 2021.

The increase for the three months ended March 31, 2022 was largely driven by:

•$1.0 billion increase in gross interest rate derivative receivables due to gains.

•$1.8 billion increase in MSRs.

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 March 31, 2022, significant transfers from level 2 into level 3 included the following:

•$1.2 billion of total debt and equity instruments, largely due to equity securities of $853 million driven by a decrease in observability as a result of restricted access to certain markets.

For the three months ended March 31, 2022, there were no significant transfers from level 3 into level 2.

For the three months ended March 31, 2021, there were no significant transfers from level 2 into level 3 or from level 3 into level 2.

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 91-94 for further information on these instruments.

Three months ended March 31, 2022

•$2.0 billion of net gains on assets, predominantly driven by gains in net equity derivative receivables due to market movements and MSRs reflecting lower prepayment speeds on higher rates.

•$2.2 billion of net gains on liabilities, largely driven by gains in long-term debt due to market movements.

Three months ended March 31, 2021

•$984 million of net gains on assets, driven by MSRs reflecting lower prepayment speeds on higher rates.

•$528 million of net gains on liabilities, largely driven by market movements in long-term debt.

Refer to Note 14 for additional information on MSRs.

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 March 31,
(in millions)	2022		2021
Credit and funding adjustments:
Derivatives CVA	$	(312)	$	240
Derivatives FVA	(58)		105

Refer to Note 2 of JPMorgan Chase’s 2021 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 March 31, 2022 and 2021, for which nonrecurring fair value adjustments were recorded during the three months ended March 31, 2022 and 2021, by major product category and fair value hierarchy.

	Fair value hierarchy							Total fair value
March 31, 2022 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	874	$	417	(b)	$	1,291
Other assets(a)	—		15		802			817
Total assets measured at fair value on a nonrecurring basis	$	—	$	889	$	1,219		$	2,108
Accounts payable and other liabilities	—		—		28			28
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	28		$	28

	Fair value hierarchy						Total fair value
March 31, 2021 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	1,857	$	303	$	2,160
Other assets	—		12		370		382
Total assets measured at fair value on a nonrecurring basis	$	—	$	1,869	$	673	$	2,542
Accounts payable and other liabilities	—		—		14		14
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	14	$	14

(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 $802 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2022, $754 million 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 $417 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2022, $34 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 13% to 51% with a weighted average of 24%.

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 months ended March 31, 2022 and 2021, related to assets and liabilities held at those dates.

	Three months ended March 31,
(in millions)	2022		2021
Loans	$	(18)	$	(33)
Other assets(a)	360		2
Accounts payable and other liabilities	(24)		(3)
Total nonrecurring fair value gains/(losses)	$	318	$	(34)

(a)Included $376 million and $6 million for the three months ended March 31, 2022 and 2021, 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 (i.e., measurement alternative), 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 March 31, 2022 and 2021, 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
	March 31
As of or for the period ended,
(in millions)	2022		2021
Other assets
Carrying value(a)	$	4,131	$	2,302
Upward carrying value changes(b)	387		7
Downward carrying value changes/impairment(c)	(11)		(1)

(a)The carrying value as of December 31, 2021 was $3.6 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 March 31, 2022 were $1.4 billion.

(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and March 31, 2022 were $(380) 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 1.6181 at March 31, 2022, 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 March 31, 2022, and December 31, 2021, 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.

	March 31, 2022										December 31, 2021
			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	$	26.2	$	26.2	$	—	$	—	$	26.2	$	26.4	$	26.4	$	—	$	—	$	26.4
Deposits with banks	728.4		728.4		—		—		728.4		714.4		714.4		—		—		714.4
Accrued interest and accounts receivable	151.4		—		151.3		0.1		151.4		102.1		—		102.0		0.1		102.1
Federal funds sold and securities purchased under resale agreements	3.5		—		3.5		—		3.5		9.0		—		9.0		—		9.0
Securities borrowed	137.6		—		137.6		—		137.6		124.6		—		124.6		—		124.6
Investment securities, held-to-maturity	366.6		177.5		173.0		—		350.5		363.7		183.3		179.3		—		362.6
Loans, net of allowance for loan losses(a)	1,007.6		—		198.9		814.4		1,013.3		1,002.5		—		202.1		821.1		1,023.2
Other	104.2		—		102.0		2.3		104.3		98.7		—		97.4		1.4		98.8
Financial liabilities
Deposits	$	2,550.8	$	—	$	2,550.8	$	—	$	2,550.8	$	2,451.0	$	—	$	2,451.0	$	—	$	2,451.0
Federal funds purchased and securities loaned or sold under repurchase agreements	77.7		—		77.7		—		77.7		67.9		—		67.9		—		67.9
Short-term borrowings	38.4		—		38.4		—		38.4		33.6		—		33.6		—		33.6
Accounts payable and other liabilities	283.6		—		278.0		5.0		283.0		217.6		—		212.1		4.9		217.0
Beneficial interests issued by consolidated VIEs	10.1		—		10.1		—		10.1		10.7		—		10.8		—		10.8
Long-term debt	222.5		—		221.7		3.1		224.8		226.0		—		229.5		3.1		232.6

(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.

	March 31, 2022										December 31, 2021
			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	$	2.3	$	—	$	—	$	2.9	$	2.9	$	2.1	$	—	$	—	$	2.9	$	2.9

(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 171 of JPMorgan Chase’s 2021 Form 10-K for a further discussion of the valuation of lending-related commitments.