Fair Value Measurement

6 Months Ended

Jun. 30, 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 June 30, 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)
June 30, 2022 (in millions)	Level 1		Level 2		Level 3				Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	319,187	$	1	$	—	$	319,188
Securities borrowed	—		73,995		—		—		73,995
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		50,166		803		—		50,969
Residential – nonagency	—		2,191		14		—		2,205
Commercial – nonagency	—		1,646		10		—		1,656
Total mortgage-backed securities	—		54,003		827		—		54,830
U.S. Treasury, GSEs and government agencies(a)	64,403		10,013		—		—		74,416
Obligations of U.S. states and municipalities	—		6,938		7		—		6,945
Certificates of deposit, bankers’ acceptances and commercial paper	—		677		—		—		677
Non-U.S. government debt securities	33,142		47,976		205		—		81,323
Corporate debt securities	—		25,943		574		—		26,517
Loans	—		6,900		898		—		7,798
Asset-backed securities	—		2,711		20		—		2,731
Total debt instruments	97,545		155,161		2,531		—		255,237
Equity securities	84,045		2,429		661		—		87,135
Physical commodities(b)	3,413		19,480		2		—		22,895
Other	—		18,861		87		—		18,948
Total debt and equity instruments(c)	185,003		195,931		3,281		—		384,215
Derivative receivables:
Interest rate	3,682		246,878		2,584		(231,214)		21,930
Credit	—		12,847		731		(11,971)		1,607
Foreign exchange	254		260,425		1,175		(233,688)		28,166
Equity	—		72,297		3,884		(66,004)		10,177
Commodity	—		48,168		581		(29,312)		19,437
Total derivative receivables	3,936		640,615		8,955		(572,189)		81,317
Total trading assets(d)	188,939		836,546		12,236		(572,189)		465,532
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		63,689		—		—		63,689
Residential – nonagency	—		5,475		—		—		5,475
Commercial – nonagency	—		2,153		—		—		2,153
Total mortgage-backed securities	—		71,317		—		—		71,317
U.S. Treasury and government agencies	109,984		—		—		—		109,984
Obligations of U.S. states and municipalities	—		10,133		—		—		10,133
Non-U.S. government debt securities	6,597		9,211		—		—		15,808
Corporate debt securities	—		133		186		—		319
Asset-backed securities:
Collateralized loan obligations	—		10,972		—		—		10,972
Other	—		3,536		—		—		3,536
Total available-for-sale securities	116,581		105,302		186		—		222,069
Loans (e)	—		45,036		2,020		—		47,056
Mortgage servicing rights	—		—		7,439		—		7,439
Other assets(d)	9,969		7,752		408		—		18,129
Total assets measured at fair value on a recurring basis	$	315,489	$	1,387,818	$	22,290	$	(572,189)	$	1,153,408
Deposits	$	—	$	11,238	$	2,032	$	—	$	13,270
Federal funds purchased and securities loaned or sold under repurchase agreements	—		156,340		—		—		156,340
Short-term borrowings	—		14,778		2,101		—		16,879
Trading liabilities:
Debt and equity instruments(c)	104,871		32,964		56		—		137,891
Derivative payables:
Interest rate	2,706		232,342		2,164		(225,687)		11,525
Credit	—		10,841		482		(10,433)		890
Foreign exchange	240		258,116		930		(240,045)		19,241
Equity	—		71,601		5,118		(66,555)		10,164
Commodity	—		42,434		555		(32,392)		10,597
Total derivative payables	2,946		615,334		9,249		(575,112)		52,417
Total trading liabilities	107,817		648,298		9,305		(575,112)		190,308
Accounts payable and other liabilities	6,752		2,928		73		—		9,753
Beneficial interests issued by consolidated VIEs	—		5		—		—		5
Long-term debt	—		42,985		23,077		—		66,062
Total liabilities measured at fair value on a recurring basis	$	114,569	$	876,572	$	36,588	$	(575,112)	$	452,617

	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 June 30, 2022, and December 31, 2021, included total U.S. GSE obligations of $70.0 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 June 30, 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 $856 million and $801 million, respectively. Included in these balances at June 30, 2022, and December 31, 2021, were trading assets of $45 million and $51 million, respectively, and other assets of $811 million and $750 million, respectively.

(e)At June 30, 2022, and December 31, 2021, included $13.5 billion and $26.2 billion, respectively, of residential first-lien mortgages, and $7.7 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 $4.4 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)
June 30, 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)	$	1,731	Discounted cash flows	Yield	3%	–	18%		6%
				Prepayment speed	2%	–	12%		9%
				Conditional default rate	0%	–	5%		0%
				Loss severity	0%	–	110%		3%
Commercial mortgage-backed securities and loans(c)	418		Market comparables	Price	$0	–	$103		$87
Corporate debt securities	760		Market comparables	Price	$0	–	$243		$94
Loans(d)	1,596		Market comparables	Price	$0	–	$356		$89
Non-U.S. government debt securities	205		Market comparables	Price	$6	–	$109		$94
Net interest rate derivatives	415		Option pricing	Interest rate volatility	22 bps	–	836 bps		141 bps
				Interest rate spread volatility	11 bps	–	23 bps		15 bps
				Interest rate correlation	(82)%	–	89%		17%
				IR-FX correlation	(35)%	–	65%		6%
	5		Discounted cash flows	Prepayment speed	0%	–	30%		7%
Net credit derivatives	227		Discounted cash flows	Credit correlation	30%	–	60%		47%
				Credit spread	1 bps	–	5,308 bps		656 bps
				Recovery rate	12%	–	67%		45%
	22		Market comparables	Price	$0	–	$115		$79
Net foreign exchange derivatives	338		Option pricing	IR-FX correlation	(40)%	–	65%		18%
	(93)		Discounted cash flows	Prepayment speed	9%				9%
				Interest rate curve	2%	–	42%		11%
Net equity derivatives	(1,234)		Option pricing	Forward equity price(h)	80%	–	138%		100%
				Equity volatility	4%	–	127%		36%
				Equity correlation	17%	–	98%		55%
				Equity-FX correlation	(77)%	–	59%		(26)%
				Equity-IR correlation	15%	–	50%		28%
Net commodity derivatives	26		Option pricing	Oil commodity forward	$128 / BBL	–	$347 / BBL		$237 / BBL
				Industrial metals commodity forward	$1,854 / MT	–	$3,313 / MT		$2,583 / MT
				Commodity volatility	4%	–	150%		77%
				Commodity correlation	(30)%	–	98%		34%
MSRs	7,439		Discounted cash flows	Refer to Note 14
Long-term debt, short-term borrowings, and deposits(e)	26,284		Option pricing	Interest rate volatility	22 bps	–	836 bps		141 bps
				Interest rate correlation	(82)%	–	89%		17%
				IR-FX correlation	(35)%	–	65%		6%
				Equity correlation	17%	–	98%		55%
				Equity-FX correlation	(77)%	–	59%		(26)%
				Equity-IR correlation	15%	–	50%		28%
	926		Discounted cash flows	Credit correlation	30%	–	60%		47%
Other level 3 assets and liabilities, net(f)	1,057

(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 $803 million, nonagency securities of $14 million and non-trading loans of $914 million.

(c)Comprises nonagency securities of $10 million, trading loans of $40 million and non-trading loans of $368 million.

(d)Comprises trading loans of $858 million and non-trading loans of $738 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 $918 million including $257 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 and six months ended June 30, 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 June 30, 2022 (in millions)	Fair value at   April 1, 2022		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at June 30, 2022			Change in unrealized gains/(losses) related to financial instruments held at June 30, 2022
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Federal funds sold and securities purchased under resale agreements	$	—	$	—		$	—	$	—			$	—	$	1	$	—		$	1	$	—
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	286	$	(1)		$	643	$	(118)			$	(7)	$	—	$	—		$	803	$	(2)
Residential – nonagency	10		—			5		—				(1)		—		—			14		—
Commercial – nonagency	10		—			—		—				—		—		—			10		—
Total mortgage-backed securities	306		(1)			648		(118)				(8)		—		—			827		(2)
Obligations of U.S. states and municipalities	7		—			—		—				—		—		—			7		—
Non-U.S. government debt securities	133		(9)			177		(86)				—		6		(16)			205		(8)
Corporate debt securities	293		(16)			272		(12)				—		57		(20)			574		(16)
Loans	1,049		(33)			122		(164)				(152)		254		(178)			898		(32)
Asset-backed securities	28		—			1		(10)				—		1		—			20		—
Total debt instruments	1,816		(59)			1,220		(390)				(160)		318		(214)			2,531		(58)
Equity securities	663		(99)			98		(61)				—		106		(46)			661		(90)
Physical commodities	—		—			2		—				—		—		—			2		—
Other	175		66			6		—				(158)		—		(2)			87		60
Total trading assets – debt and equity instruments	2,654		(92)		(c)	1,326		(451)				(318)		424		(262)			3,281		(88)		(c)
Net derivative receivables:(b)
Interest rate	367		160			99		(135)				105		44		(220)			420		204
Credit	44		264			4		(3)				(65)		1		4			249		255
Foreign exchange	76		193			15		(19)				(38)		24		(6)			245		174
Equity	(2,583)		1,838			162		(466)				(140)		(227)		182			(1,234)		1,788
Commodity	(414)		382			18		(69)				112		(1)		(2)			26		423
Total net derivative receivables	(2,510)		2,837		(c)	298		(692)				(26)		(159)		(42)			(294)		2,844		(c)
Available-for-sale securities:
Mortgage-backed securities	—		—			—		—				—		—		—			—		—
Corporate debt securities	205		(19)			—		—				—		—		—			186		(19)
Total available-for-sale securities	205		(19)		(d)	—		—				—		—		—			186		(19)		(d)
Loans	2,072		(82)		(c)	273		(95)				(250)		226		(124)			2,020		(80)		(c)
Mortgage servicing rights	7,294		654		(e)	341		(614)				(236)		—		—			7,439		654		(e)
Other assets	341		116		(c)	5		(28)				(20)		—		(6)			408		116		(c)
	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2022 (in millions)	Fair value at   April 1, 2022		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at June 30, 2022			Change in unrealized (gains)/losses related to financial instruments held at June 30, 2022
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,121	$	(160)	(c)(f)	$	—	$	—	$	138	$	(21)	$	—	$	(46)		$	2,032	$	(160)	(c)(f)
Short-term borrowings	2,146		14		(c)(f)	—		—		963		(1,036)		14		—			2,101		93		(c)(f)
Trading liabilities – debt and equity instruments	41		1		(c)	(20)		4		—		—		30		—			56		1		(c)
Accounts payable and other liabilities	108		(2)		(c)	(28)		1		—		—		—		(6)			73		(2)		(c)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—		—		—		—			—		—
Long-term debt	24,394		(2,640)		(c)(f)	—		—		3,470		(2,045)		179		(281)			23,077		(2,613)		(c)(f)

	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2021 (in millions)	Fair value at April 1, 2021		Total realized/unrealized gains/(losses)											Transfers into level 3		Transfers (out of) level 3		Fair value at June 30, 2021			Change in unrealized gains/(losses) related to financial instruments held at June 30, 2021
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	397	$	(33)		$	1	$	(8)			$	(28)	$	1	$	(1)		$	329	$	(34)
Residential – nonagency	32		—			6		(21)				(1)		—		—			16		—
Commercial – nonagency	2		—			11		—				(3)		—		—			10		1
Total mortgage-backed securities	431		(33)			18		(29)				(32)		1		(1)			355		(33)
Obligations of U.S. states and municipalities	8		—			—		—				—		—		—			8		—
Non-U.S. government debt securities	177		1			84		(79)				—		—		—			183		(1)
Corporate debt securities	370		30			228		(154)				—		28		(15)			487		30
Loans	832		(1)			294		(85)				(125)		85		(205)			795		1
Asset-backed securities	54		8			10		(36)				(1)		—		—			35		1
Total debt instruments	1,872		5			634		(383)				(158)		114		(221)			1,863		(2)
Equity securities	688		8			23		(27)				—		24		(26)			690		15
Other	122		7			36		—				(26)		3		(95)			47		19
Total trading assets – debt and equity instruments	2,682		20		(c)	693		(410)				(184)		141		(342)			2,600		32		(c)
Net derivative receivables:(b)
Interest rate	149		524			18		(9)				(657)		(2)		(45)			(22)		198
Credit	(4)		(34)			1		(2)				17		(6)		11			(17)		(13)
Foreign exchange	(539)		2			37		(48)				(12)		1		(24)			(583)		(104)
Equity	(3,834)		(941)			281		(407)				600		(91)		(544)			(4,936)		(942)
Commodity	(911)		(347)			6		(81)				165		—		1			(1,167)		(198)
Total net derivative receivables	(5,139)		(796)		(c)	343		(547)				113		(98)		(601)			(6,725)		(1,059)		(c)
Available-for-sale securities:
Mortgage-backed securities	—		—			—		—				—		—		—			—		—
Corporate debt securities	—		—			—		—				—		—		—			—		—
Total available-for-sale securities	—		—		(d)	—		—				—		—		—			—		—		(d)
Loans	1,823		7		(c)	240		(135)				(318)		445		(328)			1,734		(11)		(c)
Mortgage servicing rights	4,470		(528)		(e)	814		(25)				(182)		—		—			4,549		(528)		(e)
Other assets	511		31		(c)	4		—				(27)		—		(1)			518		35		(c)
	Fair value measurements using significant unobservable inputs
Three months ended June 30, 2021 (in millions)	Fair value at April 1, 2021		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at June 30, 2021			Change in unrealized (gains)/losses related to financial instruments held at June 30, 2021
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,652	$	47	(c)(f)	$	—	$	—	$	150	$	(93)	$	1	$	(73)		$	2,684	$	47	(c)(f)
Short-term borrowings	3,664		(283)		(c)(f)	—		—		1,395		(1,706)		9		(4)			3,075		35		(c)(f)
Trading liabilities – debt and equity instruments	60		(1)		(c)	(27)		13		—		—		—		(9)			36		—
Accounts payable and other liabilities	61		(9)		(c)	—		—		—		—		—		(1)			51		(8)		(c)
Beneficial interests issued by consolidated VIEs	—		—			—		—		—		—		—		—			—		—
Long-term debt	22,575		714		(c)(f)	—		—		3,469		(3,089)		7		(149)			23,527		708		(c)(f)

	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2022			Change in unrealized gains/(losses) related to financial instruments held at June 30, 2022
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Federal funds sold and securities purchased under resale agreements	$	—	$	—		$	—	$	—			$	—	$	1	$	—		$	1	$	—
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	265	$	26		$	665	$	(125)			$	(28)	$	—	$	—		$	803	$	24
Residential – nonagency	28		—			5		—				(12)		—		(7)			14		(1)
Commercial – nonagency	10		—			—		—				—		—		—			10		—
Total mortgage-backed securities	303		26			670		(125)				(40)		—		(7)			827		23
Obligations of U.S. states and municipalities	7		—			—		—				—		—		—			7		—
Non-U.S. government debt securities	81		(42)			405		(266)				—		43		(16)			205		(106)
Corporate debt securities	332		(35)			333		(71)				(37)		98		(46)			574		(44)
Loans	708		(37)			419		(262)				(159)		525		(296)			898		(13)
Asset-backed securities	26		—			2		(10)				—		5		(3)			20		—
Total debt instruments	1,457		(88)			1,829		(734)				(236)		671		(368)			2,531		(140)
Equity securities	662		(912)			321		(301)				—		959		(68)			661		(474)
Physical Commodities	—		—			2		—				—		—		—			2		—
Other	160		67			26		—				(163)		—		(3)			87		70
Total trading assets – debt and equity instruments	2,279		(933)		(c)	2,178		(1,035)				(399)		1,630		(439)			3,281		(544)		(c)
Net derivative receivables:(b)
Interest rate	(16)		393			225		(229)				256		17		(226)			420		428
Credit	74		331			8		(7)				(161)		(2)		6			249		330
Foreign exchange	(419)		538			147		(43)				32		18		(28)			245		486
Equity	(3,626)		2,568			660		(1,025)				303		(558)		444			(1,234)		2,975
Commodity	(907)		804			68		(206)				268		(1)		—			26		469
Total net derivative receivables	(4,894)		4,634		(c)	1,108		(1,510)				698		(526)		196			(294)		4,688		(c)
Available-for-sale securities:
Mortgage-backed securities	—		—			—		—				—		—		—			—		—
Corporate debt securities	161		8			17		—				—		—		—			186		8
Total available-for-sale securities	161		8		(d)	17		—				—		—		—			186		8		(d)
Loans	1,933		16		(c)	394		(100)				(531)		616		(308)			2,020		(24)		(c)
Mortgage servicing rights	5,494		1,613		(e)	1,471		(671)				(468)		—		—			7,439		1,613		(e)
Other assets	306		125		(c)	46		(28)				(37)		2		(6)			408		119		(c)
	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2022			Change in unrealized (gains)/losses related to financial instruments held at June 30, 2022
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,317	$	(302)	(c)(f)	$	—	$	—	$	246	$	(69)	$	—	$	(160)		$	2,032	$	(298)	(c)(f)
Short-term borrowings	2,481		(387)		(c)(f)	—		—		2,386		(2,383)		15		(11)			2,101		7		(c)(f)
Trading liabilities – debt and equity instruments	30		(16)		(c)	(34)		34		—		—		44		(2)			56		15		(c)
Accounts payable and other liabilities	69		(6)		(c)	(28)		43		—		—		1		(6)			73		(6)		(c)
Long-term debt	24,374		(4,308)		(c)(f)	—		—		7,520		(4,521)		442		(430)			23,077		(4,151)		(c)(f)

    

	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2021			Change in unrealized gains/(losses) related to financial instruments held at June 30, 2021
						Purchases(g)		Sales				Settlements(h)
Assets:(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	449	$	(10)		$	7	$	(56)			$	(61)	$	1	$	(1)		$	329	$	(12)
Residential – nonagency	28		1			15		(24)				(3)		—		(1)			16		—
Commercial – nonagency	3		—			11		(1)				(3)		—		—			10		—
Total mortgage-backed securities	480		(9)			33		(81)				(67)		1		(2)			355		(12)
Obligations of U.S. states and municipalities	8		—			—		—				—		—		—			8		—
Non-U.S. government debt securities	182		(8)			202		(186)				(7)		—		—			183		(7)
Corporate debt securities	507		15			319		(300)				—		113		(167)			487		14
Loans	893		6			566		(237)				(126)		175		(482)			795		3
Asset-backed securities	28		7			38		(39)				(1)		2		—			35		7
Total debt instruments	2,098		11			1,158		(843)				(201)		291		(651)			1,863		5
Equity securities	476		3			253		(70)				—		78		(50)			690		13
Other	49		48			101		—				(55)		3		(99)			47		28
Total trading assets – debt and equity instruments	2,623		62		(c)	1,512		(913)				(256)		372		(800)			2,600		46		(c)
Net derivative receivables:(b)
Interest rate	258		969			71		(102)				(1,191)		55		(82)			(22)		233
Credit	(224)		149			2		(4)				44		(9)		25			(17)		134
Foreign exchange	(434)		(198)			39		(54)				99		11		(46)			(583)		32
Equity	(3,862)		(918)			475		(1,245)				726		19		(131)			(4,936)		(1,258)
Commodity	(731)		(593)			10		(294)				444		(1)		(2)			(1,167)		(554)
Total net derivative receivables	(4,993)		(591)		(c)	597		(1,699)				122		75		(236)			(6,725)		(1,413)		(c)
Available-for-sale securities:
Mortgage-backed securities	—		—			—		—				—		—		—			—		—
Corporate debt securities	—		—			—		—				—		—		—			—		—
Total available-for-sale securities	—		—		(d)	—		—				—		—		—			—		—		(d)
Loans	2,305		(66)		(c)	307		(325)				(519)		600		(568)			1,734		(72)		(c)
Mortgage servicing rights	3,276		269		(e)	1,397		(24)				(369)		—		—			4,549		269		(e)
Other assets	538		44		(c)	7		(18)				(52)		—		(1)			518		63		(c)
	Fair value measurements using significant unobservable inputs
Six months ended June 30, 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 June 30, 2021			Change in unrealized (gains)/losses related to financial instruments held at June 30, 2021
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,913	$	(56)	(c)(f)	$	—	$	—	$	219	$	(188)	$	2	$	(206)		$	2,684	$	(56)	(c)(f)
Short-term borrowings	2,420		(396)		(c)(f)	—		—		4,313		(3,212)		9		(59)			3,075		18		(c)(f)
Trading liabilities – debt and equity instruments	51		(4)		(c)	(92)		34		—		—		59		(12)			36		10		(c)
Accounts payable and other liabilities	68		(10)		(c)	—		1		—		—		—		(8)			51		(10)		(c)
Long-term debt	23,397		406		(c)(f)	—		—		6,934		(6,738)		18		(490)			23,527		305		(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% at both June 30, 2022 and December 31, 2021. 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 10% at June 30, 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 and six months ended June 30, 2022 and 2021, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $(19) million and zero for the three months ended June 30, 2022 and 2021, respectively and $8 million and zero for the six months ended June 30, 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 and six months ended June 30, 2022 and 2021. Unrealized (gains)/losses are reported in OCI, and were $(344) million and $5 million for the three months ended June 30, 2022 and 2021, respectively and $(574) million and $(17) million for the six months ended June 30, 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 106 for further information on changes impacting items measured at fair value on a nonrecurring basis.

Three and six months ended June 30, 2022

Level 3 assets were $22.3 billion at June 30, 2022, reflecting an increase of $329 million from March 31, 2022, and an increase of $4.8 billion from December 31, 2021.

The increase for the six months ended June 30, 2022 was largely driven by:

•$1.6 billion increase in gross derivative receivables due to gains and purchases largely offset by net transfers.

•$1.9 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 June 30, 2022, there were no significant transfers from level 2 into level 3.

For the three months ended June 30, 2022, significant transfers from level 3 into level 2 included the following:

•$930 million of gross interest rate derivative receivables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

For the six months ended June 30, 2022, significant transfers from level 2 into level 3 included the following:

•$1.6 billion of total debt and equity instruments, largely due to equity securities of $959 million driven by a decrease in observability predominantly as a result of restricted access to certain markets.

•$1.3 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.

For the six months ended June 30, 2022, significant transfers from level 3 into level 2 included the following:

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

•$920 million and $1.4 billion of gross equity derivative receivables and gross equity derivative payables, respectively, as a result of an increase in observability and a decrease in the significance of unobservable inputs.

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

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

•$1.0 billion of gross equity derivative receivables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

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

•$800 million of total debt and equity instruments, largely trading loans, driven by an increase in observability.

•$1.3 billion and $1.1 billion of gross equity derivative receivables and gross equity derivative payables, respectively, as a result of an increase in observability and a decrease in the significance of unobservable inputs.

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 99-104 for further information on these instruments.

Three months ended June 30, 2022

•$3.4 billion of net gains on assets, largely driven by gains in net equity derivative receivables due to market movements and MSRs reflecting lower prepayment speeds on higher rates.

•$2.8 billion of net gains on liabilities, predominantly driven by gains in long-term debt due to market movements.

Three months ended June 30, 2021

•$1.3 billion of net losses on assets, driven by losses in net equity derivative receivables due to market movements and losses in MSRs reflecting faster prepayment speeds on lower rates.

•$468 million of net losses on liabilities, driven by losses in long-term debt partially offset by gains in short-term borrowings, due to market movements.

Six months ended June 30, 2022

•$5.5 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.

•$5.0 billion of net gains on liabilities, predominantly driven by gains in long-term debt due to market movements.

Six months ended June 30, 2021

•$282 million of net losses on assets, driven by losses in net derivative receivables due to market movements largely offset by gains in MSRs reflecting lower prepayment speeds on higher rates.

Refer to Note 14 for 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 June 30,				Six months ended June 30,
(in millions)	2022		2021		2022		2021
Credit and funding adjustments:
Derivatives CVA	$	147	$	43	$	(165)	$	283
Derivatives FVA	7		(45)		(51)		61

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 June 30, 2022 and 2021, for which nonrecurring fair value adjustments were recorded during the six months ended June 30, 2022 and 2021, by major product category and fair value hierarchy.

	Fair value hierarchy							Total fair value
June 30, 2022 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	1,516	$	665	(b)	$	2,181
Other assets(a)	—		22		1,083			1,105
Total assets measured at fair value on a nonrecurring basis	$	—	$	1,538	$	1,748		$	3,286
Accounts payable and other liabilities	—		—		293			293
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	293		$	293

	Fair value hierarchy						Total fair value
June 30, 2021 (in millions)	Level 1		Level 2		Level 3
Loans	$	—	$	2,048	$	329	$	2,377
Other assets	—		11		831		842
Total assets measured at fair value on a nonrecurring basis	$	—	$	2,059	$	1,160	$	3,219
Accounts payable and other liabilities	—		—		5		5
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—	$	5	$	5

(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 $1.1 billion in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2022, $985 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 $665 million in level 3 assets measured at fair value on a nonrecurring basis as of June 30, 2022, $55 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 56% with a weighted average of 23%.

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 six months ended June 30, 2022 and 2021, related to assets and liabilities held at those dates.

	Three months ended June 30,				Six months ended June 30,
(in millions)	2022		2021		2022		2021
Loans	$	(80)	$	(11)	$	(91)	$	(32)
Other assets(a)	(389)		92		(45)		93
Accounts payable and other liabilities	(269)		7		(288)		6
Total nonrecurring fair value gains/(losses)	$	(738)	$	88	$	(424)	$	67

(a)Included $(387) million and $102 million for the three months ended June 30, 2022 and 2021, respectively, and $(29) million and $107 million for the six months ended June 30, 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 June 30, 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				Six months ended
	June 30				June 30
As of or for the period ended,
(in millions)	2022		2021		2022		2021
Other assets
Carrying value(a)	$	4,196	$	2,798	$	4,196	$	2,798
Upward carrying value changes(b)	76		109		445		116
Downward carrying value changes/impairment(c)	(463)		(7)		(474)		(9)

(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 June 30, 2022 were $1.5 billion.

(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and June 30, 2022 were $(844) 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 1.6059 at June 30, 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 June 30, 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.

	June 30, 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	$	27.2	$	27.2	$	—	$	—	$	27.2	$	26.4	$	26.4	$	—	$	—	$	26.4
Deposits with banks	642.0		642.0		—		—		642.0		714.4		714.4		—		—		714.4
Accrued interest and accounts receivable	144.5		—		144.4		0.1		144.5		102.1		—		102.0		0.1		102.1
Federal funds sold and securities purchased under resale agreements	3.0		—		3.0		—		3.0		9.0		—		9.0		—		9.0
Securities borrowed	128.4		—		128.4		—		128.4		124.6		—		124.6		—		124.6
Investment securities, held-to-maturity	441.6		212.9		202.7		—		415.6		363.7		183.3		179.3		—		362.6
Loans, net of allowance for loan losses(a)	1,039.3		—		193.1		835.0		1,028.1		1,002.5		—		202.1		821.1		1,023.2
Other	113.2		—		111.8		1.6		113.4		98.7		—		97.4		1.4		98.8
Financial liabilities
Deposits	$	2,458.3	$	—	$	2,458.4	$	—	$	2,458.4	$	2,451.0	$	—	$	2,451.0	$	—	$	2,451.0
Federal funds purchased and securities loaned or sold under repurchase agreements	66.4		—		66.4		—		66.4		67.9		—		67.9		—		67.9
Short-term borrowings	41.5		—		41.5		—		41.5		33.6		—		33.6		—		33.6
Accounts payable and other liabilities	272.7		—		266.7		5.3		272.0		217.6		—		212.1		4.9		217.0
Beneficial interests issued by consolidated VIEs	10.6		—		10.6		—		10.6		10.7		—		10.8		—		10.8
Long-term debt	222.1		—		214.9		3.1		218.0		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.

	June 30, 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	$	2.2	$	—	$	—	$	3.4	$	3.4	$	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.