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Fair Value Measurement
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurement Fair value measurement
Refer to Note 2 of JPMorgan Chase’s 2023 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, 2024 and December 31, 2023, 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, 2024 (in millions)Level 1Level 2Level 3Total fair value
Federal funds sold and securities purchased under resale agreements$— $368,964 $— $— $368,964 
Securities borrowed— 107,599 — — 107,599 
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
— 136,594 691 — 137,285 
Residential – nonagency— 2,051 5 — 2,056 
Commercial – nonagency— 1,268 11 — 1,279 
Total mortgage-backed securities— 139,913 707 — 140,620 
U.S. Treasury, GSEs and government agencies(a)
148,160 13,781 — — 161,941 
Obligations of U.S. states and municipalities— 5,645 7 — 5,652 
Certificates of deposit, bankers’ acceptances and commercial paper
— 2,851 — — 2,851 
Non-U.S. government debt securities50,041 69,339 173 — 119,553 
Corporate debt securities— 43,744 435 — 44,179 
Loans— 9,203 819 — 10,022 
Asset-backed securities— 2,814 2 — 2,816 
Total debt instruments198,201 287,290 2,143 — 487,634 
Equity securities223,651 1,436 101 — 225,188 
Physical commodities(b)
2,171 1,008 10 — 3,189 
Other— 18,734 183 — 18,917 
Total debt and equity instruments(c)
424,023 308,468 2,437 — 734,928 
Derivative receivables:
Interest rate2,073 298,544 5,635 (282,118)24,134 
Credit— 9,567 955 (9,913)609 
Foreign exchange326 195,081 1,066 (179,484)16,989 
Equity— 96,107 2,738 (93,494)5,351 
Commodity— 21,328 316 (16,166)5,478 
Total derivative receivables2,399 620,627 10,710 (581,175)52,561 
Total trading assets(d)
426,422 929,095 13,147 (581,175)787,489 
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
— 81,863 — — 81,863 
Residential – nonagency— 4,057 — — 4,057 
Commercial – nonagency— 3,609 — — 3,609 
Total mortgage-backed securities— 89,529 — — 89,529 
U.S. Treasury and government agencies171,878 304 — — 172,182 
Obligations of U.S. states and municipalities— 18,205 — — 18,205 
Non-U.S. government debt securities19,925 22,628 — — 42,553 
Corporate debt securities— 61 — — 61 
Asset-backed securities:
Collateralized loan obligations— 9,682 — — 9,682 
Other(a)
— 2,336 — — 2,336 
Total available-for-sale securities191,803 142,745 — — 334,548 
Loans(e)
— 39,650 2,487 — 42,137 
Mortgage servicing rights— — 8,753 — 8,753 
Other assets(d)
7,178 5,003 1,186 — 13,367 
Total assets measured at fair value on a recurring basis$625,403 $1,593,056 $25,573 $(581,175)$1,662,857 
Deposits$— $49,065 $2,219 $— $51,284 
Federal funds purchased and securities loaned or sold under repurchase agreements
— 320,406 — — 320,406 
Short-term borrowings— 24,660 3,647 — 28,307 
Trading liabilities:
Debt and equity instruments(c)
166,655 37,866 72 — 204,593 
Derivative payables:
Interest rate2,873 283,166 2,806 (280,237)8,608 
Credit— 12,919 1,054 (12,247)1,726 
Foreign exchange335 198,635 1,026 (187,348)12,648 
Equity— 105,111 6,548 (101,049)10,610 
Commodity— 18,724 688 (14,339)5,073 
Total derivative payables3,208 618,555 12,122 (595,220)38,665 
Total trading liabilities169,863 656,421 12,194 (595,220)243,258 
Accounts payable and other liabilities4,256 1,567 42 — 5,865 
Beneficial interests issued by consolidated VIEs— 1 — — 1 
Long-term debt— 68,656 33,473 — 102,129 
Total liabilities measured at fair value on a recurring basis$174,119 $1,120,776 $51,575 $(595,220)$751,250 
Fair value hierarchy
Derivative
netting
adjustments(f)
December 31, 2023 (in millions)Level 1Level 2Level 3Total fair value
Federal funds sold and securities purchased under resale agreements$— $259,813 $— $— $259,813 
Securities borrowed— 70,086 — — 70,086 
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
— 73,840 758 — 74,598 
Residential – nonagency— 1,921 5 — 1,926 
Commercial – nonagency— 1,362 12 — 1,374 
Total mortgage-backed securities— 77,123 775 — 77,898 
U.S. Treasury, GSEs and government agencies(a)
133,997 9,998 — — 143,995 
Obligations of U.S. states and municipalities— 5,858 10 — 5,868 
Certificates of deposit, bankers’ acceptances and commercial paper
— 756 — — 756 
Non-U.S. government debt securities24,846 55,557 179 — 80,582 
Corporate debt securities— 32,854 484 — 33,338 
Loans— 7,872 684 — 8,556 
Asset-backed securities— 2,199 6 — 2,205 
Total debt instruments158,843 192,217 2,138 — 353,198 
Equity securities107,926 679 127 — 108,732 
Physical commodities(b)
2,479 3,305 7 — 5,791 
Other— 17,879 101 — 17,980 
Total debt and equity instruments(c)
269,248 214,080 2,373 — 485,701 
Derivative receivables:
Interest rate2,815 243,578 

4,298 (224,367)26,324 
Credit— 8,644 1,010 (9,103)551 
Foreign exchange149 204,737 

889 (187,756)18,019 
Equity— 55,167 2,522 (52,761)4,928 
Commodity— 15,234 205 (10,397)5,042 
Total derivative receivables2,964 527,360 

8,924 (484,384)54,864 
Total trading assets(d)
272,212 741,440 

11,297 (484,384)540,565 
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)
— 85,170 — — 85,170 
Residential – nonagency— 3,639 — — 3,639 
Commercial – nonagency— 2,803 — — 2,803 
Total mortgage-backed securities— 91,612 — — 91,612 
U.S. Treasury and government agencies57,683 122 — — 57,805 
Obligations of U.S. states and municipalities— 21,367 — — 21,367 
Non-U.S. government debt securities13,095 8,187 — — 21,282 
Corporate debt securities— 100 — — 100 
Asset-backed securities:
Collateralized loan obligations— 6,752 — — 6,752 
Other(a)
— 2,786 — — 2,786 
Total available-for-sale securities70,778 130,926 — — 201,704 
Loans(e)
— 35,772 3,079 — 38,851 
Mortgage servicing rights— — 8,522 — 8,522 
Other assets(d)
6,635 3,929 758 — 11,322 
Total assets measured at fair value on a recurring basis$349,625 $1,241,966 

$23,656 

$(484,384)$1,130,863 
Deposits$— $76,551 $1,833 $— $78,384 
Federal funds purchased and securities loaned or sold under repurchase agreements
— 169,003 — — 169,003 
Short-term borrowings— 18,284 1,758 — 20,042 
Trading liabilities:
Debt and equity instruments(c)
107,292 32,252 37 — 139,581 
Derivative payables:
Interest rate4,409 232,277 

3,796 (228,586)11,896 
Credit— 11,293 

745 (10,949)1,089 
Foreign exchange147 211,289 

827 (199,643)12,620 
Equity— 60,887 

4,924 (56,443)9,368 
Commodity— 15,894 

484 (10,504)5,874 
Total derivative payables4,556 531,640 

10,776 (506,125)40,847 
Total trading liabilities111,848 563,892 

10,813 (506,125)180,428 
Accounts payable and other liabilities3,968 1,617 

52 — 5,637 
Beneficial interests issued by consolidated VIEs— 1 

— — 1 
Long-term debt— 60,198 

27,726 — 87,924 
Total liabilities measured at fair value on a recurring basis$115,816 $889,546 

$42,182 $(506,125)$541,419 
(a)At September 30, 2024 and December 31, 2023, included total U.S. GSE obligations of $144.2 billion and $78.5 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, 2024 and December 31, 2023, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $802 million and $1.0 billion, respectively, primarily reported in other assets.
(e)At September 30, 2024 and December 31, 2023, included $13.3 billion and $10.2 billion, respectively, of residential first-lien mortgages, and $6.0 billion of commercial first-lien mortgages at both periods. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. GSEs and government agencies of $5.8 billion and $2.9 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 2023 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 and arithmetic 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, 2024
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)
$1,078 Discounted cash flowsYield0%89%7%
Prepayment speed3%14%8%
Conditional default rate0%6%0%
Loss severity0%110%5%
Commercial mortgage-backed securities and loans(c)
1,495 Market comparablesPrice$0$90$82
Corporate debt securities435 Market comparablesPrice$0$175$85
Loans(d)
1,440 Market comparablesPrice$0$115$80
Non-U.S. government debt securities173 Market comparablesPrice$0$104$96
Net interest rate derivatives2,821 Option pricingInterest rate volatility7bps555bps111bps
Interest rate spread volatility37bps77bps65bps
Bermudan switch value0%52%17%
Interest rate correlation(85)%97%63%
IR-FX correlation(35)%60%5%
8 Discounted cash flowsPrepayment speed0%21%7%
Net credit derivatives(130)Discounted cash flowsCredit correlation30%69%48%
Credit spread0bps2,999bps341bps
Recovery rate10%90%57%
31 Market comparablesPrice$0$115$73
Net foreign exchange derivatives89 Option pricingIR-FX correlation(40)%60%21%
(49)Discounted cash flowsPrepayment speed11%11%
Interest rate curve2%49%8%
Net equity derivatives(3,810)Option pricing
Forward equity price(h)
80%144%101%
Equity volatility4%143%32%
Equity correlation17%100%56%
Equity-FX correlation(80)%65%(32)%
Equity-IR correlation10%18%14%
Net commodity derivatives(372)Option pricingOil commodity forward$82 / BBL$266 / BBL$150 / BBL
Natural gas commodity forward$1 / MMBTU$7 / MMBTU$3 / MMBTU
Commodity volatility2%47%5%
Commodity correlation(35)%98%(8)%
MSRs8,753 Discounted cash flows
Refer to Note 14
Long-term debt, short-term borrowings, and deposits(e)
38,445 Option pricingInterest rate volatility7bps555bps111bps
Bermudan switch value0%52%17%
Interest rate correlation(85)%97%63%
IR-FX correlation(35)%60%5%
Equity volatility
2%140%28%
Equity correlation17%100%56%
Equity-FX correlation(80)%65%(32)%
Equity-IR correlation10%18%14%
894 Discounted cash flowsCredit correlation30%69%48%
Credit spread
1bps270bps81bps
Recovery rate
20%40%37%
Yield5%20%10%
Loss severity
0%100%50%
Other level 3 assets and liabilities, net(f)
1,375 
(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 $691 million, nonagency securities of $5 million and non-trading loans of $382 million.
(c)Comprises nonagency securities of $11 million, trading loans of $65 million and non-trading loans of $1.4 billion.
(d)Comprises trading loans of $754 million and non-trading loans of $686 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 $737 million including $636 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 2023 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, 2024 and 2023. 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. 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, 2024
(in millions)		Fair value at
  July 1,
2024		Total realized/unrealized gains/(losses)Transfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2024		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2024
Purchases(g)
Sales
Settlements(h)
Assets:(a)
Federal funds sold and securities purchased under resale agreements$— $— $— $— $— $— $— $— $— 
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies
708 3 — — (20)— — 691 3 
Residential – nonagency5 1 — — (1)— — 5 — 
Commercial – nonagency
11 — — — — — — 11 — 
Total mortgage-backed securities
724 4 — — (21)— — 707 3 
Obligations of U.S. states and municipalities
7 — — — — — — 7 — 
Non-U.S. government debt securities
193 (4)53 (65)— 7 (11)173 (2)
Corporate debt securities408 21 86 (62)— 5 (23)435 20 
Loans691 12 125 (108)(22)321 (200)819 12 
Asset-backed securities2 — — — — — — 2 — 
Total debt instruments2,025 33 264 (235)(43)333 (234)2,143 33 
Equity securities122 (4)16 (18)(1)31 (45)101 — 
Physical commodities10 — — — — — — 10 — 
Other144 20 4 — (9)24 — 183 23 
Total trading assets – debt and equity instruments
2,301 49 
(c)
284 (253)(53)388 (279)2,437 56 
(c)
Net derivative receivables:(b)
Interest rate1,301 1,528 90 (38)98 (106)(44)2,829 1,373 
Credit180 (209)— — (114)25 19 (99)(198)
Foreign exchange168 (31)59 (105)71 3 (125)40 (5)
Equity(2,991)(21)112 (821)24 (285)172 (3,810)(215)
Commodity(472)(74)4 (35)201 7 (3)(372)(107)
Total net derivative receivables
(1,814)1,193 
(c)
265 (999)280 (356)19 (1,412)848 
(c)
Available-for-sale securities:
Corporate debt securities— — — — — — — — — 
Total available-for-sale securities
— — 
(d)
— — — — — — — 
(d)
Loans2,993 157 
(c)
95 (479)(210)61 (130)2,487 114 
(c)
Mortgage servicing rights8,847 (181)
(e)
357 2 (272)— — 8,753 (181)
(e)
Other assets1,202 34 
(c)
24 (32)(20)— (22)1,186 34 
(c)
Fair value measurements using significant unobservable inputs
Three months ended September 30, 2024
(in millions)		Fair value at
  July 1,
2024		Total realized/unrealized (gains)/lossesTransfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2024		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2024
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
Deposits$1,923 $105 
(c)(f)
$— $— $512 $(299)$— $(22)$2,219 $104 
(c)(f)
Short-term borrowings2,726 74 
(c)(f)
— — 2,283 (1,435)1 (2)3,647 56 
(c)(f)
Trading liabilities – debt and equity instruments
68 (1)
(c)
(20)5 — — 25 (5)72 (1)
(c)
Accounts payable and other liabilities
70 5 
(c)
(30)— — — — (3)42 5 
(c)
Long-term debt31,286 1,632 
(c)(f)
— — 6,073 (5,258)23 (283)33,473 1,783 
(c)(f)
Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2023
(in millions)		Fair value at
  July 1,
2023		Total realized/unrealized gains/(losses)Transfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2023		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2023
Purchases(g)
Sales
Settlements(h)
Assets:(a)
Federal funds sold and securities purchased under resale agreements
$— $— $— $— $— $— $— $— $— 
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies
706 (4)118 (20)(21)— — 779 (4)
Residential – nonagency5 — — — — — — 5 — 
Commercial – nonagency6 6 1 — — — — 13 7 
Total mortgage-backed securities
717 2 119 (20)(21)— — 797 3 
Obligations of U.S. states and municipalities
6 — — — — 3 — 9 — 
Non-U.S. government debt securities
199 9 16 (53)— — (20)151 18 
Corporate debt securities522 15 191 (56)(1)8 (27)652 4 
Loans1,105 (56)161 (172)(12)108 (86)1,048 (56)
Asset-backed securities14 1 — (8)— — (1)6 1 
Total debt instruments2,563 (29)487 (309)(34)119 (134)2,663 (30)
Equity securities631 2 26 (100)(442)41 (7)151 7 
Physical commodities6 (2)1 — — — — 5 (2)
Other113 (3)9 — (15)— (1)103 (2)
Total trading assets – debt and equity instruments
3,313 (32)
(c)
523 (409)(491)160 (142)2,922 (27)
(c)
Net derivative receivables:(b)
Interest rate(1,122)(162)79 (127)349 

(56)(72)(1,111)(267)
Credit689 11 2 — (150)(4)3 551 11 
Foreign exchange389 88 55 (18)(5)7 (3)513 51 
Equity(1,881)1,013 

145 (222)

(385)

70 (39)

(1,299)1,060 
Commodity(353)113 3 (101)31 — 184 (123)104 
Total net derivative receivables
(2,278)1,063 
(c)
284 (468)

(160)

17 73 

(1,469)959 
(c)
Available-for-sale securities:
Corporate debt securities267 (4)— (165)— — (38)60 (3)
Total available-for-sale securities
267 (4)
(d)
— (165)— — (38)60 (3)
(d)
Loans3,808 110 
(c)
24 (34)(442)276 (59)3,683 25 
(c)
Mortgage servicing rights8,229 596 
(e)
650 (101)(265)— — 9,109 596 
(e)
Other assets417 (1)
(c)
498 (11)(14)— (1)888 (1)
(c)
Fair value measurements using significant unobservable inputs
Three months ended
September 30, 2023
(in millions)		Fair value at
  July 1,
2023		Total realized/unrealized (gains)/lossesTransfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2023		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2023
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
Deposits$2,053 $(34)
(c)(f)
$— $— $341 $(468)$— $(40)$1,852 $(34)
(c)(f)
Short-term borrowings1,704 22 
(c)(f)
— — 1,371 (1,150)— (2)1,945 2 
(c)(f)
Trading liabilities – debt and equity instruments
63 (5)
(c)
(2)2 — (2)— (15)41 — 
Accounts payable and other liabilities
68 (7)
(c)
(11)13 — — — — 63 (7)
(c)
Long-term debt25,425 (764)
(c)(f)
— — 3,380 (3,130)

18 (82)24,847 

(774)
(c)(f)
Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2024
(in millions)		Fair value at
Jan 1,
2024		Total realized/unrealized gains/(losses)Transfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2024		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2024
Purchases(g)
Sales
Settlements(h)
Assets:(a)
Federal funds sold and securities purchased under resale agreements$— $— $— $— $— $— $— $— $— 
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies
758 3 45 (61)(61)7 — 691 3 
Residential – nonagency5 1 — — (1)4 (4)5 (1)
Commercial – nonagency12 (2)1 — — — — 11 (1)
Total mortgage-backed securities
775 2 46 (61)(62)11 (4)707 1 
Obligations of U.S. states and municipalities
10 — — — (2)— (1)7 — 
Non-U.S. government debt securities
179 (2)145 (137)— 14 (26)173 4 
Corporate debt securities484 28 386 (229)(181)13 (66)435 27 
Loans684 20 446 (438)(67)645 (471)819 8 
Asset-backed securities6 — 1 (5)(7)7 — 2 — 
Total debt instruments2,138 48 1,024 (870)(319)690 (568)2,143 40 
Equity securities127 (23)130 (99)(1)74 (107)101 (33)
Physical Commodities7 2 4 — (3)— — 10 2 
Other101 64 46 — (52)25 (1)183 71 
Total trading assets – debt and equity instruments
2,373 91 
(c)
1,204 (969)(375)789 (676)2,437 80 
(c)
Net derivative receivables:(b)
Interest rate502 1,246 282 (122)981 

81 (141)2,829 892 
Credit265 (143)— (16)(253)(13)61 (99)(68)
Foreign exchange62 100 136 (230)(16)(26)14 40 105 
Equity(2,402)(545)

680 (2,020)

246 

(296)527 

(3,810)104 
Commodity(279)(196)22 (155)228 6 2 (372)(182)
Total net derivative receivables
(1,852)462 
(c)
1,120 (2,543)

1,186 

(248)463 

(1,412)851 
(c)
Available-for-sale securities:
Corporate debt securities— — — — — — — — — 
Total available-for-sale securities
— — 
(d)
— — — — — — — 
(d)
Loans3,079 266 
(c)
304 (684)(855)730 (353)2,487 207 
(c)
Mortgage servicing rights8,522 216 
(e)
835 (25)(795)— — 8,753 216 
(e)
Other assets758 100 
(c)
444 (54)(45)5 (22)1,186 94 
(c)
Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2024
(in millions)		Fair value at
Jan 1,
2024		Total realized/unrealized (gains)/lossesTransfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2024		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2024
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
Deposits$1,833 $90 
(c)(f)
$— $— $1,304 $(909)$34 $(133)$2,219 $78 
(c)(f)
Short-term borrowings1,758 143 
(c)(f)
— — 5,742 (3,992)2 (6)3,647 78 
(c)(f)
Trading liabilities – debt and equity instruments
37 (41)
(c)
(26)62 — — 46 (6)72 (3)
(c)
Accounts payable and other liabilities
52 (7)
(c)
(36)31 — — 5 (3)42 (7)
(c)
Long-term debt27,726 2,147 
(c)(f)
— — 17,049 (13,230)

466 (685)33,473 

1,895 
(c)(f)
Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2023
(in millions)		Fair value at
Jan 1,
2023		Total realized/unrealized gains/(losses)Transfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2023		Change in unrealized gains/(losses) related
to financial instruments held at September 30, 2023
Purchases(g)
Sales
Settlements(h)
Assets:(a)
Federal funds sold and securities purchased under resale agreements
$— $— $— $— $— $— $— $— $— 
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies
759 3 249 (133)(85)— (14)779 3 
Residential – nonagency5 7 — (6)(2)1 — 5 — 
Commercial – nonagency7 6 1 — (1)8 (8)13 5 
Total mortgage-backed securities
771 16 250 (139)(88)9 (22)797 8 
Obligations of U.S. states and municipalities
7 — — (1)— 3 — 9 — 
Non-U.S. government debt securities
155 49 116 (149)— — (20)151 86 
Corporate debt securities463 39 301 (116)(3)38 (70)652 34 
Loans759 (54)843 (299)(125)233 (309)1,048 (28)
Asset-backed securities23 1 5 (11)(1)5 (16)6 (1)
Total debt instruments2,178 51 1,515 (715)(217)288 (437)2,663 99 
Equity securities665 (45)134 (207)(442)181 (135)151 (28)
Physical commodities
2 (2)7 — (2)— — 5 5 
Other64 (43)105 — (19)1 (5)103 (25)
Total trading assets – debt and equity instruments
2,909 (39)
(c)
1,761 (922)(680)470 (577)2,922 51 
(c)
Net derivative receivables:(b)
Interest rate701 (859)174 (219)376 

(1,135)(149)(1,111)(789)
Credit13 485 5 (4)52 22 (22)551 487 
Foreign exchange489 140 134 (126)(206)126 (44)513 114 
Equity(384)1,036 

758 (1,584)

(1,111)

530 (544)

(1,299)936 
Commodity(146)71 42 (219)(80)(11)220 (123)57 
Total net derivative receivables
673 873 
(c)
1,113 (2,152)

(969)

(468)(539)

(1,469)805 
(c)
Available-for-sale securities:
Corporate debt securities239 24 — (165)— — (38)60 22 
Total available-for-sale securities
239 24 
(d)
— (165)— — (38)60 22 
(d)
Loans1,418 133 
(c)
2,309 (107)(1,027)1,193 (236)3,683 29 
(c)
Mortgage servicing rights7,973 860 
(e)
1,227 (191)(760)— — 9,109 860 
(e)
Other assets405 20 
(c)
515 (13)(44)8 (3)888 56 
(c)
Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2023
(in millions)		Fair value at
Jan 1,
2023		Total realized/unrealized (gains)/lossesTransfers into
level 3		Transfers (out of) level 3Fair value at
September 30, 2023		Change in unrealized (gains)/losses related
to financial instruments held at September 30, 2023
PurchasesSalesIssuances
Settlements(h)
Liabilities:(a)
Deposits$2,162 $(37)
(c)(f)
$— $— $608 $(716)$— $(165)$1,852 $(41)
(c)(f)
Short-term borrowings1,401 162 
(c)(f)
— — 3,613 (3,209)2 (24)1,945 12 
(c)(f)
Trading liabilities – debt and equity instruments
84 (18)
(c)
(29)8 — (4)18 (18)41 3 
(c)
Accounts payable and other liabilities
53 (3)
(c)
(13)20 — — 8 (2)63 (3)
(c)
Long-term debt24,092 917 
(c)(f)
— — 8,780 (8,655)

222 (509)24,847 

667 
(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 September 30, 2024 and December 31, 2023. 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 7% and 8% at September 30, 2024 and December 31, 2023, 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. Realized and unrealized gains/(losses) recorded on level 3 AFS securities were not material both for the three and nine months ended September 30, 2024 and 2023.
(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 both for the three and nine months ended September 30, 2024 and 2023. Unrealized (gains)/losses are reported in OCI, and were not material for the three months ended September 30, 2024 and 2023, and were $(37) million and $(277) million for the nine months ended September 30, 2024 and 2023, 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, 2023, 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 108 for further information on changes impacting items measured at fair value on a nonrecurring basis.
Three and nine months ended September 30, 2024
Level 3 assets were $25.6 billion at September 30, 2024, flat when compared to June 30, 2024, and reflecting an increase of $1.9 billion from December 31, 2023.
The increase for the nine months ended September 30, 2024 was predominantly driven by higher:
•Gross derivative receivables of $1.8 billion due to gains, purchases and net transfers largely offset by settlements.
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, 2024, there were no significant transfers from level 2 into level 3 or from level 3 into level 2.
For the nine months ended September 30, 2024, significant transfers from level 2 into level 3 included the following:
•$841 million and $1.1 billion of gross equity derivative receivables and gross equity derivative payables, respectively, as a result of a decrease in observability and an increase in the significance of unobservable inputs.
For the nine months ended September 30, 2024, significant transfers from level 3 into level 2 included the following:
•$765 million and $1.3 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 months ended September 30, 2023, there were no significant transfers from level 2 into level 3 or from level 3 into level 2.
For the nine months ended September 30, 2023, significant transfers from level 2 into level 3 included the following:
•$1.8 billion of gross interest rate derivative payables as a result of transition to term SOFR for certain interest rate options.
•$1.2 billion of gross equity derivative receivables as a result of a decrease in observability and an increase in the significance of unobservable inputs.
•$1.2 billion of non-trading loans driven by a decrease in observability.
For the nine months ended September 30, 2023, significant transfers from level 3 into level 2 included the following:
•$1.7 billion and $1.2 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 101–106 for further information on these instruments.
Three months ended September 30, 2024
•$1.3 billion of net gains on assets, predominantly driven by gains in net derivative receivables due to market movements.
•$1.8 billion of net losses on liabilities, predominantly driven by losses in long-term debt due to market movements.
Three months ended September 30, 2023
•$1.7 billion of net gains on assets, predominantly driven by gains in net equity derivative receivables due to market movements and gains in MSRs reflecting lower prepayment speeds on higher rates.
•$788 million of net gains on liabilities, driven by gains in long-term debt due to market movements.
Nine months ended September 30, 2024
•$1.1 billion of net gains on assets, predominantly driven by gains in net derivative receivables and loans due to market movements as well as MSRs reflecting lower prepayment speeds on higher rates.
•$2.3 billion of net losses on liabilities, predominantly driven by losses in long-term debt due to market movements.
Nine months ended September 30, 2023
•$1.9 billion of net gains on assets, driven by gains in net equity derivative receivables due to market movements and gains in MSRs reflecting lower prepayment speeds on higher rates.
•$1.0 billion of net losses on liabilities, predominantly driven by losses in long-term debt due to market movements.
Refer to Note 14 for information on MSRs.
Credit and funding adjustments — derivatives
The following table provides the impact of credit and funding adjustments on principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities. The FVA presented below includes the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time.
Three months ended September 30,Nine months ended September 30,
(in millions)2024202320242023
Credit and funding adjustments:
Derivatives CVA$(17)$90 $3 $211 
Derivatives FVA
(5)56 32 111 
Refer to Note 2 of JPMorgan Chase’s 2023 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, 2024 and 2023, for which nonrecurring fair value adjustments were recorded during the nine months ended September 30, 2024 and 2023, by major product category and fair value hierarchy.
Fair value hierarchyTotal fair value
September 30, 2024 (in millions)
Level 1
Level 2
Level 3
Loans$— $663 

$896 $1,559 
Other assets(a)
— 8 945 953 
Total assets measured at fair value on a nonrecurring basis$— $671 $1,841 $2,512 
Accounts payable and other liabilities — — — 
 
— 
Total liabilities measured at fair value on a nonrecurring basis$— $— $— $— 
Fair value hierarchyTotal fair value
September 30, 2023 (in millions)Level 1Level 2Level 3
Loans$— $666 

$1,014 $1,680 
Other assets— 37 1,276 

1,313 
Total assets measured at fair value on a nonrecurring basis$— $703 $2,290 $2,993 
Accounts payable and other liabilities— — — 

— 
Total liabilities measured at fair value on a nonrecurring basis$— $— $— $— 
(a)Included 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 $945 million in level 3 assets measured at fair value on a nonrecurring basis as of September 30, 2024, $590 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. Also, included impairments on certain equity method investments.
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, 2024 and 2023, related to assets and liabilities held at those dates.


Three months ended September 30,Nine months ended September 30,
(in millions)2024202320242023
Loans$(32)
 
$(75)

$(98)

$(200)
Other assets(a)
(323)
 
(376)

(529)(536)
Accounts payable and other liabilities — 
 
— 

— — 
Total nonrecurring fair value gains/(losses)
$(355)$(451)$(627)$(736)
(a)Included $(30) million and $33 million for the three months ended September 30, 2024 and 2023, respectively, and $(176) million and $(60) million for the nine months ended September 30, 2024 and 2023, respectively, of net gains/(losses) as a result of the measurement alternative. The current period also included impairments on certain equity method investments.


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 September 30, 2024 and 2023, 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 September 30,Nine months ended September 30,
As of or for the period ended, (in millions)2024202320242023
Other assets
Carrying value(a)
$3,660 $4,499 $3,660 $4,499 
Upward carrying value changes(b)
42 50 

72 90
Downward carrying value changes/impairment(c)
(72)(17)(248)(150)
(a)The carrying value as of December 31, 2023 was $4.5 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, 2024 were $1.1 billion.
(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and September 30, 2024 were $(1.5) billion.
Included in other assets above is the Firm’s interest in approximately 18.6 million Visa Class B-2 common shares ("Visa B-2 shares") and 37.2 million Visa Class B common shares reflected in the Firm's principal investment portfolio as of September 30, 2024 and September 30, 2023, respectively.
The Visa Class B common shares were redenominated to Visa Class B-1 common shares (“Visa B-1 shares”) on January 24, 2024. On April 8, 2024, Visa commenced an initial exchange offer for any and all outstanding Visa B-1 shares. On May 6, 2024, the Firm announced that Visa had accepted the Firm’s tender of its 37.2 million Visa B-1 shares in exchange for a combination of Visa B-2 shares and Visa Class C common shares (“Visa C shares”). As of September 30, 2024, the Firm had disposed of all of its Visa C shares through sales and through a donation to the Firm's Foundation.
The Visa B-2 shares are subject to certain transfer restrictions and are convertible into Visa Class A common shares (“Visa A shares”) at a specified conversion rate upon final resolution of certain litigation matters involving Visa. On October 11, 2024 Visa filed a Current Report on Form 8-K with the SEC indicating that the conversion rate of Visa B-2 shares to Visa A shares decreased from 1.5875 to 1.5430 effective September 26, 2024 and may be adjusted by Visa depending on developments related to the litigation matters. The outcome of those litigation matters, and the effect that the resolution of those matters may have on the conversion rate, is unknown. Accordingly, as of September 30, 2024, there is significant uncertainty regarding when the transfer restrictions on Visa B-2 shares may be terminated and what the final conversion rate for the Visa B-2 shares will be. As a result of these considerations, as well as differences in voting rights, Visa B-2 shares are not considered to be similar to Visa A shares, and are held at their nominal carryover basis.
In connection with prior sales of Visa Class B common shares prior to the redenomination to Visa B-1 shares, the Firm has entered into derivative instruments with the purchasers of the shares under which the Firm retains the risk associated with changes in the conversion rate. The notional amount of shares associated with those derivative instruments has been adjusted as a result of the Visa exchange offer. Refer to page 194 of JPMorgan Chase’s 2023 Form 10-K for further information.
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, 2024 and December 31, 2023, 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, 2024December 31, 2023
Estimated fair value hierarchyEstimated fair value hierarchy
(in billions)Carrying
value		Level 1Level 2Level 3Total estimated
fair value		Carrying
value		Level 1Level 2Level 3Total estimated
fair value
Financial assets
Cash and due from banks$22.9 $22.9 $— $— $22.9 $29.1 $29.1 $— $— $29.1 
Deposits with banks411.4 411.3 0.1 — 411.4 595.1 594.6 0.5 — 595.1 
Accrued interest and accounts receivable
122.3 — 122.2 0.1 122.3 107.1 — 107.0 0.1 107.1 
Federal funds sold and securities purchased under resale agreements
21.9 — 21.9 — 21.9 16.3 — 16.3 — 16.3 
Securities borrowed
144.8 — 144.8 — 144.8 130.3 — 130.3 — 130.3 
Investment securities, held-to-maturity
300.0 114.2 165.4 — 279.6 369.8 160.6 182.2 — 342.8 
Loans, net of allowance for loan losses(a)
1,273.9 — 284.4 995.2 1,279.6 1,262.5 — 285.6 964.6 1,250.2 
Other85.2 — 83.8 1.6 85.4 76.1 — 74.9 1.4 76.3 
Financial liabilities
Deposits$2,379.5 $— $2,380.0 $— $2,380.0 $2,322.3 $— $2,322.6 $— $2,322.6 
Federal funds purchased and securities loaned or sold under repurchase agreements
68.9 — 68.9 — 68.9 47.5 — 47.5 — 47.5 
Short-term borrowings
22.3 — 22.4 — 22.4 24.7 — 24.7 — 24.7 
Accounts payable and other liabilities(b)
268.3 — 255.0 12.4 267.4 241.8 — 233.3 8.1 241.4 
Beneficial interests issued by consolidated VIEs
25.7 — 25.8 — 25.8 23.0 — 23.0 — 23.0 
Long-term debt
308.0 — 259.8 51.9 311.7 303.9 — 252.2 51.3 303.5 
(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.
(b)Excludes lending-related commitments disclosed in the table below.
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, 2024December 31, 2023
Estimated fair value hierarchyEstimated fair value hierarchy
(in billions)
Carrying value(a)(b)(c)
Level 1Level 2Level 3Total estimated fair value
Carrying value(a)(b)(c)
Level 1Level 2Level 3Total estimated fair value
Wholesale lending-related commitments
$2.8 $— $— $4.5 $4.5 $3.0 $— $— $4.8 $4.8 
(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.
(c)As of September 30, 2024 and December 31, 2023, includes fair value adjustments associated with First Republic for other unfunded commitments to extend credit totaling $769 million and $1.1 billion, respectively, recorded in accounts payable and other liabilities on the Consolidated balance sheets. Refer to Notes 22 and 26 for additional information.
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 177 of JPMorgan Chase’s 2023 Form 10-K for a further discussion of the valuation of lending-related commitments.