Fair Value Measurement

12 Months Ended

Dec. 31, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurement

Fair value measurement

JPMorganChase carries a portion of its assets and liabilities at fair value. These assets and liabilities are predominantly carried at fair value on a recurring basis (i.e., assets and liabilities that are measured and reported at fair value on the Firm’s Consolidated balance sheets). Certain assets, liabilities and unfunded lending-related commitments are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances (for example, when there is evidence of impairment).

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Fair value is based on quoted market prices or inputs, where available. If prices or quotes are not available, fair value is based on valuation models and other valuation techniques that consider relevant transaction characteristics (such as maturity) and use, as inputs, observable or unobservable market parameters, including yield curves, interest rates, volatilities, prices (such as commodity, equity or debt prices), correlations, foreign exchange rates and credit curves. Fair value may also incorporate valuation adjustments.

The level of precision in estimating unobservable market inputs or other factors can affect the amount of gain or loss recorded for a particular position. Furthermore, while the Firm believes its valuation methods are appropriate and consistent with those of other market participants, the methods and assumptions used reflect management judgment and may vary across the Firm’s businesses and portfolios.

The Firm uses various methodologies and assumptions in the determination of fair value. The use of different methodologies or assumptions by other market participants compared with those used by the Firm could result in the Firm deriving a different estimate of fair value at the reporting date.

Valuation process

Risk-taking functions are responsible for providing fair value estimates for assets and liabilities carried on the Consolidated balance sheets at fair value. The Firm’s Valuation Control Group (“VCG”), which is part of the Firm’s Finance function and independent of the risk-taking functions, is responsible for verifying these estimates and determining any fair value adjustments that may be required to ensure that the Firm’s positions are recorded at fair value. In addition, the Firm’s Valuation Governance Forum (“VGF”), which is composed of senior finance and risk executives, is responsible for overseeing the management of risks arising from valuation activities conducted across the Firm. The Firmwide VGF is chaired by the Firmwide

head of the VCG (under the direction of the Firm’s Controller), and includes sub-forums covering the CIB, CCB, AWM and certain corporate functions including Treasury and CIO.

Price verification process

The VCG verifies fair value estimates provided by the risk-taking functions by leveraging independently derived prices, valuation inputs and other market data, where available. Where independent prices or inputs are not available, the VCG performs additional review to ensure the reasonableness of the estimates. The additional review may include evaluating the limited market activity including client unwinds, benchmarking valuation inputs to those used for similar instruments, decomposing the valuation of structured instruments into individual components, comparing expected to actual cash flows, reviewing profit and loss trends, and reviewing trends in collateral valuation. There are also additional levels of management review for more significant or complex positions.

The VCG determines any valuation adjustments that may be required to the estimates provided by the risk-taking functions. No adjustments to quoted prices are applied for instruments classified within level 1 of the fair value hierarchy (refer to the discussion of the fair value hierarchy on page 182 for further information). For other positions, judgment is required to assess the need for valuation adjustments to appropriately reflect liquidity considerations, unobservable parameters, and, for certain portfolios that meet specified criteria, the size of the net open risk position. The determination of such adjustments follows a consistent framework across the Firm:

•Liquidity valuation adjustments are considered where an observable external price or valuation parameter exists but is of lower reliability, potentially due to lower market activity. Liquidity valuation adjustments are made based on current market conditions. Factors that may be considered in determining the liquidity adjustment include analysis of: (1) the estimated bid-offer spread for the instrument being traded; (2) alternative pricing points for similar instruments in active markets; and (3) the range of reasonable values that the price or parameter could take.

•The Firm manages certain portfolios of financial instruments on the basis of net open risk exposure and, as permitted by U.S. GAAP, has elected to estimate the fair value of such portfolios on the basis of a transfer of the entire net open risk position in an orderly transaction. Where this is the case, valuation adjustments may be necessary to reflect the cost of exiting a larger-than-normal market-size net open risk position. Where applied, such adjustments are

based on factors that a relevant market participant would consider in the transfer of the net open risk position, including the size of the adverse market move that is likely to occur during the period required to sufficiently reduce the net open risk position.

•Uncertainty adjustments related to unobservable parameters may be made when positions are valued using prices or input parameters to valuation models that are unobservable due to a lack of market activity or because they cannot be implied from observable market data. Such prices or parameters must be estimated and are, therefore, subject to management judgment. Adjustments are made to reflect the uncertainty inherent in the resulting valuation estimate.

•Where appropriate, the Firm also applies adjustments to its estimates of fair value in order to appropriately reflect counterparty credit quality (CVA), the Firm’s own creditworthiness (DVA) and the impact of funding (FVA), using a consistent framework across the Firm. Refer to Credit and funding adjustments on page 198 of this Note for more information on such adjustments.

Valuation model review and approval

If prices or quotes are not available for an instrument or a similar instrument, fair value is generally determined using valuation models that consider relevant transaction terms such as maturity and use as inputs market-based or independently sourced parameters. Where this is the case the price verification process described above is applied to the inputs in those models.

Under the Firm’s Estimations and Model Risk Management Policy, MRGR reviews and approves new models, as well as material changes to existing models, prior to implementation in the operating environment. In certain circumstances exceptions may be granted to the Firm’s policy to allow a model to be used prior to review or approval. MRGR may also require the user to take appropriate actions to mitigate the model risk if it is to be used in the interim. These actions will depend on the model and may include, for example, limitation of trading activity.

Fair value hierarchy

A three-level fair value hierarchy has been established under U.S. GAAP for disclosure of fair value measurements. The fair value hierarchy is based on the observability of inputs to the valuation of an asset or liability as of the measurement date. The three levels are defined as follows.

•Level 1 – inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets.

•Level 2 – inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

•Level 3 – one or more inputs to the valuation methodology are unobservable and significant to the fair value measurement.

A financial instrument’s categorization within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement.

The following table describes the valuation methodologies generally used by the Firm to measure its significant products/instruments at fair value, including the general classification of such instruments pursuant to the fair value hierarchy.

Product/instrument	Valuation methodology	Classifications in the fair value hierarchy
Securities financing agreements	Valuations are based on discounted cash flows, which consider:	Predominantly level 2
	• Derivative features: refer to the discussion of derivatives below for further information
	• Market rates for the respective maturity
	• Collateral characteristics
Loans and lending-related commitments — wholesale Loans carried at fair value (trading loans and non-trading loans) and associated lending-related commitments	Where observable market data is available, valuations are based on:	Level 2 or 3
	• Observed market prices (circumstances are infrequent)
	• Relevant broker quotes
	• Observed market prices for similar instruments
	Where observable market data is unavailable or limited, valuations are based on discounted cash flows, which consider the following:
	• Credit spreads derived from the cost of CDS; or benchmark credit curves developed by the Firm, by industry and credit rating
	• Prepayment speed
	• Collateral characteristics
Loans — consumer	Fair value is based on observable market prices for mortgage-backed securities with similar collateral and incorporates adjustments to these prices to account for differences between the securities and the value of the underlying loans, which include credit characteristics, portfolio composition, and liquidity.	Predominantly level 2
Loans carried at fair value — residential mortgage loans expected to be sold
Investment and trading securities	Quoted market prices	Level 1
	In the absence of quoted market prices, securities are valued based on:	Level 2 or 3
	• Observable market prices for similar securities
	• Relevant broker quotes
	• Discounted cash flows
	In addition, the following inputs to discounted cash flows are used for the following products:
	Mortgage- and asset-backed securities specific inputs:
	• Collateral characteristics
	• Deal-specific payment and loss allocations
	• Current market assumptions related to yield, prepayment speed, conditional default rates and loss severity
	Collateralized loan obligations (“CLOs”) specific inputs:
	• Collateral characteristics
	• Deal-specific payment and loss allocations
	• Expected prepayment speed, conditional default rates, loss severity
	• Credit spreads
	• Credit rating data
Physical commodities	Valued using observable market prices or data.	Predominantly Level 1 or 2

Product/instrument	Valuation methodology	Classifications in the fair value hierarchy
Derivatives	Actively traded derivatives, e.g., exchange-traded derivatives, that are valued using quoted prices.	Level 1
	Derivatives that are valued using models such as the Black-Scholes option pricing model, simulation models, or a combination of models that may use observable or unobservable valuation inputs as well as considering the contractual terms. The key valuation inputs used will depend on the type of derivative and the nature of the underlying instruments and may include equity prices, commodity prices, foreign exchange rates, volatilities, correlations, CDS spreads, recovery rates and prepayment speed.	Level 2 or 3
	In addition, specific inputs used for derivatives that are valued based on models with significant unobservable inputs are as follows:
	Interest rate and FX exotic derivatives specific inputs include:
	• Interest rate curve
	• Interest rate volatility
	• Interest rate spread volatility
	• Bermudan switch value
	• Interest rate correlation
	• Interest rate-FX correlation
	• Foreign exchange correlation
	Credit derivatives specific inputs include:
	• Credit correlation between the underlying debt instruments
	Equity derivatives specific inputs include:
	• Forward equity price
	• Equity volatility
	• Equity correlation
	• Equity-FX correlation
	• Equity-IR correlation
	Commodity derivatives specific inputs include:
	• Forward commodity price
	• Commodity volatility
	• Commodity correlation
	Additionally, adjustments are made to reflect counterparty credit quality (CVA) and the impact of funding (FVA). Refer to page 198 of this Note.
Mortgage servicing rights	Refer to Mortgage servicing rights in Note 15.	Level 3
Private equity direct investments	Fair value is estimated using all available information; the range of potential inputs include:	Level 2 or 3
	• Transaction prices
	• Trading multiples of comparable public companies
	• Operating performance of the underlying portfolio company
	• Adjustments as required, since comparable public companies are not identical to the company being valued, and for company-specific issues including lack of liquidity
	• Additional available inputs relevant to the investment

Product/instrument	Valuation methodology	Classification in the fair value hierarchy
Fund investments (e.g., mutual/collective investment funds, private equity funds, hedge funds, and real estate funds)	Net asset value
	• NAV is supported by the ability to redeem and purchase at the NAV level	Level 1
	• Adjustments to the NAV as required, for restrictions on redemption (e.g., lock-up periods or withdrawal limitations) or where observable activity is limited	Level 2 or 3(a)
Beneficial interests issued by consolidated VIEs	Valued using observable market information, where available.	Level 2 or 3
	In the absence of observable market information, valuations are based on the fair value of the underlying assets held by the VIE.
Structured notes (included in deposits, short-term borrowings and long-term debt)	Valuations are based on discounted cash flow analyses that consider the embedded derivative and the terms and payment structure of the note. The embedded derivative features are considered using models such as the Black-Scholes option pricing model, simulation models, or a combination of models that may use observable or unobservable valuation inputs, depending on the embedded derivative. The specific inputs used vary according to the nature of the embedded derivative features, as described in the discussion above regarding derivatives valuation. Adjustments are then made to this base valuation to reflect the Firm’s own credit risk (DVA). Refer to page 198 of this Note.	Level 2 or 3

(a)Excludes certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient.

The following table presents the assets and liabilities reported at fair value as of December 31, 2024 and 2023, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy
December 31, 2024 (in millions)	Level 1		Level 2		Level 3		Derivative netting adjustments(e)		Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	286,771	$	—	$	—	$	286,771
Securities borrowed	—		83,962		—		—		83,962
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		104,312		488		—		104,800
Residential – nonagency	—		2,282		5		—		2,287
Commercial – nonagency	—		1,283		10		—		1,293
Total mortgage-backed securities	—		107,877		503		—		108,380
U.S. Treasury, GSEs and government agencies(a)	150,580		11,702		—		—		162,282
Obligations of U.S. states and municipalities	—		6,100		1		—		6,101
Certificates of deposit, bankers’ acceptances and commercial paper	—		3,950		—		—		3,950
Non-U.S. government debt securities	34,108		54,335		152		—		88,595
Corporate debt securities	—		33,591		390		—		33,981
Loans	—		10,228		1,088		—		11,316
Asset-backed securities	—		2,813		10		—		2,823
Total debt instruments	184,688		230,596		2,144		—		417,428
Equity securities	130,307		1,359		62		—		131,728
Physical commodities(b)	5,957		1,533		26		—		7,516
Other	—		19,935		210		—		20,145
Total debt and equity instruments(c)	320,952		253,423		2,442		—		576,817
Derivative receivables:
Interest rate	4,934		282,019		3,781		(265,789)		24,945
Credit	—		10,379		708		(10,273)		814
Foreign exchange	196		261,520		1,204		(237,608)		25,312
Equity	—		82,855		2,365		(79,935)		5,285
Commodity	—		15,232		394		(11,015)		4,611
Total derivative receivables	5,130		652,005		8,452		(604,620)		60,967
Total trading assets(d)	326,082		905,428		10,894		(604,620)		637,784
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies(a)	—		91,893		—		—		91,893
Residential – nonagency	—		4,811		—		—		4,811
Commercial – nonagency	—		4,057		8		—		4,065
Total mortgage-backed securities	—		100,761		8		—		100,769
U.S. Treasury and government agencies	234,491		288		—		—		234,779
Obligations of U.S. states and municipalities	—		17,913		—		—		17,913
Non-U.S. government debt securities	23,973		12,272		—		—		36,245
Corporate debt securities	—		70		—		—		70
Asset-backed securities:
Collateralized loan obligations	—		14,943		—		—		14,943
Other(a)	—		2,133		—		—		2,133
Total available-for-sale securities	258,464		148,380		8		—		406,852
Loans(e)	—		38,934		2,416		—		41,350
Mortgage servicing rights	—		—		9,121		—		9,121
Other assets(d)	5,732		6,997		1,344		—		14,073
Total assets measured at fair value on a recurring basis	$	590,278	$	1,470,472	$	23,783	$	(604,620)	$	1,479,913
Deposits	$	—	$	31,583	$	2,185	$	—	$	33,768
Federal funds purchased and securities loaned or sold under repurchase agreements	—		226,329		—		—		226,329
Short-term borrowings	—		23,045		3,476		—		26,521
Trading liabilities:
Debt and equity instruments(c)	120,719		32,457		46		—		153,222
Derivative payables:
Interest rate	3,981		266,767		3,480		(264,989)		9,239
Credit	—		12,725		1,071		(11,898)		1,898
Foreign exchange	187		253,196		1,184		(238,970)		15,597
Equity	—		90,908		5,231		(87,491)		8,648
Commodity	—		14,021		467		(10,209)		4,279
Total derivative payables	4,168		637,617		11,433		(613,557)		39,661
Total trading liabilities	124,887		670,074		11,479		(613,557)		192,883
Accounts payable and other liabilities	3,100		2,717		76		—		5,893
Beneficial interests issued by consolidated VIEs	—		1		—		—		1
Long-term debt	—		66,216		34,564		—		100,780
Total liabilities measured at fair value on a recurring basis	$	127,987	$	1,019,965	$	51,780	$	(613,557)	$	586,175

	Fair value hierarchy
December 31, 2023 (in millions)	Level 1		Level 2		Level 3		Derivative netting adjustments(e)		Total 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 securities	24,846		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 instruments	158,843		192,217		2,138		—		353,198
Equity securities	107,926		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 rate	2,815		243,578		4,298		(224,367)		26,324
Credit	—		8,644		1,010		(9,103)		551
Foreign exchange	149		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 receivables	2,964		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 agencies	57,683		122		—		—		57,805
Obligations of U.S. states and municipalities	—		21,367		—		—		21,367
Non-U.S. government debt securities	13,095		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 securities	70,778		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 rate	4,409		232,277		3,796		(228,586)		11,896
Credit	—		11,293		745		(10,949)		1,089
Foreign exchange	147		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 payables	4,556		531,640		10,776		(506,125)		40,847
Total trading liabilities	111,848		563,892		10,813		(506,125)		180,428
Accounts payable and other liabilities	3,968		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 December 31, 2024 and 2023, included total U.S. GSE obligations of $120.1 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 5 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 both December 31, 2024 and 2023, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $1.0 billion, primarily reported in other assets.

(e)As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.

Level 3 valuations

The Firm has established well-structured processes for determining fair value, including for instruments where fair value is estimated using significant unobservable inputs (level 3). Refer to pages 181–185 of this Note for further information on the Firm’s valuation process and a detailed discussion of the determination of fair value for individual financial instruments.

Estimating fair value requires the application of judgment. The type and level of judgment required is largely dependent on the amount of observable market information available to the Firm. For instruments valued using internally developed valuation models and other valuation techniques that use significant unobservable inputs and are therefore classified within level 3 of the fair value hierarchy, judgments used to estimate fair value are more significant than those required when estimating the fair value of instruments classified within levels 1 and 2.

In arriving at an estimate of fair value for an instrument within level 3, management must first determine the appropriate valuation model or other valuation technique to use. Second, due to the lack of observability of significant inputs, management must assess relevant empirical data in deriving valuation inputs including transaction details, yield curves, interest rates, prepayment speed, default rates, volatilities, correlations, prices (such as commodity, equity or debt prices), valuations of comparable instruments, foreign exchange rates and credit curves.

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)
December 31, 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)	$	861	Discounted cash flows	Yield	0%	103%	8%
				Prepayment speed	3%	13%	8%
				Conditional default rate	0%	7%	0%
				Loss severity	0%	110%	5%
Commercial mortgage-backed securities and loans(c)	1,424		Market comparables	Price	$0	$90	$81
Corporate debt securities	390		Market comparables	Price	$0	$148	$95
Loans(d)	1,730		Market comparables	Price	$0	$107	$79
Non-U.S. government debt securities	152		Market comparables	Price	$0	$103	$95
Net interest rate derivatives	293		Option pricing	Interest rate volatility	9bps	1,097bps	115bps
				Interest rate spread volatility	37bps	77bps	64bps
				Bermudan switch value	0%	45%	17%
				Interest rate correlation	(82)%	97%	64%
				IR-FX correlation	(35)%	60%	8%
	8		Discounted cash flows	Prepayment speed	0%	21%	7%
Net credit derivatives	(393)		Discounted cash flows	Credit correlation	31%	79%	47%
				Credit spread	0bps	2,717bps	331bps
				Recovery rate	10%	90%	61%
	30		Market comparables	Price	$0	$115	$74
Net foreign exchange derivatives	62		Option pricing	IR-FX correlation	(40)%	60%	22%
	(42)		Discounted cash flows	Prepayment speed	11%		11%
				Interest rate curve	1%	27%	7%
Net equity derivatives	(2,866)		Option pricing	Forward equity price(h)	76%	153%	100%
				Equity volatility	5%	135%	32%
				Equity correlation	17%	100%	56%
				Equity-FX correlation	(80)%	65%	(32)%
				Equity-IR correlation	5%	25%	14%
Net commodity derivatives	(73)		Option pricing	Oil commodity forward	$87 / BBL	$291 / BBL	$160 / BBL
				Natural gas commodity forward	$2 / MMBTU	$7 / MMBTU	$4 / MMBTU
				Commodity volatility	2%	43%	5%
				Commodity correlation	(35)%	98%	(9)%
MSRs	9,121		Discounted cash flows	Refer to Note 15
Long-term debt, short-term borrowings, and deposits(e)	38,901		Option pricing	Interest rate volatility	9bps	1,097bps	115bps
				Bermudan switch value	0%	45%	17%
				Interest rate correlation	(82)%	97%	64%
				IR-FX correlation	(35)%	60%	8%
				Equity volatility	2%	137%	28%
				Equity correlation	17%	100%	56%
				Equity-FX correlation	(80)%	65%	(32)%
				Equity-IR correlation	5%	25%	14%
	1,324		Discounted cash flows	Credit correlation	30%	57%	46%
				Credit spread	2bps	270bps	83bps
				Recovery rate	20%	40%	35%
				Yield	5%	20%	10%
				Loss severity	0%	100%	50%
Other level 3 assets and liabilities, net(f)	1,531

(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 $488 million, nonagency securities of $5 million and non-trading loans of $368 million.

(c)Comprises nonagency securities of $18 million, trading loans of $65 million and non-trading loans of $1.3 billion.

(d)Comprises trading loans of $1.0 billion and non-trading loans of $707 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 $734 million including $672 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

The following discussion provides a description of the impact on a fair value measurement of a change in each unobservable input in isolation, and the interrelationship between unobservable inputs, where relevant and significant. The impact of changes in inputs may not be independent, as a change in one unobservable input may give rise to a change in another unobservable input. Where relationships do exist between two unobservable inputs, those relationships are discussed below. Relationships may also exist between observable and unobservable inputs (for example, as observable interest rates rise, unobservable prepayment rates decline); such relationships have not been included in the discussion below. In addition, for each of the individual relationships described below, the inverse relationship would also generally apply.

The following discussion also provides 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.

Yield – The yield of an asset is the interest rate used to discount future cash flows in a discounted cash flow calculation. An increase in the yield, in isolation, would result in a decrease in a fair value measurement.

Credit spread – The credit spread is the amount of additional annualized return over the market interest rate that a market participant would demand for taking exposure to the credit risk of an instrument. The credit spread for an instrument forms part of the discount rate used in a discounted cash flow calculation. Generally, an increase in the credit spread would result in a decrease in a fair value measurement.

The yield and the credit spread of a particular mortgage-backed security primarily reflect the risk inherent in the instrument. The yield is also impacted by the absolute level of the coupon paid by the instrument (which may not correspond directly to the level of inherent risk). Therefore, the range of yield and credit spreads reflects the range of risk inherent in various instruments owned by the Firm. The risk inherent in mortgage-backed securities is driven by the subordination of the security being valued and the characteristics of the underlying mortgages within the collateralized pool, including borrower FICO scores, LTV ratios for residential mortgages and the nature of the property and/or any tenants for commercial mortgages. For corporate debt securities, obligations of U.S. states and municipalities and other similar instruments, credit spreads reflect the credit quality of the obligor and the tenor of the obligation.

Prepayment speed – The prepayment speed is a measure of the voluntary unscheduled principal repayments of a prepayable obligation in a collateralized pool. Prepayment speeds generally decline as borrower delinquencies rise. An increase in prepayment speeds, in isolation, would result in a decrease in a fair value measurement of assets valued at a premium to par and an increase in a fair value measurement of assets valued at a discount to par.

Prepayment speeds may vary from collateral pool to collateral pool, and are driven by the type and location of the underlying borrower, and the remaining tenor of the obligation as well as the level and type (e.g., fixed or floating) of interest rate being paid by the borrower. Typically collateral pools with higher borrower credit quality have a higher prepayment rate than those with lower borrower credit quality, all other factors being equal.

Conditional default rate – The conditional default rate is a measure of the reduction in the outstanding collateral balance underlying a collateralized obligation as a result of defaults. While there is typically no direct relationship between conditional default rates and prepayment speeds, collateralized obligations for which the underlying collateral has high prepayment speeds will tend to have lower conditional default rates. An increase in conditional default rates would generally be accompanied by an increase in loss severity and an increase in credit spreads. An increase in the conditional default rate, in isolation, would result in a decrease in a fair value measurement. Conditional default rates reflect the quality of the collateral underlying a securitization and the structure of the securitization itself. Based on the types of securities owned in the Firm’s market-making portfolios, conditional default rates are most typically at the lower end of the range presented.

Loss severity – The loss severity (the inverse concept is the recovery rate) is the expected amount of future realized losses resulting from the ultimate liquidation of a particular loan, expressed as the net amount of loss relative to the outstanding loan balance. An increase in loss severity is generally accompanied by an increase in conditional default rates. An increase in the loss severity, in isolation, would result in a decrease in a fair value measurement.

The loss severity applied in valuing a mortgage-backed security depends on factors relating to the underlying mortgages, including the LTV ratio, the nature of the lender’s lien on the property and other instrument-specific factors.

Correlation – Correlation is a measure of the relationship between the movements of two variables. Correlation is a pricing input for a derivative product where the payoff is driven by one or more underlying risks. Correlation inputs are related to the type of derivative (e.g., interest rate, credit, equity, foreign exchange and commodity) due to the nature of the underlying risks. When parameters are positively correlated, an increase in one parameter will result in an increase in the other parameter. When parameters are negatively correlated, an increase in one parameter will result in a decrease in the other parameter. An increase in correlation can result in an increase or a decrease in a fair value measurement. Given a short correlation position, an increase in correlation, in isolation, would generally result in a decrease in a fair value measurement.

The level of correlation used in the valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks. For example, the correlation between two credit risk exposures would be different than that between two interest rate risk exposures. Similarly, the tenor of the transaction may also impact the correlation input, as the relationship between the underlying risks may be different over different time periods. Furthermore, correlation levels are dependent on market conditions and could have a relatively wide range of levels within or across asset classes over time, particularly in volatile market conditions.

Volatility – Volatility is a measure of the variability in possible returns for an instrument, parameter or market index given how much the particular instrument, parameter or index changes in value over time. Volatility is a pricing input for options, including equity options, commodity options, and interest rate options. Given a long position in an option, an increase in volatility, in isolation, would generally result in an increase in a fair value measurement.

The level of volatility used in the valuation of a particular option-based derivative depends on a number of factors, including the nature of the risk underlying the option (e.g., the volatility of a particular equity security may be significantly different from that of a particular commodity index), the tenor of the derivative as well as the strike price of the option.

Bermudan switch value – The switch value is the difference between the overall value of a Bermudan swaption, which can be exercised at multiple points in time, and its most expensive European swaption and reflects the additional value that the multiple exercise dates provide the holder. Switch values are dependent on market conditions and can vary greatly depending on a number of factors, such as the tenor of the underlying swap as well as the strike price of the option. An increase in switch value, in isolation, would generally result in an increase in a fair value measurement.

Interest rate curve – The interest rate curve represents the relationship of interest rates over differing tenors. The interest rate curve is used to set interest rate and foreign exchange derivative cash flows and is also a pricing input used in the discounting of any derivative cash flow.

Forward price – The forward price is the price at which the buyer agrees to purchase the asset underlying a forward contract on the predetermined future delivery date, and is such that the value of the contract is zero at inception.

The forward price is used as an input in the valuation of certain derivatives and depends on a number of factors including interest rates, the current price of the underlying asset, and the expected income to be received and costs to be incurred by the seller as a result of holding that asset until the delivery date. An increase in the forward can result in an increase or a decrease in a fair value measurement.

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 years ended December 31, 2024, 2023 and 2022. 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
Year ended December 31, 2024 (in millions)	Fair value at Jan. 1, 2024		Total realized/unrealized gains/(losses)											Transfers into   level 3		Transfers (out of) level 3		Fair value at Dec. 31, 2024		Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 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		18			46		(260)				(81)		7		—		488		(3)
Residential – nonagency	5		7			—		(5)				(2)		4		(4)		5		—
Commercial – nonagency	12		(2)			—		—				—		—		—		10		(1)
Total mortgage-backed securities	775		23			46		(265)				(83)		11		(4)		503		(4)
Obligations of U.S. states and municipalities	10		—			—		—				(3)		—		(6)		1		—
Non-U.S. government debt securities	179		(6)			175		(183)				—		17		(30)		152		(10)
Corporate debt securities	484		36			459		(354)				(181)		13		(67)		390		45
Loans	684		63			800		(642)				(74)		839		(582)		1,088		29
Asset-backed securities	6		—			9		(5)				(8)		8		—		10		—
Total debt instruments	2,138		116			1,489		(1,449)				(349)		888		(689)		2,144		60
Equity securities	127		(21)			138		(123)				(1)		85		(143)		62		(308)
Physical commodities	7		17			3		—				(1)		—		—		26		16
Other	101		144			53		—				(68)		28		(48)		210		108
Total trading assets – debt and equity instruments	2,373		256		(c)	1,683		(1,572)				(419)		1,001		(880)		2,442		(124)		(c)
Net derivative receivables:(b)
Interest rate	502		745			387		(197)				(608)		(172)		(356)		301		(362)
Credit	265		(208)			(2)		(17)				(333)		(61)		(7)		(363)		(265)
Foreign exchange	62		248			178		(538)				(30)		128		(28)		20		353
Equity	(2,402)		(321)			904		(2,488)				953		(91)		579		(2,866)		783
Commodity	(279)		64			32		(215)				310		15		—		(73)		102
Total net derivative receivables	(1,852)		528		(c)	1,499		(3,455)				292		(181)		188		(2,981)		611		(c)
Available-for-sale securities:
Mortgage-backed securities:
Commercial – nonagency	—		—			—		—				—		8		—		8		—
Corporate debt securities	—		—			—		—				—		—		—		—		—
Total available-for-sale securities	—		—		(d)	—		—				—		8		—		8		—		(d)
Loans	3,079		266		(c)	431		(756)				(993)		816		(427)		2,416		251		(c)
Mortgage servicing rights	8,522		762		(e)	926		(21)				(1,068)		—		—		9,121		762		(e)
Other assets	758		105		(c)	623		(62)				(58)		5		(27)		1,344		88		(c)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2024 (in millions)	Fair value at Jan. 1, 2024		Total realized/unrealized (gains)/losses													Transfers (out of) level 3		Fair value at Dec. 31, 2024		Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2024
						Purchases		Sales		Issuances		Settlements(h)		Transfers into level 3
Liabilities:(a)
Deposits	$	1,833	$	(14)	(c)(f)	$	—	$	—	$	2,006	$	(1,522)	$	34	$	(152)	$	2,185	$	(44)	(c)(f)
Short-term borrowings	1,758		180		(c)(f)	—		—		7,752		(6,230)		23		(7)		3,476		58		(c)(f)
Trading liabilities – debt and equity instruments	37		(47)		(c)	(45)		70		—		—		48		(17)		46		18		(c)
Accounts payable and other liabilities	52		(6)		(c)	(35)		63		—		—		5		(3)		76		(6)		(c)
Long-term debt	27,726		1,475		(c)(f)	—		—		23,920		(18,432)		738		(863)		34,564		1,212		(c)(f)

	Fair value measurements using significant unobservable inputs
Year ended December 31, 2023 (in millions)	Fair value at Jan. 1, 2023		Total realized/unrealized gains/(losses)													Transfers (out of) level 3		Fair value at Dec. 31, 2023		Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2023
						Purchases(g)		Sales				Settlements(h)		Transfers into level 3
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		4			249		(133)				(107)		—		(14)		758		1
Residential – nonagency	5		6			—		(6)				(1)		1		—		5		1
Commercial – nonagency	7		6			—		—				(1)		8		(8)		12		7
Total mortgage-backed securities	771		16			249		(139)				(109)		9		(22)		775		9
Obligations of U.S. states and municipalities	7		—			1		—				(1)		3		—		10		—
Non-U.S. government debt securities	155		74			217		(254)				—		22		(35)		179		74
Corporate debt securities	463		36			322		(172)				(41)		114		(238)		484		35
Loans	759		(15)			1,027		(499)				(441)		382		(529)		684		30
Asset-backed securities	23		—			7		(12)				(1)		5		(16)		6		—
Total debt instruments	2,178		111			1,823		(1,076)				(593)		535		(840)		2,138		148
Equity securities	665		(53)			164		(239)				(384)		192		(218)		127		(422)
Physical commodities	2		—			7		—				(2)		—		—		7		—
Other	64		(58)			141		—				(5)		1		(42)		101		(28)
Total trading assets – debt and equity instruments	2,909		—			2,135		(1,315)				(984)		728		(1,100)		2,373		(302)		(c)
Net derivative receivables:(b)
Interest rate	701		556			251		(255)				654		(1,117)		(288)		502		419
Credit	13		304			(60)		(25)				47		15		(29)		265		230
Foreign exchange	489		31			151		(144)				(187)		144		(422)		62		(80)
Equity	(384)		191			928		(1,931)				(1,306)		700		(600)		(2,402)		(646)
Commodity	(146)		(59)			59		(290)				(51)		(11)		219		(279)		(144)
Total net derivative receivables	673		1,023		(c)	1,329		(2,645)				(843)		(269)		(1,120)		(1,852)		(221)		(c)
Available-for-sale securities:
Mortgage-backed securities:
Commercial – nonagency	—		—			—		—				—		—		—		—		—
Corporate debt securities	239		24			—		(225)				—		—		(38)		—		—
Total available-for-sale securities	239		24		(d)	—		(225)				—		—		(38)		—		—		(d)
Loans	1,418		289		(c)	2,398		(120)				(1,147)		1,306		(1,065)		3,079		293		(c)
Mortgage servicing rights	7,973		467		(e)	1,281		(188)				(1,011)		—		—		8,522		467		(e)
Other assets	405		(36)		(c)	525		(20)				(147)		45		(14)		758		(82)		(c)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2023 (in millions)	Fair value at Jan. 1, 2023		Total realized/unrealized (gains)/losses													Transfers (out of) level 3		Fair value at Dec. 31, 2023		Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2023
						Purchases		Sales		Issuances		Settlements(h)		Transfers into level 3
Liabilities:(a)
Deposits	$	2,162	$	95	(c)(f)	$	—	$	—	$	940	$	(1,043)	$	—	$	(321)	$	1,833	$	73	(c)(f)
Short-term borrowings	1,401		201		(c)(f)	—		—		4,522		(4,345)		3		(24)		1,758		14		(c)(f)
Trading liabilities – debt and equity instruments	84		(21)		(c)	(32)		9		—		(2)		19		(20)		37		—
Accounts payable and other liabilities	53		(4)		(c)	(16)		24		—		—		8		(13)		52		(4)		(c)
Long-term debt	24,092		3,010		(c)(f)	—		—		12,679		(11,555)		229		(729)		27,726		2,870		(c)(f)

	Fair value measurements using significant unobservable inputs
Year ended December 31, 2022 (in millions)	Fair value at Jan. 1, 2022		Total realized/unrealized gains/(losses)													Transfers (out of) level 3		Fair value at Dec. 31, 2022		Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2022
						Purchases(g)		Sales				Settlements(h)		Transfers into level 3
Assets:(a)
Federal funds sold and securities purchased under resale agreements	$	—	$	—		$	1	$	(1)			$	(1)	$	1	$	—	$	—	$	—
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	265		31			673		(125)				(84)		4		(5)		759		29
Residential – nonagency	28		(1)			7		(5)				(12)		—		(12)		5		—
Commercial – nonagency	10		—			—		(1)				—		3		(5)		7		—
Total mortgage-backed securities	303		30			680		(131)				(96)		7		(22)		771		29
Obligations of U.S. states and municipalities	7		—			—		—				—		—		—		7		—
Non-U.S. government debt securities	81		(92)			494		(338)				(4)		84		(70)		155		(153)
Corporate debt securities	332		(30)			404		(178)				(100)		357		(322)		463		(48)
Loans	708		(51)			652		(605)				(230)		925		(640)		759		(26)
Asset-backed securities	26		5			19		(24)				(1)		5		(7)		23		1
Total debt instruments	1,457		(138)			2,249		(1,276)				(431)		1,378		(1,061)		2,178		(197)
Equity securities	662		(1,036)			473		(377)				(2)		1,066		(121)		665		(840)
Physical commodities	—		(1)			3		—				—		—		—		2		(1)
Other	160		93			37		—				(221)		1		(6)		64		46
Total trading assets – debt and equity instruments	2,279		(1,082)		(c)	2,762		(1,653)				(654)		2,445		(1,188)		2,909		(992)		(c)
Net derivative receivables:(b)
Interest rate	(16)		187			325		(483)				329		732		(373)		701		332
Credit	74		226			17		(9)				(271)		5		(29)		13		170
Foreign exchange	(419)		726			215		(114)				83		3		(5)		489		459
Equity	(3,626)		5,016			1,226		(2,530)				96		(656)		90		(384)		3,435
Commodity	(907)		571			110		(331)				350		5		56		(146)		369
Total net derivative receivables	(4,894)		6,726		(c)	1,893		(3,467)				587		89		(261)		673		4,765		(c)
Available-for-sale securities:
Mortgage-backed securities:
Commercial – nonagency	—		—			—		—				—		—		—		—		—
Corporate debt securities	161		5			88		—				(15)		—		—		239		5
Total available-for-sale securities	161		5		(d)	88		—				(15)		—		—		239		5		(d)
Loans	1,933		(158)		(c)	568		(261)				(886)		1,053		(831)		1,418		(76)		(c)
Mortgage servicing rights	5,494		2,039		(e)	2,198		(822)				(936)		—		—		7,973		2,039		(e)
Other assets	306		194		(c)	50		(38)				(103)		2		(6)		405		191		(c)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2022 (in millions)	Fair value at Jan. 1, 2022		Total realized/unrealized (gains)/losses											Transfers into level 3		Transfers (out of) level 3		Fair value at Dec. 31, 2022		Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2022
						Purchases		Sales		Issuances		Settlements(h)
Liabilities:(a)
Deposits	$	2,317	$	(292)	(c)(f)	$	—	$	—	$	531	$	(114)	$	—	$	(280)	$	2,162	$	(76)	(c)(f)
Short-term borrowings	2,481		(358)		(c)(f)	—		—		3,963		(4,685)		15		(15)		1,401		90		(c)(f)
Trading liabilities – debt and equity instruments	30		(31)		(c)	(41)		77		—		—		57		(8)		84		101		(c)
Accounts payable and other liabilities	69		(16)		(c)	(37)		42		—		—		1		(6)		53		(16)		(c)
Long-term debt	24,374		(3,869)		(c)(f)	—		—		12,714		(8,876)		793		(1,044)		24,092		(3,447)		(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 December 31, 2024, 2023 and 2022. Level 3 liabilities at fair value as a percentage of total Firm liabilities at fair value (including liabilities measured at fair value on a nonrecurring basis) were 9% at December 31, 2024, and 8% at both December 31, 2023 and 2022.

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

(c)Primarily 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 for the years ended December 31, 2024, 2023 and 2022.

(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 years ended December 31, 2024, 2023 and 2022. Unrealized (gains)/losses are reported in OCI, and were $(50) million, $(158) million and $(529) million for the years ended December 31, 2024, 2023 and 2022, 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 199 for further information on changes impacting items measured at fair value on a nonrecurring basis.

For the year ended December 31, 2024

Level 3 assets were $23.8 billion at December 31, 2024, reflecting an increase of $127 million from December 31, 2023.

The increase for the year ended December 31, 2024 was driven by:

•$599 million increase in MSRs.

•$586 million increase in other assets primarily due to purchases,

offset by:

•$472 million decrease in gross derivative receivables due to sales and settlements predominantly offset by gains, purchases and net transfers.

•$663 million decrease in non-trading loans due to sales and settlements largely offset by gains, purchases and net transfers.

Refer to Note 15 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

During the year ended December 31, 2024, significant transfers from level 2 into level 3 included the following:

•$1.0 billion of total debt and equity instruments, predominantly trading loans, driven by a decrease in observability.

•$959 million of gross interest rate derivative receivables and $1.1 billion of gross interest rate derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.

•$1.6 billion of gross equity derivative receivables and $1.7 billion of gross equity derivative payables as a

result of a decrease in observability and an increase in the significance of unobservable inputs.

•$816 million of non-trading loans driven by a decrease in observability.

During the year ended December 31, 2024, significant transfers from level 3 into level 2 included the following:

•$880 million of total debt and equity instruments, predominantly trading loans and equity securities, driven by an increase in observability.

•$1.4 billion of gross equity derivative receivables and $2.0 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

•$863 million of long-term debt as a result of an increase in observability and a decrease in the significance of unobservable inputs.

During the year ended December 31, 2023, significant transfers from level 2 into level 3 included the following:

•$951 million of gross interest rate derivative receivables as a result of a decrease in observability and an increase in the significance of unobservable inputs and $2.1 billion of gross interest rate derivative payables as a result of transition to term SOFR for certain interest rate options.

•$1.5 billion of gross equity derivative receivables and $829 million of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.

•$1.3 billion of non-trading loans driven by a decrease in observability.

During the year ended December 31, 2023, significant transfers from level 3 into level 2 included the following:

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

•$921 million of gross interest rate derivative receivables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

•$2.3 billion of gross equity derivative receivables and $1.7 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

•$1.1 billion of non-trading loans as a result of an increase in observability and a decrease in the significance of unobservable inputs.

During the year ended December 31, 2022, significant transfers from level 2 into level 3 included the following:

•$2.4 billion of total debt and equity instruments, predominantly due to equity securities of $1.1 billion driven by a decrease in observability predominantly as a result of restricted access to certain markets and trading loans of $925 million driven by a decrease in observability.

•$1.6 billion of gross interest rate derivative receivables and $878 million of gross interest rate derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.

•$1.6 billion of gross equity derivative receivables and $2.3 billion of gross equity derivative payables as a result of a decrease in observability and an increase in the significance of unobservable inputs.

•$1.1 billion of non-trading loans driven by a decrease in observability.

•$793 million of long-term debt driven by a decrease in observability and an increase in the significance of unobservable inputs for structured notes.

During the year ended December 31, 2022, significant transfers from level 3 into level 2 included the following:

•$1.2 billion of total debt and equity instruments, largely due to trading loans, driven by an increase in observability.

•$1.2 billion of gross interest rate derivative receivables and $807 million of gross interest rate derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

•$2.2 billion of gross equity derivative receivables and $2.3 billion of gross equity derivative payables as a result of an increase in observability and a decrease in the significance of unobservable inputs.

•$831 million of non-trading loans driven by an increase in observability.

•$1.0 billion of long-term debt driven by an increase in observability and a decrease in the significance of unobservable inputs for structured notes.

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

Gains and losses

The following describes significant components of total realized/unrealized gains/(losses) for instruments measured at fair value on a recurring basis for the years ended December 31, 2024, 2023 and 2022. 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 192–196 for further information on these instruments.

2024

•$1.9 billion of net gains on assets, predominantly driven by gains in net interest rate derivative receivables due to market movements and gains in MSRs reflecting lower prepayment speeds on higher rates.

•$1.6 billion of net losses on liabilities, predominantly driven by losses in long-term debt due to market movements.

2023

•$1.8 billion of net gains on assets, largely driven by gains in net interest rate derivative receivables due to market movements and gains in MSRs reflecting lower prepayment speeds on higher rates.

•$3.3 billion of net losses on liabilities, predominantly driven by losses in long-term debt due to market movements.

2022

•$7.7 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.

•$4.6 billion of net gains on liabilities, predominantly driven by a decline in the fair value of long-term debt due to market movements.

Refer to Note 15 for information on MSRs.

Credit and funding adjustments – derivatives

Derivatives are generally valued using models that use as their basis observable market parameters. These market parameters generally do not consider factors such as counterparty nonperformance risk, the Firm’s own credit quality, and funding costs. Therefore, it is generally necessary to make adjustments to the base estimate of fair value to reflect these factors.

CVA represents the adjustment, relative to the relevant benchmark interest rate, necessary to reflect counterparty nonperformance risk. The Firm estimates CVA using a scenario analysis to estimate the expected positive credit exposure across all of the Firm’s existing positions with each counterparty, and then estimates losses based on the probability of default and estimated recovery rate as a result of a counterparty credit event considering contractual factors designed to mitigate the Firm’s credit exposure, such as collateral and legal rights of offset. The key inputs to this methodology are (i) the probability of a default event occurring for each counterparty, as derived from observed or estimated CDS spreads; and (ii) estimated recovery rates implied by CDS spreads, adjusted to consider the differences in recovery rates as a derivative creditor relative to those reflected in CDS spreads, which generally reflect senior unsecured creditor risk.

FVA represents the adjustment to reflect the impact of funding and is recognized where there is evidence that a market participant in the principal market would incorporate it in a transfer of the instrument. The Firm’s FVA framework, applied to uncollateralized (including partially collateralized) over-the-counter (“OTC”) derivatives incorporates key inputs such as: (i) the expected funding requirements arising from the Firm’s positions with each counterparty and collateral arrangements; and (ii) the estimated market funding cost in the principal market which, for derivative liabilities, considers the Firm’s credit risk (DVA). For collateralized derivatives, the fair value is estimated by discounting expected future cash flows at the relevant overnight indexed swap rate given the underlying collateral agreement with the counterparty, and therefore a separate FVA is not necessary.

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.

Year ended December 31, (in millions)	2024		2023		2022
Credit and funding adjustments:
Derivatives CVA	$	29	$	221	$	22
Derivatives FVA	99		114		42

Valuation adjustments on fair value option elected liabilities

The valuation of the Firm’s liabilities for which the fair value option has been elected requires consideration of the Firm’s own credit risk. DVA on fair value option elected liabilities reflects changes (subsequent to the issuance of the liability) in the Firm’s probability of default and LGD, which are estimated based on changes in the Firm’s credit spread observed in the bond market. Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue. Unrealized (gains)/losses are reported in OCI. Refer to page 196 in this Note and Note 24 for further information.

Assets and liabilities measured at fair value on a nonrecurring basis

The following tables present the assets held as of December 31, 2024 and 2023, for which nonrecurring fair value adjustments were recorded during the years ended December 31, 2024 and 2023, by major product category and fair value hierarchy. There were no liabilities measured at fair value on a nonrecurring basis at both December 31, 2024 and 2023.

December 31, 2024 (in millions)	Fair value hierarchy						Total fair value
	Level 1		Level 2		Level 3
Loans	$	—	$	738	$	694	$	1,432
Other assets(a)	—		9		1,048		1,057
Total assets measured at fair value on a nonrecurring basis	$	—	$	747	$	1,742	$	2,489

December 31, 2023 (in millions)	Fair value hierarchy						Total fair value
	Level 1		Level 2		Level 3
Loans	$	—	$	599	$	1,156	$	1,755
Other assets	—		52		1,334		1,386
Total assets measured at fair value on a nonrecurring basis	$	—	$	651	$	2,490	$	3,141

(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 $1.0 billion in level 3 assets measured at fair value on a nonrecurring basis as of December 31, 2024, $668 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 years ended December 31, 2024, 2023 and 2022, related to assets and liabilities held at those dates.

December 31, (in millions)	2024		2023		2022
Loans	$	(302)	$	(276)	$	(55)
Other assets(a)	(610)		(789)		(409)
Accounts payable and other liabilities	—		—		(83)
Total nonrecurring fair value gains/(losses)	$	(912)	$	(1,065)	$	(547)

(a)Included $(197) million, $(232) million and $(338) million for the years ended December 31, 2024, 2023 and 2022, 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 December 31, 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.

As of or for the year ended December 31,
(in millions)	2024		2023
Other assets
Carrying value(a)	$	3,737	$	4,457
Upward carrying value changes(b)	89		93
Downward carrying value changes/impairment(c)	(286)		(325)

(a)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 December 31, 2024 were $1.1 billion.

(c)The cumulative downward carrying value changes/impairment between January 1, 2018 and December 31, 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 (“Visa B shares”) reflected in the Firm's principal investment portfolio as of December 31, 2024 and 2023, respectively.

The Visa B 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”), resulting in an initial gain of $8.0 billion based on the fair value of the Visa C shares. In addition, the second quarter of 2024 also reflected other Visa-related activity, including the fair value changes of the Visa C shares and derivative instruments, as well as dividends, resulting in the $7.9 billion net gain on Visa shares in the quarter. As of September 30, 2024, the Firm had disposed of all of its Visa C shares through sales in the second and third quarters of 2024 and through a $1.0 billion contribution to the Firm’s Foundation in the second quarter of 2024.

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. The conversion rate of Visa B-2 shares to Visa A shares was 1.5430 at December 31, 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 December 31, 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.

Separately, in connection with sales of Visa B shares prior to 2024, 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. Under the terms of the derivative instruments, the Firm will (a) make or receive payments based on subsequent changes in the conversion rate and (b) make periodic interest payments to the purchasers of the Visa B shares. The payments under the derivative instruments will continue as long as the Visa B-2 shares associated with the previously sold Visa B shares remain subject to transfer restrictions. The derivative instruments are accounted for at fair value using a discounted cash flow methodology based upon the Firm’s estimate of the timing and magnitude of final resolution of the litigation matters. The derivative instruments are recorded in trading liabilities, and changes in fair value are recognized in other income. The notional amount of shares associated with those derivative instruments has been adjusted as a result of the Visa exchange offer. As of December 31, 2024, the Firm held derivative instruments associated with 11.6 million Visa B-2 shares related to Visa B share sales prior to 2024, which are all subject to similar terms and conditions.

Additional disclosures about the fair value of financial instruments that are not carried on the Consolidated balance sheets at fair value

U.S. GAAP requires disclosure of the estimated fair value of certain financial instruments, which are included in the following table. However, this table does not include other items, such as nonfinancial assets, intangible assets, certain financial instruments, and customer relationships. In the opinion of management, these items, in the aggregate, add significant value to JPMorganChase.

Financial instruments for which carrying value approximates fair value

Certain financial instruments that are not carried at fair value on the Consolidated balance sheets are carried

at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk. These instruments include cash and due from banks, deposits with banks, federal funds sold, securities purchased under resale agreements and securities borrowed, short-term receivables and accrued interest receivable, short-term borrowings, federal funds purchased, securities loaned and sold under repurchase agreements, accounts payable, and accrued liabilities. In addition, U.S. GAAP requires that the fair value of deposit liabilities with no stated maturity (i.e., demand, savings and certain money market deposits) be equal to their carrying value; recognition of the inherent funding value of these instruments is not permitted.

The following table presents, by fair value hierarchy classification, the carrying values and estimated fair values at December 31, 2024 and 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.

	December 31, 2024										December 31, 2023
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value		Level 1		Level 2		Level 3		Total estimated fair value
Financial assets
Cash and due from banks	$	23.4	$	23.4	$	—	$	—	$	23.4	$	29.1	$	29.1	$	—	$	—	$	29.1
Deposits with banks	445.9		445.8		0.1		—		445.9		595.1		594.6		0.5		—		595.1
Accrued interest and accounts receivable	101.1		—		101.0		0.1		101.1		107.1		—		107.0		0.1		107.1
Federal funds sold and securities purchased under resale agreements	8.2		—		8.2		—		8.2		16.3		—		16.3		—		16.3
Securities borrowed	135.6		—		135.6		—		135.6		130.3		—		130.3		—		130.3
Investment securities, held-to-maturity	274.5		97.4		150.5		—		247.9		369.8		160.6		182.2		—		342.8
Loans, net of allowance for loan losses(a)	1,282.3		—		268.7		1,007.8		1,276.5		1,262.5		—		285.6		964.6		1,250.2
Other	82.7		—		81.3		1.6		82.9		76.1		—		74.9		1.4		76.3
Financial liabilities
Deposits	$	2,372.3	$	—	$	2,372.5	$	—	$	2,372.5	$	2,322.3	$	—	$	2,322.6	$	—	$	2,322.6
Federal funds purchased and securities loaned or sold under repurchase agreements	70.5		—		70.5		—		70.5		47.5		—		47.5		—		47.5
Short-term borrowings	26.4		—		26.3		—		26.3		24.7		—		24.7		—		24.7
Accounts payable and other liabilities(b)	232.8		—		219.6		12.6		232.2		241.8		—		233.3		8.1		241.4
Beneficial interests issued by consolidated VIEs	27.3		—		27.4		—		27.4		23.0		—		23.0		—		23.0
Long-term debt	300.6		—		251.2		50.7		301.9		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.

	December 31, 2024										December 31, 2023
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value(a)(b)(c)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a)(b)(c)		Level 1		Level 2		Level 3		Total estimated fair value
Wholesale lending-related commitments	$	2.7	$	—	$	—	$	4.4	$	4.4	$	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 December 31, 2024 and 2023, included fair value adjustments associated with First Republic for other unfunded commitments to extend credit totaling $699 million and $1.1 billion, respectively, recorded in accounts payable and other liabilities on the Consolidated balance sheets. Refer to Notes 28 and 34 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 with or without notice to the borrower, as permitted by law, or in accordance with the contract. Refer to page 183 of this Note for a further discussion of the valuation of lending-related commitments.