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Fair Value Measurement

3 Months Ended

Mar. 31, 2020

Fair value measurement

Refer to Note 2 of JPMorgan Chase’s 2019 Form 10-K for a discussion of the Firm’s valuation methodologies for assets, liabilities and lending-related commitments measured at fair value and the fair value hierarchy.

The following table presents the assets and liabilities reported at fair value as of March 31, 2020, and December 31, 2019, by major product category and fair value hierarchy.



Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy						Derivative netting adjustments^(f)

March 31, 2020 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	235,859	$	—	$	—		$	235,859
Securities borrowed	—		51,576		—		—			51,576
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies^(a)	—		87,669		519		—			88,188
Residential – nonagency	—		2,665		24		—			2,689
Commercial – nonagency	—		2,250		3		—			2,253
Total mortgage-backed securities	—		92,584		546		—			93,130
U.S. Treasury, GSEs and government agencies^(a)	91,922		12,722		—		—			104,644
Obligations of U.S. states and municipalities	—		6,489		9		—			6,498
Certificates of deposit, bankers’ acceptances and commercial paper	—		3,769		—		—			3,769
Non-U.S. government debt securities	37,860		47,058		175		—			85,093
Corporate debt securities	—		22,192		953		—			23,145
Loans^(b)	—		42,754		3,354		—			46,108
Asset-backed securities	—		2,739		52		—			2,791
Total debt instruments	129,782		230,307		5,089		—			365,178
Equity securities	82,500		97		213		—			82,810
Physical commodities^(c)	4,684		2,498		—		—			7,182
Other	—		11,494		221		—			11,715
Total debt and equity instruments^(d)	216,966		244,396		5,523		—			466,885
Derivative receivables:
Interest rate	7,333		392,863		2,307		(365,602		)	36,901
Credit	—		19,252		828		(18,895		)	1,185
Foreign exchange	288		242,180		1,054		(224,539		)	18,983
Equity	—		91,010		5,135		(82,930		)	13,215
Commodity	—		37,309		346		(26,291		)	11,364
Total derivative receivables	7,621		782,614		9,670		(718,257		)	81,648
Total trading assets^(e)	224,587		1,027,010		15,193		(718,257		)	548,533
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies^(a)	—		135,620		—		—			135,620
Residential – nonagency	—		15,443		—		—			15,443
Commercial – nonagency	—		6,313		—		—			6,313
Total mortgage-backed securities	—		157,376		—		—			157,376
U.S. Treasury and government agencies	150,235		—		—		—			150,235
Obligations of U.S. states and municipalities	—		30,545		—		—			30,545
Certificates of deposit	—		76		—		—			76
Non-U.S. government debt securities	13,192		9,569		—		—			22,761
Corporate debt securities	—		802		—		—			802
Asset-backed securities:
Collateralized loan obligations	—		30,975		—		—			30,975
Other	—		7,174		—		—			7,174
Total available-for-sale securities	163,427		236,517		—		—			399,944
Loans	—		5,931		283		—			6,214
Mortgage servicing rights	—		—		3,267		—			3,267
Other assets^(e)	6,923		12,724		416		—			20,063
Total assets measured at fair value on a recurring basis	$	394,937	$	1,569,617	$	19,159	$	(718,257	)	$	1,265,456
Deposits	$	—	$	19,430	$	3,179	$	—		$	22,609
Federal funds purchased and securities loaned or sold under repurchase agreements	—		194,690		—		—			194,690
Short-term borrowings	—		22,281		2,039		—			24,320
Trading liabilities:
Debt and equity instruments^(d)	95,909		23,139		61		—			119,109
Derivative payables:
Interest rate	8,752		353,858		2,443		(351,654		)	13,399
Credit	—		19,939		939		(18,766		)	2,112
Foreign exchange	283		253,779		1,981		(232,749		)	23,294
Equity	—		88,241		5,961		(82,165		)	12,037
Commodity	—		39,229		771		(25,755		)	14,245
Total derivative payables	9,035		755,046		12,095		(711,089		)	65,087
Total trading liabilities	104,944		778,185		12,156		(711,089		)	184,196
Accounts payable and other liabilities	3,407		709		15		—			4,131
Beneficial interests issued by consolidated VIEs	—		77		—		—			77
Long-term debt	—		48,476		20,141		—			68,617
Total liabilities measured at fair value on a recurring basis	$	108,351	$	1,063,848	$	37,530	$	(711,089	)	$	498,640



	Fair value hierarchy						Derivative netting adjustments^(f)

December 31, 2019 (in millions)	Level 1		Level 2		Level 3					Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	14,561	$	—	$	—		$	14,561
Securities borrowed	—		6,237		—		—			6,237
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies^(a)	—		44,510		797		—			45,307
Residential – nonagency	—		1,977		23		—			2,000
Commercial – nonagency	—		1,486		4		—			1,490
Total mortgage-backed securities	—		47,973		824		—			48,797
U.S. Treasury, GSEs and government agencies^(a)	78,289		10,295		—		—			88,584
Obligations of U.S. states and municipalities	—		6,468		10		—			6,478
Certificates of deposit, bankers’ acceptances and commercial paper	—		252		—		—			252
Non-U.S. government debt securities	26,600		27,169		155		—			53,924
Corporate debt securities	—		17,956		558		—			18,514
Loans^(b)	—		47,047		1,382		—			48,429
Asset-backed securities	—		2,593		37		—			2,630
Total debt instruments	104,889		159,753		2,966		—			267,608
Equity securities	71,890		244		196		—			72,330
Physical commodities^(c)	3,638		3,579		—		—			7,217
Other	—		13,896		232		—			14,128
Total debt and equity instruments^(d)	180,417		177,472		3,394		—			361,283
Derivative receivables:
Interest rate	721		311,173		1,400		(285,873		)	27,421
Credit	—		14,252		624		(14,175		)	701
Foreign exchange	117		137,938		432		(129,482		)	9,005
Equity	—		43,642		2,085		(39,250		)	6,477
Commodity	—		17,058		184		(11,080		)	6,162
Total derivative receivables	838		524,063		4,725		(479,860		)	49,766
Total trading assets^(e)	181,255		701,535		8,119		(479,860		)	411,049
Available-for-sale securities:
Mortgage-backed securities:
U.S. GSEs and government agencies^(a)	—		110,117		—		—			110,117
Residential – nonagency	—		12,989		1		—			12,990
Commercial – nonagency	—		5,188		—		—			5,188
Total mortgage-backed securities	—		128,294		1		—			128,295
U.S. Treasury and government agencies	139,436		—		—		—			139,436
Obligations of U.S. states and municipalities	—		29,810		—		—			29,810
Certificates of deposit	—		77		—		—			77
Non-U.S. government debt securities	12,966		8,821		—		—			21,787
Corporate debt securities	—		845		—		—			845
Asset-backed securities:
Collateralized loan obligations	—		24,991		—		—			24,991
Other	—		5,458		—		—			5,458
Total available-for-sale securities	152,402		198,296		1		—			350,699
Loans	—		7,104		—		—			7,104
Mortgage servicing rights	—		—		4,699		—			4,699
Other assets^(e)	7,305		452		724		—			8,481
Total assets measured at fair value on a recurring basis	$	340,962	$	928,185	$	13,543	$	(479,860	)	$	802,830
Deposits	$	—	$	25,229	$	3,360	$	—		$	28,589
Federal funds purchased and securities loaned or sold under repurchase agreements	—		549		—		—			549
Short-term borrowings	—		4,246		1,674		—			5,920
Trading liabilities:
Debt and equity instruments^(d)	59,047		16,481		41		—			75,569
Derivative payables:
Interest rate	795		276,746		1,732		(270,670		)	8,603
Credit	—		14,358		763		(13,469		)	1,652
Foreign exchange	109		143,960		1,039		(131,950		)	13,158
Equity	—		47,261		5,480		(40,204		)	12,537
Commodity	—		19,685		200		(12,127		)	7,758
Total derivative payables	904		502,010		9,214		(468,420		)	43,708
Total trading liabilities	59,951		518,491		9,255		(468,420		)	119,277
Accounts payable and other liabilities	3,231		452		45		—			3,728
Beneficial interests issued by consolidated VIEs	—		36		—		—			36
Long-term debt	—		52,406		23,339		—			75,745
Total liabilities measured at fair value on a recurring basis	$	63,182	$	601,409	$	37,673	$	(468,420	)	$	233,844


(a)	At March 31, 2020, and December 31, 2019, included total U.S. GSE obligations of $161.2 billion and $104.5 billion, respectively, which were mortgage-related.

(b)

At March 31, 2020, and December 31, 2019, included within trading loans were $15.9 billion and $19.8 billion, respectively, of residential first-lien mortgages, and $3.0 billion and $3.4 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. GSEs and government agencies of $8.9 billion and $13.6 billion, respectively.

(c)

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.


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

(e)

Certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At March 31, 2020, and December 31, 2019, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $659 million and $684 million, respectively. Included in these balances at March 31, 2020, and December 31, 2019, were trading assets of $47 million and $54 million, respectively, and other assets of $612 million and $630 million, 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 2019 Form 10-K for further information on the Firm’s valuation process and a detailed discussion of the determination of fair value for individual financial instruments.

The following table presents the Firm’s primary level 3 financial instruments, the valuation techniques used to measure the fair value of those financial instruments, the significant unobservable inputs, the range of values for those inputs and the weighted or arithmetic averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the unobservable components. The level 1 and/or level 2 inputs are not included in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.

The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value.

In the Firm’s view, the input range, weighted and arithmetic average values do not reflect the degree of input uncertainty or an assessment of the reasonableness of the Firm’s estimates and assumptions. Rather, they reflect the characteristics of the various instruments held by the Firm and the relative distribution of instruments within the range of characteristics. For example, two option contracts may have similar levels of market risk exposure and valuation uncertainty, but may have significantly different implied volatility levels because the option contracts have different underlyings, tenors, or strike prices. The input range and weighted average values will therefore vary from period-to-period and parameter-to-parameter based on the characteristics of the instruments held by the Firm at each balance sheet date.



Level 3 inputs^(a)
March 31, 2020
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)	$	1,142		Discounted cash flows	Yield	1%	–	25%		5%
Residential mortgage-backed securities and loans^(b)					Prepayment speed	0%	–	39%		11%
					Conditional default rate	0%	–	30%		14%
					Loss severity	0%	–	100%		8%
Commercial mortgage-backed securities and loans^(c)	509			Market comparables	Price	$0	–	$106		$92
Obligations of U.S. states and municipalities	9			Market comparables	Price	$78	–	$100		$97
Corporate debt securities	953			Market comparables	Price	$4	–	$104		$71
Loans^(d)	167			Discounted cash flows	Yield	4%	–	30%		7%
	2,365			Market comparables	Price	$5	–	$100		$73
Asset-backed securities	52			Market comparables	Price	$1	–	$94		$61
Net interest rate derivatives	(192		)	Option pricing	Interest rate volatility	6%	–	91%		21%
					Interest rate spread volatility	16 bps	–	30 bps		23 bps
					Interest rate correlation	(65)%	–	94%		38%
					IR-FX correlation	(50)%	–	35%		1%
	56			Discounted cash flows	Prepayment speed	4%	–	30%		3%
Net credit derivatives	(147		)	Discounted cash flows	Credit correlation	37%	–	77%		50%
					Credit spread	8 bps	–	2,230 bps		516 bps
					Recovery rate	1%	–	70%		50%
					Conditional default rate	2%	–	23%		11%
					Loss severity	100%				100%
	36			Market comparables	Price	$1	–	$115		$60
Net foreign exchange derivatives	(784		)	Option pricing	IR-FX correlation	(58)%	–	70%		33%
	(143		)	Discounted cash flows	Prepayment speed	9%				9%
Net equity derivatives	(826		)	Option pricing	Forward equity price^(h)	54%	–	106%		98%
					Equity volatility	4%	–	179%		40%
					Equity correlation	25%	–	100%		78%
					Equity-FX correlation	(77)%	–	40%		(17)%
					Equity-IR correlation	20%	–	35%		28%
Net commodity derivatives	(425		)	Option pricing	Forward industrial metal price	$ 1,166 / MT	–	$ 15,357 / MT		$ 6,159 / MT
					Forward power price	$ 12 /MWH	–	$ 53 /MWH		$ 22 /MWH
					Commodity volatility	3%	–	236%		29%
					Commodity correlation	(45)%	–	95%		31%
MSRs	3,267			Discounted cash flows	Refer to Note 15
Other assets	242			Discounted cash flows	Credit spread	45 bps				45 bps
					Yield	12%				12%
	395			Market comparables	Price	$16	–	$119		$37
Long-term debt, short-term borrowings, and deposits^(e)	25,359			Option pricing	Interest rate volatility	6%	–	91%		21%
					Interest rate correlation	(65)%	–	94%		38%
					IR-FX correlation	(50)%	–	35%		1%
					Equity correlation	25%	–	100%		78%
					Equity-FX correlation	(77)%	–	40%		(17)%
					Equity-IR correlation	20%	–	35%		28%
Other level 3 assets and liabilities, net^(f)	312


(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. GSEs and government agency securities of $519 million, nonagency securities of $24 million and trading loans of $599 million.


(c)	Comprises nonagency securities of $3 million, trading loans of $223 million and non-trading loans of $283 million.


(d)	Comprises trading loans.


(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 level 3 assets and liabilities that 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 2019 Form 10-K for a discussion of the impact on fair value of changes in unobservable inputs and the relationships between unobservable inputs as well as a description of attributes of the underlying instruments and external market factors that affect the range of inputs used in the valuation of the Firm’s positions.

Changes in level 3 recurring fair value measurements

The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three months ended March 31, 2020 and 2019. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable inputs to the overall fair value measurement. However, level 3 financial instruments

typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.



	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2020 (in millions)	Fair value at Jan 1, 2020			Total realized/unrealized gains/(losses)															Transfers into level 3^(h)			Transfers (out of) level 3^(h)			Fair value at March 31, 2020				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2020
								Purchases^(f)			Sales					Settlements^(g)
Assets:^(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	797		$	(139	)		$	19		$	(116	)			$	(42	)	$	—		$	—			$	519		$	(131	)
Residential – nonagency	23			(1		)		2			—					—			—			—				24			(1		)
Commercial – nonagency	4			—				1			—					(1		)	1			(2		)		3			—
Total mortgage-backed securities	824			(140		)		22			(116		)			(43		)	1			(2		)		546			(132		)
Obligations of U.S. states and municipalities	10			—				—			(1		)			—			—			—				9			—
Non-U.S. government debt securities	155			(12		)		90			(57		)			—			—			(1		)		175			(10		)
Corporate debt securities	558			(55		)		292			(42		)			—			227			(27		)		953			(50		)
Loans	1,382			(161		)		699			(162		)			(53		)	1,788			(139		)		3,354			(190		)
Asset-backed securities	37			(2		)		36			(15		)			(1		)	—			(3		)		52			(1		)
Total debt instruments	2,966			(370		)		1,139			(393		)			(97		)	2,016			(172		)		5,089			(383		)
Equity securities	196			(38		)		10			(4		)			—			82			(33		)		213			(39		)
Other	232			(1		)		9			(5		)			(12		)	—			(2		)		221			2
Total trading assets – debt and equity instruments	3,394			(409		)	^(c)	1,158			(402		)			(109		)	2,098			(207		)		5,523			(420		)	^(c)
Net derivative receivables:^(b)
Interest rate	(332		)	642				66			(50		)			(241		)	(172		)	(49		)		(136		)	282
Credit	(139		)	108				18			(128		)			(33		)	60			3				(111		)	65
Foreign exchange	(607		)	(339		)		38			(4		)			(14		)	—			(1		)		(927		)	(508		)
Equity	(3,395		)	3,037				59			(548		)			583			(656		)	94				(826		)	3,707
Commodity	(16		)	(403		)		4			(15		)			9			(6		)	2				(425		)	(399		)
Total net derivative receivables	(4,489		)	3,045			^(c)	185			(745		)			304			(774		)	49				(2,425		)	3,147			^(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—					(1		)	—			—				—			—
Total available-for-sale securities	1			—				—			—					(1		)	—			—				—			—
Loans	—			(11		)	^(c)	—			—					—			294			—				283			(10		)	^(c)
Mortgage servicing rights	4,699			(1,382		)	^(d)	273			(75		)			(248		)	—			—				3,267			(1,382		)	^(d)
Other assets	724			(82		)	^(c)	2			(28		)			(200		)	—			—				416			(81		)	^(c)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2020 (in millions)	Fair value at Jan 1, 2020			Total realized/unrealized (gains)/losses															Transfers into level 3^(h)			Transfers (out of) level 3^(h)			Fair value at March 31, 2020				Change in unrealized (gains)/losses related to financial instruments held at March 31, 2020
								Purchases			Sales			Issuances		Settlements^(g)
Liabilities:^(a)
Deposits	$	3,360		$	(149	)	^(c)(e)	$	—		$	—		$	386	$	(172	)	$	4		$	(250	)		$	3,179		$	(135	)	^(c)(e)
Short-term borrowings	1,674			(345		)	^(c)(e)	—			—			1,615		(929		)	40			(16		)		2,039			(409		)	^(c)(e)
Trading liabilities – debt and equity instruments	41			3			^(c)	(75		)	7			—		—			86			(1		)		61			6			^(c)
Accounts payable and other liabilities	45			(8		)	^(c)	(23		)	1			—		—			—			—				15			(7		)	^(c)
Beneficial interests issued by consolidated VIEs	—			—				—			—			—		—			—			—				—			—
Long-term debt	23,339			(4,110		)	^(c)(e)	—			—			4,607		(3,549		)	370			(516		)		20,141			(3,984		)	^(c)(e)



	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2019 (in millions)	Fair value at Jan 1, 2019			Total realized/unrealized gains/(losses)																	Transfers into level 3^(h)			Transfers (out of) level 3^(h)			Fair value at March 31, 2019				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2019
								Purchases^(f)			Sales						Settlements^(g)
Assets:^(a)
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. GSEs and government agencies	$	549		$	(15	)		$	5		$	(100	)				$	(18	)		$	1		$	(10	)		$	412		$	(16	)
Residential – nonagency	64			24				70			(69		)				(1		)		15			(18		)		85			1
Commercial – nonagency	11			2				12			(19		)				(2		)		15			(2		)		17			1
Total mortgage-backed securities	624			11				87			(188		)				(21		)		31			(30		)		514			(14		)
Obligations of U.S. states and municipalities	689			13				1			(74		)				(6		)		—			—				623			14
Non-U.S. government debt securities	155			(1		)		71			(54		)				—				2			(3		)		170			(1		)
Corporate debt securities	334			22				223			(7		)				—				28			(32		)		568			39
Loans	1,706			83				72			(118		)				(120		)		159			(41		)		1,741			83
Asset-backed securities	127			(2		)		17			(21		)				(7		)		20			(15		)		119			(4		)
Total debt instruments	3,635			126				471			(462		)				(154		)		240			(121		)		3,735			117
Equity securities	232			(2		)		15			(79		)				(22		)		75			(17		)		202			(2		)
Other	301			4				12			(1		)				(11		)		1			(2		)		304			13
Total trading assets – debt and equity instruments	4,168			128			^(c)	498			(542		)				(187		)		316			(140		)		4,241			128			^(c)
Net derivative receivables:^(b)
Interest rate	(38		)	(322		)		19			(27		)	⁽ⁱ⁾			178			⁽ⁱ⁾	18			25				(147		)	(376		)
Credit	(107		)	(17		)		—			(1		)				6				3			1				(115		)	(21		)
Foreign exchange	(297		)	(245		)		1			(9		)				181				(8		)	21				(356		)	(220		)
Equity	(2,225		)	731				127			(297		)				(401		)		(67		)	66				(2,066		)	226
Commodity	(1,129		)	533				3			(88		)				24				1			(9		)		(665		)	507
Total net derivative receivables	(3,796		)	680			^(c)	150			(422		)				(12		)		(53		)	104				(3,349		)	116			^(c)
Available-for-sale securities:
Mortgage-backed securities	1			—				—			—						(1		)		—			—				—			—
Total available-for-sale securities	1			—				—			—						(1		)		—			—				—			—
Loans	122			3			^(c)	—			—						(2		)		—			—				123			3			^(c)
Mortgage servicing rights	6,130			(299		)	^(d)	436			(111		)				(199		)		—			—				5,957			(299		)	^(d)
Other assets	927			(7		)	^(c)	9			(80		)				(1		)		—			(7		)		841			(10		)	^(c)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2019 (in millions)	Fair value at Jan 1, 2019			Total realized/unrealized (gains)/losses																	Transfers into level 3^(h)			Transfers (out of) level 3^(h)			Fair value at March 31, 2019				Change in unrealized (gains)/losses related to financial instruments held at March 31, 2019
								Purchases			Sales				Issuances		Settlements^(g)
Liabilities:^(a)
Deposits	$	4,169		$	152		^(c)(e)	$	—		$	—			$	335	$	(24	)		$	—		$	(104	)		$	4,528		$	144		^(c)(e)
Short-term borrowings	1,523			46			^(c)(e)	—			—				651		(601		)		1			(118		)		1,502			80			^(c)(e)
Trading liabilities – debt and equity instruments	50			—				(2		)	11				—		—				3			(10		)		52			1			^(c)
Accounts payable and other liabilities	10			—				(5		)	10				—		—				—			—				15			—
Beneficial interests issued by consolidated VIEs	1			(1		)	^(c)	—			—				—		—				—			—				—			—
Long-term debt	19,418			1,273			^(c)(e)	—			—				2,051		(1,188		)		273			(172		)		21,655			1,625			^(c)(e)

(a)

Level 3 assets as a percentage of total Firm assets accounted for at fair value (including assets measured at fair value on a nonrecurring basis) were 2% at both March 31, 2020 and December 31, 2019, respectively. Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 8% and 16%, at March 31, 2020 and December 31, 2019, respectively.


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


(c)	Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans and lending-related commitments originated with the intent to sell, and mortgage loan purchase commitments, which are reported in mortgage fees and related income.


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


(e)	Realized (gains)/losses due to DVA for fair value option elected liabilities are reported in principal transactions revenue, and were not material for the three months ended March 31, 2020 and 2019, respectively. Unrealized (gains)/losses are reported in OCI, and they were $(1.1) billion and $176 million for the three months ended March 31, 2020 and 2019, respectively.


(f)	Loan originations are included in purchases.


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


(h)	All transfers into and/or out of level 3 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.


(i)	The prior-period amounts have been revised to conform with the current period presentation.

Level 3 analysis

Consolidated balance sheets changes

Level 3 assets, including assets measured at fair value on a nonrecurring basis, were 0.6% of total Firm assets at March 31, 2020. The following describes significant changes to level 3 assets since December 31, 2019, 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 96 for further information on changes impacting items measured at fair value on a nonrecurring basis.

Three months ended March 31, 2020

Level 3 assets were $19.2 billion at March 31, 2020, reflecting an increase of $5.6 billion from December 31, 2019 reflective of heightened market volatility and net transfers largely due to:


•	$2.0 billion increase in trading loans.


•	$3.1 billion increase in gross equity derivative receivables.


•	$1.4 billion decrease in MSRs.

Refer to the sections below for additional information.

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

For the three months ended March 31, 2020, significant transfers from level 2 into level 3 included the following:


•	$2.1 billion of total debt and equity instruments, predominantly trading loans, driven by a decrease in observability.


•	$1.0 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.

For the three months ended March 31, 2020, there were no significant transfers from level 3 into level 2.

For the three months ended March 31, 2019, there were no significant transfers from level 2 into level 3 or from level 3 into level 2.

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

Gains and losses

The following describes significant components of total realized/unrealized gains/(losses) for instruments measured at fair value on a recurring basis for the periods indicated. These amounts exclude any effects of the Firm’s risk management activities where the financial instruments are classified as level 1 and 2 of the fair value hierarchy. Refer to Changes in level 3 recurring fair value measurements rollforward tables on pages 92–95 for further information on these instruments.

Three months ended March 31, 2020


•	$1.2 billion of net gains on assets, driven by gains in net equity derivative receivables due to market movements largely offset by losses in MSRs reflecting faster prepayment speeds on lower rates. Refer to Note 15 for information on MSRs.


•	$4.6 billion of net gains on liabilities, predominantly driven by market movements in long-term debt.

Three months ended March 31, 2019


•	$505 million of net gains on assets, none of which were individually significant.

•

$1.5 billion of net losses on liabilities predominantly driven by market movements in long-term debt.

Credit and funding adjustments — derivatives

The following table provides the impact of credit and funding adjustments on principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities. The FVA presented below includes the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time.



	Three months ended March 31,
(in millions)	2020			2019
Credit and funding adjustments:
Derivatives CVA	$	(924	)	$	60
Derivatives FVA	(1,021		)	152

Refer to Note 2 of JPMorgan Chase’s 2019 Form 10-K for further information about both credit and funding adjustments, as well as information about valuation adjustments on fair value option elected liabilities.

Assets and liabilities measured at fair value on a nonrecurring basis

The following tables present the assets and liabilities held as of March 31, 2020 and 2019, respectively, for which nonrecurring fair value adjustments were recorded during the three months ended March 31, 2020 and 2019, respectively, by major product category and fair value hierarchy.



	Fair value hierarchy								Total fair value
March 31, 2020 (in millions)	Level 1		Level 2			Level 3			Total fair value
Loans	$	—	$	2,336	^(c)	$	559	^(d)	$	2,895
Other assets^(a)	—		11			334			345
Total assets measured at fair value on a nonrecurring basis	$	—	$	2,347		$	893		$	3,240
Accounts payable and other liabilities^(b)	—		—			775			775
Total liabilities measured at fair value on a nonrecurring basis	$	—	$	—		$	775		$	775



	Fair value hierarchy						Total fair value
March 31, 2019 (in millions)	Level 1		Level 2		Level 3		Total fair value
Loans	$	—	$	441	$	84	$	525
Other assets	—		11		456		467
Total assets measured at fair value on a nonrecurring basis	$	—	$	452	$	540	$	992

(a)

Primarily includes equity securities without readily determinable fair values that were adjusted based on observable price changes in orderly transactions from an identical or similar investment of the same issuer (measurement alternative). Of the $334 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2020, $194 million related to equity securities adjusted based on the measurement alternative. These equity securities are classified as level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.


(b)	Represents at March 31, 2020 the markdowns associated with $9.4 billion of held-for-sale positions related to unfunded commitments in the bridge financing portfolio. There were no liabilities measured at fair value on a nonrecurring basis at March 31, 2019.


(c)	Primarily includes certain mortgage loans that were reclassified to held-for-sale.

(d)

Of the $559 million in level 3 assets measured at fair value on a nonrecurring basis as of March 31, 2020, $294 million related to residential real estate loans carried at the net realizable value of the underlying collateral (e.g., collateral-dependent loans). These amounts are classified as level 3 as they are valued using information from broker’s price opinions, appraisals and automated valuation models and discounted based upon the Firm’s experience with actual liquidation values. These discounts ranged from 16% to 46% with a weighted average of 28%.

Nonrecurring fair value changes

The following table presents the total change in value of assets and liabilities for which fair value adjustments have been recognized for the three months ended March 31, 2020 and 2019, related to assets and liabilities held at those dates.



	Three months ended March 31,
(in millions)	2020				2019
Loans	$	(267	)	^(b)	$	(21	)
Other assets^(a)	(169		)		71
Accounts payable and other liabilities	(775		)	^(c)	—
Total nonrecurring fair value gains/(losses)	$	(1,211	)		$	50


(a)	Included $(154) million and $78 million for the three months ended March 31, 2020 and 2019, respectively of net (losses)/gains as a result of the measurement alternative.


(b)	Includes the impact of certain mortgage loans that were reclassified to held-for-sale.


(c)	Represents markdowns on held-for-sale positions related to unfunded commitments in the bridge financing portfolio.

Refer to Note 12 for further information about the measurement of collateral-dependent loans.

Equity securities without readily determinable fair values

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

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

The following table presents the carrying value of equity securities without readily determinable fair values still held as of March 31, 2020 and 2019, that are measured under the measurement alternative and the related adjustments recorded during the periods presented for those securities with observable price changes. These securities are included in the nonrecurring fair value tables when applicable price changes are observable.



	Three months ended
	March 31
As of or for the period ended,
(in millions)	2020			2019
Other assets
Carrying value^(a)	$	2,560		$	1,819
Upward carrying value changes^(b)	9			84
Downward carrying value changes/impairment^(c)	(162		)	(6		)


(a)	The carrying value as of December 31, 2019 was $2.4 billion.


(b)	The cumulative upward carrying value changes between January 1, 2018 and March 31, 2020 were $524 million.


(c)	The cumulative downward carrying value changes/impairment between January 1, 2018 and March 31, 2020 were $(360) million.

Included in other assets above is the Firm’s interest in approximately 40 million Visa Class B shares, recorded at a nominal carrying value. These shares are subject to certain transfer restrictions currently and will be convertible into Visa Class A shares upon final resolution of certain litigation matters involving Visa. The conversion rate of Visa Class B shares into Visa Class A shares is 1.6228 at March 31, 2020, and may be adjusted by Visa depending on developments related to the litigation matters.

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

The following table presents by fair value hierarchy classification the carrying values and estimated fair values at March 31, 2020, and December 31, 2019, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy.



	March 31, 2020										December 31, 2019
			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	$	24.0	$	24.0	$	—	$	—	$	24.0	$	21.7	$	21.7	$	—	$	—	$	21.7
Deposits with banks	343.5		343.5		—		—		343.5		241.9		241.9		—		—		241.9
Accrued interest and accounts receivable	121.3		—		121.3		—		121.3		71.3		—		71.2		0.1		71.3
Federal funds sold and securities purchased under resale agreements	12.7		—		12.7		—		12.7		234.6		—		234.6		—		234.6
Securities borrowed	88.3		—		88.3		—		88.3		133.5		—		133.5		—		133.5
Investment securities, held-to-maturity	71.2		0.1		73.4		—		73.5		47.5		0.1		48.8		—		48.9
Loans, net of allowance for loan losses^(a)	985.9		—		217.4		778.6		996.0		939.5		—		214.1		734.9		949.0
Other	93.5		—		92.9		0.8		93.7		61.3		—		60.6		0.8		61.4
Financial liabilities
Deposits	$	1,813.4	$	—	$	1,813.7	$	—	$	1,813.7	$	1,533.8	$	—	$	1,534.1	$	—	$	1,534.1
Federal funds purchased and securities loaned or sold under repurchase agreements	38.5		—		38.5		—		38.5		183.1		—		183.1		—		183.1
Short-term borrowings	27.6		—		27.6		—		27.6		35.0		—		35.0		—		35.0
Accounts payable and other liabilities	211.3		0.5		206.2		4.2		210.9		164.0		0.1		160.0		3.5		163.6
Beneficial interests issued by consolidated VIEs	19.6		—		19.6		—		19.6		17.8		—		17.9		—		17.9
Long-term debt	230.5		—		219.8		3.5		223.3		215.5		—		218.3		3.5		221.8

(a)

Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. Carrying value of the loan takes into account the loan’s allowance for loan losses, which represents the loan’s expected credit losses over its remaining expected life. The difference between the estimated fair value and carrying value of a loan is generally attributable to changes in market interest rates, including credit spreads, market liquidity premiums and other factors that affect the fair value of a loan but do not affect its carrying value.

The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated balance sheets. The carrying value and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.



	March 31, 2020										December 31, 2019
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value^{(a) (b)}		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value^(a)		Level 1		Level 2		Level 3		Total estimated fair value
Wholesale lending-related commitments	$	2.8	$	—	$	—	$	3.3	$	3.3	$	1.2	$	—	$	—	$	1.9	$	1.9


(a)	Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which is recognized at fair value at the inception of the guarantees.


(b)	Includes the wholesale allowance for lending-related commitments and markdowns associated with held-for-sale positions related to unfunded commitments in the bridge financing portfolio.

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 156 of JPMorgan Chase’s 2019 Form 10-K for a further discussion of the valuation of lending-related commitments.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details