JPM · 10-Q · 2026Q2 · Full report

Level 3 Fair Value Assets

JPMORGAN CHASE & CO · 2026-08-06 · Importance 63 · Surprise 64 · No source text

JPMorganChase reported that Level 3 assets increased to $30.0 billion at June 30, 2026, up $1.9 billion from March 31 and $4.9 billion from December 31, 2025, primarily because of gains, purchases and net transfers in gross derivative receivables. For the six months ended June 30, 2026, Level 3 assets generated $5.7 billion of net gains, while Level 3 liabilities recorded $2.7 billion of net losses, predominantly from market movements in derivatives and long-term debt. Total derivative notional amounts increased 30% to $65.8 trillion at June 30, 2026 from $50.6 trillion at December 31, 2025, including increases in interest-rate contracts to $39.0 trillion and foreign-exchange contracts to $20.5 trillion. The filing attributes valuation changes and transfers between fair-value levels to changes in market movements, observability and the significance of unobservable inputs.

Key facts

• Total assets measured at fair value as of June 30, 2026: $2,257,081 million, with total level 3 assets of $33,732 million. source
• Level 3 assets increased $4.9 billion from December 31, 2025. source
• Level 3 assets increased $1.9 billion from March 31, 2026. source
• Gross derivative receivables increased $1.2 billion and $4.1 billion for the three and six months ended June 30, 2026, respectively, primarily due to gains, purchases and net transfers primarily offset by settlements. source
• At June 30, 2026, level 3 assets measured on a recurring basis were $29,965 million and total assets measured at fair value on a nonrecurring basis were $4,635 million with level 3 of those nonrecurring assets $3,767 million. source
• At June 30, 2026, mortgage servicing rights (MSRs) fair value: $9,156 million and included as level 3 within assets measured at fair value on a recurring basis. source
• Level 3 assets were $30.0 billion at June 30, 2026. source

Impact estimates