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(a)	TBVPS and ROTCE are non-GAAP financial measures. TBVPS represents the Firm’s tangible common equity divided by period-end common shares. ROTCE measures the Firm’s annualized earnings as a percentage of tangible common equity. For further discussion of these measures, see Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures on pages 17–18.

(b)	Share price shown for JPMorgan Chase’s common stock is from the New York Stock Exchange. JPMorgan Chase’s common stock is also listed and traded on the London Stock Exchange and the Tokyo Stock Exchange.

(c)	HQLA is the estimated amount of assets that qualify for inclusion in the Basel III liquidity coverage ratio; see HQLA on page 84.

(d)

Basel III Transitional rules became effective on January 1, 2014; all prior period data is based on Basel I rules. As of June 30, 2014, the ratios presented are calculated under the Basel III Advanced Transitional Approach. CET1 capital under Basel III replaced Tier 1 common capital under Basel I. Prior to Basel III becoming effective on January 1, 2014, Tier 1 common capital under Basel I was a non-GAAP financial measure. See Regulatory capital on pages 74–78 for additional information on Basel III and non-GAAP financial measures of regulatory capital.

(e)	Included held-to-maturity (“HTM”) securities of $47.8 billion, $47.3 billion, $24.0 billion and $4.5 billion at June 30, 2014, March 31, 2014, December 31, 2013 and September 30, 2013, respectively. Held-to-maturity balance at June 30, 2013 was not material.

(f)	Included unsecured long-term debt of $205.6 billion, $206.1 billion, $199.4 billion, $199.2 billion and $199.1 billion at June 30, 2014, March 31, 2014, December 31, 2013, September 30, 2013 and June 30, 2013, respectively.

(g)	Excludes the impact of residential real estate purchased credit-impaired (“PCI”) loans. For further discussion, see Allowance for credit losses on pages 66–68.

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(a)

Basel III Transitional rules became effective on January 1, 2014; all prior period data is based on Basel I rules. As of June 30, 2014, the ratios presented are calculated under the Basel III Advanced Transitional Approach. CET1 capital under Basel III replaced Tier 1 common capital under Basel I. Prior to Basel III becoming effective on January 1, 2014, Tier 1 common capital under Basel I was a non-GAAP financial measure. See Regulatory capital on pages 74–78 for additional information on Basel III and non-GAAP financial measures of regulatory capital.

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(a)	Firmwide adjusted expense, a non-GAAP financial measure, excludes total Firmwide legal expenses and foreclosure-related matters. Management believes this information helps investors understand the effect of these items on reported results and provides an alternate presentation of the Firm’s performance.

(b)	This line item is net of changes in the MSR asset fair value due to collection/realization of expected cash flows; plus net interest income.

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(a)	Included operating lease income of $422 million and $363 million for the three months ended June 30, 2014 and 2013, respectively, and $820 million and $712 million for the six months ended June 30, 2014 and 2013, respectively.

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(a)	Included firmwide legal expense of $669 million and $678 million for the three months ended June 30, 2014 and 2013, respectively, and $707 million and $1.0 billion for the six months ended June 30, 2014 and 2013, respectively.

(b)	Included FDIC-related expense of $266 million and $392 million for the three months ended June 30, 2014 and 2013, respectively, and $559 million and $771 million for the six months ended June 30, 2014 and 2013, respectively.

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(a)	Predominantly recognized in CIB and CB business segments and Corporate/Private Equity.

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(a)	Represents deferred tax liabilities related to tax-deductible goodwill and to identifiable intangibles created in non-taxable transactions, which are netted against goodwill and other intangibles when calculating TCE.

(a)	Includes core lending, investing and deposit-raising activities on a managed basis across each of the business segments and Corporate/Private Equity; excludes the market-based activities within the CIB.

(b)	Interest includes the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable.

(c)	For a reconciliation of net interest income on a reported and managed basis, see reconciliation from the Firm’s reported U.S. GAAP results to managed basis on page 17.

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(a)	Predominantly consists of prime mortgages originated with the intent to sell that are accounted for at fair value and classified as trading assets on the Consolidated Balance Sheets.

(b)	2014 includes $3.0 billion of capital held at the CCB level related to legacy mortgage servicing matters.

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(a)	Net charge-offs and the net charge-off rates excluded $48 million and $109 million of write-offs in the PCI portfolio for the three and six months ended June 30, 2014, respectively. These write-offs decreased the allowance for loan losses for PCI loans. For further information, see Consumer Credit Portfolio on pages 120–129 of JPMorgan Chase’s 2013 Annual Report.

(b)	Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as they are all performing.

(c)	Certain mortgage loans originated with the intent to sell are classified as trading assets on the Consolidated Balance Sheets.

(d)

At June 30, 2014 and 2013, nonperforming assets excluded: (1) mortgage loans insured by U.S. government agencies of $8.1 billion and $10.1 billion, respectively, that are 90 or more days past due; (2) real estate owned insured by U.S. government agencies of $2.1 billion and $1.8 billion, respectively; and (3) student loans insured by U.S. government agencies under the Federal Family Education Loan Program (“FFELP”) of $316 million and $488 million, respectively, that are 90 or more days past due. These amounts have been excluded from nonaccrual loans based upon the government guarantee.

(e)	Loans held-for-sale and loans accounted for at fair value were excluded when calculating the net charge-off rate.

(f)	The allowance for loan losses for PCI loans was $3.7 billion and $5.7 billion at June 30, 2014 and 2013, respectively; these amounts were also excluded from the applicable ratios.

(g)	Includes Express Banking Kiosks (“EBK”). Prior periods were revised to conform with the current presentation.

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(a)	Includes checking accounts and Chase Liquid® cards.

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(a)	Prior periods were revised to conform with the current presentation.

(b)	Includes provision for credit losses.

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(a)	Predominantly represents prime mortgage loans repurchased from Government National Mortgage Association (“Ginnie Mae”) pools, which are insured by U.S. government agencies.

(b)	Predominantly consists of prime mortgages originated with the intent to sell that are accounted for at fair value and classified as trading assets on the Consolidated Balance Sheets.

(c)	At June 30, 2014 and 2013, excluded mortgage loans insured by U.S. government agencies of $9.6 billion and $11.2 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee. For further discussion, see Note 13 which summarizes loan delinquency information.

(d)

At June 30, 2014 and 2013, nonperforming assets excluded: (1) mortgage loans insured by U.S. government agencies of $8.1 billion and $10.1 billion, respectively, that are 90 or more days past due; and (2) real estate owned insured by U.S. government agencies of $2.1 billion and $1.8 billion, respectively. These amounts have been excluded from nonaccrual loans based upon the government guarantee. For further discussion, see Note 13 which summarizes loan delinquency information.

(a)	Includes rural housing loans sourced through correspondents, and prior to November 2013, through both brokers and correspondents, which are underwritten and closed with pre-funding loan approval from the U.S. Department of Agriculture Rural Development, which acts as the guarantor in the transaction.

(b)	Firmwide mortgage origination volume was $18.0 billion and $52.0 billion for the three months ended June 30, 2014 and 2013, respectively, and $36.2 billion and $107.1 billion for the six months ended June 30, 2014 and 2013, respectively.

(c)	Represents the ratio of MSR carrying value (period-end) to third-party mortgage loans serviced (period-end) divided by the ratio of annualized loan servicing-related revenue to third-party mortgage loans serviced (average).

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(a)	Net charge-offs and the net charge-off rates excluded $48 million and $109 million of write-offs in the PCI portfolio for the three and six months ended June 30, 2014, respectively. These write-offs decreased the allowance for loan losses for PCI loans. For further information, see Consumer Credit Portfolio on pages 120–129 of JPMorgan Chase’s 2013 Annual Report.

(b)	The 30+ day delinquency rate for PCI loans was 14.08% and 17.92% at June 30, 2014 and 2013, respectively.

(c)	Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as they are all performing.

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(a)	Average credit card loans included loans held-for-sale of $405 million for the three months ended June 30, 2014 and $360 million for the six months ended June 30, 2014. These amounts are excluded when calculating the net charge-off rate. There were no loans held-for-sale for the three and six months ended June 30, 2013.

(b)	Period-end credit card loans included loans held-for-sale of $508 million at June 30, 2014. This amount was excluded when calculating delinquency rates and the allowance for loan losses to period-end loans. There were no loans held-for-sale at June 30, 2013.

(c)	Excluded student loans insured by U.S. government agencies under the FFELP of $630 million and $812 million at June 30, 2014 and 2013, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.

(d)	Nonperforming assets excluded student loans insured by U.S. government agencies under the FFELP of $316 million and $488 million at June 30, 2014 and 2013, respectively, that are 90 or more days past due. These amounts have been excluded from nonaccrual loans based upon the government guarantee.

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(a)

Included FVA (effective fourth quarter 2013) and DVA on OTC derivatives and structured notes, measured at fair value. Net FVA and DVA gains were $173 million for the three months ended June 30, 2014, and $143 million for the six months ended June 30, 2014. DVA gains were $355 million for the three months ended June 30, 2013, and $481 million for the six months ended June 30, 2013. Results are presented net of associated hedging activities.

(b)	Included tax-equivalent adjustments, predominantly due to income tax credits related to affordable housing and alternative energy investments, as well as tax-exempt income from municipal bond investments of $606 million and $550 million for the three months ended June 30, 2014 and 2013, respectively, and $1.2 billion and $1.1 billion for the six months ended June 30, 2014 and 2013, respectively.

(c)	Return on equity excluding DVA, a non-GAAP financial measure, was 19% and 18% for the three and six months ended June 30, 2013, respectively.

(d)	Overhead ratio excluding DVA, a non-GAAP financial measure, was 60% and 61% for the three and six months ended June 30, 2013.

(e)	Compensation expense as a percentage of total net revenue excluding DVA, a non-GAAP financial measure, was 31% and 33% for the three and six months ended June 30, 2013.

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(a)	Consists primarily of credit valuation adjustments (“CVA”) managed by the credit portfolio group, and FVA (effective fourth quarter 2013) and DVA on OTC derivatives and structured notes. Results are presented net of associated hedging activities and net of CVA and FVA amounts allocated to Fixed Income Markets and Equity Markets.

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(a)	Loans retained includes credit portfolio loans, trade finance loans, other held-for-investment loans and overdrafts.

(b)	Allowance for loan losses of $22 million and $70 million were held against these nonaccrual loans at June 30, 2014 and 2013, respectively.

(c)	Management uses allowance for loan losses to period-end loans retained, excluding trade finance and conduits, a non-GAAP financial measure, to provide a more meaningful assessment of CIB’s allowance coverage ratio.

(d)	Consists of mutual funds, unit investment trusts, currencies, annuities, insurance contracts, options and other contracts.

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(a)	Source: Dealogic. Reflects the ranking of fees and revenue wallet share.

(b)	Long-term debt rankings include investment-grade, high-yield, supranationals, sovereigns, agencies, covered bonds, asset-backed securities (“ABS”) and mortgage-backed securities; and exclude money market, short-term debt, and U.S. municipal securities.

(c)	Global equity and equity-related rankings include rights offerings and Chinese A-Shares.

(d)	M&A and Announced M&A rankings reflect the removal of any withdrawn transactions. U.S. M&A wallet represents wallet from client parents based in the U.S. U.S. announced M&A volumes represents any U.S. involvement ranking.

(e)	Global investment banking fees rankings exclude money market, short-term debt and shelf deals.

(f)	Source: Dealogic. Reflects transaction volume and market share. Global announced M&A is based on transaction value at announcement; because of joint M&A assignments, M&A market share of all participants will add up to more than 100%. All other transaction volume-based rankings are based on proceeds, with full credit to each book manager/equal if joint.

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(a)	Total net revenue is based predominantly on the domicile of the client or location of the trading desk, as applicable. Loans outstanding (excluding loans held-for-sale and loans at fair value), client deposits and other third-party liabilities, and AUC are based predominantly on the domicile of the client.

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(a)	Includes revenue from investment banking products and commercial card transactions.

(b)

Total net revenue included tax-equivalent adjustments from income tax credits related to equity investments in designated community development entities that provide loans to qualified businesses in low-income communities, as well as tax-exempt income from municipal bond activity of $105 million and $90 million for the three months ended June 30, 2014 and 2013, respectively, and $209 million and $183 million for the six months ended June 30, 2014 and 2013, respectively.

(c)	Represents the total revenue related to investment banking products sold to CB clients.

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(a)	Allowance for loan losses of $75 million and $79 million was held against nonaccrual loans retained at June 30, 2014 and 2013, respectively.

(b)	Loans held-for-sale and loans at fair value were excluded when calculating the net charge-off/(recovery) rate.

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(a)	Effective January 1, 2014, prior period amounts were reclassified to conform with current period presentation.

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(a)	Derived from Morningstar for the U.S., the U.K., Luxembourg, France, Hong Kong and Taiwan; and Nomura for Japan.

(b)	Quartile ranking sourced from: Lipper for the U.S. and Taiwan; Morningstar for the U.K., Luxembourg, France and Hong Kong; and Nomura for Japan.

(c)	Included $20.4 billion and $14.8 billion of prime mortgage loans reported in the Consumer, excluding credit card, loan portfolio at June 30, 2014 and 2013, respectively. For the same periods, excluded $3.2 billion and $4.8 billion of prime mortgage loans reported in the CIO portfolio within the Corporate/Private Equity segment, respectively.

(a)	Includes Chase Wealth Management (“CWM”), which is a unit of Consumer & Business Banking. The firmwide metrics are presented in order to capture AM’s partnership with CWM.

(b)	Excludes CWM client assets that are managed by AM.

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(a)	Included tax-equivalent adjustments, predominantly due to tax-exempt income from municipal bond investments of $180 million and $105 million for the three months ended June 30, 2014 and 2013, respectively, and $344 million and $208 million for the six months ended June 30, 2014 and 2013, respectively.

(b)	Included legal expense of $227 million and $603 million for the three months ended June 30, 2014 and 2013, respectively, and $225 million and $595 million for the six months ended June 30, 2014 and 2013.

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(a)	Average investment securities included held-to-maturity balances of $47.5 billion for the three months ended June 30, 2014 and $45.7 billion for the six months ended June 30, 2014. Held-to-maturity average balances for the three and six months ended June 30, 2013 were not material.

(b)	Period-end investment securities included held-to-maturity balance of $47.8 billion at June 30, 2014. Held-to-maturity balance at June 30, 2013, was not material.

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(a)	Unrealized gains/(losses) contain reversals of unrealized gains and losses that were recognized in prior periods and have now been realized.

(b)	Included in principal transactions revenue in the Consolidated Statements of Income.

(a)	For more information on the Firm’s methodologies regarding the valuation of the private equity portfolio, see Note 3 of JPMorgan Chase’s 2013 Annual Report.

(b)	Unfunded commitments to third-party private equity funds were $130 million and $215 million at June 30, 2014, and December 31, 2013, respectively.

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(a)	At June 30, 2014, and December 31, 2013, excluded operating lease-related assets of $6.1 billion and $5.5 billion, respectively.

(b)

Credit card and home equity lending-related commitments represent the total available lines of credit for these products. The Firm has not experienced, and does not anticipate, that all available lines of credit would be used at the same time. For credit card and home equity commitments (if certain conditions are met), the Firm can reduce or cancel these lines of credit by providing the borrower notice or, in some cases as permitted by law, without notice.

(c)	Receivables from customers represent margin loans to retail brokerage customers, and are included in accrued interest and accounts receivable on the Consolidated Balance Sheets.

(d)	Includes accrued interest and fees net of an allowance for the uncollectible portion of accrued interest and fee income.

(e)	Predominantly represents prime mortgage loans held-for-sale.

(f)

At June 30, 2014, and December 31, 2013, nonaccrual loans excluded: (1) mortgage loans insured by U.S. government agencies of $8.1 billion and $8.4 billion, respectively, that are 90 or more days past due; and (2) student loans insured by U.S. government agencies under the FFELP of $316 million and $428 million, respectively, that are 90 or more days past due. These amounts have been excluded from nonaccrual loans based upon the government guarantee. In addition, the Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance.

(g)	Excludes PCI loans. The Firm is recognizing interest income on each pool of PCI loans as they are all performing.

(h)	Net charge-offs and the net charge-off rates excluded $48 million and $109 million of write-offs in the PCI portfolio for the three and six months ended June 30, 2014, respectively. These write-offs decreased the allowance for loan losses for PCI loans. See Consumer Credit Portfolio on pages 120–129 of JPMorgan Chase’s 2013 Annual Report for further details.

(i)	Average consumer loans held-for-sale were $710 million and $8 million for the three months ended June 30, 2014, and 2013, respectively, and $683 million and $4 million, for the six months ended June 30, 2014, and 2013, respectively. These amounts were excluded when calculating net charge-off rates.

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(a)	Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated at least quarterly based on home valuation models that utilize nationally recognized home price index valuation estimates; such models incorporate actual data to the extent available and forecasted data where actual data is not available.

(b)	Represents current estimated combined LTV for junior home equity liens, which considers all available lien positions, as well as unused lines, related to the property. All other products are presented without consideration of subordinate liens on the property.

(c)

Net carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition and is also net of the allowance for loan losses at June 30, 2014, and December 31, 2013 of $1.6 billion and $1.7 billion for prime mortgage, respectively, $194 million and $494 million for option ARMs, respectively, and $1.8 billion for home equity and $180 million for subprime mortgage for both periods.

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(a)	Represents loans held-for-sale, primarily related to syndicated loans and loans transferred from the retained portfolio, and loans at fair value.

(b)	These derivatives do not qualify for hedge accounting under U.S. GAAP.

(c)	The notional amounts are presented on a net basis by underlying reference entity and the ratings profile shown is based on the ratings of the reference entity on which protection has been purchased.

(d)	Predominantly all of the credit derivatives entered into by the Firm where it has purchased protection, including Credit Portfolio Management derivatives, are executed with investment grade counterparties.

(e)	The maturity profile of retained loans, lending-related commitments and derivative receivables is based on the remaining contractual maturity. Derivative contracts that are in a receivable position at June 30, 2014, may become a payable prior to maturity based on their cash flow profile or changes in market conditions.

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

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(a)	The industry rankings presented in the table as of December 31, 2013, are based on the industry rankings of the corresponding exposures at June 30, 2014, not actual rankings of such exposures at December 31, 2013.

(b)

In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at June 30, 2014, and December 31, 2013, noted above, the Firm held: $7.5 billion and $7.9 billion, respectively, of trading securities; $28.1 billion and $29.5 billion, respectively, of AFS securities; and $8.3 billion and $920 million, respectively, of HTM securities, issued by U.S. state and municipal governments. For further information, see Note 3 and Note 11.

(c)	All other includes: individuals, private education and civic organizations; SPEs; and holding companies, representing approximately 66%, 20% and 5%, respectively, at June 30, 2014, and 64%, 22% and 5%, respectively, at December 31, 2013.

(d)	Credit exposure is net of risk participations and excludes the benefit of “Credit Portfolio Management derivatives net notional” held against derivative receivables or loans and “Liquid securities and other cash collateral held against derivative receivables”.

(e)	Represents the net notional amounts of protection purchased and sold through credit derivatives used to manage the credit exposures; these derivatives do not qualify for hedge accounting under U.S. GAAP. The all other category includes purchased credit protection on certain credit indices.

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

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

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(a)	Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. Any write-offs of PCI loans are recognized when the underlying loan is removed from a pool (e.g., upon liquidation).

(b)	Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR.

(c)	The allowance for lending-related commitments is reported in other liabilities on the Consolidated Balance Sheets.

(d)	The Firm’s policy is generally to exempt credit card loans from being placed on nonaccrual status as permitted by regulatory guidance.

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(a)	Average portfolio VaR and period-end portfolio VaR were less than the sum of the VaR of the components described above, due to portfolio diversification. The diversification effect reflects the fact that the risks were not perfectly correlated.

(b)	Designated as not meaningful (“NM”), because the minimum and maximum may occur on different days for different risk components, and hence it is not meaningful to compute a portfolio-diversification effect.

(c)	These amounts have been updated from those included in the June 30, 2014 earnings supplement.

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(a)	Beginning in 2015, the Firm will report its SLR to its regulators under an observation period. Beginning in 2018, the Firm will be required to publicly disclose its SLR.

(b)	Trust preferred securities (“TruPS”) are to be phased out from inclusion in Basel III Capital commencing January 1, 2014, through the end of 2021.

(c)

Adjusted average assets, for purposes of calculating the leverage ratio and SLR, includes total quarterly average assets adjusted for unrealized gains/(losses) on securities, less deductions for disallowed goodwill and other intangible assets, investments in certain subsidiaries, and the total adjusted carrying value of nonfinancial equity investments that are subject to deductions from Tier 1 capital.

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(a)	Excludes federal funds purchased.

(b)	Excluded long-term structured repurchase agreements of $2.4 billion and $4.6 billion as of June 30, 2014, and December 31, 2013, respectively, and average balance of $3.7 billion and $3.3 billion for the three months ended June 30, 2014 and 2013, respectively, and $4.4 billion and $3.3 billion for the six months ended June 30, 2014 and 2013, respectively.

(c)	Excluded long-term securities loaned of $483 million as of December 31, 2013; there were no long-term securities loaned as of, or for the three months ended, June 30, 2014. Excluded average balance of $453 million for the three months ended June 30, 2013, and $48 million and $454 million for the six months ended June 30, 2014 and 2013, respectively.

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(d)	Other securitizations includes securitizations of residential mortgages and student loans. The Firm’s wholesale businesses also securitize loans for client-driven transactions; those client-driven loan securitizations are not considered to be a source of funding for the Firm and are not included in the table.

(e)	Includes long-term structured notes which are secured.

(f)	For additional information on preferred stock and common stockholders’ equity see Capital Management on pages 74–80 and the Consolidated Statements of Changes in Stockholders’ Equity on page 93 of this Form 10-Q, and Note 22 and Note 23 of JPMorgan Chase’s 2013 Annual Report.

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(a)	Other securitizations includes securitizations of residential mortgages and student loans.

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(a)	The Firm recognized other-than-temporary impairment (“OTTI”) losses related to securities the Firm intends to sell of $2 million for the six months ended June 30, 2014; the Firm did not recognize OTTI losses for the three months ended June 30, 2014. The Firm recognized OTTI losses of $6 million for the three and six months ended June 30, 2013.

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(a)	The following table presents information on assets and liabilities related to VIEs that are consolidated by the Firm at June 30, 2014, and December 31, 2013. The difference between total VIE assets and liabilities represents the Firm’s interests in those entities, which were eliminated in consolidation.

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(a)	At June 30, 2014, and December 31, 2013, included total U.S. government-sponsored enterprise obligations of $80.6 billion and $91.5 billion, respectively, which were predominantly mortgage-related.

(b)

At June 30, 2014, and December 31, 2013, included within trading loans were $15.5 billion and $14.8 billion, respectively, of residential first-lien mortgages, and $4.4 billion and $2.1 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $6.6 billion and $6.0 billion, respectively, and reverse mortgages of $3.7 billion and $3.6 billion, respectively.

(c)	Physical commodities inventories are generally accounted for at the lower of cost or market. “Market” 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, market

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(d)	Balances reflect the reduction of securities owned (long positions) by the amount of securities sold but not yet purchased (short positions) when the long and short positions have identical Committee on Uniform Security Identification Procedures numbers (“CUSIPs”).

(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. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. Therefore, the balances reported in the fair value hierarchy table are gross of any counterparty netting adjustments. However, if the Firm were to net such balances within level 3, the reduction in the level 3 derivative receivables and payables balances would be $4.2 billion and $7.6 billion at June 30, 2014, and December 31, 2013, respectively; this is exclusive of the netting benefit associated with cash collateral, which would further reduce the level 3 balances.

(f)	Private equity instruments represent investments within the Corporate/Private Equity line of business. The cost basis of the private equity investment portfolio totaled $6.3 billion and $8.0 billion at June 30, 2014, and December 31, 2013, respectively.

(g)

Includes investments in hedge funds, private equity funds, real estate and other funds that do not have readily determinable fair values. The Firm uses net asset value per share when measuring the fair value of these investments. At June 30, 2014, and December 31, 2013, the fair values of these investments were $2.2 billion and $3.2 billion, respectively, of which $590 million and $899 million, respectively, were classified in level 2, and $1.6 billion and $2.3 billion, respectively, in level 3.

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(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.

(b)	The unobservable inputs and associated input ranges for approximately $389 million of credit derivative receivables and $342 million of credit derivative payables with underlying commercial mortgage risk have been included in the inputs and ranges provided for commercial mortgage-backed securities and loans.

(c)	The unobservable inputs and associated input ranges for approximately $1.1 billion of credit derivative receivables and $972 million of credit derivative payables with underlying asset-backed securities risk have been included in the inputs and ranges provided for corporate debt securities, obligations of U.S. states and municipalities and other.

(d)

Long-term debt, other borrowed funds and deposits include structured notes issued by the Firm that are predominantly financial instruments containing embedded derivatives. The estimation of the fair value of structured notes is predominantly based on the derivative features embedded within the instruments. The significant unobservable inputs are broadly consistent with those presented for derivative receivables.

(e)	The range has not been disclosed due to the wide range of possible values given the diverse nature of the underlying investments.

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

(b)	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 16% and 18% at June 30, 2014, and December 31, 2013, respectively.

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(c)	Predominantly reported in principal transactions revenue, except for changes in fair value for Consumer & Community Banking (“CCB”) mortgage loans, 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 securities, as well as other-than-temporary impairment losses that are recorded in earnings, are reported in securities gains. Unrealized gains/(losses) are reported in OCI. Realized gains/(losses) and foreign exchange remeasurement adjustments recorded in income on AFS securities were $(11) million and $3 million for the three months ended June 30, 2014 and 2013, and $(12) million and $(15) million for the six months ended June 30, 2014 and 2013, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $3 million and $(3) million for the three months ended June 30, 2014 and 2013 and $(1) million and $11 million for the six months ended June 30, 2014 and 2013, respectively.

(e)	Changes in fair value for CCB mortgage servicing rights are reported in mortgage fees and related income.

(f)	Predominantly reported in other income.

(g)	Loan originations are included in purchases.

(h)	All transfers into and/or out of level 3 are assumed to occur at the beginning of the quarterly reporting period in which they occur.

(i)	The prior period amounts have been revised. The revision had no impact on the Firm’s Consolidated Balance Sheets or its results of operations.

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(a)	Carrying value includes unamortized discount or premium.

(b)

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. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of the Firm’s methodologies for estimating the fair value of loans and lending-related commitments, see Valuation hierarchy on pages 197–215 of JPMorgan Chase’s 2013 Annual Report and pages 96–109 of this Note.

(c)	Current period numbers have been updated to include certain nonmarketable equity securities. Prior period amounts have been revised to conform to the current presentation.

(d)	Carrying value includes unamortized original issue discount and other valuation adjustments.

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(a)	Represents the allowance for wholesale lending-related commitments. Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which are recognized at fair value at the inception of guarantees.

(a)	Primarily represent securities sold, not yet purchased.

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(a)	Total changes in instrument-specific credit risk (DVA) related to structured notes were $134 million and $251 million for the three months ended June 30, 2014 and 2013 and $19 million and $382 million for the six months ended June 30, 2014 and 2013, respectively. These totals include such changes for structured notes classified within deposits and other borrowed funds, as well as long-term debt.

(b)	Reported in mortgage fees and related income.

(c)	Reported in other income.

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(a)	There were no performing loans that were ninety days or more past due as of June 30, 2014, and December 31, 2013.

(b)

Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected structured notes, for which the Firm is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected structured notes do not obligate the Firm to return a stated amount of principal at maturity, but to return an amount based on the performance of an underlying variable or derivative feature embedded in the note. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal protected notes.

(c)	Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflected as the remaining contractual principal is the final principal payment at maturity.

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(a)	Balances exclude structured notes for which the fair value option has been elected. See Note 4 for further information.

(b)	As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral receivables and payables when a legally enforceable master netting agreement exists.

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(a)	Exchange traded derivative amounts that relate to futures contracts are settled daily.

(b)	Included cash collateral netted of $62.0 billion and $63.9 billion at June 30, 2014, and December 31, 2013, respectively.

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(a)	Exchange traded derivative balances that relate to futures contracts are settled daily.

(b)	Included cash collateral netted of $44.9 billion and $52.1 billion related to OTC and OTC-cleared derivatives at June 30, 2014, and December 31, 2013, respectively.

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(a)	Represents liquid security collateral as well as cash collateral held at third party custodians. For some counterparties, the collateral amounts of financial instruments may exceed the derivative receivables and derivative payables balances. Where this is the case, the total amount reported is limited to the net derivative receivables and net derivative payables balances with that counterparty.

(b)	Derivative payable collateral relates only to OTC and OTC-cleared derivative instruments. Amounts exclude collateral transferred related to exchange-traded derivative instruments.

(c)	Net amount represents exposure of counterparties to the Firm.

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(a)	Includes the additional collateral to be posted for initial margin.

(b)	Amounts represent fair value of derivative payables, and do not reflect collateral posted.

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(a)	Primarily consists of hedges of the benchmark (e.g., London Interbank Offered Rate (“LIBOR”)) interest rate risk of fixed-rate long-term debt and AFS securities. Gains and losses were recorded in net interest income. The current presentation excludes accrued interest.

(b)	Primarily consists of hedges of the foreign currency risk of long-term debt and AFS securities for changes in spot foreign currency rates. Gains and losses related to the derivatives and the hedged items, due to changes in foreign currency rates, were recorded in principal transactions revenue and net interest income.

(c)	Consists of overall fair value hedges of physical commodities inventories that are generally carried at the lower of cost or market (market approximates fair value). Gains and losses were recorded in principal transactions revenue.

(d)	The prior period amounts have been revised. This revision had no impact on the Firm’s Consolidated Balance Sheets or its results of operations.

(e)	Hedge ineffectiveness is the amount by which the gain or loss on the designated derivative instrument does not exactly offset the gain or loss on the hedged item attributable to the hedged risk.

(f)	The assessment of hedge effectiveness excludes certain components of the changes in fair values of the derivatives and hedged items such as forward points on foreign exchange forward contracts and time values.

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(a)	Primarily consists of benchmark interest rate hedges of LIBOR-indexed floating-rate assets and floating-rate liabilities. Gains and losses were recorded in net interest income.

(b)	Primarily consists of hedges of the foreign currency risk of non-U.S. dollar-denominated revenue and expense. The income statement classification of gains and losses follows the hedged item – primarily noninterest revenue and compensation expense.

(c)	The Firm did not experience any forecasted transactions that failed to occur for the three and six months ended June 30, 2014 and 2013.

(d)	Hedge ineffectiveness is the amount by which the cumulative gain or loss on the designated derivative instrument exceeds the present value of the cumulative expected change in cash flows on the hedged item attributable to the hedged risk.

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(a)	Other credit derivatives predominantly consists of credit swap options.

(b)	The prior period amounts have been revised. This revision had no impact on the Firm’s Consolidated Balance Sheets or its results of operations.

(c)	Represents the total notional amount of protection purchased where the underlying reference instrument is identical to the reference instrument on protection sold; the notional amount of protection purchased for each individual identical underlying reference instrument may be greater or lower than the notional amount of protection sold.

(d)	Does not take into account the fair value of the reference obligation at the time of settlement, which would generally reduce the amount the seller of protection pays to the buyer of protection in determining settlement value.

(e)	Represents protection purchased by the Firm on referenced instruments (single-name, portfolio or index) where the Firm has not sold any protection on the identical reference instrument.

(a)	The ratings scale is based on the Firm’s internal ratings, which generally correspond to ratings as defined by S&P and Moody’s.

(b)	The prior period amounts have been revised. This revision had no impact on the Firm’s Consolidated Balance Sheets or its results of operations.

(c)	Amounts are shown on a gross basis, before the benefit of legally enforceable master netting agreements and cash collateral received by the Firm.

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(a)	Negative interest income for the three and six months ended June 30, 2014 and 2013, is a result of increased client-driven demand for certain securities combined with the impact of low interest rates; the offset of this matched book activity is reflected as lower net interest expense reported within short-term and other liabilities.

(b)	Largely margin loans.

(c)	Includes brokerage customer payables.

(d)	Effective January 1,2014, prior period amounts (and the corresponding amounts on the Consolidated statements of income) have been reclassified to conform with the current period presentation.

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(a)	Includes various defined benefit pension plans which are individually immaterial.

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(a)	Included total U.S. government-sponsored enterprise obligations with fair values of $58.2 billion and $67.0 billion at June 30, 2014, and December 31, 2013, respectively.

(b)

As of June 30, 2014, consists of MBS issued by U. S. government-sponsored enterprises with an amortized cost of $35.4 billion, MBS issued by U.S. government agencies with an amortized cost of $4.1 billion and obligations of U.S. states and municipalities with an amortized cost of $8.3 billion. As of December 31, 2013, consists of MBS issued by U.S. government-sponsored enterprises with an amortized cost of $23.1 billion and obligations of U.S. states and municipalities with an amortized cost of $920 million.

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(a)	U.S. government-sponsored enterprises were the only issuers whose securities exceeded 10% of JPMorgan Chase’s total stockholders’ equity at June 30, 2014.

(b)

Average yield is computed using the effective yield of each security owned at the end of the period, weighted based on the amortized cost of each security. The effective yield considers the contractual coupon, amortization of premiums and accretion of discounts, and the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable. The effective yield excludes unscheduled principal prepayments; and accordingly, actual maturities of securities may differ from their contractual or expected maturities as certain securities may be prepaid.

(c)

Includes securities with no stated maturity. Substantially all of the Firm’s residential mortgage-backed securities and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated duration, which reflects anticipated future prepayments based on a consensus of dealers in the market, is approximately six years for agency residential mortgage-backed securities, three years for agency residential collateralized mortgage obligations and four years for nonagency residential collateralized mortgage obligations.

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(a)	At June 30, 2014, and December 31, 2013, included securities purchased under resale agreements of $27.8 billion and $25.1 billion, respectively, accounted for at fair value.

(b)	At June 30, 2014, and December 31, 2013, included securities borrowed of $2.1 billion and $3.7 billion, respectively, accounted for at fair value.

(c)	Included $27.2 billion and $26.9 billion at June 30, 2014, and December 31, 2013, respectively, of securities borrowed where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement.

(a)

For some counterparties, the sum of the financial instruments and cash collateral not nettable on the Consolidated Balance Sheets may exceed the net asset balance. Where this is the case the total amounts reported in these two columns are limited to the balance of the net reverse repurchase agreement or securities borrowed asset with that counterparty. As a result a net exposure amount is reported even though the Firm, on an aggregate basis for its securities purchased under resale agreements and securities borrowed, has received securities collateral with a total fair value that is greater than the funds provided to counterparties.

(b)	Includes financial instrument collateral received, repurchase liabilities and securities loaned liabilities with an appropriate legal opinion with respect to the master netting agreement; these amounts are not presented net on the Consolidated Balance Sheets because other U.S. GAAP netting criteria are not met.

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(a)	Includes repurchase agreements that are not subject to a master netting agreement but do provide rights to collateral.

(b)	Included securities-for-securities borrow vs. pledge transactions of $5.7 billion and $5.8 billion at June 30, 2014, and December 31, 2013, respectively, when acting as lender and as presented within other liabilities in the Consolidated Balance Sheets.

(c)	At June 30, 2014, and December 31, 2013, included securities sold under repurchase agreements of $2.6 billion and $4.9 billion, respectively, accounted for at fair value.

(d)	At December 31, 2013, included securities loaned of $483 million accounted for at fair value; there were no securities loaned accounted for at fair value as of June 30, 2014.

(e)	Included $472 million and $397 million at June 30, 2014, and December 31, 2013, respectively, of securities loaned where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement.

(f)	The prior period amounts have been revised with a corresponding impact in the table below. This revision had no impact on the Firm’s Consolidated Balance Sheets or its results of operations.

(a)	For some counterparties the sum of the financial instruments and cash collateral not nettable on the Consolidated Balance Sheets may exceed the net liability balance. Where this is the case the total amounts reported in these two columns are limited to the balance of the net repurchase agreement or securities loaned liability with that counterparty.

(b)	Includes financial instrument collateral transferred, reverse repurchase assets and securities borrowed assets with an appropriate legal opinion with respect to the master netting agreement; these amounts are not presented net on the Consolidated Balance Sheets because other U.S. GAAP netting criteria are not met.

(c)	Net amount represents exposure of counterparties to the Firm.

(d)	The prior period amounts have been revised with a corresponding impact in the table above. This revision had no impact on the Firm’s Consolidated Balance Sheets or its results of operations.

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(a)	Includes loans held in CCB, and prime mortgage loans held in the AM business segment and in Corporate/Private Equity.

(b)	Includes certain business banking and auto dealer risk-rated loans that apply the wholesale methodology for determining the allowance for loan losses; these loans are managed by CCB, and therefore, for consistency in presentation, are included with the other consumer loan classes.

(c)	Includes loans held in CIB, CB and AM business segments and in Corporate/Private Equity. Classes are internally defined and may not align with regulatory definitions.

(d)	Other primarily includes loans to special-purpose entities (“SPEs”) and loans to private banking clients. See Note 1 of JPMorgan Chase’s 2013 Annual Report for additional information on SPEs.

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(a)	Includes billed finance charges and fees net of an allowance for uncollectible amounts.

(b)	Loans (other than PCI loans and those for which the fair value option has been elected) are presented net of unearned income, unamortized discounts and premiums, and net deferred loan costs of $1.9 billion at both June 30, 2014, and December 31, 2013.

(a)

Purchases predominantly represent the Firm’s voluntary repurchase of certain delinquent loans from loan pools as permitted by Ginnie Mae guidelines. The Firm typically elects to repurchase these delinquent loans as it continues to service them and/or manage the foreclosure process in accordance with applicable requirements of Ginnie Mae, the Federal Housing Administration (“FHA”), Rural Housing Services (“RHS”) and/or the U.S. Department of Veterans Affairs (“VA”).

(b)	Excluded retained loans purchased from correspondents that were originated in accordance with the Firm’s underwriting standards. Such purchases were $2.4 billion and $1.3 billion for the three months ended June 30, 2014 and 2013, respectively, and $4.1 billion and $2.2 billion for the six months ended June 30, 2014 and 2013, respectively.

(a)	Excludes sales related to loans accounted for at fair value.

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(a)	Individual delinquency classifications include mortgage loans insured by U.S. government agencies as follows: current included $4.6 billion and $4.7 billion; 30–149 days past due included $2.9 billion and $2.4 billion; and 150 or more days past due included $6.0 billion and $6.6 billion at June 30, 2014, and December 31, 2013, respectively.

(b)	At June 30, 2014, and December 31, 2013, Prime, including option ARMs loans excluded mortgage loans insured by U.S. government agencies of $8.8 billion and $9.0 billion, respectively. These amounts have been excluded from nonaccrual loans based upon the government guarantee.

(c)

These balances, which are 90 days or more past due but insured by U.S. government agencies, are excluded from nonaccrual loans. In predominantly all cases, 100% of the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed-upon servicing guidelines. These amounts have been excluded from nonaccrual loans based upon the government guarantee. At June 30, 2014, and December 31, 2013, these balances included $4.3 billion and $4.7 billion, respectively, of loans that are no longer accruing interest because interest has been curtailed by the U.S. government agencies although, in predominantly all cases, 100% of the principal is still insured. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate.

(d)

Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates.

(e)	Junior lien represents combined LTV, which considers all available lien positions, as well as unused lines, related to the property. All other products are presented without consideration of subordinate liens on the property.

(f)	Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis.

(g)	At June 30, 2014, and December 31, 2013, included mortgage loans insured by U.S. government agencies of $13.5 billion and $13.7 billion, respectively.

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(a)

Represents collateral-dependent residential mortgage loans that are charged off to the fair value of the underlying collateral less cost to sell. The Firm reports, in accordance with regulatory guidance, residential real estate loans that have been discharged under Chapter 7 bankruptcy and not reaffirmed by the borrower (“Chapter 7 loans”) as collateral-dependent nonaccrual TDRs, regardless of their delinquency status.

(b)

At June 30, 2014, and December 31, 2013, $6.7 billion and $7.6 billion, respectively, of loans modified subsequent to repurchase from Government National Mortgage Association (“Ginnie Mae”) in accordance with the standards of the appropriate government agency (i.e., FHA, VA, RHS) are not included in the table above. When such loans perform subsequent to modification in accordance with Ginnie Mae guidelines, they are generally sold back into Ginnie Mae loan pools. Modified loans that do not re-perform become subject to foreclosure.

(c)	Predominantly all residential real estate impaired loans, excluding PCI loans, are in the U.S.

(d)	Represents the contractual amount of principal owed at June 30, 2014, and December 31, 2013. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs, net deferred loan fees or costs; and unamortized discounts or premiums on purchased loans.

(e)	As of June 30, 2014, and December 31, 2013, nonaccrual loans included $3.1 billion and $3.0 billion, respectively, of TDRs for which the borrowers were less than 90 days past due. For additional information about loans modified in a TDR that are on nonaccrual status refer to the Loan accounting framework in Note 14 of JPMorgan Chase’s 2013 Annual Report.

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(a)	Generally, interest income on loans modified in TDRs is recognized on a cash basis until such time as the borrower has made a minimum of six payments under the new terms.

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(a)	Includes charge-offs on unsuccessful trial modifications.

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(a)	Represents concessions granted in permanent modifications as a percentage of the number of loans permanently modified. The sum of the percentages exceeds 100% because predominantly all of the modifications include more than one type of concession. A significant portion of trial modifications include interest rate reductions and/or term or payment extensions.

(b)	Represents variable interest rate to fixed interest rate modifications.

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(a)

Represents loans permanently modified in TDRs that experienced a payment default in the periods presented, and for which the payment default occurred within one year of the modification. The dollar amounts presented represent the balance of such loans at the end of the reporting period in which such loans defaulted. For residential real estate loans modified in TDRs, payment default is deemed to occur when the loan becomes two contractual payments past due. In the event that a modified loan redefaults, it is probable that the loan will ultimately be liquidated through foreclosure or another similar type of liquidation transaction. Redefaults of loans modified within the last 12 months may not be representative of ultimate redefault levels.

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(a)	Individual delinquency classifications included loans insured by U.S. government agencies under the Federal Family Education Loan Program (“FFELP”) as follows: current included $4.7 billion and $4.9 billion; 30-119 days past due included $359 million and $387 million; and 120 or more days past due included $271 million and $350 million at June 30, 2014, and December 31, 2013, respectively.

(b)	These amounts represent student loans, which are insured by U.S. government agencies under the FFELP. These amounts were accruing based upon the government guarantee.

(c)	For risk-rated business banking and auto loans, the primary credit quality indicator is the risk rating of the loan, including whether the loans are considered to be criticized and/or nonaccrual.

(d)	June 30, 2014, and December 31, 2013, excluded loans 30 days or more past due and still accruing, which are insured by U.S. government agencies under the FFELP, of $630 million and $737 million, respectively. These amounts were excluded based upon the government guarantee.

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(a)	When discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged off and/or there have been interest payments received and applied to the loan balance.

(b)	Predominantly all other consumer impaired loans are in the U.S.

(c)	Represents the contractual amount of principal owed at June 30, 2014, and December 31, 2013. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the principal balance; net deferred loan fees or costs; and unamortized discounts or premiums on purchased loans.

(d)	Excludes $63 million of impaired student loans with a related allowance for loan losses of $18 million, all of which were on nonaccrual status, at June 30, 2014. There were no impaired student and other loans at December 31, 2013.

(a)	The related interest income on impaired loans, including those on a cash basis, was not material for the three and six months ended June 30, 2014 and 2013.

(b)	Excludes impaired student loans for the three and six months ended June 30, 2014.

(a)	These modifications generally provided interest rate concessions to the borrower or term or payment extensions.

(b)	Additional commitments to lend to borrowers whose loans have been modified in TDRs as of June 30, 2014, and December 31, 2013, were immaterial.

(c)	Excludes impaired student loans modified in TDRs at June 30, 2014.

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(a)	Excludes student loans modified in TDRs during the three and six months ended June 30, 2014.

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(a)	Carrying value includes the effect of fair value adjustments that were applied to the consumer PCI portfolio at the date of acquisition.

(b)	Management concluded as part of the Firm’s regular assessment of the PCI loan pools that it was probable that higher expected credit losses would result in a decrease in expected cash flows. As a result, an allowance for loan losses for impairment of these pools has been recognized.

(c)

Represents the aggregate unpaid principal balance of loans divided by the estimated current property value. Current property values are estimated, at a minimum, quarterly, based on home valuation models using nationally recognized home price index valuation estimates incorporating actual data to the extent available and forecasted data where actual data is not available. These property values do not represent actual appraised loan level collateral values; as such, the resulting ratios are necessarily imprecise and should be viewed as estimates. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property.

(d)	Refreshed FICO scores represent each borrower’s most recent credit score, which is obtained by the Firm on at least a quarterly basis.

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(a)	In general, these HELOCs are revolving loans for a 10-year period, after which time the HELOC converts to an interest-only loan with a balloon payment at the end of the loan’s term.

(b)	Substantially all undrawn HELOCs within the revolving period have been closed.

(c)	Includes loans modified into fixed rate amortizing loans.

(a)

Other changes in expected cash flows may vary from period to period as the Firm continues to refine its cash flow model and periodically updates model assumptions. For the three and six months ended June 30, 2014, and for the three months ended June 30, 2013, other changes in expected cash flows were driven by changes in prepayment assumptions. For the six months ended June 30, 2013, other changes in expected cash flows were due to refining the expected interest cash flows on HELOCs with balloon payments, partially offset by changes in prepayment assumptions.

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(a)	The U.S. and non-U.S. distribution is determined based predominantly on the domicile of the borrower.

(b)	The credit quality of wholesale loans is assessed primarily through ongoing review and monitoring of an obligor’s ability to meet contractual obligations rather than relying on the past due status, which is generally a lagging indicator of credit quality. For a discussion of more significant risk factors, see Note 14 of JPMorgan Chase’s 2013 Annual Report.

(c)	Represents loans that are considered well-collateralized and therefore still accruing interest.

(d)	Other primarily includes loans to SPEs and loans to private banking clients. See Note 1 of JPMorgan Chase’s 2013 Annual Report for additional information on SPEs.

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(a)	When the discounted cash flows, collateral value or market price equals or exceeds the recorded investment in the loan, the loan does not require an allowance. This typically occurs when the impaired loans have been partially charged-off and/or there have been interest payments received and applied to the loan balance.

(b)	Represents the contractual amount of principal owed at June 30, 2014, and December 31, 2013. The unpaid principal balance differs from the impaired loan balances due to various factors, including charge-offs; interest payments received and applied to the carrying value; net deferred loan fees or costs; and unamortized discount or premiums on purchased loans.

(c)	Based upon the domicile of the borrower, predominantly all wholesale impaired loans are in the U.S.

(a)	The related interest income on accruing impaired loans and interest income recognized on a cash basis were not material for the three and six months ended June 30, 2014 and 2013.

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(a)	Sales and other are largely sales and paydowns.

(b)	Includes loans to Financial institutions, Government agencies and Other.

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(a)	Write-offs of PCI loans are recorded against the allowance for loan losses when actual losses for a pool exceed estimated losses that were recorded as purchase accounting adjustments at the time of acquisition. Any write-offs of PCI loans are recognized when the underlying loan is removed from a pool (e.g., upon liquidation).

(b)	Includes risk-rated loans that have been placed on nonaccrual status and loans that have been modified in a TDR.

(c)	The asset-specific credit card allowance for loan losses is related to loans that have been modified in a TDR; such allowance is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.

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(a)	Excludes U.S. government agency securitizations. See Loans and excess mortgage servicing rights sold to the GSEs, loans in securitization transactions pursuant to Ginnie Mae guidelines, and other third-party-sponsored securitization entities on pages 159–160 of this Note for information on the Firm’s loan sales to U.S. government agencies.

(b)	Consists of securities backed by commercial loans (predominantly real estate) and non-mortgage-related consumer receivables purchased from third parties. The Firm generally does not retain a residual interest in its sponsored commercial mortgage securitization transactions.

(c)

The table above excludes the following: retained servicing (see Note 16 for a discussion of MSRs); securities retained from loans sales to U.S. government agencies; interest rate and foreign exchange derivatives primarily used to manage interest rate and foreign exchange risks of securitization entities (See Note 5 for further information on derivatives); senior and subordinated securities of $105 million and $55 million, respectively, at June 30, 2014, and $151 million and $30 million, respectively, at December 31, 2013, which the Firm purchased in connection with CIB’s secondary market-making activities.

(d)	Includes interests held in re-securitization transactions.

(e)

As of June 30, 2014, and December 31, 2013, 69% of the Firm’s retained securitization interests, which are carried at fair value, were risk-rated “A” or better, on an S&P-equivalent basis. The retained interests in prime residential mortgages consisted of $437 million and $551 million of investment-grade and $238 million and $260 million of noninvestment-grade retained interests at June 30, 2014, and December 31, 2013, respectively. The retained interests in commercial and other securitizations trusts consisted of $3.6 billion and $3.9 billion of investment-grade and $124 million and $80 million of noninvestment-grade retained interests at June 30, 2014, and December 31, 2013, respectively.

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(a)	Represents the excess/(deficit) of the fair values of municipal bond assets available to repay the liquidity facilities, if drawn.

(b)	The ratings scale is presented on an S&P-equivalent basis.

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(a)	Excludes intercompany transactions which were eliminated in consolidation.

(b)	Includes residential and commercial mortgage securitizations as well as re-securitizations.

(c)	Primarily comprises student loan securitization entities. The Firm consolidated $2.5 billion of student loan securitization entities as of June 30, 2014, and December 31, 2013.

(d)	Includes assets classified as cash, AFS securities, and other assets within the Consolidated Balance Sheets.

(e)	The assets of the consolidated VIEs included in the program types above are used to settle the liabilities of those entities. The difference between total assets and total liabilities recognized for consolidated VIEs represents the Firm’s interest in the consolidated VIEs for each program type.

(f)

The interest-bearing beneficial interest liabilities issued by consolidated VIEs are classified in the line item on the Consolidated Balance Sheets titled, “Beneficial interests issued by consolidated variable interest entities.” The holders of these beneficial interests do not have recourse to the general credit of JPMorgan Chase. Included in beneficial interests in VIE assets are long-term beneficial interests of $33.6 billion and $31.8 billion at June 30, 2014, and December 31, 2013, respectively. The maturities of the long-term beneficial interests as of June 30, 2014, were as follows: $6.5 billion under one year, $19.1 billion between one and five years, and $8.0 billion over five years, all respectively.

(g)	Includes liabilities classified as accounts payable and other liabilities in the Consolidated Balance Sheets.

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(a)	Excludes re-securitization transactions.

(b)

For the three and six months ended June 30, 2014, $312 million and $642 million of proceeds from residential mortgage securitizations were received as securities classified in level 2 and zero and $21 million of proceeds classified as level 3 of the fair value hierarchy, respectively. For the three and six months ended June 30, 2014, $2.3 billion and $4.3 billion, respectively, of proceeds from commercial mortgage securitizations were received as securities classified in level 2 and $130 million of proceeds classified as level 3 of the fair value hierarchy, and $280 million of proceeds from commercial mortgage securitization were received as cash. For the three and six months ended June 30, 2013, $446 million and $1.1 billion, respectively, of proceeds from residential mortgage securitizations were received as securities classified in level 2 of the fair value hierarchy. For the three and six months ended June 30, 2013, $3.1 billion and $5.2 billion, respectively, of proceeds from commercial mortgage securitizations were received as securities classified in level 2 of the fair value hierarchy, and zero and $207 million, respectively, of proceeds from commercial mortgage securitizations were received as cash. All loans transferred into securitization vehicles during the three and six months ended June 30, 2014 and 2013, were classified as trading assets; changes in fair value were recorded in principal transactions revenue, and there were no significant gains or losses associated with the securitization activity.

(c)	Includes cash paid by the Firm to reacquire assets from off–balance sheet, nonconsolidated entities – for example, loan repurchases due to representation and warranties and servicer clean-up calls.

(d)	Includes prime, Alt-A, subprime, and option ARMs. Excludes certain loan securitization transactions entered into with Ginnie Mae, Fannie Mae and Freddie Mac.

(e)	Includes commercial and student loan securitizations.

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(a)

Total assets held in securitization-related SPEs were $258.4 billion and $271.7 billion, respectively, at June 30, 2014, and December 31, 2013. The $205.4 billion and $216.4 billion, respectively, of loans securitized at June 30, 2014, and December 31, 2013, excluded: $48.5 billion and $50.8 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $4.5 billion of loan securitizations consolidated on the Firm’s Consolidated Balance Sheets at June 30, 2014, and December 31, 2013.

(b)	Includes securitized loans that were previously recorded at fair value and classified as trading assets.

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(a)	Included changes related to commercial real estate of $(2) million for the three months ended June 30, 2014, and $(4) million and $(2) million for the six months ended June 30, 2014 and 2013, respectively.

(b)	Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.

(c)	Represents changes in prepayments other than those attributable to changes in market interest rates.

(d)	Included $14 million and $21 million related to commercial real estate at June 30, 2014 and 2013, respectively.

(e)

Represents amounts the Firm pays as the servicer (e.g., scheduled principal and interest to a trust, taxes and insurance), which will generally be reimbursed within a short period of time after the advance from future cash flows from the trust or the underlying loans. The Firm’s credit risk associated with recoverable servicer advances is minimal because reimbursement of the advances is typically senior to all cash payments to investors. In addition, the Firm maintains the right to stop payment to investors if the collateral is insufficient to cover the advance. However, certain of these servicer advances may not be recoverable if they were not made in accordance with applicable rules and agreements. Servicer advances are recognized net of an allowance for unrecoverable advances.

(f)

Predominantly represents excess mortgage servicing rights transferred to agency-sponsored trusts in exchange for stripped mortgage-backed securities (“SMBS”). In each transaction, a portion of the SMBS was acquired by third parties at the transaction date; the Firm acquired and has retained the remaining balance of those SMBS as trading securities. Also includes sales of MSRs for the three and six months ended June 30, 2014 and 2013.

(g)

For the six months ended June 30, 2014, the decrease was primarily related to higher capital allocated to the Mortgage Servicing business, which, in turn, resulted in an increase in the option adjusted spread (“OAS”). The resulting OAS assumption continues to be consistent with capital and return requirements that the Firm believes a market participant would consider, taking into account factors such as the current operating risk environment and regulatory and economic capital requirements.

(h)	For the six months ended June 30, 2013, the increase was driven by the inclusion in the MSR valuation model of servicing fees receivable on certain delinquent loans.

(i)	For the six months ended June 30, 2013, the decrease was driven by changes in the inputs and assumptions used to derive prepayment speeds, primarily increases in home prices.

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(a)	Represents both the impact of changes in estimated future prepayments due to changes in market interest rates, and the difference between actual and expected prepayments.

(b)	Represents the aggregate impact of changes in model inputs and assumptions such as projected cash flows (e.g., cost to service), discount rates and changes in prepayments other than those attributable to changes in market interest rates (e.g., changes in prepayments due to changes in home prices).

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(a)	The decrease in the gross amount and accumulated amortization from December 31, 2013, was due to the removal of fully amortized assets.

(b)	Includes intangible assets of approximately $600 million consisting primarily of asset management advisory contracts, which were determined to have an indefinite life and are not amortized.

(a)	Includes $90 million, $27 million, $85 million and $61 million of amortization expense related to purchased credit card relationships, other credit card-related intangibles, core deposit intangibles and other intangibles, respectively, recognized during the six months ended June 30, 2014.

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(a)	Represents the after-tax difference between the fair value and amortized cost of securities accounted for as AFS; including, as of the date of transfer during the first quarter of 2014, $9 million of net unrealized losses related to AFS securities that were transferred to HTM. Subsequent to transfer, includes any net unamortized unrealized gains and losses related to the transferred securities.

(b)	The net change for the three and six months ended June 30, 2014, was primarily due to higher market valuations of obligations of U.S. states and municipalities and U.S. mortgage-backed securities in the Firm’s AFS investment securities portfolio.

(c)	The net change for the three and six months ended June 30, 2013, was primarily related to the decline in fair value of U.S. government agency issued MBS and obligations of U.S. states and municipalities due to market changes, as well as net realized gains.

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(a)	The pretax amount is reported in securities gains in the Consolidated Statements of Income.

(b)	Reclassifications of pretax realized gains/(losses) on translation adjustments and related hedges are reported in other income in the Consolidated Statements of Income. The amounts were not material for the three and six months ended June 30, 2014, and 2013.

(c)	The pretax amount is reported in the same line as the hedged items, which are predominantly recorded in net interest income in the Consolidated Statements of Income.

(d)	The pretax amount is reported in compensation expense in the Consolidated Statements of Income.

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(a)	Predominantly all consumer, excluding credit card, lending-related commitments contractual amounts are in the U.S.

(b)	Predominantly all credit card lending-related commitments contractual amounts are in the U.S.

(c)

At June 30, 2014, and December 31, 2013, reflects the contractual amount net of risk participations totaling $184 million and $476 million, respectively, for other unfunded commitments to extend credit; $14.3 billion and $14.8 billion, respectively, for standby letters of credit and other financial guarantees; and $538 million and $622 million, respectively, for other letters of credit. In regulatory filings with the Federal Reserve these commitments are shown gross of risk participations.

(d)

At June 30, 2014, and December 31, 2013, included credit enhancements and bond and commercial paper liquidity commitments to U.S. states and municipalities, hospitals and other non-profit entities of $17.0 billion and $18.9 billion, respectively, within other unfunded commitments to extend credit; and $15.2 billion and $17.2 billion, respectively, within standby letters of credit and other financial guarantees. Other unfunded commitments to extend credit also include liquidity facilities to nonconsolidated municipal bond VIEs; for further information, see Note 15.

(e)	At June 30, 2014, and December 31, 2013, included unissued standby letters of credit commitments of $44.8 billion and $42.8 billion, respectively.

(f)	At June 30, 2014, and December 31, 2013, the U.S. portion of the contractual amount of total wholesale lending-related commitments was 67% and 68%, respectively.

(g)	At June 30, 2014, and December 31, 2013, collateral held by the Firm in support of securities lending indemnification agreements was $216.3 billion and $176.4 billion, respectively. Securities lending collateral comprises primarily cash and securities issued by governments that are members of the Organisation for Economic Co-operation and Development (“OECD”) and U.S. government agencies.

(h)

At June 30, 2014, and December 31, 2013, the amount of commitments related to forward-starting reverse repurchase agreements and securities borrowing agreements were $40.7 billion and $9.9 billion, respectively. Commitments related to unsettled reverse repurchase agreements and securities borrowing agreements with regular-way settlement periods were $33.5 billion and $28.3 billion, at June 30, 2014, and December 31, 2013, respectively.

(i)

At June 30, 2014, and December 31, 2013, included unfunded commitments of $130 million and $215 million, respectively, to third-party private equity funds; and $691 million and $1.9 billion, at June 30, 2014, and December 31, 2013, to other equity investments. These commitments included $111 million and $184 million, respectively, related to investments that are generally fair valued at net asset value as discussed in Note 3. In addition, at both June 30, 2014, and December 31, 2013, included letters of credit hedged by derivative transactions and managed on a market risk basis of $4.5 billion.

(j)	For lending-related products, the carrying value represents the allowance for lending-related commitments and the guarantee liability; for derivative-related products, the carrying value represents the fair value.

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(a)	The ratings scale is based on the Firm’s internal ratings which generally correspond to ratings as defined by S&P and Moody’s.

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(a)	Managed basis starts with the reported U.S. GAAP results and includes certain reclassifications that do not have any impact on net income as reported by the lines of business or by the Firm as a whole.

(b)	Segment managed results reflect revenue on a FTE basis with the corresponding income tax impact recorded within income tax expense/(benefit). These FTE adjustments are eliminated in reconciling items to arrive at the Firm’s reported U.S. GAAP results.

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(a)	Negative interest income and yield is a result of increased client-driven demand for certain securities combined with the impact of low interest rates; the offset of this matched book activity is reflected as lower net interest expense reported within trading liabilities - debt, short-term and other liabilities.

(b)	Includes margin loans.

(c)	Includes brokerage customer payables.

(d)	Interest includes the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable.

(e)	For the three months ended June 30, 2014 and 2013, the annualized rates for Securities, based on amortized cost, were 2.85% and 2.16%, respectively; this does not give effect to changes in fair value that are reflected in accumulated other comprehensive income/(loss).

(f)	Effective January 1, 2014, prior period amounts have been reclassified to conform with the current period presentation.

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(a)	Negative interest income and yield is a result of increased client-driven demand for certain securities combined with the impact of low interest rates; the offset of this matched book activity is reflected as lower net interest expense reported within trading liabilities - debt, short-term and other liabilities.

(b)	Includes margin loans.

(c)	Includes brokerage customer payables.

(d)	Interest includes the effect of related hedging derivatives. Taxable-equivalent amounts are used where applicable.

(e)	For the six months ended June 30, 2014 and 2013, the annualized rates for Securities, based on amortized cost, were 2.83% and 2.20%, respectively; this does not give effect to changes in fair value that are reflected in accumulated other comprehensive income/(loss).

(f)	Effective January 1, 2014, prior period amounts have been reclassified to conform with the current period presentation.

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(a)	Excludes commissions cost.

(b)	The amount authorized by the Board of Directors excludes commissions cost.

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