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(a)	Share prices shown for JPMorgan Chase’s common stock are from the New York Stock Exchange.

(b)	TBVPS and ROTCE are considered key financial performance measures. For further discussion of these measures, see Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Financial Performance Measures on pages 16–17.

(c)	HQLA represents the amount of assets that qualify for inclusion in the liquidity coverage ratio under the final U.S. rule (“U.S. LCR”). For additional information, see HQLA on page 70.

(d)	Ratios presented are calculated under the Basel III Transitional capital rules and represent the Collins Floor. See Capital Management on pages 63–69 for additional information on Basel III.

(e)	Included unsecured long-term debt of $220.6 billion, $216.1 billion, $211.8 billion, $214.6 billion and $209.1 billion at June 30, 2016, March 31, 2016, December 31, 2015, September 30, 2015 and June 30, 2015, respectively.

(f)	Excluded the impact of residential real estate purchased credit-impaired (“PCI”) loans, a non-GAAP financial measure. For further discussion of these measures, see Explanation and Reconciliation of the Firm’s Use of Non-GAAP Financial Measures and Key Performance Measures on pages 16–17. For further discussion, see Allowance for credit losses on pages 55–57.

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(a)	Ratios presented are calculated under the transitional Basel III rules and represent the Collins Floor. See Capital Management on pages 63–69 for additional information on Basel III.

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(a)	Included operating lease income of $651 million and $504 million for the three months ended June 30, 2016 and 2015, respectively, and $1.3 billion and $973 million for the six months ended June 30, 2016 and 2015, respectively.

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(a)	Included firmwide legal expense of $(430) million and $291 million for the three months ended June 30, 2016 and 2015, respectively, and $(476) million and $978 million for the six months ended June 30, 2016 and 2015, respectively

(b)	Included FDIC-related expense of $283 million and $300 million for the three months ended June 30, 2016 and 2015, respectively, and $552 million and $618 million for the six months ended June 30, 2016 and 2015, respectively.

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

(b)	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 16

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

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(a)	Included operating lease depreciation expense of $460 million and $348 million for the three months ended June 30, 2016 and 2015, respectively, and $892 million and $674 million for the six months ended June 30, 2016 and 2015, respectively.

(b)	Included MSR risk management of $73 million and $70 million for the three months ended June 30, 2016 and 2015, respectively, and $202 million and $2 million for the six months ended June 30, 2016 and 2015, respectively.

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

(b)

At June 30, 2016 and 2015, nonaccrual loans excluded loans 90 or more days past due as follows: (1) mortgage loans insured by U.S. government agencies of $5.2 billion and $7.0 billion, respectively; and (2) student loans insured by U.S. government agencies under the Federal Family Education Loan Program (“FFELP”) of $252 million and $282 million, respectively. These amounts have been excluded based upon the government guarantee.

(c)

Net charge-offs and the net charge-off rates for the three months ended June 30, 2016 and 2015, excluded $41 million and $55 million, respectively, and for the six months ended June 30, 2016 and 2015, excluded $88 million and $110 million, respectively, of write-offs in the PCI portfolio. These write-offs decreased the allowance for loan losses for PCI loans. For further information on PCI write-offs, see summary of changes in the allowances on page 56.

(d)

Excludes the impact of PCI loans. For the three months ended June 30, 2016 and 2015, the net charge-off rates including the impact of PCI loans were as follows: (1) home equity of 0.25% and 0.43%, respectively; (2) residential mortgage and other of 0.01% and 0.04%, respectively; (3) Mortgage Banking of 0.07% and 0.17%, respectively; and (4) total CCB of 0.91% and 1.01%, respectively. For the six months ended June 30, 2016 and 2015, the net charge-off rates including the impact of PCI loans were as follows: (1) home equity of 0.33% and 0.48%, respectively; (2) residential mortgage and other of –% and 0.05%, respectively; (3) Mortgage Banking of 0.09% and 0.19%, respectively; and (4) total CCB of 0.93% and 1.05%, respectively.

(e)	Average credit card loans included loans held-for-sale of $82 million and $1.8 billion for the three months ended June 30, 2016 and 2015, respectively, and $77 million and $2.2 billion for the six months ended June 30, 2016 and 2015, respectively. These amounts are excluded when calculating the net charge-off rate.

(f)	At June 30, 2016 and 2015, excluded mortgage loans insured by U.S. government agencies of $7.2 billion and $8.8 billion, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.

(g)	Excludes PCI loans. The 30+ day delinquency rate for PCI loans was 10.09% and 11.65% at June 30, 2016 and 2015, respectively.

(h)	Period-end credit card loans included loans held-for-sale of $84 million and $1.3 billion at June 30, 2016 and 2015, respectively. These amounts are excluded when calculating delinquency rates.

(i)	Excluded student loans insured by U.S. government agencies under FFELP of $458 million and $546 million at June 30, 2016 and 2015, respectively, that are 30 or more days past due. These amounts have been excluded based upon the government guarantee.

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(a)	Users of all web and/or mobile platforms who have logged in within the past 90 days.

(b)	Users of all mobile platforms who have logged in within the past 90 days.

(c)	Firmwide mortgage origination volume was $28.6 billion and $31.7 billion for the three months ended June 30, 2016 and 2015, respectively, and $53.0 billion and $58.3 billion for the six months ended June 30, 2016 and 2015, respectively.

(d)	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)

Included tax-equivalent adjustments, predominantly due to income tax credits related to alternative energy investments; income tax credits and amortization of the cost of investments in affordable housing projects; as well as tax-exempt income from municipal bonds of $476 million and $396 million for the three months ended June 30, 2016 and 2015, respectively and $974 million and $828 million for the six months ended June 30, 2016 and 2015, respectively.

(a)

Effective January 1, 2016, consists primarily of credit valuation adjustments (“CVA”) managed by the Credit Portfolio Group, funding valuation adjustments (“FVA”) and DVA on derivatives. Prior periods also include DVA on fair value option elected liabilities. Results are presented net of associated hedging activities and net of CVA and FVA amounts allocated to Fixed Income Markets and Equity Markets. Effective January 1, 2016, changes in DVA on fair value option elected liabilities is recognized in other comprehensive income. For additional information, see Notes 3, 4 and 19.

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(a)	Loans retained includes credit portfolio loans, loans held by consolidated Firm-administered multi-seller conduits, trade finance loans, other held-for-investment loans and overdrafts.

(a)	Allowance for loan losses of $211 million and $64 million were held against these nonaccrual loans at June 30, 2016 and 2015, respectively.

(b)	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.

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

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

(c)	Global equity and equity-related ranking includes rights offerings and Chinese A-Shares.

(d)	Global M&A reflects the removal of any withdrawn transactions. U.S. M&A revenue wallet represents wallet from client parents based in the U.S.

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

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

(b)	Client deposits and other third party liabilities pertain to the Treasury Services and Securities Services businesses.

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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.

(b)	Client deposits and other third party liabilities pertain to the Treasury Services and Securities Services businesses.

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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 related to municipal financing activity of $124 million and $115 million for the three months ended June 30, 2016 and 2015, respectively and $244 million and $228 million for the six months ended June 30, 2016 and 2015, respectively.

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(a)	Revenue by product includes total Firm revenue from investment banking products sold to CB clients, net of revenue sharing with the CIB.

(b)	Total Firm revenue from investment banking products sold to CB clients.

(c)	Effective in the second quarter of 2016, certain clients were transferred from Middle Market Banking to Corporate Client Banking. Prior period amounts were revised to conform with the current period presentation.

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(a)	Effective in the second quarter of 2016, certain clients were transferred from Middle Market Banking to Corporate Client Banking. Prior period amounts were revised to conform with the current period presentation.

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(a)	Allowance for loan losses of $292 million and $42 million was held against nonaccrual loans retained at June 30, 2016 and 2015, 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)	Represents the “overall star rating” derived from Morningstar for the U.S., the U.K., Luxembourg, Hong Kong and Taiwan domiciled funds; and Nomura “star rating” for Japan domiciled funds. Includes only Global Investment Management retail open ended mutual funds that have a rating. Excludes money market funds, Undiscovered Managers Fund, and Brazil and India domiciled funds.

(b)

Quartile ranking sourced from: Lipper for the U.S. and Taiwan domiciled funds; Morningstar for the U.K., Luxembourg and Hong Kong domiciled funds; Nomura for Japan domiciled funds and Fund Doctor for South Korea domiciled funds. Includes only Global Investment Management retail open ended mutual funds that are ranked by the aforementioned sources. Excludes money market funds, Undiscovered Managers Fund, and Brazil and India domiciled funds.

(c)	Included $29.2 billion and $24.0 billion of prime mortgage loans reported in the Consumer, excluding credit card, loan portfolio at June 30, 2016 and 2015, respectively.

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(a)	Represents assets under management, as well as client balances in brokerage accounts.

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(a)	Regional revenue is based on the domicile of the client.

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(a)	Included tax-equivalent adjustments, predominantly due to tax-exempt income from municipal bond investments of $227 million and $202 million for the three months ended June 30, 2016 and 2015, respectively, and $445 million and $405 million for the six months ended June 30, 2016 and 2015, respectively.

(b)	Included legal expense/(benefit) of $(467) million and $18 million for the three months ended June 30, 2016 and 2015, respectively, and $(465) million and $323 million for the six months ended June 30, 2016 and 2015, respectively.

(c)	Average core loans were $2.0 billion and $2.6 billion for the three months ended June 30, 2016 and 2015, respectively, and $2.0 billion and $2.8 billion for the six months ended June 30, 2016 and 2015, respectively.

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(a)	Average investment securities included HTM balances of $53.4 billion and $50.7 billion for the three months ended June 30, 2016 and 2015, respectively, and $50.9 billion and $50.0 billion for the six months ended June 30, 2016 and 2015, respectively.

(b)	Period-end investment securities included HTM balances of $53.8 billion and $51.6 billion at June 30, 2016 and 2015, respectively.

(a)	For more information on the Firm’s methodologies regarding the valuation of the private equity portfolio, see Note 3 of JPMorgan Chase’s 2015 Annual Report.

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(a)	At June 30, 2016, and December 31, 2015, excluded operating lease assets of $10.9 billion and $9.2 billion, respectively.

(b)	Predominantly includes Business Banking loans as well as deposit overdrafts.

(c)	At June 30, 2016, and December 31, 2015, approximately 66% and 64% of the PCI option adjustable rate mortgage (“ARMs”) portfolio has been modified into fixed-rate, fully amortizing loans, respectively.

(d)

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.

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

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

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

(h)

At June 30, 2016, and December 31, 2015, nonaccrual loans excluded loans 90 or more days past due as follows: (1) mortgage loans insured by U.S. government agencies of $5.2 billion and $6.3 billion, respectively; and (2) student loans insured by U.S. government agencies under the FFELP of $252 million and $290 million, respectively. 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 issued by the FFIEC.

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

(j)

Net charge-offs and the net charge-off rates excluded write-offs in the PCI portfolio of $41 million and $55 million for the three months ended June 30, 2016 and 2015 respectively, and $88 million and $110 million for the six months ended June 30, 2016 and 2015, respectively. These write-offs decreased the allowance for loan losses for PCI loans. See Allowance for Credit Losses on pages 55–57 for further details.

(k)	Average consumer loans held-for-sale were $354 million and $2.1 billion for the three months ended June 30, 2016 and 2015, respectively, and $389 million and $2.5 billion for the six months ended June 30, 2016 and 2015, respectively. These amounts were excluded when calculating net charge-off rates.

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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 derivatives used in credit portfolio management activities, 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, 2016, may become payable prior to maturity based on their cash flow profile or changes in market conditions.

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(a)	The industry rankings presented in the table as of December 31, 2015, are based on the industry rankings of the corresponding exposures at June 30, 2016, not actual rankings of such exposures at December 31, 2015.

(b)

In addition to the credit risk exposure to states and municipal governments (both U.S. and non-U.S.) at June 30, 2016, and December 31, 2015, noted above, the Firm held: $9.2 billion and $7.6 billion, respectively, of trading securities; $32.1 billion and $33.6 billion, respectively, of AFS securities; and $14.5 billion and $12.8 billion, 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; SPEs; holding companies; and private education and civic organizations, representing approximately 54%, 37%, 5% and 4%, respectively, at June 30, 2016, and 54%, 37%, 5% and 4%, respectively, at December 31, 2015.

(d)	Excludes cash placed with banks of $355.8 billion and $351.0 billion, at June 30, 2016, and December 31, 2015, respectively, placed with various central banks, predominantly Federal Reserve Banks.

(e)	Credit exposure is net of risk participations and excludes the benefit of credit derivatives used in credit portfolio management activities held against derivative receivables or loans and liquid securities and other cash collateral held against derivative receivables.

(f)	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.

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(a)	Noninvestment-grade exposure to E&P and Oilfield Services is largely secured.

(b)	Other Oil & Gas includes Integrated Oil & Gas companies, Midstream/Oil Pipeline companies and refineries.

(c)	Natural Gas Pipelines is reported within the Utilities industry.

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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. A write-off of a PCI loan is 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. The asset-specific credit card allowance for loan losses modified in a TDR is calculated based on the loans’ original contractual interest rates and does not consider any incremental penalty rates.

(c)	The allowance for lending-related commitments is reported in accounts payable and 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, which is due to portfolio diversification. The diversification effect reflects the fact that the risks are not perfectly correlated.

(b)	Designated as 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.

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(a)	The Tier 1 leverage ratio is not a risk-based measure of capital. This ratio is calculated by dividing Tier 1 capital by adjusted average assets.

(b)

Represents the transitional minimum capital ratios applicable to the Firm under Basel III as of June 30, 2016, and December 31, 2015. At June 30, 2016, the CET1 minimum capital ratio includes 0.625% resulting from the phase in of the Firm’s 2.5% capital conservation buffer and 1.125%, resulting from the phase in of the Firm’s estimated 4.5% globally systematically important banks (“GSIB”) surcharge, as of December 31, 2014, published by the Federal Reserve on July 20, 2015.

(c)

Represents the minimum capital ratios applicable to the Firm on a fully phased-in Basel III basis. At June 30, 2016, and December 31, 2015, the ratios include the Firm’s estimate of its Fully Phased-In U.S. GSIB surcharge of 3.5%, based on the final U.S. GSIB rule published by the Federal Reserve on July 20, 2015. The minimum capital ratios will be fully phased-in effective January 1, 2019. For additional information on the GSIB surcharge, see page 65.

(d)	In the case of the SLR, the fully phased-in minimum ratio is effective beginning January 1, 2018.

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(a)	Model & data changes refer to movements in levels of RWA as a result of revised methodologies and/or treatment per regulatory guidance (exclusive of rule changes).

(b)	Portfolio runoff for credit risk RWA primarily reflects reduced risk from position rolloffs in legacy portfolios in Mortgage Banking (under both the Standardized and Advanced framework); and for market risk RWA reflects reduced risk from position rolloffs in legacy portfolios in the wholesale businesses.

(c)	Movement in portfolio levels for credit risk RWA refers to changes in book size, composition, credit quality, and market movements; and for market risk RWA refers to changes in position and market movements.

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(a)	Included in beneficial interests issued by consolidated variable interest entities on the Firm’s Consolidated balance sheets.

(b)	Excludes federal funds purchased.

(c)	Excluded long-term structured repurchase agreements of $1.8 billion and $4.2 billion as of June 30, 2016, and December 31, 2015, respectively, and average balances of $2.7 billion and $3.7 billion for the three months ended June 30, 2016 and 2015, respectively, and $3.1 billion and $3.3 billion for the six months ended June 30, 2016 and 2015, respectively.

(d)	Other securitizations include securitizations of student loans. The Firm’s wholesale businesses also securitize loans for client-driven transactions, which 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 63–69 and the Consolidated statements of changes in stockholders’ equity on page 84; and Note 22 and Note 23 of JPMorgan Chase’s 2015 Annual Report.

(g)	During the third quarter of 2015 the Firm completed the discontinuation of its commercial paper customer sweep cash management program.

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(a)	Other securitizations includes securitizations of student loans.

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

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(a)	Early adoption is permitted.

(b)	Early adoption is permitted on January 1, 2019.

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(a)	The Firm recognized other-than-temporary impairment (“OTTI”) losses of $32 million and $1 million for the three months ended June 30, 2016 and 2015, respectively, and $38 million and $2 million for the six months ended June 30, 2016 and 2015, respectively.

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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, 2016, and December 31, 2015. 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, 2016, and December 31, 2015, included total U.S. government-sponsored enterprise obligations of $68.3 billion and $67.0 billion, respectively, which were predominantly mortgage-related.

(b)

At June 30, 2016, and December 31, 2015, included within trading loans were $14.9 billion and $11.8 billion, respectively, of residential first-lien mortgages, and $4.2 billion and $4.3 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 $8.6 billion and $5.3 billion, respectively, and reverse mortgages of $2.2 billion and $2.5 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 approximates fair value for

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

(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. 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 $1.6 billion and $546 million at June 30, 2016, and December 31, 2015, respectively; this is exclusive of the netting benefit associated with cash collateral, which would further reduce the level 3 balances.

(f)

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 June 30, 2016, and December 31, 2015, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $1.0 billion and $1.2 billion, respectively. Included in the balances at June 30, 2016, and December 31, 2015, were trading assets of $61 million and $61 million, respectively, and other assets of $949 million and $1.2 billion, respectively.

(g)	Private equity instruments represent investments within Corporate. The portion of the private equity investment portfolio carried at fair value on a recurring basis had a cost basis of $2.8 billion and $3.5 billion at June 30, 2016, and December 31, 2015, respectively.

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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 $315 million of credit derivative receivables and $276 million of credit derivative payables with underlying commercial mortgage risk have been included in the inputs and ranges provided for commercial MBS and loans.

(c)	The unobservable inputs and associated input ranges for approximately $388 million of credit derivative receivables and $355 million of credit derivative payables with underlying ABS 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 parameters are related to residential mortgage-backed securities.

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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 12% at June 30, 2016 and 13% at December 31, 2015.

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

(d)

Realized gains/(losses) on AFS securities, 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 hedge accounting adjustments recorded in income on AFS securities were zero for the three months ended June 30, 2016 and 2015, respectively, and zero and $(7) million for the six months ended June 30, 2016 and 2015, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $7 million and $2 million for the three months ended June 30, 2016 and 2015, respectively, and $(2) million and zero for the six months ended June 30, 2016 and 2015, 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)	Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, and deconsolidations associated with beneficial interests in VIEs.

(i)	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.

(j)	Certain prior period amounts have been revised to conform with the current period presentation. The revision had no impact on the Firm’s Consolidated balance sheets or its results of operations.

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(a)	Carrying value reflects 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 185–188 of JPMorgan Chase’s 2015 Annual Report.

(c)	Carrying value reflects unamortized issuance costs.

(d)	Carrying value reflects unamortized premiums and discounts, issuance costs, and other valuation adjustments.

(a)	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.

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(a)

Resale and repurchase agreements, securities borrowed agreements and securities lending agreements: Generally, for these types of agreements, there is a requirement that collateral be maintained with a market value equal to or in excess of the principal amount loaned; as a result, there would be no adjustment or an immaterial adjustment for instrument-specific credit risk related to these agreements.

(b)

Loans and lending-related commitments: For floating-rate instruments, all changes in value are attributed to instrument-specific credit risk. For fixed-rate instruments, an allocation of the changes in value for the period is made between those changes in value that are interest rate-related and changes in value that are credit-related. Allocations are generally based on an analysis of borrower-specific credit spread and recovery information, where available, or benchmarking to similar entities or industries.

(c)

Effective January 1, 2016, unrealized gains/(losses) due to instrument-specific credit risk (DVA) for liabilities for which the fair value option has been elected is recorded in other comprehensive income, while realized gains (losses) are recorded in principal transactions revenue. DVA for the three months ended March 31, 2015 was included in principal transactions revenue. See Notes 3 and 19 for further information. The amounts presented for the three months ended March 31, 2015 include 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 subsequent to issuance.

(d)

Long-term debt measured at fair value predominantly relate to structured notes containing embedded derivatives. Where present, the embedded derivative is the primary driver of risk. Although the risk associated with the structured notes is actively managed, the gains/(losses) reported in this table do not include the income statement impact of the risk management instruments used to manage such risk.

(e)	Reported in mortgage fees and related income.

(f)	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, 2016, and December 31, 2015, respectively.

(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 reflects the contractual principal payment at maturity or, if applicable, the contractual principal payment at the Firm’s next call date.

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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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•	collateral that consists of non-cash financial instruments (generally U.S. government and agency securities and other G7 government bonds) and cash collateral held at third party custodians, which are shown separately as “Collateral not nettable on the Consolidated balance sheets” in the tables below, up to the fair value exposure amount.

•	the amount of collateral held or transferred that exceeds the fair value exposure at the individual counterparty level, as of the date presented, which is excluded from the tables below.

•	collateral held or transferred that relates to derivative receivables or payables where an appropriate legal opinion has not been either sought or obtained with respect to the master netting agreement, which is excluded from the tables below.

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

(b)	Net derivatives receivable included cash collateral netted of $88.5 billion and $73.7 billion at June 30, 2016, and December 31, 2015, respectively. Net derivatives payable included cash collateral netted of $68.5 billion and $61.6 billion related to OTC and OTC-cleared derivatives at June 30, 2016, and December 31, 2015, respectively.

(c)	Excludes all collateral related to derivative instruments where an appropriate legal opinion has not been either sought or obtained.

(d)

Represents liquid security collateral as well as cash collateral held at third party custodians related to derivative instruments where an appropriate legal opinion has been obtained. 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.

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

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

(b)	Amounts represent fair values 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.

(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 primarily 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)	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.

(e)	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, and for the forecasted transactions that the Firm determined during the six months ended June 30, 2015, were probable of not occurring, in other 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)	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)

Certain components of hedging derivatives are permitted to be excluded from the assessment of hedge effectiveness, such as forward points on foreign exchange forward contracts. Amounts related to excluded components are recorded in other income. The Firm measures the ineffectiveness of net investment hedge accounting relationships based on changes in spot foreign currency rates, and, therefore, there was no significant ineffectiveness for net investment hedge accounting relationships during the three and six months ended June 30, 2016 and 2015.

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

(b)	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.

(c)	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.

(d)	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 primarily based on external credit ratings defined by S&P and Moody’s.

(b)	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)	Represents securities which are tax-exempt for U.S. federal income tax purposes.

(b)	Negative interest income for the three and six months ended June 30, 2016 and 2015, is a result of increased client-driven demand for certain securities combined with the impact of low interest rates. This is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense and reported within short-term and other liabilities.

(c)	Largely margin loans.

(d)	Includes brokerage customer payables.

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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 $38.0 billion and $42.3 billion at June 30, 2016, and December 31, 2015, respectively, which were predominantly mortgage-related.

(b)	Included total U.S. government-sponsored enterprise obligations with amortized cost of $28.5 billion and $30.8 billion at June 30, 2016, and December 31, 2015, respectively, which were predominantly mortgage-related.

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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, 2016.

(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

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(c)

Includes securities with no stated maturity. Substantially all of the Firm’s U.S. residential mortgage-backed securities and collateralized mortgage obligations are due in 10 years or more, based on contractual maturity. The estimated weighted-average life, which reflects anticipated future prepayments, is approximately 4 years for agency residential mortgage-backed securities, 2 years for agency residential collateralized mortgage obligations and 3 years for nonagency residential collateralized mortgage obligations.

(a)	Includes securities-for-securities lending transactions of $4.6 billion and $4.4 billion at June 30, 2016 and December 31, 2015, respectively, accounted for at fair value, where the Firm is acting as lender. These amounts are presented within other liabilities on the Consolidated balance sheets.

(b)

Includes securities financing agreements accounted for at fair value. At June 30, 2016 and December 31, 2015, included securities purchased under resale agreements of $23.3 billion and $23.1 billion, respectively, securities borrowed of zero and $395 million, respectively, and securities sold under agreements to repurchase of $1.7 billion and $3.5 billion, respectively. There were no securities loaned accounted for at fair value in either period.

(c)	In some cases, collateral exchanged with a counterparty exceeds the net asset or liability balance with that counterparty. In such cases, the amounts reported in this column are limited to the related asset or liability with that counterparty.

(d)

Includes securities financing agreements that provide collateral rights, but where an appropriate legal opinion with respect to the master netting agreement has not been either sought or obtained. At June 30, 2016 and December 31, 2015, included $3.3 billion and $2.3 billion, respectively, of securities purchased under resale agreements; $26.2 billion and $31.3 billion, respectively, of securities borrowed; $14.5 billion and $12.6 billion, respectively, of securities sold under agreements to repurchase; and $93 million and $45 million, respectively, of securities loaned and other.

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(a)	Includes securities-for-securities lending transactions of $4.6 billion and $4.4 billion at June 30, 2016 and December 31, 2015, respectively, accounted for at fair value, where the Firm is acting as lender. These amounts are presented within other liabilities on the Consolidated balance sheets.

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(a)	Includes loans held in CCB, prime mortgage and home equity loans held in AM and prime mortgage loans held in Corporate.

(b)	Includes senior and junior lien home equity loans.

(c)	Includes prime (including option ARMs) and subprime loans.

(d)	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.

(e)	Predominantly includes Business Banking loans as well as deposit overdrafts.

(f)	Includes loans held in CIB, CB, AM and Corporate. Excludes prime mortgage and home equity loans held in AM and prime mortgage loans held in Corporate. Classes are internally defined and may not align with regulatory definitions.

(g)	Includes loans to: individuals; SPEs; holding companies; and private education and civic organizations. For more information on exposures to SPEs, see Note 16 of JPMorgan Chase’s 2015 Annual Report.

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

(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. These amounts were not material as of June 30, 2016, and December 31, 2015.

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(a)

Purchases predominantly represent the Firm’s voluntary repurchase of certain delinquent loans from loan pools as permitted by Government National Mortgage Association (“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 Service of the U.S. Department of Agriculture (“RHS”), and/or the U.S. Department of Veterans Affairs (“VA”).

(b)	Excludes purchases of retained loans sourced through the correspondent origination channel and underwritten in accordance with the Firm’s standards. Such purchases were $8.4 billion and $14.2 billion for the three months ended June 30, 2016 and 2015, respectively, and $17.1 billion and $25.4 billion for the six months ended June 30, 2016 and 2015, respectively.

(c)	Prior period amounts have been revised to conform with current period presentation.

(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 $2.9 billion and $2.6 billion; 30–149 days past due included $2.8 billion and $3.2 billion; and 150 or more days past due included $4.2 billion and $4.9 billion at June 30, 2016, and December 31, 2015, respectively.

(b)	At June 30, 2016, and December 31, 2015, Residential mortgage loans excluded mortgage loans insured by U.S. government agencies of $7.0 billion and $8.1 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, were excluded from nonaccrual loans as the loans are guaranteed by U.S government agencies. Typically the principal balance of the loans is insured and interest is guaranteed at a specified reimbursement rate subject to meeting agreed-upon servicing guidelines. At June 30, 2016, and December 31, 2015, these balances included $2.9 billion and $3.4 billion, respectively, of loans that are no longer accruing interest based on the agreed-upon servicing guidelines. For the remaining balance, interest is being accrued at the guaranteed reimbursement rate. There were no loans not guaranteed by U.S. government agencies that are 90 or more days past due and still accruing at June 30, 2016, and December 31, 2015.

(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. Current estimated combined LTV for junior lien home equity loans considers all available lien positions, as well as unused lines, related to the property.

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

(f)	At June 30, 2016, and December 31, 2015, included mortgage loans insured by U.S. government agencies of $9.9 billion and $10.7 billion, respectively.

(g)	Includes residential real estate loans to private banking clients in AM, for which the primary credit quality indicators are the borrower’s financial position and LTV.

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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. At June 30, 2016, Chapter 7 residential real estate loans included approximately 13% of home equity and 16% of residential mortgages that were 30 days or more past due.

(b)

At June 30, 2016, and December 31, 2015, $3.7 billion and $3.8 billion, respectively, of loans modified subsequent to repurchase from 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, 2016, and December 31, 2015. 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, 2016, and December 31, 2015, nonaccrual loans included $2.4 billion and $2.5 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 2015 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)	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)	Student loan delinquency classifications included loans insured by U.S. government agencies under the FFELP as follows: current included $3.6 billion and $3.8 billion; 30-119 days past due included $256 million and $299 million; and 120 or more days past due included $202 million and $227 million at June 30, 2016, and December 31, 2015, respectively.

(b)	These amounts represent student loans, which are insured by U.S. government agencies under the FFELP. These amounts were accruing as reimbursement of insured amounts is proceeding normally.

(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, 2016, and December 31, 2015, excluded loans 30 days or more past due and still accruing, which are insured by U.S. government agencies under the FFELP, of $458 million and $526 million, respectively. These amounts were excluded as reimbursement of insured amounts is proceeding normally.

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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)	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, 2016, and December 31, 2015. 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.

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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. A write-off of a PCI loan is 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 page 143 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)

Excludes the following: retained servicing (see Note 16 for a discussion of MSRs); securities retained from loan 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 $142 million and $9 million, respectively, at June 30, 2016, and $163 million and $73 million, respectively, at December 31, 2015, 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, 2016, and December 31, 2015, 54% and 76%, respectively, 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 $1.5 billion and $1.9 billion of investment-grade and $51 million and $93 million of noninvestment-grade retained interests at June 30, 2016, and December 31, 2015, respectively. The retained interests in commercial and other securitizations trusts consisted of $3.7 billion and $3.7 billion of investment-grade and $235 million and $198 million of noninvestment-grade retained interests at June 30, 2016, and December 31, 2015, respectively.

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(a)	Represents the excess 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.

(c)	These security positions have been defeased by the municipality and no longer carry credit ratings, but are backed by high quality assets such as U.S. treasuries and cash.

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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)	Includes assets classified as cash, AFS securities, and other assets on the Consolidated balance sheets.

(d)	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.

(e)

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 $31.5 billion and $30.6 billion at June 30, 2016, and December 31, 2015, respectively. The maturities of the long-term beneficial interests as of June 30, 2016, were as follows: $9.3 billion under one year, $19.1 billion between one and five years, and $3.1 billion over five years.

(f)	Includes liabilities classified as accounts payable and other liabilities on the Consolidated balance sheets.

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(a)	Excludes re-securitization transactions.

(b)

For the three and six months ended June 30, 2016, $413 million and $413 million, 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, 2016, $1.1 billion and $2.4 billion, respectively, of proceeds from commercial mortgage securitizations were received as securities classified in level 2 and $2 million proceeds classified as level 3 of the fair value hierarchy. For the three and six months ended June 30, 2015, $385 million and $1.7 billion of proceeds from residential mortgage securitizations were received as securities classified in level 2 and no proceeds classified as level 3 of the fair value hierarchy, respectively. For the three and six months ended June 30, 2015, $2.7 billion and $6.0 billion, respectively, of proceeds from commercial mortgage securitizations were received as securities classified in level 2 and $38 million of proceeds classified as level 3 of the fair value hierarchy, and no proceeds from commercial mortgage securitization were received as cash. All loans transferred into securitization vehicles during the three and six months ended June 30, 2016 and 2015, were classified as trading assets; and changes in fair value were recorded in principal transactions revenue. The Firm elected the fair value option for loans pending securitization. The carrying value of these loans accounted for at fair value approximated the proceeds received from securitization.

(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 mortgage and student loan securitizations.

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(a)

Total assets held in securitization-related SPEs were $216.1 billion and $233.6 billion, respectively, at June 30, 2016, and December 31, 2015. The $158.6 billion and $169.6 billion, respectively, of loans securitized at June 30, 2016, and December 31, 2015, excluded: $54.4 billion and $62.4 billion, respectively, of securitized loans in which the Firm has no continuing involvement, and $3.1 billion and $1.6 billion, respectively, of loan securitizations consolidated on the Firm’s Consolidated balance sheets at June 30, 2016, and December 31, 2015.

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(a)

For the six months ended June 30, 2016, predominantly represents excess MSRs 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 months ended June 30, 2016 and 2015 and six months ended June 30, 2016 and 2015.

(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)

Represents amounts the Firm pays as the servicer (e.g., scheduled principal and interest, 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 these 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.

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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)	Represents the after-tax difference between the fair value and amortized cost of securities accounted for as AFS, including net unamortized unrealized gains and losses related to AFS securities transferred to HTM.

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(a)	The pre-tax amount is reported in securities gains in the Consolidated statements of income.

(b)	Reclassifications of pre-tax realized gains/(losses) on translation adjustments and related hedges are reported in other income/expense in the Consolidated statements of income. The amounts were not material for the periods presented.

(c)	The pre-tax amounts are predominantly recorded in net interest income in the Consolidated statements of income.

(d)	In 2015, the Firm reclassified approximately $150 million of net losses from AOCI to other income because the Firm determined that it is probable that the forecasted interest payment cash flows will not occur. For additional information, see Note 5.

(e)	The pre-tax amount is reported in compensation expense in the Consolidated statements of income.

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(a)	Includes certain commitments to purchase loans from correspondents.

(b)	Predominantly all consumer lending-related commitments are in the U.S.

(c)

At June 30, 2016, and December 31, 2015, reflected the contractual amount net of risk participations totaling $315 million and $385 million, respectively, for other unfunded commitments to extend credit; $10.8 billion and $11.2 billion, respectively, for standby letters of credit and other financial guarantees; and $357 million and $341 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, 2016, and December 31, 2015, included credit enhancements and bond and commercial paper liquidity commitments to U.S. states and municipalities, hospitals and other non-profit entities of $11.4 billion and $12.3 billion, respectively, within other unfunded commitments to extend credit; and $8.1 billion and $9.6 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; see Note 15.

(e)	At June 30, 2016, and December 31, 2015, the U.S. portion of the contractual amount of total wholesale lending-related commitments was 78% and 77%, respectively.

(f)	At June 30, 2016, and December 31, 2015, collateral held by the Firm in support of securities lending indemnification agreements was $180.6 billion and $190.6 billion, respectively. Securities lending collateral consists of primarily cash and securities issued by governments that are members of the Organisation for Economic Co-operation and Development and U.S. government agencies.

(g)

At June 30, 2016, and December 31, 2015, included unfunded commitments of $49 million and $50 million, respectively, to third-party private equity funds; and $1.0 billion and $871 million, at June 30, 2016, and December 31, 2015, respectively, to other equity investments. These commitments included $66 million and $73 million, respectively, related to investments that are generally fair valued at net asset value as discussed in Note 3. In addition, at June 30, 2016, and December 31, 2015, included letters of credit hedged by derivative transactions and managed on a market risk basis of $4.7 billion and $4.6 billion, respectively.

(h)	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)	Segment managed results reflect revenue on an 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)	Represents securities which are tax exempt for U.S. federal income tax purposes.

(b)	Includes margin loans.

(c)	Includes brokerage customer payables.

(d)	Included trading liabilities – debt and equity instruments of $95,151 million and $83,180 million for the three months ended June 30, 2016 and 2015 respectively.

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

(f)	Negative interest income and yield is a result of increased client-driven demand for certain securities combined with the impact of low interest rates; this is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense and reported within trading liabilities – debt, short-term and other liabilities.

(g)	For the three months ended June 30, 2016 and 2015, the annualized rates for securities, based on amortized cost, were 3.00% and 2.83%, respectively; this does not give effect to changes in fair value that are reflected in accumulated other comprehensive income/(loss).

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(a)	Represents securities which are tax exempt for U.S. federal income tax purposes.

(b)	Includes margin loans.

(c)	Includes brokerage customer payables.

(d)	Included trading liabilities - debt and equity instruments of $91,434 million and $83,680 million for the six months ended June 30, 2016 and 2015, respectively.

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

(f)	Negative interest income and yield is a result of increased client-driven demand for certain securities combined with the impact of low interest rates; this is matched book activity and the negative interest expense on the corresponding securities loaned is recognized in interest expense and reported within trading liabilities - debt, short-term and other liabilities.

(g)	For the six months ended June 30, 2016 and 2015, the annualized rates for securities, based on amortized cost, were 3.01% and 2.86% respectively; this does not give effect to changes in fair value that are reflected in accumulated other comprehensive income/(loss).

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(a)	Excludes commissions cost.

(b)	Dollar value remaining under the repurchase program including the additional $1.9 billion authorized by the Board of Directors on March 17, 2016.

(c)	The $58 million unused portion under the prior Board authorization was canceled when the $10.6 billion program was authorized.

(a)	This exhibit is a management contract or compensatory plan or arrangement.

(b)	Filed herewith.

(c)	Furnished herewith. This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934.

(d)

Pursuant to Rule 405 of Regulation S-T, includes the following financial information included in the Firm’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2016, formatted in XBRL (eXtensible Business Reporting Language) interactive data files: (i) the Consolidated statements of income (unaudited) for the three and six months ended June 30, 2016 and 2015, (ii) the Consolidated statements of comprehensive income (unaudited) for the three and six months ended June 30, 2016 and 2015, (iii) the Consolidated balance sheets (unaudited) as of June 30, 2016, and December 31, 2015, (iv) the Consolidated statements of changes in stockholders’ equity (unaudited) for the six months ended June 30, 2016 and 2015, (v) the Consolidated statements of cash flows (unaudited) for the six months ended June 30, 2016 and 2015, and (vi) the Notes to Consolidated Financial Statements (unaudited).

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