* Probe involves sales of collateralized debt obligations

* Bank's Q1 average daily trading revenue $112 mln

* Litigation expenses decline

(Adds estimate of losses from legal proceedings, first-quarter trading results)

NEW YORK (Reuters) - JPMorgan Chase & Co is in "advanced discussions" with the Securities and Exchange Commission to resolve a probe into its role in selling certain collateralized debt obligations, the bank said.

The second-largest U.S. bank made the statement in a quarterly filing with the SEC Friday.

JPMorgan previously said it had received "a number of subpoenas and informal requests" from federal and state authorities over CDOs and mortgage-backed securities.

In the new filing, the bank estimated its maximum possible losses from legal proceedings, in excess of established reserves, at $4.5 billion as of March 31, unchanged from its estimate for Dec. 31.

The bank's litigation expense fell in the first quarter to $1.1 billion from $2.9 billion a year earlier, largely due to lower additions to its litigation reserve, according to the filing. Litigation expenses in the fourth quarter were about $2.2 billion, earlier company reports indicate.

JPMorgan shares were up 0.7 percent at $45.50 in late morning trading.

The bank said it made money trading every day of the first quarter. Its average daily trading revenue was $112 million. (Reporting by David Henry; editing by John Wallace, Dave Zimmerman)