Fair Value Measurement

9 Months Ended

Sep. 30, 2011

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENT

FAIR VALUE MEASUREMENT

For a further discussion of the Firm’s valuation methodologies for assets, liabilities and lending-related commitments measured at fair value and the fair value hierarchy, see Note 3 on pages 170–187 of JPMorgan Chase’s 2010Annual Report.

During the first nine months of 2011, no changes were made to the Firm’s valuation models that had, or were expected to have, a material impact on the Firm’s Consolidated Balance Sheets or results of operations.

The following table presents the assets and liabilities measured at fair value as of September 30, 2011, and December 31, 2010, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis

	Fair value hierarchy
September 30, 2011 (in millions)	Level 1(h)		Level 2(h)		Level 3(h)		Netting adjustments			Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	22,192	$	—	$	—		$	22,192
Securities borrowed	—		14,648		—		—			14,648
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	23,919		8,084		95		—			32,098
Residential – nonagency	—		2,981		807		—			3,788
Commercial – nonagency	—		897		1,835		—			2,732
Total mortgage-backed securities	23,919		11,962		2,737		—			38,618
U.S. Treasury and government agencies(a)	14,892		10,316		—		—			25,208
Obligations of U.S. states and municipalities	—		13,632		1,565		—			15,197
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,292		—		—			2,292
Non-U.S. government debt securities	26,137		44,388		98		—			70,623
Corporate debt securities	—		38,039		5,260		—			43,299
Loans(b)	—		22,152		11,584		—			33,736
Asset-backed securities	—		3,373		8,441		—			11,814
Total debt instruments	64,948		146,154		29,685		—			240,787
Equity securities	83,696		2,586		1,206		—			87,488
Physical commodities(c)	18,135		3,193		—		—			21,328
Other	—		2,187		888		—			3,075
Total debt and equity instruments(d)	166,779		154,120		31,779		—			352,678
Derivative receivables:
Interest rate	1,318		1,479,047		6,791		(1,436,508		)	50,648
Credit	—		176,346		20,173		(189,486		)	7,033
Foreign exchange	2,348		217,414		4,542		(198,417		)	25,887
Equity	97		60,235		4,155		(55,983		)	8,504
Commodity	9,359		53,457		4,027		(50,062		)	16,781
Total derivative receivables(e)	13,122		1,986,499		39,688		(1,930,456		)	108,853
Total trading assets	179,901		2,140,619		71,467		(1,930,456		)	461,531
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	93,991		16,011		—		—			110,002
Residential – nonagency	—		59,405		3		—			59,408
Commercial – nonagency	—		6,997		278		—			7,275
Total mortgage-backed securities	93,991		82,413		281		—			176,685
U.S. Treasury and government agencies(a)	3,159		4,531		—		—			7,690
Obligations of U.S. states and municipalities	36		15,028		258		—			15,322
Certificates of deposit	—		4,973		—		—			4,973
Non-U.S. government debt securities	21,335		14,487		—		—			35,822
Corporate debt securities	—		60,422		—		—			60,422
Asset-backed securities:
Credit card receivables	—		4,989		—		—			4,989
Collateralized loan obligations	—		116		21,317		—			21,433
Other	—		9,168		213		—			9,381
Equity securities	2,581		38		—		—			2,619
Total available-for-sale securities	121,102		196,165		22,069		—			339,336
Loans	—		383		1,614		—			1,997
Mortgage servicing rights	—		—		7,833		—			7,833
Other assets:
Private equity investments(f)	130		579		6,589		—			7,298
All other	4,191		155		4,487		—			8,833
Total other assets	4,321		734		11,076		—			16,131
Total assets measured at fair value on a recurring basis(g)	$	305,324	$	2,374,741	$	114,059	$	(1,930,456	)	$	863,668
Deposits	$	—	$	4,166	$	650	$	—		$	4,816
Federal funds purchased and securities loaned or sold under repurchase agreements	—		7,011		—		—			7,011
Other borrowed funds	—		7,532		1,849		—			9,381
Trading liabilities:
Debt and equity instruments(d)	54,948		21,334		310		—			76,592
Derivative payables:
Interest rate	1,320		1,437,986		3,324		(1,417,263		)	25,367
Credit	—		179,964		11,336		(185,085		)	6,215
Foreign exchange	2,553		204,699		6,130		(191,165		)	22,217
Equity	75		49,074		7,543		(47,506		)	9,186
Commodity	8,267		55,283		4,794		(52,080		)	16,264
Total derivative payables(e)	12,215		1,927,006		33,127		(1,893,099		)	79,249
Total trading liabilities	67,163		1,948,340		33,437		(1,893,099		)	155,841
Accounts payable and other liabilities	—		—		68		—			68
Beneficial interests issued by consolidated VIEs	—		541		364		—			905
Long-term debt	—		22,724		13,141		—			35,865
Total liabilities measured at fair value on a recurring basis	$	67,163	$	1,990,314	$	49,509	$	(1,893,099	)	$	213,887

	Fair value hierarchy
December 31, 2010 (in millions)	Level 1		Level 2		Level 3		Netting adjustments			Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	20,299	$	—	$	—		$	20,299
Securities borrowed	—		13,961		—		—			13,961
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	36,813		10,738		174		—			47,725
Residential – nonagency	—		2,807		687		—			3,494
Commercial – nonagency	—		1,093		2,069		—			3,162
Total mortgage-backed securities	36,813		14,638		2,930		—			54,381
U.S. Treasury and government agencies(a)	12,863		9,026		—		—			21,889
Obligations of U.S. states and municipalities	—		11,715		2,257		—			13,972
Certificates of deposit, bankers’ acceptances and commercial paper	—		3,248		—		—			3,248
Non-U.S. government debt securities	31,127		38,482		202		—			69,811
Corporate debt securities	—		42,280		4,946		—			47,226
Loans(b)	—		21,736		13,144		—			34,880
Asset-backed securities	—		2,743		8,460		—			11,203
Total debt instruments	80,803		143,868		31,939		—			256,610
Equity securities	124,400		3,153		1,685		—			129,238
Physical commodities(c)	18,327		2,708		—		—			21,035
Other	—		1,598		930		—			2,528
Total debt and equity instruments(d)	223,530		151,327		34,554		—			409,411
Derivative receivables:
Interest rate	2,278		1,120,282		5,422		(1,095,427		)	32,555
Credit	—		111,827		17,902		(122,004		)	7,725
Foreign exchange	1,121		163,114		4,236		(142,613		)	25,858
Equity	30		38,718		4,885		(39,429		)	4,204
Commodity	1,324		56,076		2,197		(49,458		)	10,139
Total derivative receivables(e)	4,753		1,490,017		34,642		(1,448,931		)	80,481
Total trading assets	228,283		1,641,344		69,196		(1,448,931		)	489,892
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	104,736		15,490		—		—			120,226
Residential – nonagency	1		48,969		5		—			48,975
Commercial – nonagency	—		5,403		251		—			5,654
Total mortgage-backed securities	104,737		69,862		256		—			174,855
U.S. Treasury and government agencies(a)	522		10,826		—		—			11,348
Obligations of U.S. states and municipalities	31		11,272		256		—			11,559
Certificates of deposit	6		3,641		—		—			3,647
Non-U.S. government debt securities	13,107		7,670		—		—			20,777
Corporate debt securities	—		61,793		—		—			61,793
Asset-backed securities:
Credit card receivables	—		7,608		—		—			7,608
Collateralized loan obligations	—		128		13,470		—			13,598
Other	—		8,777		305		—			9,082
Equity securities	1,998		53		—		—			2,051
Total available-for-sale securities	120,401		181,630		14,287		—			316,318
Loans	—		510		1,466		—			1,976
Mortgage servicing rights	—		—		13,649		—			13,649
Other assets:
Private equity investments(f)	49		826		7,862		—			8,737
All other	5,093		192		4,179		—			9,464
Total other assets	5,142		1,018		12,041		—			18,201
Total assets measured at fair value on a recurring basis(g)	$	353,826	$	1,858,762	$	110,639	$	(1,448,931	)	$	874,296
Deposits	$	—	$	3,596	$	773	$	—		$	4,369
Federal funds purchased and securities loaned or sold under repurchase agreements	—		4,060		—		—			4,060
Other borrowed funds	—		8,547		1,384		—			9,931
Trading liabilities:
Debt and equity instruments(d)	58,468		18,425		54		—			76,947
Derivative payables:
Interest rate	2,625		1,085,233		2,586		(1,070,057		)	20,387
Credit	—		112,545		12,516		(119,923		)	5,138
Foreign exchange	972		158,908		4,850		(139,715		)	25,015
Equity	22		39,046		7,331		(35,949		)	10,450
Commodity	862		54,611		3,002		(50,246		)	8,229
Total derivative payables(e)	4,481		1,450,343		30,285		(1,415,890		)	69,219
Total trading liabilities	62,949		1,468,768		30,339		(1,415,890		)	146,166
Accounts payable and other liabilities	—		—		236		—			236
Beneficial interests issued by consolidated VIEs	—		622		873		—			1,495
Long-term debt	—		25,795		13,044		—			38,839
Total liabilities measured at fair value on a recurring basis	$	62,949	$	1,511,388	$	46,649	$	(1,415,890	)	$	205,096

(a) At September 30, 2011, and December 31, 2010, included total U.S. government-sponsored enterprise obligations of $123.0 billion and $137.3 billion respectively, which were predominantly mortgage-related.

(b) At September 30, 2011, and December 31, 2010, included within trading loans were $19.9 billion and $22.7 billion, respectively, of residential first-lien mortgages, and $1.8 billion and $2.6 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 $11.3 billion and $13.1 billion, respectively, and reverse mortgages of $4.0 billion and $4.0 billion, respectively.

(c) Physical commodities inventories are generally accounted for at the lower of cost or fair value.

(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 receivable and payable balances would be $15.2 billion and $12.7 billion at September 30, 2011, and December 31, 2010, 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 $9.5 billion and $10.0 billion at September 30, 2011, and December 31, 2010, respectively.

(g) At September 30, 2011, and December 31, 2010, balances included investments valued at net asset values of $11.0 billion and $12.1 billion, respectively, of which $5.0 billion and $5.9 billion, respectively, were classified in level 1, $1.5 billion and $2.0 billion, respectively, in level 2, and $4.5 billion and $4.2 billion, respectively, in level 3.

(h) For the nine months ended September 30, 2011 and 2010, the transfers between levels 1, 2 and 3, were not significant. All transfers are assumed to occur at the beginning of the reporting period.

Changes in level 3 recurring fair value measurements

The following tables include a rollforward of the balance sheet amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the three and nine months ended September 30, 2011 and 2010. When a determination is made to classify a financial instrument within level 3, the determination is based on the significance of the unobservable parameters to the overall fair value measurement. However, level 3 financial instruments typically include, in addition to the unobservable or level 3 components, observable components (that is, components that are actively quoted and can be validated to external sources); accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology. Also, the Firm risk-manages the observable components of level 3 financial instruments using securities and derivative positions that are classified within level 1 or 2 of the fair value hierarchy; as these level 1 and level 2 risk management instruments are not included below, the gains or losses in the following tables do not reflect the effect of the Firm’s risk management activities related to such level 3 instruments.

	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2011	Fair value at June 30, 2011			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(g)			Fair value at Sept. 30, 2011			Change in unrealized gains/(losses) related to financial instruments held at Sept. 30, 2011
(in millions)								Purchases(f)			Sales			Issuances		Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	165		$	3			$	—		$	—		$	—	$	(15	)	$	(58	)	$	95		$	(6	)
Residential – nonagency	863			(13		)		104			(98		)	—		(51		)	2			807			(41		)
Commercial – nonagency	1,843			12				121			(82		)	—		(59		)	—			1,835			2
Total mortgage-backed securities	2,871			2				225			(180		)	—		(125		)	(56		)	2,737			(45		)
Obligations of U.S. states and municipalities	1,855			11				68			(369		)	—		—			—			1,565			10
Non-U.S. government debt securities	82			5				201			(166		)	—		(24		)	—			98			5
Corporate debt securities	5,606			(60		)		1,388			(1,570		)	—		(175		)	71			5,260			(35		)
Loans	11,742			14				1,547			(988		)	—		(880		)	149			11,584			(81		)
Asset-backed securities	8,319			(453		)		1,698			(1,065		)	—		(61		)	3			8,441			(458		)
Total debt instruments	30,475			(481		)		5,127			(4,338		)	—		(1,265		)	167			29,685			(604		)
Equity securities	1,408			75				40			(272		)	—		(22		)	(23		)	1,206			51
Other	908			(2		)		9			(2		)	—		(25		)	—			888			(12		)
Total debt and equity instruments	32,791			(408		)	(b)	5,176			(4,612		)	—		(1,312		)	144			31,779			(565		)	(b)
Net derivative receivables:
Interest rate	3,117			1,943				97			(52		)	—		(1,432		)	(206		)	3,467			931
Credit	4,733			3,909				19			(7		)	—		183			—			8,837			3,712
Foreign exchange	(536		)	(1,236		)		51			(15		)	—		179			(31		)	(1,588		)	(1,250		)
Equity	(3,203		)	(85		)		117			(309		)	—		91			1			(3,388		)	(177		)
Commodity	(1,274		)	380				64			(5		)	—		(22		)	90			(767		)	287
Total net derivative receivables	2,837			4,911			(b)	348			(388		)	—		(1,001		)	(146		)	6,561			3,503			(b)
Available-for-sale securities:
Asset-backed securities	15,402			(453		)		9,349			(1,392		)	—		(1,376		)	—			21,530			(457		)
Other	501			(2		)		57			—			—		(17		)	—			539			(2		)
Total available-for-sale securities	15,903			(455		)	(c)	9,406			(1,392		)	—		(1,393		)	—			22,069			(459		)	(c)
Loans	1,472			167			(b)	120			(9		)	—		(151		)	15			1,614			163			(b)
Mortgage servicing rights	12,243			(4,575		)	(d)	624			—			—		(459		)	—			7,833			(4,575		)	(d)
Other assets:
Private equity investments	8,022			(469		)	(b)	49			(691		)	—		(156		)	(166		)	6,589			(372		)	(b)
All other	4,449			(50		)	(e)	154			(19		)	—		(47		)	—			4,487			(56		)	(e)
	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2011	Fair value at June 30, 2011			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(g)			Fair value at Sept. 30, 2011			Change in unrealized (gains)/losses related to financial instruments held at Sept. 30, 2011
(in millions)								Purchases(f)			Sales			Issuances		Settlements
Liabilities(a):
Deposits	$	863		$	(1	)	(b)	$	—		$	—		$	29	$	(241	)	$	—		$	650		$	(11	)	(b)
Other borrowed funds	2,078			(241		)	(b)	—			—			157		(145		)	—			1,849			(7		)	(b)
Trading liabilities – debt and equity instruments	197			7			(b)	(111		)	296			—		(79		)	—			310			—			(b)
Accounts payable and other liabilities	73			1			(e)	—			—			—		(6		)	—			68			1			(e)
Beneficial interests issued by consolidated VIEs	430			10			(b)	—			—			2		(78		)	—			364			(4		)	(b)
Long-term debt	13,534			(131		)	(b)	—			—			394		(865		)	209			13,141			98			(b)

	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2010	Fair value at June 30, 2010			Total realized/ unrealized gains/(losses)				Purchases, issuances, settlements, net			Transfers into and/or out of    level 3(g)			Fair value at Sept. 30, 2010			Change in unrealized gains/(losses) related to financial instruments held Sept. 30, 2010
(in millions)
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	176		$	3			$	—		$	—		$	179		$	(9	)
Residential – nonagency	804			89				(233		)	—			660			17
Commercial – nonagency	1,739			89				47			—			1,875			74
Total mortgage-backed securities	2,719			181				(186		)	—			2,714			82
Obligations of U.S. states and municipalities	2,008			21				21			—			2,050			19
Non-U.S. government debt securities	114			(6		)		88			(3		)	193			(5		)
Corporate debt securities	4,551			16				73			(229		)	4,411			42
Loans	14,889			537				754			(135		)	16,045			424
Asset-backed securities	8,637			409				(396		)	1			8,651			330
Total debt instruments	32,918			1,158				354			(366		)	34,064			892
Equity securities	1,822			25				14			(74		)	1,787			59
Other	920			163				(19		)	—			1,064			170
Total debt and equity instruments	35,660			1,346			(b)	349			(440		)	36,915			1,121			(b)
Net of derivative receivables:
Interest rate	3,047			1,444				(1,168		)	(26		)	3,297			595
Credit	9,786			(1,635		)		(132		)	(40		)	7,979			(1,443		)
Foreign exchange	51			(596		)		471			(12		)	(86		)	(445		)
Equity	(2,159		)	(268		)		(90		)	75			(2,442		)	(284		)
Commodity	(417		)	(74		)		(266		)	37			(720		)	(78		)
Total net derivative receivables	10,308			(1,129		)	(b)	(1,185		)	34			8,028			(1,655		)	(b)
Available-for-sale securities:
Asset-backed securities	12,334			102				1,536			—			13,972			101
Other	410			20				76			—			506			20
Total available-for-sale securities	12,744			122			(c)	1,612			—			14,478			121			(c)
Loans	1,065			104			(b)	56			—			1,225			97			(b)
Mortgage servicing rights	11,853			(1,497		)	(d)	(51		)	—			10,305			(1,497		)	(d)
Other assets:
Private equity investments	7,246			827			(b)	236			(107		)	8,202			685			(b)
All other	4,308			(71		)	(b)	210			(2		)	4,445			7			(b)
	Fair value measurements using significant unobservable inputs
Three months ended September 30, 2010	Fair value at June 30, 2010			Total realized/ unrealized (gains)/losses				Purchases, issuances, settlements, net			Transfers into and/or out of    level 3(g)			Fair value at Sept. 30, 2010			Change in unrealized (gains)/losses related to financial instruments held Sept. 30, 2010
(in millions)
Liabilities(a):
Deposits	$	884		$	62		(b)	$	(84	)	$	20		$	882		$	141		(b)
Other borrowed funds	291			72			(b)	942			—			1,305			68			(b)
Trading liabilities – debt and equity instruments	4			—			(b)	20			—			24			1			(b)
Accounts payable and other liabilities	449			(52		)	(e)	(57		)	—			340			47			(e)
Beneficial interests issued by consolidated VIEs	1,392			27			(b)	(171		)	80			1,328			27			(b)
Long-term debt	15,762			784			(b)	(2,303		)	(173		)	14,070			1,056			(b)

	Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2011	Fair value at January 1, 2011			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(g)			Fair value at Sept. 30, 2011				Change in unrealized gains/(losses) related to financial instruments held at Sept. 30, 2011
(in millions)								Purchases(f)			Sales			Issuances		Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	174		$	32			$	28		$	(39	)	$	—	$	(42	)	$	(58	)		$	95		$	(17	)
Residential – nonagency	687			114				609			(369		)	—		(175		)	(59		)		807			12
Commercial – nonagency	2,069			59				686			(826		)	—		(153		)	—				1,835			34
Total mortgage-backed securities	2,930			205				1,323			(1,234		)	—		(370		)	(117		)		2,737			29
Obligations of U.S. states and municipalities	2,257			11				624			(1,338		)	—		(1		)	12				1,565			(3		)
Non-U.S. government debt securities	202			9				444			(420		)	—		(63		)	(74		)		98			11
Corporate debt securities	4,946			(5		)		4,817			(4,465		)	—		(292		)	259				5,260			(46		)
Loans	13,144			335				4,161			(3,765		)	—		(2,033		)	(258		)		11,584			155
Asset-backed securities	8,460			175				3,671			(3,526		)	—		(361		)	22				8,441			(306		)
Total debt instruments	31,939			730				15,040			(14,748		)	—		(3,120		)	(156		)		29,685			(160		)
Equity securities	1,685			315				138			(471		)	—		(398		)	(63		)		1,206			294
Other	930			29				28			(14		)	—		(85		)	—				888			32
Total debt and equity instruments	34,554			1,074			(b)	15,206			(15,233		)	—		(3,603		)	(219		)		31,779			166			(b)
Net derivative receivables:
Interest rate	2,836			3,869				442			(171		)	—		(3,335		)	(174		)		3,467			945
Credit	5,386			3,357				21			(10		)	—		102			(19		)		8,837			3,570
Foreign exchange	(614		)	(1,718		)		167			(18		)	—		641			(46		)		(1,588		)	(300		)
Equity	(2,446		)	(63		)		352			(881		)	—		(448		)	98				(3,388		)	343
Commodity	(805		)	669				199			(102		)	—		(563		)	(165		)		(767		)	162
Total net derivative receivables	4,357			6,114			(b)	1,181			(1,182		)	—		(3,603		)	(306		)		6,561			4,720			(b)
Available-for-sale securities:
Asset-backed securities	13,775			128				11,309			(1,418		)	—		(2,264		)	—				21,530			(459		)
Other	512			(1		)		57			(3		)	—		(26		)	—				539			—
Total available-for-sale securities	14,287			127			(c)	11,366			(1,421		)	—		(2,290		)	—				22,069			(459		)	(c)
Loans	1,466			427			(b)	245			(9		)	—		(514		)	(1		)		1,614			397			(b)
Mortgage servicing rights	13,649			(6,286		)	(d)	1,973			—			—		(1,503		)	—				7,833			(6,286		)	(d)
Other assets:
Private equity investments	7,862			1,213			(b)	846			(2,736		)	—		(430		)	(166		)		6,589			(461		)	(b)
All other	4,179			(19		)	(e)	863			(22		)	—		(485		)	(29		)		4,487			(23		)	(e)
	Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2011	Fair value at January 1, 2011			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(g)			Fair value at Sept. 30, 2011				Change in unrealized (gains)/losses related to financial instruments held at Sept. 30, 2011
(in millions)								Purchases(f)			Sales			Issuances		Settlements
Liabilities(a):
Deposits	$	773		$	(9	)	(b)	$	—		$	—		$	245	$	(358	)	$	(1	)		$	650		$	(16	)	(b)
Other borrowed funds	1,384			(267		)	(b)	—			—			1,060		(330		)	2				1,849			(152		)	(b)
Trading liabilities – debt and equity instruments	54			2			(b)	(244		)	573			—		(79		)	4				310			(12		)	(b)
Accounts payable and other liabilities	236			(62		)	(e)	—			—			—		(106		)	—				68			4			(e)
Beneficial interests issued by consolidated VIEs	873			35			(b)	—			—			116		(660		)	—				364			(36		)	(b)
Long-term debt	13,044			326			(b)	—			—			1,650		(2,327		)	448				13,141			209			(b)

	Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2010	Fair value at January 1, 2010			Total realized/ unrealized gains/(losses)				Purchases, issuances, settlements, net			Transfers into and/or out of    level 3(g)			Fair value at Sept. 30, 2010			Change in unrealized gains/(losses) related to financial instruments held at Sept. 30, 2010
(in millions)
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	260		$	27			$	(105	)	$	(3	)	$	179		$	(19	)
Residential – nonagency	1,115			166				(573		)	(48		)	660			62
Commercial – nonagency	1,770			205				(97		)	(3		)	1,875			104
Total mortgage-backed securities	3,145			398				(775		)	(54		)	2,714			147
Obligations of U.S. states and municipalities	1,971			(6		)		(57		)	142			2,050			(24		)
Non-U.S. government debt securities	89			(28		)		135			(3		)	193			(10		)
Corporate debt securities	5,241			(315		)		(394		)	(121		)	4,411			(36		)
Loans	13,218			247				2,797			(217		)	16,045			278
Asset-backed securities	8,620			252				(238		)	17			8,651			130
Total debt instruments	32,284			548				1,468			(236		)	34,064			485
Equity securities	1,956			106				(217		)	(58		)	1,787			263
Other	1,441			219				(674		)	78			1,064			219
Total debt and equity instruments	35,681			873			(b)	577			(216		)	36,915			967			(b)
Net of derivative receivables:
Interest rate	2,040			2,885				(1,743		)	115			3,297			915
Credit	10,350			(236		)		(2,093		)	(42		)	7,979			291
Foreign exchange	1,082			(1,489		)		627			(306		)	(86		)	191
Equity	(2,306		)	(354		)		(86		)	304			(2,442		)	(224		)
Commodity	(329		)	(726		)		206			129			(720		)	15
Total net derivative receivables	10,837			80			(b)	(3,089		)	200			8,028			1,188			(b)
Available-for-sale securities:
Asset-backed securities	12,732			(3		)		1,243			—			13,972			(21		)
Other	461			(47		)		(13		)	105			506			20
Total available-for-sale securities	13,193			(50		)	(c)	1,230			105			14,478			(1		)	(c)
Loans	990			93			(b)	134			8			1,225			41			(b)
Mortgage servicing rights	15,531			(5,177		)	(d)	(49		)	—			10,305			(5,177		)	(d)
Other assets:
Private equity investments	6,563			963			(b)	1,167			(491		)	8,202			697			(b)
All other	9,521			(129		)	(b)	(4,850		)	(97		)	4,445			(30		)	(b)
	Fair value measurements using significant unobservable inputs
Nine months ended September 30, 2010	Fair value at January 1, 2010			Total realized/ unrealized (gains)/losses				Purchases, issuances, settlements, net			Transfers into and/or out of    level 3(g)			Fair value at Sept. 30, 2010			Change in unrealized (gains)/losses related to financial instruments held at Sept. 30, 2010
(in millions)
Liabilities(a):
Deposits	$	476		$	67		(b)	$	10		$	329		$	882		$	11		(b)
Other borrowed funds	542			(28		)	(b)	1,034			(243		)	1,305			(7		)	(b)
Trading liabilities – debt and equity instruments	10			4			(b)	(13		)	23			24			(1		)	(b)
Accounts payable and other liabilities	355			(92		)	(e)	77			—			340			34			(e)
Beneficial interests issued by consolidated VIEs	625			(6		)	(b)	629			80			1,328			(58		)	(b)
Long-term debt	18,287			(251		)	(b)	(4,190		)	224			14,070			386			(b)

(a) 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 23% and 23% at September 30, 2011, and December 31, 2010, respectively.

(b) Predominantly reported in principal transactions revenue, except for changes in fair value for Retail Financial Services ("RFS") mortgage loans originated with the intent to sell, which are reported in mortgage fees and related income.

(c) Realized gains/(losses) on available-for-sale (“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 other comprehensive income (“OCI”). Realized gains/(losses) and foreign exchange remeasurement adjustments recorded in income on AFS securities were $(426) million and zero for the three months ended September 30, 2011 and 2010, and were $8 million and $(65) million for the nine months ended September 30, 2011 and 2010, respectively. Unrealized gains/(losses) reported on AFS securities in OCI were $(29) million and $122 million for the three months ended September 30, 2011 and 2010, and were $119 million and $15 million for the nine months ended September 30, 2011 and 2010, respectively.

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

(e) Largely reported in other income.

(f) Loan originations are included in purchases.

(g) All transfers into and/or out of level 3 are assumed to occur at the beginning of the reporting period.

Assets and liabilities measured at fair value on a nonrecurring basis

Certain assets, liabilities and unfunded lending-related commitments are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances (for example, when there is evidence of impairment). The following tables present the assets and liabilities carried on the Consolidated Balance Sheets by caption and level within the valuation hierarchy as of September 30, 2011, and December 31, 2010, for which a nonrecurring change in fair value has been recorded during the reporting period.

	Fair value hierarchy
September 30, 2011 (in millions)	Level 1(e)		Level 2(e)		Level 3(e)			Total fair value
Loans retained(a)	$	—	$	3,191	$	213		$	3,404
Loans held-for-sale(b)	—		604		482			1,086
Total loans	—		3,795		695			4,490
Other real estate owned	—		60		246			306
Other assets	—		15		16			31
Total other assets	—		75		262			337
Total assets at fair value on a nonrecurring basis	$	—	$	3,870	$	957		$	4,827
Accounts payable and other liabilities(c)	$	—	$	43	$	23		$	66
Total liabilities at fair value on a nonrecurring basis	$	—	$	43	$	23		$	66
	Fair value hierarchy
December 31, 2010 (in millions)	Level 1		Level 2		Level 3			Total fair value
Loans retained(a)	$	—	$	5,484	$	513	(f)	$	5,997
Loans held-for-sale(b)(d)	—		312		3,200			3,512
Total loans	—		5,796		3,713			9,509
Other real estate owned	—		78		311			389
Other assets	—		—		2			2
Total other assets	—		78		313			391
Total assets at fair value on a nonrecurring basis	$	—	$	5,874	$	4,026		$	9,900
Accounts payable and other liabilities(c)	$	—	$	53	$	18		$	71
Total liabilities at fair value on a nonrecurring basis	$	—	$	53	$	18		$	71

(a) Reflects mortgage, home equity and other loans where the carrying value is based on the fair value of the underlying collateral.

(b) Loans held-for-sale are carried on the Consolidated Balance Sheets at the lower of cost or fair value.

(c) Represents, at September 30, 2011, and December 31, 2010, fair value adjustments associated with $437 million and $517 million, respectively, of unfunded held-for-sale lending-related commitments within the leveraged lending portfolio.

(d) Predominantly includes credit card loans at December 31, 2010.

(e) For the nine months ended September 30, 2011 and 2010, the transfers between levels 1, 2 and 3 were not significant. All transfers are assumed to occur at the beginning of the reporting period.

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

The method used to estimate the fair value of impaired collateral-dependent loans, and other loans where the carrying value is based on the fair value of the underlying collateral (e.g., residential mortgage loans charged off in accordance with regulatory guidance), depends on the type of collateral (e.g., securities, real estate, nonfinancial assets) underlying the loan. Fair value of the collateral is typically estimated based on quoted market prices, broker quotes or independent appraisals. For further information, see Note 14 on pages 158–159 of this Form 10-Q.

Nonrecurring fair value changes

The following table presents the total change in value of assets and liabilities for which a fair value adjustment has been included in the Consolidated Statements of Income for the three- and nine-month periods ended September 30, 2011 and 2010, related to financial instruments held at those dates.

	Three months ended September 30,							Nine months ended September 30,
(in millions)	2011			2010				2011			2010
Loans retained	$	(541	)	$	(951	)	(a)	$	(1,710	)	$	(1,559	)	(a)
Loans held-for-sale	(38		)	20				(11		)	78
Total loans	(579		)	(931		)		(1,721		)	(1,481		)
Other assets	(31		)	(8		)		(71		)	17
Accounts payable and other liabilities	(13		)	—				(14		)	5
Total nonrecurring fair value gains/(losses)	$	(623	)	$	(939	)		$	(1,806	)	$	(1,459	)

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

Level 3 analysis

Level 3 assets at September 30, 2011, predominantly included derivative receivables, mortgage servicing rights (“MSRs”), collateralized loan obligations (“CLOs”) held within the AFS and trading portfolios, loans within the trading portfolio and private equity investments.

• Derivative receivables included $39.7 billion of interest rate, credit, foreign exchange, equity and commodity contracts . Credit derivative receivables of $20.2 billion included $14.9 billion of structured credit derivatives with corporate debt underlying and $3.5 billion of credit default swaps largely on commercial mortgages where the risks are partially mitigated by similar and offsetting derivative payables. Interest rate derivative receivables of $6.8 billion include long-dated structured interest rate derivatives which are dependent on correlation. Foreign exchange derivative receivables of $4.5 billion included long-dated foreign exchange derivatives which are dependent on the correlation between foreign exchange and interest rates. Equity derivative receivables of $4.2 billion principally included long-dated contracts where the volatility levels are unobservable. Commodity derivative receivables of 4.0 billion largely included long-dated oil contracts.

• Mortgage servicing rights represent the fair value of future cash flows for performing specified mortgage servicing activities for others (predominantly with respect to residential mortgage loans). For a further description of the MSR asset, the interest rate risk management and valuation methodology used for MSRs, including valuation assumptions and sensitivities, see Note 17 on pages 260–263 of JPMorgan Chase’s 2010Annual Report and Note 16 on pages 168–172 of this Form 10-Q.

• CLOs totaling $27.9 billion are securities backed by corporate loans. At September 30, 2011, $21.3 billion of CLOs were held in the AFS securities portfolio and $6.6 billion were included in Asset Backed Securities held in the trading portfolio. Substantially all of the securities are rated “AAA,” “AA” and “A” and had an average credit enhancement of 30%. Credit enhancement in CLOs is primarily in the form of subordination, which is a form of structural credit enhancement where realized losses associated with assets held by the issuing vehicle are allocated to the various tranches of securities issued by the vehicle considering their relative seniority. For a further discussion of CLOs held in the AFS securities portfolio, see Note 11 on pages 130–134 of this Form 10-Q.

• Trading loans totaling $11.6 billion included $5.5 billion of residential mortgage whole loans and commercial mortgage loans for which there is limited price transparency; and $4.0 billion of reverse mortgages for which the principal risk sensitivities are mortality risk and home prices. The fair value of the commercial and residential mortgage loans is estimated by projecting expected cash flows, considering relevant borrower-specific and market factors, and discounting those cash flows at a rate reflecting current market liquidity. Loans are partially hedged by level 2 instruments, including credit default swaps and interest rate derivatives, for which valuation inputs are observable and liquid.

Consolidated Balance Sheets changes

Level 3 assets (including assets measured at fair value on a nonrecurring basis) were 5% of total Firm assets at September 30, 2011. The following describes significant changes to level 3 assets since December 31, 2010.

For the three months ended September 30, 2011

Level 3 assets were $115.0 billion at September 30, 2011, reflecting an increase of $5.2 billion from the second quarter largely related to a:

• $6.2 billion increase in asset-backed AFS securities, predominantly driven by purchases of CLOs;

• $5.5 billion increase in derivative receivables due to widening of credit spreads;

• $4.4 billion decrease in MSRs. For further discussion of the change, refer to Note 16 on pages 168–172 of this Form 10-Q; and

• $1.4 billion decrease in private equity investments, predominantly driven by net write-downs on private investments and sales.

For the nine months ended September 30, 2011

Level 3 assets increased by $351 million in the first nine months of 2011, due to the following:

• $7.8 billion increase in asset-backed AFS securities, predominantly driven by purchases of CLOs;

• $5.0 billion increase in derivative receivables due to widening of credit spreads, changes in interest rates and price movements in energy;

• $5.8 billion decrease in MSRs. For further discussion of the change, refer to Note 16 on pages 168–172 of this Form 10-Q;

• $2.8 billion decrease in trading assets – debt and equity instruments, largely driven by sales of trading loans;

• $2.7 billion decrease in nonrecurring loans held-for-sale, predominantly driven by sales in the loan portfolios; and

• $1.3 billion decrease in private equity investments, predominantly driven by sales of investments, partially offset by net increases in investment valuations and follow-on investments.

Gains and Losses

Included in the tables for the three months ended September 30, 2011

• $4.9 billion of net gains on derivatives, predominantly driven by widening of credit spreads; and

• $4.6 billion of losses on MSRs. For further discussion of the change, refer to Note 16 on pages 168–172 of this Form 10-Q.

Included in the tables for the three months ended September 30, 2010

• $1.1 billion of net losses on derivatives, largely due to the tightening of credit spreads;

• $1.3 billion of net gains on trading assets-debt and equity securities largely due to asset-backed securities and trading loans;

• $784 million in gains related to long-term structured note liabilities, largely due to foreign exchange revaluation;

• $827 million of gains in private equity largely driven by gains in investments in the portfolio; and

• $1.5 billion of losses on MSRs.

Included in the tables for the nine months ended September 30, 2011

• $6.3 billion of losses on MSRs. For further discussion of the change, refer to Note 16 on pages 168–172 of this Form 10-Q;

• $6.1 billion of net gains on derivatives, related to widening of credit spreads and changes in interest rates, partially offset by losses due to fluctuation in foreign exchange rates; and

• $1.2 billion gain in private equity, primarily driven by gains on sales and net increases in investment valuations.

Included in the tables for the nine months ended September 30, 2010

• $5.2 billion of losses on MSRs; and

• $963 million gain in private equity largely driven by gains in investments in the portfolio

Credit adjustments

When determining the fair value of an instrument, it may be necessary to record a valuation adjustment to arrive at an exit price under U.S. GAAP. Valuation adjustments include, but are not limited to, amounts to reflect counterparty credit quality and the Firm’s own creditworthiness. The market’s view of the Firm’s credit quality is reflected in credit spreads observed in the credit default swap market. For a detailed discussion of the valuation adjustments the Firm considers, see Note 3 on pages 170–187of JPMorgan Chase’s 2010Annual Report.

The following table provides the credit adjustments, excluding the effect of any hedging activity, reflected within the Consolidated Balance Sheets as of the dates indicated.

(in millions)	September 30, 2011			December 31, 2010
Derivative receivables balance (net of derivatives CVA)	$	108,853		$	80,481
Derivatives CVA(a)	(7,345		)	(4,362		)
Derivative payables balance (net of derivatives DVA)	79,249			69,219
Derivatives DVA	(1,820		)	(882		)
Structured notes balance(net of structured notes DVA)(b)(c)	50,062			53,139
Structured notes DVA	(2,219		)	(1,153		)

(a) Derivatives credit valuation adjustments (“CVA”), gross of hedges, includes results managed by the Credit Portfolio and other lines of business within the Investment Bank (“IB”).

(b) Structured notes are recorded within long-term debt, other borrowed funds or deposits on the Consolidated Balance Sheets, based on the tenor and legal form of the note.

(c) Structured notes are measured at fair value based on the Firm’s election under the fair value option. For further information on these elections, see Note 4 on pages 116–118 of this Form 10-Q.

The following table provides the impact of credit adjustments on earnings in the respective periods, excluding the effect of any hedging activity.

	Three months ended September 30,						Nine months ended September 30,
(in millions)	2011			2010			2011			2010
Credit adjustments:
Derivative CVA(a)	$	(3,270	)	$	(527	)	$	(2,983	)	$	(1,441	)
Derivative DVA	984			(247		)	938			44
Structured note DVA(b)	901			(246		)	1,066			450

(a) Derivatives CVA, gross of hedges, includes results managed by the Credit Portfolio and other lines of business within IB.

(b) Structured notes are measured at fair value based on the Firm’s election under the fair value option. For further information on these elections, see Note 4 on pages 116–118 of this Form 10-Q.

Additional disclosures about the fair value of financial instruments (including financial instruments not carried at fair value)

The following table presents the carrying values and estimated fair values of financial assets and liabilities. For additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value, see Note 3 on pages 170–187of JPMorgan Chase’s 2010Annual Report.

The following table presents the carrying values and estimated fair values of financial assets and liabilities.

	September 30, 2011							December 31, 2010
(in billions)	Carrying value		Estimated fair value		Appreciation/ (depreciation)			Carrying value		Estimated fair value		Appreciation/ (depreciation)
Financial assets
Assets for which fair value approximates carrying value	$	185.6	$	185.6	$	—		$	49.2	$	49.2	$	—
Accrued interest and accounts receivable	72.1		72.1		—			70.1		70.1		—
Federal funds sold and securities purchased under resale agreements (included $22.2 and $20.3 at fair value)	248.0		248.0		—			222.6		222.6		—
Securities borrowed (included $14.6 and $14.0 at fair value)	131.6		131.6		—			123.6		123.6		—
Trading assets	461.5		461.5		—			489.9		489.9		—
Securities (included $339.3 and $316.3 at fair value)	339.3		339.3		—			316.3		316.3		—
Loans (included $2.0 and $2.0 at fair value)(a)	668.5		669.3		0.8			660.7		663.5		2.8
Mortgage servicing rights at fair value	7.8		7.8		—			13.6		13.6		—
Other (included $16.1 and $18.2 at fair value)	68.1		68.6		0.5			64.9		65.0		0.1
Total financial assets	$	2,182.5	$	2,183.8	$	1.3		$	2,010.9	$	2,013.8	$	2.9
Financial liabilities
Deposits (included $4.8 and $4.4 at fair value)	$	1,092.7	$	1,093.4	$	(0.7	)	$	930.4	$	931.5	$	(1.1	)
Federal funds purchased and securities loaned or sold under repurchase agreements (included $7.0 and $4.1 at fair value)	238.6		238.6		—			276.6		276.6		—
Commercial paper	51.1		51.1		—			35.4		35.4		—
Other borrowed funds (included $9.4 and $9.9 at fair value)(b)	29.3		29.3		—			34.3		34.3		—
Trading liabilities	155.8		155.8		—			146.2		146.2		—
Accounts payable and other liabilities (included $0.1 and $0.2 at fair value)	164.9		164.8		0.1			138.2		138.2		—
Beneficial interests issued by consolidated VIEs (included $0.9 and $1.5 at fair value)	66.0		66.3		(0.3		)	77.6		77.9		(0.3		)
Long-term debt and junior subordinated deferrable interest debentures (included $35.9 and $38.8 at fair value)(b)	273.7		271.1		2.6			270.7		271.9		(1.2		)
Total financial liabilities	$	2,072.1	$	2,070.4	$	1.7		$	1,909.4	$	1,912.0	$	(2.6	)
Net appreciation					$	3.0						$	0.3

(a) Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. 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 a loan loss reserve calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in a loan loss reserve calculation. For a further discussion of the Firm’s methodologies for estimating the fair value of loans and lending-related commitments, see Note 3 pages 171–173 of JPMorgan Chase’s 2010Annual Report.

(b) Effective January 1, 2011, $23.0 billion of long-term advances from Federal Home Loan Banks (“FHLBs”) were reclassified from other borrowed funds to long-term debt. The prior-year period has been revised to conform with the current presentation.

The majority of the Firm’s lending-related commitments are not carried at fair value on a recurring basis on the Consolidated Balance Sheets, nor are they actively traded. The carrying value and estimated fair value of the Firm’s wholesale lending-related commitments were as follows for the periods indicated.

	September 30, 2011		December 31, 2010
(in billions)	Carrying value(a)	Estimated fair value	Carrying value(a)	Estimated fair value
Wholesale lending-related commitments	$0.7	$3.3	$0.7	$0.9

(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.

The Firm does not estimate the fair value of consumer lending-related commitments. In many cases, the Firm can reduce or cancel these commitments by providing the borrower notice or, in some cases, without notice as permitted by law. For a further discussion of the valuation of lending-related commitments, see Note 3 on pages 171–173 of JPMorgan Chase’s 2010Annual Report.

Trading assets and liabilities - average balances

Average trading assets and liabilities were as follows for the periods indicated.

	Three months ended September 30,				Nine months ended September 30,
(in millions)	2011		2010		2011		2010
Trading assets – debt and equity instruments(a)	$	377,840	$	347,990	$	405,861	$	340,181
Trading assets – derivative receivables	96,612		92,857		88,344		83,702
Trading liabilities – debt and equity instruments(a)(b)	85,541		79,838		84,246		76,104
Trading liabilities – derivative payables	75,828		69,350		71,058		63,688

(a) 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 CUSIP numbers.

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