Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2013

Fair Value Disclosures [Abstract]

Assets and liabilities measured at fair value on a recurring basis

The following table presents the asset and liabilities reported at fair value as of March 31, 2013, and December 31, 2012, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy								Netting adjustments
March 31, 2013 (in millions)	Level 1		Level 2			Level 3						Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	25,616		$	—		$	—		$	25,616
Securities borrowed	—		5,411			—			—			5,411
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	—		30,378			819			—			31,197
Residential – nonagency	—		1,574			633			—			2,207
Commercial – nonagency	—		1,404			1,151			—			2,555
Total mortgage-backed securities	—		33,356			2,603			—			35,959
U.S. Treasury and government agencies(a)	20,265		6,956			—			—			27,221
Obligations of U.S. states and municipalities	—		18,209			1,432			—			19,641
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,714			—			—			2,714
Non-U.S. government debt securities	30,953		43,447			85			—			74,485
Corporate debt securities	—		28,370			4,852			—			33,222
Loans(b)	—		28,473			10,032			—			38,505
Asset-backed securities	—		4,216			1,579			—			5,795
Total debt instruments	51,218		165,741			20,583			—			237,542
Equity securities	100,543		1,964			1,172			—			103,679
Physical commodities(c)	8,827		5,450			—			—			14,277
Other	—		3,936			948			—			4,884
Total debt and equity instruments(d)	160,588		177,091			22,703			—			360,382
Derivative receivables:
Interest rate	714		1,166,908			6,167			(1,139,509		)	34,280
Credit	—		98,137			5,262			(99,735		)	3,664
Foreign exchange	472		138,511			2,508			(129,145		)	12,346
Equity	—		40,321			6,117			(36,403		)	10,035
Commodity	174		58,948			1,803			(50,641		)	10,284
Total derivative receivables(e)	1,360		1,502,825			21,857			(1,455,433		)	70,609
Total trading assets	161,948		1,679,916			44,560			(1,455,433		)	430,991
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		104,264			—			—			104,264
Residential – nonagency	—		67,358			378			—			67,736
Commercial – nonagency	—		12,565			272			—			12,837
Total mortgage-backed securities	—		184,187			650			—			184,837
U.S. Treasury and government agencies(a)	10,912		1,018			—			—			11,930
Obligations of U.S. states and municipalities	33		20,758			187			—			20,978
Certificates of deposit	—		2,379			—			—			2,379
Non-U.S. government debt securities	33,313		37,054			—			—			70,367
Corporate debt securities	—		33,239			—			—			33,239
Asset-backed securities:
Collateralized loan obligations	—		26,359			1,000			—			27,359
Other	—		12,044			130			—			12,174
Equity securities	2,474		—			—			—			2,474
Total available-for-sale securities	46,732		317,038			1,967			—			365,737
Loans	—		97			2,064			—			2,161
Mortgage servicing rights	—		—			7,949			—			7,949
Other assets:
Private equity investments(f)	578		—			6,831			—			7,409
All other	4,198		561			3,985			—			8,744
Total other assets	4,776		561			10,816			—			16,153
Total assets measured at fair value on a recurring basis	$	213,456	$	2,028,639	(g)	$	67,356	(g)	$	(1,455,433	)	$	854,018
Deposits	$	—	$	4,014		$	2,015		$	—		$	6,029
Federal funds purchased and securities loaned or sold under repurchase agreements	—		4,380			—			—			4,380
Other borrowed funds	—		11,681			2,137			—			13,818
Trading liabilities:
Debt and equity instruments(d)	48,814		14,672			251			—			63,737
Derivative payables:
Interest rate	804		1,130,516			3,376			(1,116,085		)	18,611
Credit	—		97,405			3,945			(98,216		)	3,134
Foreign exchange	439		151,951			4,024			(141,608		)	14,806
Equity	—		41,591			7,117			(35,361		)	13,347
Commodity	239		62,779			1,621			(52,548		)	12,091
Total derivative payables(e)	1,482		1,484,242			20,083			(1,443,818		)	61,989
Total trading liabilities	50,296		1,498,914			20,334			(1,443,818		)	125,726
Accounts payable and other liabilities	—		—			33			—			33
Beneficial interests issued by consolidated VIEs	—		312			818			—			1,130
Long-term debt	—		21,571			9,084			—			30,655
Total liabilities measured at fair value on a recurring basis	$	50,296	$	1,540,872		$	34,421		$	(1,443,818	)	$	181,771

	Fair value hierarchy								Netting adjustments
December 31, 2012 (in millions)	Level 1		Level 2			Level 3						Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	24,258		$	—		$	—		$	24,258
Securities borrowed	—		10,177			—			—			10,177
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	—		36,240			498			—			36,738
Residential – nonagency	—		1,509			663			—			2,172
Commercial – nonagency	—		1,565			1,207			—			2,772
Total mortgage-backed securities	—		39,314			2,368			—			41,682
U.S. Treasury and government agencies(a)(h)	15,170		7,255			—			—			22,425
Obligations of U.S. states and municipalities	—		16,726			1,436			—			18,162
Certificates of deposit, bankers’ acceptances and commercial paper	—		4,759			—			—			4,759
Non-U.S. government debt securities(h)	26,095		44,028			67			—			70,190
Corporate debt securities(h)	—		31,882			5,308			—			37,190
Loans(b)	—		30,754			10,787			—			41,541
Asset-backed securities	—		4,182			3,696			—			7,878
Total debt instruments	41,265		178,900			23,662			—			243,827
Equity securities	106,898		2,687			1,114			—			110,699
Physical commodities(c)	10,107		6,066			—			—			16,173
Other	—		3,483			863			—			4,346
Total debt and equity instruments(d)	158,270		191,136			25,639			—			375,045
Derivative receivables:
Interest rate	476		1,322,155			6,617			(1,290,043		)	39,205
Credit	—		93,821			6,489			(98,575		)	1,735
Foreign exchange	450		144,758			3,051			(134,117		)	14,142
Equity(h)	—		37,741			4,921			(33,396		)	9,266
Commodity(h)	316		49,402			2,180			(41,263		)	10,635
Total derivative receivables(e)	1,242		1,647,877			23,258			(1,597,394		)	74,983
Total trading assets	159,512		1,839,013			48,897			(1,597,394		)	450,028
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		98,388			—			—			98,388
Residential – nonagency	—		74,189			450			—			74,639
Commercial – nonagency	—		12,948			255			—			13,203
Total mortgage-backed securities	—		185,525			705			—			186,230
U.S. Treasury and government agencies(a)(h)	11,089		1,041			—			—			12,130
Obligations of U.S. states and municipalities	35		21,489			187			—			21,711
Certificates of deposit	—		2,783			—			—			2,783
Non-U.S. government debt securities(h)	29,556		36,488			—			—			66,044
Corporate debt securities	—		38,609			—			—			38,609
Asset-backed securities:
Collateralized loan obligations	—		—			27,896			—			27,896
Other	—		12,843			128			—			12,971
Equity securities	2,733		38			—			—			2,771
Total available-for-sale securities	43,413		298,816			28,916			—			371,145
Loans	—		273			2,282			—			2,555
Mortgage servicing rights	—		—			7,614			—			7,614
Other assets:
Private equity investments(f)	578		—			7,181			—			7,759
All other	4,188		253			4,258			—			8,699
Total other assets	4,766		253			11,439			—			16,458
Total assets measured at fair value on a recurring basis	$	207,691	$	2,172,790	(g)	$	99,148	(g)	$	(1,597,394	)	$	882,235
Deposits	$	—	$	3,750		$	1,983		$	—		$	5,733
Federal funds purchased and securities loaned or sold under repurchase agreements	—		4,388			—			—			4,388
Other borrowed funds	—		9,972			1,619			—			11,591
Trading liabilities:
Debt and equity instruments(d)(h)	47,469		13,588			205			—			61,262
Derivative payables:
Interest rate	490		1,283,829			3,295			(1,262,708		)	24,906
Credit	—		95,411			4,616			(97,523		)	2,504
Foreign exchange	428		156,413			4,801			(143,041		)	18,601
Equity(h)	—		37,807			6,727			(32,715		)	11,819
Commodity(h)	176		53,636			1,926			(42,912		)	12,826
Total derivative payables(e)	1,094		1,627,096			21,365			(1,578,899		)	70,656
Total trading liabilities	48,563		1,640,684			21,570			(1,578,899		)	131,918
Accounts payable and other liabilities	—		—			36			—			36
Beneficial interests issued by consolidated VIEs	—		245			925			—			1,170
Long-term debt	—		22,312			8,476			—			30,788
Total liabilities measured at fair value on a recurring basis	$	48,563	$	1,681,351		$	34,609		$	(1,578,899	)	$	185,624

(a) At March 31, 2013, and December 31, 2012, included total U.S. government-sponsored enterprise obligations of $118.0 billion and $119.4 billion, respectively, which were predominantly mortgage-related.

(b) At March 31, 2013, and December 31, 2012, included within trading loans were $22.7 billion and $26.4 billion, respectively, of residential first-lien mortgages, and $2.2 billion and $2.2 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 $15.0 billion and $17.4 billion, respectively, and reverse mortgages of $3.7 billion and $4.0 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 the Firm’s physical commodities inventories. When fair value hedging has been applied (or when market is below cost), the carrying value of physical commodities approximates fair value, because under fair value hedge accounting, the cost basis is adjusted for changes in fair value. For a further discussion of the Firm’s hedge accounting relationships, see Note 5 on pages 109–119 of this Form 10-Q. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented.

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

(e) As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. Therefore, the balances reported in the fair value hierarchy table are gross of any counterparty netting adjustments. However, if the Firm were to net such balances within level 3, the reduction in the level 3 derivative receivables and payables balances would be $6.8 billion and $8.4 billion at March 31, 2013, and December 31, 2012, 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 $8.6 billion and $8.4 billion at March 31, 2013, and December 31, 2012, respectively.

(g) Includes investments in hedge funds, private equity funds, real estate and other funds that do not have readily determinable fair values. The Firm uses net asset value per share when measuring the fair value of these investments. At March 31, 2013 and December 31, 2012, the fair values of these investments were $3.9 billion and $4.9 billion, respectively, of which $1.0 billion and $1.1 billion, respectively were classified in level 2, and $2.9 billion and $3.8 billion, respectively, in level 3.

(h) Prior period amounts have been revised.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The following table presents the Firm’s primary level 3 financial instruments, the valuation techniques used to measure the fair value of those financial instruments, the significant unobservable inputs, the range of values for those inputs and, for certain instruments, the weighted averages of such inputs. While the determination to classify an instrument within level 3 is based on the significance of the unobservable inputs to the overall fair value measurement, level 3 financial instruments typically include observable components (that is, components that are actively quoted and can be validated to external sources) in addition to the unobservable components. The level 1 and/or level 2 inputs are not included in the table. In addition, the Firm manages the risk of the observable components of level 3 financial instruments using securities and derivative positions that are classified within levels 1 or 2 of the fair value hierarchy.

The range of values presented in the table is representative of the highest and lowest level input used to value the significant groups of instruments within a product/instrument classification. The input range does not reflect the level of input uncertainty, instead it is driven by the different underlying characteristics of the various instruments within the classification. For example, two option contracts may have similar levels of market risk exposure and valuation uncertainty, but may have significantly different implied volatility levels because the option contracts have different underlyings, tenors, or strike prices.

Where provided, the weighted averages of the input values presented in the table are calculated based on the fair value of the instruments that the input is being used to value. In the Firm’s view, the input range and the weighted average value do not reflect the degree of input uncertainty or an assessment of the reasonableness of the Firm’s estimates and assumptions. Rather, they reflect the characteristics of the various instruments held by the Firm and the relative distribution of instruments within the range of characteristics. The input range and weighted average values will therefore vary from period to period and parameter to parameter based on the characteristics of the instruments held by the Firm at each balance sheet date.

For the Firm’s derivatives and structured notes positions classified within level 3, the equity and interest rate correlation inputs used in estimating fair value were concentrated at the upper end of the range presented, while the credit correlation inputs were distributed across the range presented and the foreign exchange correlation inputs were concentrated at the lower end of the range presented. In addition the equity and interest rate volatility inputs used in estimating fair value were concentrated at the upper end of the range presented, while commodities volatilities were concentrated at the lower end of the range.

Level 3 inputs(a)
March 31, 2013 (in millions, except for ratios and basis points)
Product/Instrument	Fair value			Principal valuation technique	Unobservable inputs	Range of input values				Weighted average
Residential mortgage-backed securities and loans	$	9,370		Discounted cash flows	Yield	3	%	-	15%	7%
					Prepayment speed	0	%	-	42%	7%
					Conditional default rate	0	%	-	100%	11%
					Loss severity	0	%	-	82%	11%
Commercial mortgage-backed securities and loans(b)	1,958			Discounted cash flows	Yield	2	%	-	25%	6%
					Conditional default rate	0	%	-	8%	0%
					Loss severity	0	%	-	40%	4%
Corporate debt securities, obligations of U.S. states and municipalities, and other	13,942			Discounted cash flows	Credit spread	130 bps		-	225 bps	149 bps
					Yield	2	%	-	31%	10%
	3,825			Market comparables	Price	20		-	135	93
Net interest rate derivatives	2,791			Option pricing	Interest rate correlation	(75	)%	-	94%
					Interest rate spread volatility	0	%	-	60%
Net credit derivatives(b)	1,317			Discounted cash flows	Credit correlation	31	%	-	90%
Net foreign exchange derivatives	(1,516		)	Option pricing	Foreign exchange correlation	35	%	-	75%
Net equity derivatives	(1,000		)	Option pricing	Equity volatility	5	%	-	45%
Net commodity derivatives	182			Option pricing	Commodity volatility	17	%	-	36%
Collateralized loan obligations	1,000			Discounted cash flows	Credit spread	160 bps		-	550 bps	205 bps
					Prepayment speed	15	%	-	20%	19%
					Conditional default rate	2%				2%
					Loss severity	40%				40%
	624			Market comparables	Price	0		-	125	84
Mortgage servicing rights (“MSRs”)	7,949			Discounted cash flows	Refer to Note 16 on pages 158–161 of this Form 10-Q.
Private equity direct investments	4,945			Market comparables	EBITDA multiple	2.9x		-	14.0x	8.4x
					Liquidity adjustment	0	%	-	30%	10%
Private equity fund investments(c)	1,886			Net asset value	Net asset value(e)
Long-term debt, other borrowed funds, and deposits(d)	12,125			Option pricing	Interest rate correlation	(75	)%	-	94%
					Foreign exchange correlation	35	%	-	75%
					Equity correlation	(40	)%	-	85%
	1,111			Discounted cash flows	Credit correlation	31	%	-	81%

(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 Sheet.

(b) The unobservable inputs and associated input ranges for approximately $1.2 billion of credit derivative receivables and $1.1 billion of credit derivative payables with underlying mortgage risk have been included in the inputs and ranges provided for commercial mortgage-backed securities and loans.

(c) As of March 31, 2013, $805 million of private equity fund exposure was held at a discount to net asset value per share.

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

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

Changes in level 3 recurring fair value measurements

The following tables include a rollforward of the Consolidated 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 months ended March 31, 2013 and 2012. 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 March 31, 2013 (in millions)	Fair value at January 1, 2013			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at March 31, 2013				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2013
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	498		$	34			$	391		$	(79	)			$	(25	)	$	—			$	819		$	42
Residential – nonagency	663			109				299			(404		)			(29		)	(5		)		633			41
Commercial – nonagency	1,207			(86		)		137			(65		)			(42		)	—				1,151			(91		)
Total mortgage-backed securities	2,368			57				827			(548		)			(96		)	(5		)		2,603			(8		)
Obligations of U.S. states and municipalities	1,436			41				1			(46		)			—			—				1,432			36
Non-U.S. government debt securities	67			2				301			(285		)			—			—				85			4
Corporate debt securities	5,308			(83		)		2,927			(2,563		)			(625		)	(112		)		4,852			2
Loans	10,787			(172		)		1,626			(1,485		)			(703		)	(21		)		10,032			(192		)
Asset-backed securities	3,696			64				596			(977		)			(135		)	(1,665		)		1,579			48
Total debt instruments	23,662			(91		)		6,278			(5,904		)			(1,559		)	(1,803		)		20,583			(110		)
Equity securities	1,114			1				93			(91		)			(9		)	64				1,172			(23		)
Other	863			44				72			(2		)			(29		)	—				948			51
Total trading assets – debt and equity instruments	25,639			(46		)	(c)	6,443			(5,997		)			(1,597		)	(1,739		)		22,703			(82		)	(c)
Net derivative receivables:(a)
Interest rate	3,322			306				69			(62		)			(858		)	14				2,791			143
Credit	1,873			(489		)		47			—					(113		)	(1		)		1,317			(476		)
Foreign exchange	(1,750		)	(116		)		(15		)	(3		)			376			(8		)		(1,516		)	(194		)
Equity	(1,806		)	863				197			(206		)			(222		)	174				(1,000		)	606
Commodity	254			358				11			(3		)			(442		)	4				182			136
Total net derivative receivables	1,893			922			(c)	309			(274		)			(1,259		)	183				1,774			215			(c)
Available-for-sale securities:
Asset-backed securities	28,024			5				400			—					(39		)	(27,260		)		1,130			5
Other	892			(9		)		—			(13		)			(33		)	—				837			3
Total available-for-sale securities	28,916			(4		)	(d)	400			(13		)			(72		)	(27,260		)		1,967			8			(d)
Loans	2,282			(35		)	(c)	225			(49		)			(359		)	—				2,064			(40		)	(c)
Mortgage servicing rights	7,614			309			(e)	684			(399		)			(259		)	—				7,949			309			(e)
Other assets:
Private equity investments	7,181			(269		)	(c)	81			(96		)			(66		)	—				6,831			(399		)	(c)
All other	4,258			(26		)	(f)	52			(3		)			(296		)	—				3,985			(27		)	(f)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2013 (in millions)	Fair value at January 1, 2013			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at March 31, 2013				Change in unrealized (gains)/losses related to financial instruments held at March 31, 2013
								Purchases(g)			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	1,983		$	5		(c)	$	—		$	—		$	296	$	(113	)	$	(156	)		$	2,015		$	4		(c)
Other borrowed funds	1,619			(26		)	(c)	—			—			1,762		(1,224		)	6				2,137			20			(c)
Trading liabilities – debt and equity instruments	205			(8		)	(c)	(1,485		)	1,552			—		(13		)	—				251			(5		)	(c)
Accounts payable and other liabilities	36			1			(f)	—			—			—		(4		)	—				33			1			(f)
Beneficial interests issued by consolidated VIEs	925			(34		)	(c)	—			—			21		(94		)	—				818			(34		)	(c)
Long-term debt	8,476			(475		)	(c)	—			—			1,855		(357		)	(415		)		9,084			(98		)	(c)

	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2012 (in millions)	Fair value at January 1, 2012			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at March 31, 2012				Change in unrealized gains/(losses) related to financial instruments held at March 31, 2012
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	86		$	(12	)		$	5		$	—				$	—		$	—			$	79		$	(5	)
Residential – nonagency	796			32				92			(163		)			(36		)	(22		)		699			23
Commercial – nonagency	1,758			(77		)		112			(240		)			(11		)	(91		)		1,451			(79		)
Total mortgage-backed securities	2,640			(57		)		209			(403		)			(47		)	(113		)		2,229			(61		)
Obligations of U.S. states and municipalities	1,619			(7		)		320			(181		)			(4		)	—				1,747			(9		)
Non-U.S. government debt securities	104			8				205			(231		)			(5		)	—				81			1
Corporate debt securities	6,373			258				2,316			(1,269		)			(1,967		)	(248		)		5,463			115
Loans	12,209			156				901			(673		)			(945		)	(504		)		11,144			129
Asset-backed securities	7,965			230				824			(1,261		)			(326		)	2				7,434			198
Total debt instruments	30,910			588				4,775			(4,018		)			(3,294		)	(863		)		28,098			373
Equity securities	1,177			(7		)		22			(27		)			(13		)	96				1,248			(12		)
Other	880			153				35			(44		)			(31		)	—				993			159
Total trading assets – debt and equity instruments	32,967			734			(c)	4,832			(4,089		)			(3,338		)	(767		)		30,339			520			(c)
Net derivative receivables:(a)
Interest rate	3,561			1,328				109			(68		)			(1,344		)	(348		)		3,238			580
Credit	7,732			(2,354		)		78			(18		)			(630		)	—				4,808			(2,228		)
Foreign exchange	(1,263		)	127				19			(158		)			218			(3		)		(1,060		)	89
Equity	(3,105		)	(720		)		333			(383		)			(9		)	1,055				(2,829		)	(880		)
Commodity	(687		)	6				53			(6		)			23			11				(600		)	1
Total net derivative receivables	6,238			(1,613		)	(c)	592			(633		)			(1,742		)	715				3,557			(2,438		)	(c)
Available-for-sale securities:
Asset-backed securities	24,958			3				1,321			(498		)			(452		)	116				25,448			2
Other	528			8				28			(20		)			(75		)	—				469			5
Total available-for-sale securities	25,486			11			(d)	1,349			(518		)			(527		)	116				25,917			7			(d)
Loans	1,647			30			(c)	127			—					(119		)	81				1,766			27			(c)
Mortgage servicing rights	7,223			596			(e)	573			—					(353		)	—				8,039			596			(e)
Other assets:
Private equity investments	6,751			252			(c)	111			(236		)			(139		)	—				6,739			167			(c)
All other	4,374			(164		)	(f)	356			(19		)			(150		)	—				4,397			(177		)	(f)
	Fair value measurements using significant unobservable inputs
Three months ended March 31, 2012 (in millions)	Fair value at January 1, 2012			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at March 31, 2012				Change in unrealized (gains)/losses related to financial instruments held at March 31, 2012
								Purchases(g)			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	1,418		$	131		(c)	$	—		$	—		$	351	$	(136	)	$	(113	)		$	1,651		$	129		(c)
Other borrowed funds	1,507			196			(c)	—			—			384		(845		)	(9		)		1,233			151			(c)
Trading liabilities – debt and equity instruments	211			(15		)	(c)	(705		)	793			—		(11		)	—				273			3			(c)
Accounts payable and other liabilities	51			—				—			—			—		(5		)	—				46			—
Beneficial interests issued by consolidated VIEs	791			45			(c)	—			—			36		(31		)	—				841			9			(c)
Long-term debt	10,310			139			(c)	—			—			1,124		(1,387		)	(633		)		9,553			193			(c)

(a) All level 3 derivatives are presented on a net basis, irrespective of 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 19% and 19% at March 31, 2013 and December 31, 2012, respectively.

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

(d) 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 OCI. Realized gains/(losses) and foreign exchange remeasurement adjustments recorded in income on AFS securities were $(18) million and $96 million for the three months ended March 31, 2013 and 2012, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $14 million and $(85) million for the three months ended March 31, 2013 and 2012, respectively.

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

(f) Predominantly reported in other income.

(g) Loan originations are included in purchases.

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

Credit adjustments

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)	Mar 31, 2013			Dec 31, 2012
Derivative receivables balance (net of derivatives CVA)	$	70,609		$	74,983
Derivatives CVA(a)	(3,906		)	(4,238		)
Derivative payables balance (net of derivatives DVA)	61,989			70,656
Derivatives DVA	(825		)	(830		)
Structured notes balance (net of structured notes DVA)(b)(c)	50,502			48,112
Structured notes DVA	(1,843		)	(1,712		)

(a) Derivatives CVA, gross of hedges, includes results managed by the credit portfolio and other lines of business within the Corporate & Investment Bank (“CIB”).

(b) Structured notes are recorded within long-term debt, other borrowed funds or deposits on the Consolidated Balance Sheets, depending upon 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 107–108 of this Form 10-Q.

Impact of credit adjustments on earnings

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 March 31,
(in millions)	2013			2012
Credit adjustments:
Derivative CVA(a)	$	332		$	1,461
Derivative DVA	(5		)	(439		)
Structured note DVA(b)	131			(468		)

(a) Derivatives CVA, gross of hedges, includes results managed by the credit portfolio and other lines of business within the CIB.

(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 107–108 of this Form 10-Q.

Carrying value and estimated fair value of financial assets and liabilities

The following table presents the carrying values and estimated fair values at March 31, 2013, and December 31, 2012, of financial assets and liabilities, excluding financial instruments which are carried at fair value on a recurring basis, and information is provided on their classification within the fair value hierarchy. 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 196–214 of JPMorgan Chase’s 2012 Annual Report.

	March 31, 2013										December 31, 2012
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value		Level 1		Level 2		Level 3		Total estimated fair value
Financial assets
Cash and due from banks	$	45.5	$	45.5	$	—	$	—	$	45.5	$	53.7	$	53.7	$	—	$	—	$	53.7
Deposits with banks	257.6		246.4		11.2		—		257.6		121.8		114.1		7.7		—		121.8
Accrued interest and accounts receivable	74.2		—		73.8		0.4		74.2		60.9		—		60.3		0.6		60.9
Federal funds sold and securities purchased under resale agreements	192.7		—		192.7		—		192.7		272.0		—		272.0		—		272.0
Securities borrowed	108.6		—		108.6		—		108.6		108.8		—		108.8		—		108.8
Loans, net of allowance for loan losses(a)	705.9		—		21.6		685.9		707.5		709.3		—		26.4		685.4		711.8
Other	50.9		—		46.1		5.3		51.4		49.7		—		42.7		7.4		50.1
Financial liabilities
Deposits	$	1,196.5	$	—	$	1,195.7	$	1.2	$	1,196.9	$	1,187.9	$	—	$	1,187.2	$	1.2	$	1,188.4
Federal funds purchased and securities loaned or sold under repurchase agreements	243.9		—		243.9		—		243.9		235.7		—		235.7		—		235.7
Commercial paper	58.8		—		58.8		—		58.8		55.4		—		55.4		—		55.4
Other borrowed funds	13.4		—		13.4		—		13.4		15.0		—		15.0		—		15.0
Accounts payable and other liabilities	160.9		—		159.1		1.7		160.8		156.5		—		153.8		2.5		156.3
Beneficial interests issued by consolidated VIEs	57.2		—		53.0		4.3		57.3		62.0		—		57.7		4.4		62.1
Long-term debt and junior subordinated deferrable interest debentures	237.7		—		239.2		5.5		244.7		218.2		—		220.0		5.4		225.4

(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 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 pages 196–214 of JPMorgan Chase’s 2012 Annual Report and pages 96–107 of this Note.

The Carrying value and estimated fair value of wholesale lending- related commitments

The carrying value and estimated fair value of the Firm’s wholesale lending-related commitments were as follows for the periods indicated.

	March 31, 2013										December 31, 2012
			Estimated fair value hierarchy										Estimated fair value hierarchy
(in billions)	Carrying value(a)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a)		Level 1		Level 2		Level 3		Total estimated fair value
Wholesale lending-related commitments	$	0.7	$	—	$	—	$	1.4	$	1.4	$	0.7	$	—	$	—	$	1.9	$	1.9

(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.

Trading assets and liabilities average balances

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

	Three months ended March 31,
(in millions)	2013		2012
Trading assets – debt and equity instruments(a)	$	370,694	$	355,335
Trading assets – derivative receivables	74,918		90,446
Trading liabilities – debt and equity instruments(a)(b)	70,506		68,984
Trading liabilities – derivative payables	68,683		76,069

(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.