Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2014

Fair Value Disclosures [Abstract]

Schedule of fair value methodologies

The following table describes the valuation methodologies used by the Firm to measure its more significant products/instruments at fair value, including the general classification of such instruments pursuant to the valuation hierarchy.

Product/instrument	Valuation methodology	Classifications in the valuation hierarchy
Securities financing agreements	Valuations are based on discounted cash flows, which consider:	Level 2
	• Derivative features. For further information refer to the    discussion of derivatives below.
	• Market rates for the respective maturity
	• Collateral
Loans and lending-related commitments - wholesale
Trading portfolio	Where observable market data is available, valuations are based on:	Level 2 or 3
	• Observed market prices (circumstances are infrequent)
	• Relevant broker quotes
	• Observed market prices for similar instruments
	Where observable market data is unavailable or limited, valuations are based on discounted cash flows, which consider the following:
	• Yield
	• Lifetime credit losses
	• Loss severity
	• Prepayment speed
	• Servicing costs
Loans held for investment and associated lending-related commitments	Valuations are based on discounted cash flows, which consider:	Predominantly level 3
	• Credit spreads, derived from the cost of credit default swaps (“CDS”); or benchmark credit curves developed by the Firm, by industry and credit rating, and which take into account the difference in loss severity rates between bonds and loans
	• Prepayment speed
	Lending-related commitments are valued similar to loans and reflect the portion of an unused commitment expected, based on the Firm’s average portfolio historical experience, to become funded prior to an obligor default
	For information regarding the valuation of loans measured at collateral value, see Note 14.
Loans - consumer
Held for investment consumer loans, excluding credit card	Valuations are based on discounted cash flows, which consider:	Predominantly level 3
	• Discount rates (derived from primary origination rates and market activity)
	• Expected lifetime credit losses (considering expected and current default rates for existing portfolios, collateral prices, and economic environment expectations (e.g., unemployment rates))
	•  Estimated prepayments
	•  Servicing costs
	• Market liquidity
	For information regarding the valuation of loans measured at collateral value, see Note 14.
Held for investment credit card receivables	Valuations are based on discounted cash flows, which consider:	Level 3
	• Projected interest income and late fee revenue, servicing and credit costs, and loan repayment rates
	• Estimated life of receivables (based on projected loan payment rates)
	• Discount rate - based on cost of funding and expected return on receivables
	• Credit costs - allowance for loan losses is considered a reasonable proxy for the credit cost based on the short-term nature of credit card receivables
Trading loans - Conforming residential mortgage loans expected to be sold	Fair value is based upon observable prices for mortgage-backed securities with similar collateral and incorporates adjustments to these prices to account for differences between the securities and the value of the underlying loans, which include credit characteristics, portfolio composition, and liquidity.	Predominantly level 2

Product/instrument	Valuation methodology, inputs and assumptions	Classifications in the valuation hierarchy
Securities	Quoted market prices are used where available.	Level 1
	In the absence of quoted market prices, securities are valued based on:	Level 2 or 3
	• Observable market prices for similar securities
	•  Relevant broker quotes
	•  Discounted cash flows
	In addition, the following inputs to discounted cash flows are used for the following products:
	Mortgage- and asset-backed securities specific inputs:
	•  Collateral characteristics
	• Deal-specific payment and loss allocations
	• Current market assumptions related to yield, prepayment speed, conditional default rates and loss severity
	Collateralized loan obligations (“CLOs”), specific inputs:
	•  Collateral characteristics
	•  Deal-specific payment and loss allocations
	•  Expected prepayment speed, conditional default rates, loss severity
	•  Credit spreads
	• Credit rating data
Physical commodities	Valued using observable market prices or data	Predominantly Level 1 and 2
Derivatives	Exchange-traded derivatives that are actively traded and valued using the exchange price, and over-the-counter contracts where quoted prices are available in an active market.	Level 1
	Derivatives that are valued using models such as the Black-Scholes option pricing model, simulation models, or a combination of models, that use observable or unobservable valuation inputs (e.g., plain vanilla options and interest rate and credit default swaps). Inputs include:	Level 2 or 3
	•  Contractual terms including the period to maturity
	•  Readily observable parameters including interest rates and volatility
	•  Credit quality of the counterparty and of the Firm
	•  Market funding levels
	•  Correlation levels
	In addition, the following specific inputs are used for the following derivatives that are valued based on models with significant unobservable inputs:
	Structured credit derivatives specific inputs include:
	•  CDS spreads and recovery rates
	•  Credit correlation between the underlying debt instruments (levels are modeled on a transaction basis and calibrated to liquid benchmark tranche indices)
	•  Actual transactions, where available, are used to regularly recalibrate unobservable parameters
	Certain long-dated equity option specific inputs include:
	•  Long-dated equity volatilities
	Certain interest rate and foreign exchange (“FX”) exotic options specific inputs include:
	•  Interest rate correlation
	•  Interest rate spread volatility
	•  Foreign exchange correlation
	•  Correlation between interest rates and foreign exchange rates
	•  Parameters describing the evolution of underlying interest rates
	Certain commodity derivatives specific inputs include:
	•  Commodity volatility
	• Forward commodity price
	Additionally, adjustments are made to reflect counterparty credit quality (credit valuation adjustments or “CVA”), the Firm’s own creditworthiness (debit valuation adjustments or “DVA”), and funding valuation adjustment (“FVA”) to incorporate the impact of funding. See pages 196–197 of this Note.

Product/instrument	Valuation methodology, inputs and assumptions	Classification in the valuation hierarchy
Mortgage servicing rights (“MSRs”)	See Mortgage servicing rights in Note 17.	Level 3
Private equity direct investments	Private equity direct investments	Level 2 or 3
	Fair value is estimated using all available information and considering the range of potential inputs, including:
	•  Transaction prices
	•  Trading multiples of comparable public companies
	• Operating performance of the underlying portfolio company
	•  Additional available inputs relevant to the investment
	•  Adjustments as required, since comparable public companies are not identical to the company being valued, and for company-specific issues and lack of liquidity
	Public investments held in the Private Equity portfolio	Level 1 or 2
	•  Valued using observable market prices less adjustments for relevant restrictions, where applicable
Fund investments (i.e., mutual/collective investment funds, private equity funds, hedge funds, and real estate funds)	Net asset value (“NAV”)
	•  NAV is validated by sufficient level of observable activity (i.e., purchases and sales)	Level 1
	•  Adjustments to the NAV as required, for restrictions on redemption (e.g., lock up periods or withdrawal limitations) or where observable activity is limited	Level 2 or 3
Beneficial interests issued by consolidated VIEs	Valued using observable market information, where available	Level 2 or 3
	In the absence of observable market information, valuations are based on the fair value of the underlying assets held by the VIE
Long-term debt, not carried at fair value	Valuations are based on discounted cash flows, which consider:	Predominantly level 2
	•   Market rates for respective maturity
	• The Firm’s own creditworthiness (DVA). See pages 196-197 of this Note.
Structured notes (included in deposits, other borrowed funds and long-term debt)	• Valuations are based on discounted cash flow analyses that consider the embedded derivative and the terms and payment structure of the note. • The embedded derivative features are considered using models such as the Black-Scholes option pricing model, simulation models, or a combination of models that use observable or unobservable valuation inputs, depending on the embedded derivative. The specific inputs used vary according to the nature of the embedded derivative features, as described in the discussion above regarding derivative valuation. Adjustments are then made to this base valuation to reflect the Firm’s own creditworthiness (DVA) and to incorporate the impact of funding (FVA). See pages 196–197 of this Note.	Level 2 or 3

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 December 31, 2014 and 2013, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy
December 31, 2014 (in millions)	Level 1		Level 2			Level 3			Derivative netting adjustments			Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	28,585		$	—		$	—		$	28,585
Securities borrowed	—		992			—			—			992
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	14		31,904			922			—			32,840
Residential – nonagency	—		1,381			663			—			2,044
Commercial – nonagency	—		927			306			—			1,233
Total mortgage-backed securities	14		34,212			1,891			—			36,117
U.S. Treasury and government agencies(a)	17,816		8,460			—			—			26,276
Obligations of U.S. states and municipalities	—		9,298			1,273			—			10,571
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,429			—			—			1,429
Non-U.S. government debt securities	25,854		27,294			302			—			53,450
Corporate debt securities	—		28,099			2,989			—			31,088
Loans(b)	—		23,080			13,287			—			36,367
Asset-backed securities	—		3,088			1,264			—			4,352
Total debt instruments	43,684		134,960			21,006			—			199,650
Equity securities	104,890		748			431			—			106,069
Physical commodities(c)	2,739		1,741			2			—			4,482
Other	—		8,762			1,050			—			9,812
Total debt and equity instruments(d)	151,313		146,211			22,489			—			320,013
Derivative receivables:
Interest rate	473		951,901			4,149			(922,798		)	33,725
Credit	—		73,853			2,989			(75,004		)	1,838
Foreign exchange	758		205,887			2,276			(187,668		)	21,253
Equity	—		44,240			2,552			(38,615		)	8,177
Commodity	247		42,807			599			(29,671		)	13,982
Total derivative receivables(e)	1,478		1,318,688			12,565			(1,253,756		)	78,975
Total trading assets	152,791		1,464,899			35,054			(1,253,756		)	398,988
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		65,319			—			—			65,319
Residential – nonagency	—		50,865			30			—			50,895
Commercial – nonagency	—		21,009			99			—			21,108
Total mortgage-backed securities	—		137,193			129			—			137,322
U.S. Treasury and government agencies(a)	13,591		54			—			—			13,645
Obligations of U.S. states and municipalities	—		30,068			—			—			30,068
Certificates of deposit	—		1,103			—			—			1,103
Non-U.S. government debt securities	24,074		28,669			—			—			52,743
Corporate debt securities	—		18,532			—			—			18,532
Asset-backed securities:
Collateralized loan obligations	—		29,402			792			—			30,194
Other	—		12,499			116			—			12,615
Equity securities	2,530		—			—			—			2,530
Total available-for-sale securities	40,195		257,520			1,037			—			298,752
Loans	—		70			2,541			—			2,611
Mortgage servicing rights	—		—			7,436			—			7,436
Other assets:
Private equity investments(f)	648		2,624			2,475			—			5,747
All other	4,018		230			2,371			—			6,619
Total other assets	4,666		2,854			4,846			—			12,366
Total assets measured at fair value on a recurring basis	$	197,652	$	1,754,920	(g)	$	50,914	(g)	$	(1,253,756	)	$	749,730
Deposits	$	—	$	5,948		$	2,859		$	—		$	8,807
Federal funds purchased and securities loaned or sold under repurchase agreements	—		2,979			—			—			2,979
Other borrowed funds	—		13,286			1,453			—			14,739
Trading liabilities:
Debt and equity instruments(d)	62,914		18,713			72			—			81,699
Derivative payables:
Interest rate	499		920,623			3,523			(906,900		)	17,745
Credit	—		73,095			2,800			(74,302		)	1,593
Foreign exchange	746		214,800			2,802			(195,378		)	22,970
Equity	—		46,228			4,337			(38,825		)	11,740
Commodity	141		44,318			1,164			(28,555		)	17,068
Total derivative payables(e)	1,386		1,299,064			14,626			(1,243,960		)	71,116
Total trading liabilities	64,300		1,317,777			14,698			(1,243,960		)	152,815
Accounts payable and other liabilities	—		—			36			—			36
Beneficial interests issued by consolidated VIEs	—		1,016			1,146			—			2,162
Long-term debt	—		18,349			11,877			—			30,226
Total liabilities measured at fair value on a recurring basis	$	64,300	$	1,359,355		$	32,069		$	(1,243,960	)	$	211,764

	Fair value hierarchy
December 31, 2013 (in millions)	Level 1		Level 2			Level 3			Derivative netting adjustments			Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	25,135		$	—		$	—		$	25,135
Securities borrowed	—		3,739			—			—			3,739
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	4		25,582			1,005			—			26,591
Residential – nonagency	—		1,749			726			—			2,475
Commercial – nonagency	—		871			432			—			1,303
Total mortgage-backed securities	4		28,202			2,163			—			30,369
U.S. Treasury and government agencies(a)	14,933		10,547			—			—			25,480
Obligations of U.S. states and municipalities	—		6,538			1,382			—			7,920
Certificates of deposit, bankers’ acceptances and commercial paper	—		3,071			—			—			3,071
Non-U.S. government debt securities	25,762		22,379			143			—			48,284
Corporate debt securities(h)	—		24,802			5,920			—			30,722
Loans(b)	—		17,331			13,455			—			30,786
Asset-backed securities	—		3,647			1,272			—			4,919
Total debt instruments	40,699		116,517			24,335			—			181,551
Equity securities	107,667		954			885			—			109,506
Physical commodities(c)	4,968		5,217			4			—			10,189
Other	—		5,659			2,000			—			7,659
Total debt and equity instruments(d)	153,334		128,347			27,224			—			308,905
Derivative receivables:
Interest rate	419		848,862			5,398			(828,897		)	25,782
Credit	—		79,754			3,766			(82,004		)	1,516
Foreign exchange	434		151,521			1,644			(136,809		)	16,790
Equity	—		45,892			7,039			(40,704		)	12,227
Commodity	320		34,696			722			(26,294		)	9,444
Total derivative receivables(e)	1,173		1,160,725			18,569			(1,114,708		)	65,759
Total trading assets	154,507		1,289,072			45,793			(1,114,708		)	374,664
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		77,815			—			—			77,815
Residential – nonagency	—		61,760			709			—			62,469
Commercial – nonagency	—		15,900			525			—			16,425
Total mortgage-backed securities	—		155,475			1,234			—			156,709
U.S. Treasury and government agencies(a)	21,091		298			—			—			21,389
Obligations of U.S. states and municipalities	—		29,461			—			—			29,461
Certificates of deposit	—		1,041			—			—			1,041
Non-U.S. government debt securities	25,648		30,600			—			—			56,248
Corporate debt securities	—		21,512			—			—			21,512
Asset-backed securities:
Collateralized loan obligations	—		27,409			821			—			28,230
Other	—		11,978			267			—			12,245
Equity securities	3,142		—			—			—			3,142
Total available-for-sale securities	49,881		277,774			2,322			—			329,977
Loans	—		80			1,931			—			2,011
Mortgage servicing rights	—		—			9,614			—			9,614
Other assets:
Private equity investments(f)	606		429			6,474			—			7,509
All other	4,213		289			3,176			—			7,678
Total other assets	4,819		718			9,650			—			15,187
Total assets measured at fair value on a recurring basis	$	209,207	$	1,596,518	(g)	$	69,310	(g)	$	(1,114,708	)	$	760,327
Deposits	$	—	$	4,369		$	2,255		$	—		$	6,624
Federal funds purchased and securities loaned or sold under repurchase agreements	—		5,426			—			—			5,426
Other borrowed funds	—		11,232			2,074			—			13,306
Trading liabilities:
Debt and equity instruments(d)	61,262		19,055			113			—			80,430
Derivative payables:
Interest rate	321		822,014			3,019			(812,071		)	13,283
Credit	—		78,731			3,671			(80,121		)	2,281
Foreign exchange	443		156,838			2,844			(144,178		)	15,947
Equity	—		46,552			8,102			(39,935		)	14,719
Commodity	398		36,609			607			(26,530		)	11,084
Total derivative payables(e)	1,162		1,140,744			18,243			(1,102,835		)	57,314
Total trading liabilities	62,424		1,159,799			18,356			(1,102,835		)	137,744
Accounts payable and other liabilities	—		—			25			—			25
Beneficial interests issued by consolidated VIEs	—		756			1,240			—			1,996
Long-term debt	—		18,870			10,008			—			28,878
Total liabilities measured at fair value on a recurring basis	$	62,424	$	1,200,452		$	33,958		$	(1,102,835	)	$	193,999

(a) At December 31, 2014 and 2013, included total U.S. government-sponsored enterprise obligations of $84.1 billion and $91.5 billion, respectively, which were predominantly mortgage-related.

(b) At December 31, 2014 and 2013, included within trading loans were $17.0 billion and $14.8 billion, respectively, of residential first-lien mortgages, and $5.8 billion and $2.1 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $7.7 billion and $6.0 billion, respectively, and reverse mortgages of $3.4 billion and $3.6 billion, respectively.

(c) Physical commodities inventories are generally accounted for at the lower of cost or market. “Market” is a term defined in U.S. GAAP as not exceeding fair value less costs to sell (“transaction costs”). Transaction costs for the Firm’s physical commodities inventories are either not applicable or immaterial to the value of the inventory. Therefore, market 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 6. 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 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. 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 $2.5 billion and $7.6 billion at December 31, 2014 and 2013, respectively; this is exclusive of the netting benefit associated with cash collateral, which would further reduce the level 3 balances.

(f) Private equity instruments represent investments within the Corporate line of business. The cost basis of the private equity investment portfolio totaled $6.0 billion and $8.0 billion at December 31, 2014 and 2013, respectively.

(g) Includes investments in hedge funds, private equity funds, real estate and other funds that do not have readily determinable fair values. The Firm uses net asset value per share when measuring the fair value of these investments. At December 31, 2014 and 2013, the fair values of these investments were $1.8 billion and $3.2 billion, respectively, of which $337 million and $899 million, respectively were classified in level 2, and $1.4 billion and $2.3 billion, respectively, in level 3.

Fair value inputs, assets and liabilities, quantitative information

Level 3 inputs(a)
December 31, 2014 (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	$	8,917		Discounted cash flows	Yield	1%			-	25%	5%
					Prepayment speed	0%			-	18%	6%
					Conditional default rate	0%			-	100%	22%
					Loss severity	0%			-	90%	27%
Commercial mortgage-backed securities and loans(b)	5,319			Discounted cash flows	Yield	2%			-	32%	5%
					Conditional default rate	0%			-	100%	8%
					Loss severity	0%			-	50%	29%
Corporate debt securities, obligations of U.S. states and municipalities, and other(c)	6,387			Discounted cash flows	Credit spread	53 bps			-	270 bps	140 bps
					Yield	1%			-	22%	7%
	6,629			Market comparables	Price	$	—		-	$131	$90
Net interest rate derivatives	626			Option pricing	Interest rate correlation	(75		)%	-	95%
					Interest rate spread volatility	0%			-	60%
Net credit derivatives(b)(c)	189			Discounted cash flows	Credit correlation	47%			-	90%
Net foreign exchange derivatives	(526		)	Option pricing	Foreign exchange correlation	0%			-	60%
Net equity derivatives	(1,785		)	Option pricing	Equity volatility	15%			-	65%
Net commodity derivatives	(565		)	Discounted cash flows	Forward commodity price	$	50		-	$90 per barrel
Collateralized loan obligations	792			Discounted cash flows	Credit spread	260 bps			-	675 bps	279 bps
					Prepayment speed	20%					20%
					Conditional default rate	2%					2%
					Loss severity	40%					40%
	393			Market comparables	Price	$	—		-	$146	$79
Mortgage servicing rights	7,436			Discounted cash flows	Refer to Note 17
Private equity direct investments	2,054			Market comparables	EBITDA multiple	6x			-	12.4x	9.1x
					Liquidity adjustment	0%			-	15%	7%
Private equity fund investments	421			Net asset value	Net asset value(e)
Long-term debt, other borrowed funds, and deposits(d)	15,069			Option pricing	Interest rate correlation	(75		)%	-	95%
					Interest rate spread volatility	0%			-	60%
					Foreign exchange correlation	0%			-	60%
					Equity correlation	(55		)%	-	85%
	1,120			Discounted cash flows	Credit correlation	47%			-	90%

(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 $491 million of credit derivative receivables and $433 million of credit derivative payables with underlying commercial mortgage risk have been included in the inputs and ranges provided for commercial mortgage-backed securities and loans.

(c) The unobservable inputs and associated input ranges for approximately $795 million of credit derivative receivables and $715 million of credit derivative payables with underlying asset-backed securities risk have been included in the inputs and ranges provided for corporate debt securities, obligations of U.S. states and municipalities and other.

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

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

Changes in level 3 recurring fair value measurements

The following tables include a rollforward of the Consolidated balance sheets amounts (including changes in fair value) for financial instruments classified by the Firm within level 3 of the fair value hierarchy for the years ended December 31, 2014, 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
Year ended December 31, 2014 (in millions)	Fair value at January 1, 2014			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at Dec. 31, 2014			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2014
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	1,005		$	(97	)		$	351		$	(186	)			$	(121	)	$	(30	)	$	922		$	(92	)
Residential – nonagency	726			66				827			(761		)			(41		)	(154		)	663			(15		)
Commercial – nonagency	432			17				980			(914		)			(60		)	(149		)	306			(12		)
Total mortgage-backed securities	2,163			(14		)		2,158			(1,861		)			(222		)	(333		)	1,891			(119		)
Obligations of U.S. states and municipalities	1,382			90				298			(358		)			(139		)	—			1,273			(27		)
Non-U.S. government debt securities	143			24				719			(617		)			(3		)	36			302			10
Corporate debt securities	5,920			210				5,854			(3,372		)			(4,531		)	(1,092		)	2,989			379
Loans	13,455			387				13,551			(7,917		)			(4,623		)	(1,566		)	13,287			123
Asset-backed securities	1,272			19				2,240			(2,126		)			(283		)	142			1,264			(30		)
Total debt instruments	24,335			716				24,820			(16,251		)			(9,801		)	(2,813		)	21,006			336
Equity securities	885			112				248			(272		)			(290		)	(252		)	431			46
Physical commodities	4			(1		)		—			—					(1		)	—			2			—
Other	2,000			239				1,426			(276		)			(201		)	(2,138		)	1,050			329
Total trading assets – debt and equity instruments	27,224			1,066			(c)	26,494			(16,799		)			(10,293		)	(5,203		)	22,489			711			(c)
Net derivative receivables:(a)
Interest rate	2,379			184				198			(256		)			(1,771		)	(108		)	626			(853		)
Credit	95			(149		)		272			(47		)			92			(74		)	189			(107		)
Foreign exchange	(1,200		)	(137		)		139			(27		)			668			31			(526		)	(62		)
Equity	(1,063		)	154				2,044			(2,863		)			10			(67		)	(1,785		)	583
Commodity	115			(465		)		1			(113		)			(109		)	6			(565		)	(186		)
Total net derivative receivables	326			(413		)	(c)	2,654			(3,306		)			(1,110		)	(212		)	(2,061		)	(625		)	(c)
Available-for-sale securities:
Asset-backed securities	1,088			(41		)		275			(2		)			(101		)	(311		)	908			(40		)
Other	1,234			(19		)		122			—					(223		)	(985		)	129			(2		)
Total available-for-sale securities	2,322			(60		)	(d)	397			(2		)			(324		)	(1,296		)	1,037			(42		)	(d)
Loans	1,931			(254		)	(c)	3,258			(845		)			(1,549		)	—			2,541			(234		)	(c)
Mortgage servicing rights	9,614			(1,826		)	(e)	768			(209		)			(911		)	—			7,436			(1,826		)	(e)
Other assets:
Private equity investments	6,474			443			(c)	164			(1,967		)			(360		)	(2,279		)	2,475			26			(c)
All other	3,176			33			(f)	190			(451		)			(577		)	—			2,371			11			(f)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2014 (in millions)	Fair value at January 1, 2014			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at Dec. 31, 2014			Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2014
								Purchases(g)			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	2,255		$	149		(c)	$	—		$	—		$	1,578	$	(197	)	$	(926	)	$	2,859		$	130		(c)
Other borrowed funds	2,074			(596		)	(c)	—			—			5,377		(6,127		)	725			1,453			(415		)	(c)
Trading liabilities – debt and equity instruments	113			(5		)	(c)	(305		)	323			—		(5		)	(49		)	72			2			(c)
Accounts payable and other liabilities	25			27			(f)	—			—			—		(16		)	—			36			—			(f)
Beneficial interests issued by consolidated VIEs	1,240			(4		)	(c)	—			—			775		(763		)	(102		)	1,146			(22		)	(c)
Long-term debt	10,008			(40		)	(c)	—			—			7,421		(5,231		)	(281		)	11,877			(9		)	(c)

	Fair value measurements using significant unobservable inputs
Year ended December 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 Dec. 31, 2013			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2013
								Purchases(g)				Sales						Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	498		$	169			$	819			$	(381	)				$	(100	)	$	—		$	1,005		$	200
Residential – nonagency	663			407				780				(1,028		)				(91		)	(5		)	726			205
Commercial – nonagency	1,207			114				841				(1,522		)				(208		)	—			432			(4		)
Total mortgage-backed securities	2,368			690				2,440				(2,931		)				(399		)	(5		)	2,163			401
Obligations of U.S. states and municipalities	1,436			71				472				(251		)				(346		)	—			1,382			18
Non-U.S. government debt securities	67			4				1,449				(1,479		)				(8		)	110			143			(1		)
Corporate debt securities	5,308			103				7,602				(5,975		)				(1,882		)	764			5,920			466
Loans	10,787			665				10,411				(7,431		)				(685		)	(292		)	13,455			315
Asset-backed securities	3,696			191				1,912				(2,379		)				(292		)	(1,856		)	1,272			105
Total debt instruments	23,662			1,724				24,286				(20,446		)				(3,612		)	(1,279		)	24,335			1,304
Equity securities	1,114			(41		)		328				(266		)				(135		)	(115		)	885			46
Physical Commodities	—			(4		)		—				(8		)				—			16			4			(4		)
Other	863			558				659				(95		)				(120		)	135			2,000			1,074
Total trading assets – debt and equity instruments	25,639			2,237			(c)	25,273				(20,815		)				(3,867		)	(1,243		)	27,224			2,420			(c)
Net derivative receivables:(a)
Interest rate	3,322			1,358				344				(220		)				(2,391		)	(34		)	2,379			107
Credit	1,873			(1,697		)		115				(12		)				(357		)	173			95			(1,449		)
Foreign exchange	(1,750		)	(101		)		3				(4		)				683			(31		)	(1,200		)	(110		)
Equity	(1,806		)	2,528			(i)	1,305			(i)	(2,111		)	(i)			(1,353		)	374			(1,063		)	872
Commodity	254			816				105				(3		)				(1,107		)	50			115			410
Total net derivative receivables	1,893			2,904			(c)	1,872				(2,350		)				(4,525		)	532			326			(170		)	(c)
Available-for-sale securities:
Asset-backed securities	28,024			4				579				(57		)				(57		)	(27,405		)	1,088			4
Other	892			26				508				(216		)				(6		)	30			1,234			25
Total available-for-sale securities	28,916			30			(d)	1,087				(273		)				(63		)	(27,375		)	2,322			29			(d)
Loans	2,282			81			(c)	1,065				(191		)				(1,306		)	—			1,931			(21		)	(c)
Mortgage servicing rights	7,614			1,612			(e)	2,215				(725		)				(1,102		)	—			9,614			1,612			(e)
Other assets:
Private equity investments	7,181			645			(c)	673				(1,137		)				(687		)	(201		)	6,474			262			(c)
All other	4,258			98			(f)	272				(730		)				(722		)	—			3,176			53			(f)
	Fair value measurements using significant unobservable inputs
Year ended December 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 Dec. 31, 2013			Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2013
								Purchases(g)				Sales				Issuances		Settlements
Liabilities:(b)
Deposits	$	1,983		$	(82	)	(c)	$	—			$	—			$	1,248	$	(222	)	$	(672	)	$	2,255		$	(88	)	(c)
Other borrowed funds	1,619			(177		)	(c)	—				—				7,108		(6,845		)	369			2,074			291			(c)
Trading liabilities – debt and equity instruments	205			(83		)	(c)	(2,418		)		2,594				—		(54		)	(131		)	113			(100		)	(c)
Accounts payable and other liabilities	36			(2		)	(f)	—				—				—		(9		)	—			25			(2		)	(f)
Beneficial interests issued by consolidated VIEs	925			174			(c)	—				—				353		(212		)	—			1,240			167			(c)
Long-term debt	8,476			(435		)	(c)	—				—				6,830		(4,362		)	(501		)	10,008			(85		)	(c)

	Fair value measurements using significant unobservable inputs
Year ended December 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 Dec. 31, 2012			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2012
								Purchases(g)				Sales						Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	86		$	(44	)		$	575			$	(103	)				$	(16	)	$	—		$	498		$	(21	)
Residential – nonagency	796			151				417				(533		)				(145		)	(23		)	663			74
Commercial – nonagency	1,758			(159		)		287				(475		)				(104		)	(100		)	1,207			(145		)
Total mortgage-backed securities	2,640			(52		)		1,279				(1,111		)				(265		)	(123		)	2,368			(92		)
Obligations of U.S. states and municipalities	1,619			37				336				(552		)				(4		)	—			1,436			(15		)
Non-U.S. government debt securities	104			(6		)		661				(668		)				(24		)	—			67			(5		)
Corporate debt securities	6,373			187				8,391				(6,186		)				(3,045		)	(412		)	5,308			689
Loans	12,209			836				5,342				(3,269		)				(3,801		)	(530		)	10,787			411
Asset-backed securities	7,965			272				2,550				(6,468		)				(614		)	(9		)	3,696			184
Total debt instruments	30,910			1,274				18,559				(18,254		)				(7,753		)	(1,074		)	23,662			1,172
Equity securities	1,177			(209		)		460				(379		)				(12		)	77			1,114			(112		)
Other	880			186				68				(108		)				(163		)	—			863			180
Total trading assets – debt and equity instruments	32,967			1,251			(c)	19,087				(18,741		)				(7,928		)	(997		)	25,639			1,240			(c)
Net derivative receivables:(a)
Interest rate	3,561			6,930				406				(194		)				(7,071		)	(310		)	3,322			905
Credit	7,732			(4,487		)		124				(84		)				(1,416		)	4			1,873			(3,271		)
Foreign exchange	(1,263		)	(800		)		112				(184		)				436			(51		)	(1,750		)	(957		)
Equity	(3,105		)	160			(i)	1,279			(i)	(2,174		)	(i)			899			1,135			(1,806		)	580
Commodity	(687		)	(673		)		74				64						1,278			198			254			(160		)
Total net derivative receivables	6,238			1,130			(c)	1,995				(2,572		)				(5,874		)	976			1,893			(2,903		)	(c)
Available-for-sale securities:
Asset-backed securities	24,958			135				9,280				(3,361		)				(3,104		)	116			28,024			118
Other	528			55				667				(113		)				(245		)	—			892			59
Total available-for-sale securities	25,486			190			(d)	9,947				(3,474		)				(3,349		)	116			28,916			177			(d)
Loans	1,647			695			(c)	1,536				(22		)				(1,718		)	144			2,282			12			(c)
Mortgage servicing rights	7,223			(635		)	(e)	2,833				(579		)				(1,228		)	—			7,614			(635		)	(e)
Other assets:
Private equity investments	6,751			420			(c)	1,545				(512		)				(977		)	(46		)	7,181			333			(c)
All other	4,374			(195		)	(f)	818				(238		)				(501		)	—			4,258			(200		)	(f)
	Fair value measurements using significant unobservable inputs
Year ended December 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 Dec. 31, 2012			Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2012
								Purchases(g)				Sales				Issuances		Settlements
Liabilities:(b)
Deposits	$	1,418		$	212		(c)	$	—			$	—			$	1,236	$	(380	)	$	(503	)	$	1,983		$	185		(c)
Other borrowed funds	1,507			148			(c)	—				—				1,646		(1,774		)	92			1,619			72			(c)
Trading liabilities – debt and equity instruments	211			(16		)	(c)	(2,875		)		2,940				—		(50		)	(5		)	205			(12		)	(c)
Accounts payable and other liabilities	51			1			(f)	—				—				—		(16		)	—			36			1			(f)
Beneficial interests issued by consolidated VIEs	791			181			(c)	—				—				221		(268		)	—			925			143			(c)
Long-term debt	10,310			328			(c)	—				—				3,662		(4,511		)	(1,313		)	8,476			(101		)	(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 15%, 18% and 18% at December 31, 2014, 2013 and 2012, respectively.

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

(d) Realized gains/(losses) on 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 $(43) million, $17 million, and $145 million for the years ended December 31, 2014, 2013 and 2012, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $(16) million, $13 million and $45 million for the years ended December 31, 2014, 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 quarterly reporting period in which they occur.

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

Credit adjustments

The following table provides the credit and funding adjustments, excluding the effect of any associated hedging activities, reflected within the Consolidated balance sheets as of the dates indicated.

December 31, (in millions)	2014			2013
Derivative receivables balance(a)	$	78,975		$	65,759
Derivative payables balance(a)	71,116			57,314
Derivatives CVA(b)	(2,674		)	(2,352		)
Derivatives DVA and FVA(b)(c)	(380		)	(322		)
Structured notes balance (a)(d)	53,772			48,808
Structured notes DVA and FVA(b)(e)	1,152			952

(a) Balances are presented net of applicable CVA and DVA/FVA.

(b) Positive CVA and DVA/FVA represent amounts that increased receivable balances or decreased payable balances; negative CVA and DVA/FVA represent amounts that decreased receivable balances or increased payable balances.

(c) At December 31, 2014 and 2013, included derivatives DVA of $714 million and $715 million, respectively.

(d) Structured notes are predominantly financial instruments containing embedded derivatives that are measured at fair value based on the Firm’s election under the fair value option. At December 31, 2014 and 2013, included $943 million and $1.1 billion, respectively, of financial instruments with no embedded derivative for which the fair value option has also been elected. For further information on these elections, see Note 4.

(e) At December 31, 2014 and 2013, included structured notes DVA of $1.4 billion and $1.4 billion, respectively.

Impact of credit adjustments on earnings

The following table provides the impact of credit and funding adjustments on Principal transactions revenue in the respective periods, excluding the effect of any associated hedging activities.

Year ended December 31, (in millions)	2014			2013			2012
Credit adjustments:
Derivatives CVA	$	(322	)	$	1,886		$	2,698
Derivatives DVA and FVA(a)	(58		)	(1,152		)	(590		)
Structured notes DVA and FVA(b)	200			(760		)	(340		)

(a) Included derivatives DVA of $(1) million, $(115) million and $(590) million for the years ended December 31, 2014, 2013 and 2012, respectively.

(b) Included structured notes DVA of $20 million, $(337) million and $(340) million for the years ended December 31, 2014, 2013 and 2012, respectively.

Carrying value and estimated fair value of financial assets and liabilities

The following table presents by fair value hierarchy classification the carrying values and estimated fair values at December 31, 2014 and 2013, of financial assets and liabilities, excluding financial instruments which are carried at fair value on a recurring basis. 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 pages 181–184 of this Note.

	December 31, 2014										December 31, 2013
			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	$	27.8	$	27.8	$	—	$	—	$	27.8	$	39.8	$	39.8	$	—	$	—	$	39.8
Deposits with banks	484.5		480.4		4.1		—		484.5		316.1		309.7		6.4		—		316.1
Accrued interest and accounts receivable	70.1		—		70.0		0.1		70.1		65.2		—		64.9		0.3		65.2
Federal funds sold and securities purchased under resale agreements	187.2		—		187.2		—		187.2		223.0		—		223.0		—		223.0
Securities borrowed	109.4		—		109.4		—		109.4		107.7		—		107.7		—		107.7
Securities, held-to-maturity(a)	49.3		—		51.2		—		51.2		24.0		—		23.7		—		23.7
Loans, net of allowance for loan losses(b)	740.5		—		21.8		723.1		744.9		720.1		—		23.0		697.2		720.2
Other(c)	58.1		—		55.7		7.1		62.8		58.2		—		54.5		7.4		61.9
Financial liabilities
Deposits	$	1,354.6	$	—	$	1,353.6	$	1.2	$	1,354.8	$	1,281.1	$	—	$	1,280.3	$	1.2	$	1,281.5
Federal funds purchased and securities loaned or sold under repurchase agreements	189.1		—		189.1		—		189.1		175.7		—		175.7		—		175.7
Commercial paper	66.3		—		66.3		—		66.3		57.8		—		57.8		—		57.8
Other borrowed funds	15.5				15.5		—		15.5		14.7		—		14.7		—		14.7
Accounts payable and other liabilities	176.7		—		173.7		2.8		176.5		160.2		—		158.2		1.8		160.0
Beneficial interests issued by consolidated VIEs	50.2		—		48.2		2.0		50.2		47.6		—		44.3		3.2		47.5
Long-term debt and junior subordinated deferrable interest debentures(d)	246.6		—		251.6		3.8		255.4		239.0		—		240.8		6.0		246.8

(a) Carrying value includes unamortized discount or premium.

(b) Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of the Firm’s methodologies for estimating the fair value of loans and lending-related commitments, see Valuation hierarchy on pages 181–184.

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

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

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

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.

	December 31, 2014										December 31, 2013
			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	$	0.6	$	—	$	—	$	1.6	$	1.6	$	0.7	$	—	$	—	$	1.0	$	1.0

(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.

Year ended December 31, (in millions)	2014		2013		2012
Trading assets – debt and equity instruments	$	327,259	$	340,449	$	349,337
Trading assets – derivative receivables	67,123		72,629		85,744
Trading liabilities – debt and equity instruments(a)	84,707		77,706		69,001
Trading liabilities – derivative payables	54,758		64,553		76,162

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