Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2015

Fair Value Disclosures [Abstract]

Schedule of fair value methodologies

The following table describes the valuation methodologies generally used by the Firm to measure its 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:
	• Credit spreads derived from the cost of credit default swaps (“CDS”); or benchmark credit curves developed by the Firm, by industry and credit rating
	• Prepayment speed
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 CDS; or benchmark credit curves developed by the Firm, by industry and credit rating
	• 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
	• Expected lifetime credit losses -considering expected and current default rates, and loss severity
	•   Prepayment speed
	•   Discount rates
	•   Servicing costs
	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
	• Credit costs — allowance for loan losses is considered a reasonable proxy for the credit cost
	• Projected interest income, late-fee revenue and loan repayment rates
	• Discount rates
	• Servicing costs
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
Investment and trading 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.	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 page 200 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(a)
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 page 200 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 page 200 of this Note.	Level 2 or 3

(a) Excludes certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient.

Assets and liabilities measured at fair value on a recurring basis

The following table presents the asset and liabilities reported at fair value as ofDecember 31, 2015 and 2014, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy
December 31, 2015 (in millions)	Level 1		Level 2			Level 3			Derivative netting adjustments			Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	23,141		$	—		$	—		$	23,141
Securities borrowed	—		395			—			—			395
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	6		31,815			715			—			32,536
Residential – nonagency	—		1,299			194			—			1,493
Commercial – nonagency	—		1,080			115			—			1,195
Total mortgage-backed securities	6		34,194			1,024			—			35,224
U.S. Treasury and government agencies(a)	12,036		6,985			—			—			19,021
Obligations of U.S. states and municipalities	—		6,986			651			—			7,637
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,042			—			—			1,042
Non-U.S. government debt securities	27,974		25,064			74			—			53,112
Corporate debt securities	—		22,807			736			—			23,543
Loans(b)	—		22,211			6,604			—			28,815
Asset-backed securities	—		2,392			1,832			—			4,224
Total debt instruments	40,016		121,681			10,921			—			172,618
Equity securities	94,059		606			265			—			94,930
Physical commodities(c)	3,593		1,064			—			—			4,657
Other	—		11,152			744			—			11,896
Total debt and equity instruments(d)	137,668		134,503			11,930			—			284,101
Derivative receivables:
Interest rate	354		666,491			2,766			(643,248		)	26,363
Credit	—		48,850			2,618			(50,045		)	1,423
Foreign exchange	734		177,525			1,616			(162,698		)	17,177
Equity	—		35,150			709			(30,330		)	5,529
Commodity	108		24,720			237			(15,880		)	9,185
Total derivative receivables(e)	1,196		952,736			7,946			(902,201		)	59,677
Total trading assets	138,864		1,087,239			19,876			(902,201		)	343,778
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		55,066			—			—			55,066
Residential – nonagency	—		27,618			1			—			27,619
Commercial – nonagency	—		22,897			—			—			22,897
Total mortgage-backed securities	—		105,581			1			—			105,582
U.S. Treasury and government agencies(a)	10,998		38			—			—			11,036
Obligations of U.S. states and municipalities	—		33,550			—			—			33,550
Certificates of deposit	—		283			—			—			283
Non-U.S. government debt securities	23,199		13,477			—			—			36,676
Corporate debt securities	—		12,436			—			—			12,436
Asset-backed securities:
Collateralized loan obligations	—		30,248			759			—			31,007
Other	—		9,033			64			—			9,097
Equity securities	2,087		—			—			—			2,087
Total available-for-sale securities	36,284		204,646			824			—			241,754
Loans	—		1,343			1,518			—			2,861
Mortgage servicing rights	—		—			6,608			—			6,608
Other assets:
Private equity investments(f)	102		101			1,657			—			1,860
All other	3,815		28			744			—			4,587
Total other assets	3,917		129			2,401			—			6,447
Total assets measured at fair value on a recurring basis	$	179,065	$	1,316,893	(g)	$	31,227	(g)	$	(902,201	)	$	624,984
Deposits	$	—	$	9,566		$	2,950		$	—		$	12,516
Federal funds purchased and securities loaned or sold under repurchase agreements	—		3,526			—			—			3,526
Other borrowed funds	—		9,272			639			—			9,911
Trading liabilities:
Debt and equity instruments(d)	53,845		20,199			63			—			74,107
Derivative payables:
Interest rate	216		633,060			1,890			(624,945		)	10,221
Credit	—		48,460			2,069			(48,988		)	1,541
Foreign exchange	669		187,890			2,341			(171,131		)	19,769
Equity	—		36,440			2,223			(29,480		)	9,183
Commodity	52		26,430			1,172			(15,578		)	12,076
Total derivative payables(e)	937		932,280			9,695			(890,122		)	52,790
Total trading liabilities	54,782		952,479			9,758			(890,122		)	126,897
Accounts payable and other liabilities	4,382		—			19			—			4,401
Beneficial interests issued by consolidated VIEs	—		238			549			—			787
Long-term debt	—		21,452			11,613			—			33,065
Total liabilities measured at fair value on a recurring basis	$	59,164	$	996,533		$	25,528		$	(890,122	)	$	191,103

	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		624			431		—				105,945
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		146,087			22,489		—				319,889
Derivative receivables:
Interest rate	473		945,635		(g)	4,149		(916,532		)	(g)	33,725
Credit	—		73,853			2,989		(75,004		)		1,838
Foreign exchange	758		212,153		(g)	2,276		(193,934		)	(g)	21,253
Equity	—		39,937		(g)	2,552		(34,312		)	(g)	8,177
Commodity	247		42,807			599		(29,671		)		13,982
Total derivative receivables(e)	1,478		1,314,385		(g)	12,565		(1,249,453		)	(g)	78,975
Total trading assets	152,791		1,460,472		(g)	35,054		(1,249,453		)	(g)	398,864
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			2,225		—				5,497
All other	4,018		17			959		—				4,994
Total other assets	4,666		2,641			3,184		—				10,491
Total assets measured at fair value on a recurring basis	$	197,652	$	1,750,280	(g)	$	49,252	$	(1,249,453	)	(g)	$	747,731
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		914,357		(g)	3,523		(900,634		)	(g)	17,745
Credit	—		73,095			2,800		(74,302		)		1,593
Foreign exchange	746		221,066		(g)	2,802		(201,644		)	(g)	22,970
Equity	—		41,925		(g)	4,337		(34,522		)	(g)	11,740
Commodity	141		44,318			1,164		(28,555		)		17,068
Total derivative payables(e)	1,386		1,294,761		(g)	14,626		(1,239,657		)	(g)	71,116
Total trading liabilities	64,300		1,313,474		(g)	14,698		(1,239,657		)	(g)	152,815
Accounts payable and other liabilities (g)	4,129		—			26		—				4,155
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	$	68,429	$	1,355,052	(g)	$	32,059	$	(1,239,657	)	(g)	$	215,883

Note: Effective April 1, 2015, the Firm adopted new accounting guidance for investments in certain entities that calculate net asset value per share (or its equivalent). As a result of the adoption of this new guidance, certain investments that are measured at fair value using the net asset value per share (or its equivalent) as a practical expedient are not required to be classified in the fair value hierarchy. At December 31, 2015 and 2014, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $1.2 billion and $1.5 billion, respectively, of which $337 million and $1.2 billion had been previously classified in level 2 and level 3, respectively, at December 31, 2014. Included on the Firm’s balance sheet at December 31, 2015 and 2014, were trading assets of $61 million and $124 million, respectively, and other assets of $1.2 billion and $1.4 billion, respectively. The guidance was required to be applied retrospectively, and accordingly, prior period amounts have been revised to conform with the current period presentation.

(a) At December 31, 2015 and 2014, included total U.S. government-sponsored enterprise obligations of $67.0 billion and $84.1 billion, respectively, which were predominantly mortgage-related.

(b) At December 31, 2015 and 2014, included within trading loans were $11.8 billion and $17.0 billion, respectively, of residential first-lien mortgages, and $4.3 billion and $5.8 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 $5.3 billion and $7.7 billion, respectively, and reverse mortgages of $2.5 billion and $3.4 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. 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 $546 million and $2.5 billion at December 31, 2015 and 2014, 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 $3.5 billion and $6.0 billion at December 31, 2015 and 2014, respectively.

(g) Certain prior period amounts (including the corresponding fair value parenthetical disclosure for accounts payable and other liabilities on the Consolidated balance sheets) were revised to conform with the current period presentation.

Fair value inputs, assets and liabilities, quantitative information

Level 3 inputs(a)
December 31, 2015 (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	$	5,212		Discounted cash flows	Yield	3%			-	26%	6%
					Prepayment speed	0%			-	20%	6%
					Conditional default rate	0%			-	33%	2%
					Loss severity	0%			-	100%	28%
Commercial mortgage-backed securities and loans(b)	2,844			Discounted cash flows	Yield	1%			-	25%	6%
					Conditional default rate	0%			-	91%	29%
					Loss severity	40%					40%
Corporate debt securities, obligations of U.S. states and municipalities, and other(c)	3,277			Discounted cash flows	Credit spread	60 bps			-	225 bps	146 bps
					Yield	1%			-	20%	5%
	2,740			Market comparables	Price	$	—		-	$168	$89
Net interest rate derivatives	876			Option pricing	Interest rate correlation	(52		)%	-	99%
					Interest rate spread volatility	3%			-	38%
Net credit derivatives(b)(c)	549			Discounted cash flows	Credit correlation	35%			-	90%
Net foreign exchange derivatives	(725		)	Option pricing	Foreign exchange correlation	0%			-	60%
Net equity derivatives	(1,514		)	Option pricing	Equity volatility	20%			-	65%
Net commodity derivatives	(935		)	Discounted cash flows	Forward commodity price	$	22		-	$46 per barrel
Collateralized loan obligations	759			Discounted cash flows	Credit spread	354 bps			-	550 bps	396 bps
					Prepayment speed	20%					20%
					Conditional default rate	2%					2%
					Loss severity	40%					40%
	180			Market comparables	Price	$	—		-	$99	$69
Mortgage servicing rights	6,608			Discounted cash flows	Refer to Note 17
Private equity investments	1,657			Market comparables	EBITDA multiple	7.2x			-	10.4x	8.5x
					Liquidity adjustment	0%			-	13%	8%
Long-term debt, other borrowed funds, and deposits(d)	14,707			Option pricing	Interest rate correlation	(52		)%	-	99%
					Interest rate spread volatility	3%			-	38%
					Foreign exchange correlation	0%			-	60%
					Equity correlation	(50		)%	-	80%
	495			Discounted cash flows	Credit correlation	35%			-	90%
Beneficial interests issued by consolidated VIEs(e)	549			Discounted cash flows	Yield	4%			-	28%	4%
					Prepayment Speed	1%			-	12%	6%
					Conditional default rate	2%			-	15%	2%
					Loss severity	30%			-	100%	31%

(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 $349 million of credit derivative receivables and $310 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 $434 million of credit derivative receivables and $401 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 parameters are related to residential mortgage-backed securities.

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 endedDecember 31, 2015, 2014 and 2013. 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, 2015 (in millions)	Fair value at January 1, 2015			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(i)			Fair value at Dec. 31, 2015			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2015
								Purchases(g)			Sales					Settlements(h)
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	922		$	(28	)		$	327		$	(303	)			$	(132	)	$	(71	)	$	715		$	(27	)
Residential – nonagency	663			130				253			(611		)			(23		)	(218		)	194			4
Commercial – nonagency	306			(14		)		246			(262		)			(22		)	(139		)	115			(5		)
Total mortgage-backed securities	1,891			88				826			(1,176		)			(177		)	(428		)	1,024			(28		)
Obligations of U.S. states and municipalities	1,273			14				352			(133		)			(27		)	(828		)	651			(1		)
Non-U.S. government debt securities	302			9				205			(123		)			(64		)	(255		)	74			(16		)
Corporate debt securities	2,989			(77		)		1,171			(1,038		)			(125		)	(2,184		)	736			2
Loans	13,287			(174		)		3,532			(4,661		)			(3,112		)	(2,268		)	6,604			(181		)
Asset-backed securities	1,264			(41		)		1,920			(1,229		)			(35		)	(47		)	1,832			(32		)
Total debt instruments	21,006			(181		)		8,006			(8,360		)			(3,540		)	(6,010		)	10,921			(256		)
Equity securities	431			96				89			(193		)			(26		)	(132		)	265			82
Physical commodities	2			(2		)		—			—					—			—			—			—
Other	1,050			119				1,581			(1,313		)			192			(885		)	744			85
Total trading assets – debt and equity instruments	22,489			32			(c)	9,676			(9,866		)			(3,374		)	(7,027		)	11,930			(89		)	(c)
Net derivative receivables:(a)
Interest rate	626			962				513			(173		)			(732		)	(320		)	876			263
Credit	189			118				129			(136		)			165			84			549			260
Foreign exchange	(526		)	657				19			(149		)			(296		)	(430		)	(725		)	49
Equity	(1,785		)	731				890			(1,262		)			(158		)	70			(1,514		)	5
Commodity	(565		)	(856		)		1			(24		)			512			(3		)	(935		)	(41		)
Total net derivative receivables	(2,061		)	1,612			(c)	1,552			(1,744		)			(509		)	(599		)	(1,749		)	536			(c)
Available-for-sale securities:
Asset-backed securities	908			(32		)		51			(43		)			(61		)	—			823			(28		)
Other	129			—				—			—					(29		)	(99		)	1			—
Total available-for-sale securities	1,037			(32		)	(d)	51			(43		)			(90		)	(99		)	824			(28		)	(d)
Loans	2,541			(133		)	(c)	1,290			(92		)			(1,241		)	(847		)	1,518			(32		)	(c)
Mortgage servicing rights	7,436			(405		)	(e)	985			(486		)			(922		)	—			6,608			(405		)	(e)
Other assets:
Private equity investments	2,225			(120		)	(c)	281			(362		)			(187		)	(180		)	1,657			(304		)	(c)
All other	959			91			(f)	65			(147		)			(224		)	—			744			15			(f)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2015 (in millions)	Fair value at January 1, 2015			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(i)			Fair value at Dec. 31, 2015			Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2015
								Purchases(g)			Sales			Issuances		Settlements(h)
Liabilities:(b)
Deposits	$	2,859		$	(39	)	(c)	$	—		$	—		$	1,993	$	(850	)	$	(1,013	)	$	2,950		$	(29	)	(c)
Other borrowed funds	1,453			(697		)	(c)	—			—			3,334		(2,963		)	(488		)	639			(57		)	(c)
Trading liabilities – debt and equity instruments	72			15			(c)	(163		)	160			—		(17		)	(4		)	63			(4		)	(c)
Accounts payable and other liabilities	26			—				—			—			—		(7		)	—			19			—
Beneficial interests issued by consolidated VIEs	1,146			(82		)	(c)	—			—			286		(574		)	(227		)	549			(63		)	(c)
Long-term debt	11,877			(480		)	(c)	(58		)	—			9,359		(6,299		)	(2,786		)	11,613			385			(c)

	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(i)			Fair value at Dec. 31, 2014			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2014
								Purchases(g)			Sales					Settlements(h)
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	867			113				248			(259		)			(286		)	(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	27,206			1,067			(c)	26,494			(16,786		)			(10,289		)	(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	5,816			400			(c)	145			(1,967		)			(197		)	(1,972		)	2,225			33			(c)
All other	1,382			83			(f)	10			(357		)			(159		)	—			959			59			(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(i)			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(h)
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	—			27			(c)	—			—			—		(1		)	—			26			—
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(i)			Fair value at Dec. 31, 2013			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2013
								Purchases(g)			Sales					Settlements(h)
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	1,092			(37		)		328			(266		)			(135		)	(115		)	867			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	25,617			2,241			(c)	25,273			(20,815		)			(3,867		)	(1,243		)	27,206			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				1,305			(2,111		)			(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	5,590			824			(c)	537			(1,080		)			140			(195		)	5,816			42			(c)
All other	2,122			(17		)	(f)	49			(427		)			(345		)	—			1,382			(64		)	(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(i)			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(h)
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	—			—				—			—			—		—			—			—			—
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)

Note: Effective April 1, 2015, the Firm adopted new accounting guidance for certain investments where the Firm measures fair value using the net asset value per share (or its equivalent) as a practical expedient and excluded such investments from the fair value hierarchy. The guidance was required to be applied retrospectively, and accordingly, prior period amounts have been revised to conform with the current period presentation. For further information, see page 190.

(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 13%, 15% and 18% at December 31, 2015, 2014 and 2013, 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 AFSsecurities, 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 $(7) million, $(43) million, and $17 million for the years ended December 31, 2015, 2014 and 2013, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $(25) million, $(16) million and $13 million for the years ended December 31, 2015, 2014 and 2013, respectively.

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

(f) Predominantly reported in other income.

(g) Loan originations are included in purchases.

(h) Includes financial assets and liabilities that have matured, been partially or fully repaid, impacts of modifications, and deconsolidations associated with beneficial interests in VIEs.

(i) All transfers into and/or out of level 3 are assumed to occur at the beginning of the quarterly reporting period in which they occur.

Impact of credit adjustments on earnings

The DVA and FVA reported below include the impact of the Firm’s own credit quality on the inception value of liabilities as well as the impact of changes in the Firm’s own credit quality over time.

Year ended December 31, (in millions)	2015		2014			2013
Credit adjustments:
Derivatives CVA	$	620	$	(322	)	$	1,886
Derivatives DVA and FVA(a)	73		(58		)	(1,152		)
Structured notes DVA and FVA(b)	754		200			(760		)

(a) Included derivatives DVA of $(6) million, $(1) million and $(115) million for the years ended December 31, 2015, 2014 and 2013, respectively.

(b) Included structured notes DVA of $171 million, $20 million and $(337) million for the years ended December 31, 2015, 2014 and 2013, 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 atDecember 31, 2015 and 2014, 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, seepages 185–188of this Note.

	December 31, 2015										December 31, 2014
			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	$	20.5	$	20.5	$	—	$	—	$	20.5	$	27.8	$	27.8	$	—	$	—	$	27.8
Deposits with banks	340.0		335.9		4.1		—		340.0		484.5		480.4		4.1		—		484.5
Accrued interest and accounts receivable	46.6		—		46.4		0.2		46.6		70.1		—		70.0		0.1		70.1
Federal funds sold and securities purchased under resale agreements	189.5		—		189.5		—		189.5		187.2		—		187.2		—		187.2
Securities borrowed	98.3		—		98.3		—		98.3		109.4		—		109.4		—		109.4
Securities, held-to-maturity(a)	49.1		—		50.6		—		50.6		49.3		—		51.2		—		51.2
Loans, net of allowance for loan losses(b)	820.8		—		25.4		802.7		828.1		740.5		—		21.8		723.1		744.9
Other	66.0		0.1		56.3		14.3		70.7		64.7		—		55.7		13.3		69.0
Financial liabilities
Deposits	$	1,267.2	$	—	$	1,266.1	$	1.2	$	1,267.3	$	1,354.6	$	—	$	1,353.6	$	1.2	$	1,354.8
Federal funds purchased and securities loaned or sold under repurchase agreements	149.2		—		149.2		—		149.2		189.1		—		189.1		—		189.1
Commercial paper	15.6		—		15.6		—		15.6		66.3		—		66.3		—		66.3
Other borrowed funds	11.2		—		11.2		—		11.2		15.5				15.5		—		15.5
Accounts payable and other liabilities(c)	144.6		—		141.7		2.8		144.5		172.6		—		169.6		2.9		172.5
Beneficial interests issued by consolidated VIEs(d)	41.1		—		40.2		0.9		41.1		50.2		—		48.2		2.0		50.2
Long-term debt and junior subordinated deferrable interest debentures(e)	255.6		—		257.4		4.3		261.7		246.2		—		251.2		3.8		255.0

(a) Carrying value reflects unamortized discount or premium.

(b) Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of the Firm’s methodologies for estimating the fair value of loans and lending-related commitments, see Valuation hierarchy on pages 185–188.

(c) Certain prior period amounts have been revised to conform with the current presentation.

(d) Carrying value reflects unamortized issuance costs.

(e) Carrying value reflects unamortized premiums and discounts, issuance costs, 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 of the allowance and the estimated fair value of the Firm’s wholesale lending-related commitments were as follows for the periods indicated.

	December 31, 2015										December 31, 2014
			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	$	0.8	$	—	$	—	$	3.0	$	3.0	$	0.6	$	—	$	—	$	1.6	$	1.6

(a) Excludes the current carrying values of the guarantee liability and the offsetting asset, each of which are recognized at fair value at the inception of guarantees.