Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2016

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:	Predominantly 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
Loans carried at fair value (e.g. trading loans and non-trading loans)	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 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
	• Credit losses – which consider 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 - the 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 on 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 CDS). 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, specific inputs used for derivatives that are valued based on models with significant unobservable inputs are as follows:
	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 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 (CVA), the Firm’s own creditworthiness (DVA), and the impact of funding (FVA). See pages 164-165 of this Note.

Product/instrument	Valuation methodology, inputs and assumptions	Classification in the valuation hierarchy
Mortgage servicing rights	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; the range of potential inputs include:
	• Transaction prices
	• Trading multiples of comparable public companies
	• Operating performance of the underlying portfolio company
	• Adjustments as required, since comparable public companies are not identical to the company being valued, and for company-specific issues and lack of liquidity
	• Additional available inputs relevant to the investment
Fund investments (e.g. mutual/collective investment funds, private equity funds, hedge funds, and real estate funds)	Net asset value
	• NAV is supported by the ability to redeem and purchase at the NAV level.	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
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 derivatives 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 164-165 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 assets and liabilities reported at fair value as ofDecember 31, 2016 and 2015, by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy
December 31, 2016 (in millions)	Level 1		Level 2			Level 3			Derivative netting adjustments			Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	21,506		$	—		$	—		$	21,506
Securities borrowed	—		—			—			—			—
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	13		40,586			392			—			40,991
Residential – nonagency	—		1,552			83			—			1,635
Commercial – nonagency	—		1,321			17			—			1,338
Total mortgage-backed securities	13		43,459			492			—			43,964
U.S. Treasury and government agencies(a)	19,554		5,201			—			—			24,755
Obligations of U.S. states and municipalities	—		8,403			649			—			9,052
Certificates of deposit, bankers’ acceptances and commercial paper	—		1,649			—			—			1,649
Non-U.S. government debt securities	28,443		23,076			46			—			51,565
Corporate debt securities	—		22,751			576			—			23,327
Loans(b)	—		28,965			4,837			—			33,802
Asset-backed securities	—		5,250			302			—			5,552
Total debt instruments	48,010		138,754			6,902			—			193,666
Equity securities	96,759		281			231			—			97,271
Physical commodities(c)	5,341		1,620			—			—			6,961
Other	—		9,341			761			—			10,102
Total debt and equity instruments(d)	150,110		149,996			7,894			—			308,000
Derivative receivables:
Interest rate	715		602,747			2,501			(577,661		)	28,302
Credit	—		28,256			1,389			(28,351		)	1,294
Foreign exchange	812		231,743			870			(210,154		)	23,271
Equity	—		34,032			908			(30,001		)	4,939
Commodity	158		18,360			125			(12,371		)	6,272
Total derivative receivables(e)	1,685		915,138			5,793			(858,538		)	64,078
Total trading assets(f)	151,795		1,065,134			13,687			(858,538		)	372,078
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		64,005			—			—			64,005
Residential – nonagency	—		14,442			1			—			14,443
Commercial – nonagency	—		9,104			—			—			9,104
Total mortgage-backed securities	—		87,551			1			—			87,552
U.S. Treasury and government agencies(a)	44,072		29			—			—			44,101
Obligations of U.S. states and municipalities	—		31,592			—			—			31,592
Certificates of deposit	—		106			—			—			106
Non-U.S. government debt securities	22,793		12,495			—			—			35,288
Corporate debt securities	—		4,958			—			—			4,958
Asset-backed securities:
Collateralized loan obligations	—		26,738			663			—			27,401
Other	—		6,967			—			—			6,967
Equity securities	926		—			—			—			926
Total available-for-sale securities	67,791		170,436			664			—			238,891
Loans	—		1,660			570			—			2,230
Mortgage servicing rights	—		—			6,096			—			6,096
Other assets:
Private equity investments(g)	68		—			1,606			—			1,674
All other	4,289		—			617			—			4,906
Total other assets(f)	4,357		—			2,223			—			6,580
Total assets measured at fair value on a recurring basis	$	223,943	$	1,258,736	(g)	$	23,240	(g)	$	(858,538	)	$	647,381
Deposits	$	—	$	11,795		$	2,117		$	—		$	13,912
Federal funds purchased and securities loaned or sold under repurchase agreements	—		687			—			—			687
Other borrowed funds	—		7,971			1,134			—			9,105
Trading liabilities:
Debt and equity instruments(d)	68,304		19,081			43			—			87,428
Derivative payables:
Interest rate	539		569,001			1,238			(559,963		)	10,815
Credit	—		27,375			1,291			(27,255		)	1,411
Foreign exchange	902		231,815			2,254			(214,463		)	20,508
Equity	—		35,202			3,160			(30,222		)	8,140
Commodity	173		20,079			210			(12,105		)	8,357
Total derivative payables(e)	1,614		883,472			8,153			(844,008		)	49,231
Total trading liabilities	69,918		902,553			8,196			(844,008		)	136,659
Accounts payable and other liabilities	9,107		—			13			—			9,120
Beneficial interests issued by consolidated VIEs	—		72			48			—			120
Long-term debt	—		23,792			13,894			—			37,686
Total liabilities measured at fair value on a recurring basis	$	79,025	$	946,870		$	25,402		$	(844,008	)	$	207,289

	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(f)	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(g)	102		101		1,657		—			1,860
All other	3,815		28		744		—			4,587
Total other assets(f)	3,917		129		2,401		—			6,447
Total assets measured at fair value on a recurring basis	$	179,065	$	1,316,893	$	31,227	$	(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

(a) At December 31, 2016 and 2015, included total U.S. government-sponsored enterprise obligations of $80.6 billion and $67.0 billion, respectively, which were predominantly mortgage-related.

(b) At December 31, 2016 and 2015, included within trading loans were $16.5 billion and $11.8 billion, respectively, of residential first-lien mortgages, and $3.3 billion and $4.3 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $11.0 billion and $5.3 billion, respectively, and reverse mortgages of $2.0 billion and $2.5 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. The level 3 balances would be reduced if netting were applied, including the netting benefit associated with cash collateral.

(f) 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, 2016 and 2015, the fair values of these investments, which include certain hedge funds, private equity funds, real estate and other funds, were $1.0 billion and $1.2 billion, respectively. Included in the balances at December 31, 2016 and 2015, were trading assets of $52 million and $61 million, respectively, and other assets of $1.0 billion and $1.2 billion, respectively.

(g) Private equity instruments represent investments within Corporate. The portion of the private equity investment portfolio carried at fair value on a recurring basis had a cost basis of $2.5 billion and $3.5 billion at December 31, 2016 and 2015, respectively.

Fair value inputs, assets and liabilities, quantitative information

Level 3 inputs(a)
December 31, 2016 (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	$	2,861		Discounted cash flows	Yield	4%			-	18%	5%
					Prepayment speed	0%			-	20%	8%
					Conditional default rate	0%			-	34%	15%
					Loss severity	0%			-	90%	37%
Commercial mortgage-backed securities and loans(b)	1,555			Discounted cash flows	Yield	1%			-	32%	8%
					Conditional default rate	0%			-	100%	69%
					Loss severity	40%					40%
Corporate debt securities, obligations of U.S. states and municipalities, and other(c)	764			Discounted cash flows	Credit spread	40		bps	-	375bps	96bps
					Yield	1%			-	17%	9%
	3,744			Market comparables	Price	$	0		-	$121	$91
Net interest rate derivatives	1,263			Option pricing	Interest rate correlation	(30)%			-	100%
					Interest rate spread volatility	3%			-	38%
Net credit derivatives(b)(c)	98			Discounted cash flows	Credit correlation	30%			-	85%
Net foreign exchange derivatives	(1,384		)	Option pricing	Foreign exchange correlation	(30)%			-	65%
Net equity derivatives	(2,252		)	Option pricing	Equity volatility	20%			-	60%
Net commodity derivatives	(85		)	Discounted cash flows	Forward commodity price	$	46		-	$59 per barrel
Collateralized loan obligations	663			Discounted cash flows	Credit spread	303bps			-	475bps	339bps
					Prepayment speed	20%					20%
					Conditional default rate	2%					2%
					Loss severity	30%					30%
	158			Market comparables	Price	$	0		-	$111	$73
MSRs	6,096			Discounted cash flows	Refer to Note 17
Private equity investments	1,606			Market comparables	EBITDA multiple	6.4		x	-	11.5x	7.9x
Long-term debt, other borrowed funds, and deposits(d)	16,669			Option pricing	Interest rate correlation	(30)%			-	100%
					Interest rate spread volatility	3%			-	38%
					Foreign exchange correlation	(30)%			-	65%
					Equity correlation	(50)%			-	80%
	476			Discounted cash flows	Credit correlation	30%			-	85%

(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. Furthermore, the inputs presented for each valuation technique in the table are, in some cases, not applicable to every instrument valued using the technique as the characteristics of the instruments can differ.

(b) The unobservable inputs and associated input ranges for approximately $394 million of credit derivative receivables and $226 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 $362 million of credit derivative receivables and $333 million of credit derivative payables with underlying ABS 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 includes the derivative features embedded within the instrument. The significant unobservable inputs are broadly consistent with those presented for derivative receivables.

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, 2016, 2015 and 2014. 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, 2016 (in millions)	Fair value at January 1, 2016			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(i)			Fair value at Dec. 31, 2016			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2016
								Purchases(g)			Sales					Settlements(h)
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	715		$	(20	)		$	135		$	(295	)			$	(115	)	$	(28	)	$	392		$	(36	)
Residential – nonagency	194			4				252			(319		)			(20		)	(28		)	83			5
Commercial – nonagency	115			(11		)		69			(29		)			(3		)	(124		)	17			3
Total mortgage-backed securities	1,024			(27		)		456			(643		)			(138		)	(180		)	492			(28		)
Obligations of U.S. states and municipalities	651			19				149			(132		)			(38		)	—			649			—
Non-U.S. government debt securities	74			(4		)		91			(97		)			(7		)	(11		)	46			(7		)
Corporate debt securities	736			2				445			(359		)			(189		)	(59		)	576			(22		)
Loans	6,604			(343		)		2,228			(2,598		)			(1,311		)	257			4,837			(169		)
Asset-backed securities	1,832			39				655			(712		)			(968		)	(544		)	302			19
Total debt instruments	10,921			(314		)		4,024			(4,541		)			(2,651		)	(537		)	6,902			(207		)
Equity securities	265			—				90			(108		)			(40		)	24			231			7
Other	744			79				649			(287		)			(360		)	(64		)	761			28
Total trading assets – debt and equity instruments	11,930			(235		)	(c)	4,763			(4,936		)			(3,051		)	(577		)	7,894			(172		)	(c)
Net derivative receivables:(a)
Interest rate	876			756				193			(57		)			(713		)	208			1,263			(144		)
Credit	549			(742		)		10			(2		)			211			72			98			(622		)
Foreign exchange	(725		)	67				64			(124		)			(649		)	(17		)	(1,384		)	(350		)
Equity	(1,514		)	(145		)		277			(852		)			213			(231		)	(2,252		)	(86		)
Commodity	(935		)	194				1			10					645			—			(85		)	(36		)
Total net derivative receivables	(1,749		)	130			(c)	545			(1,025		)			(293		)	32			(2,360		)	(1,238		)	(c)
Available-for-sale securities:
Asset-backed securities	823			1				—			—					(119		)	(42		)	663			1
Other	1			—				—			—					—			—			1			—
Total available-for-sale securities	824			1			(d)	—			—					(119		)	(42		)	664			1			(d)
Loans	1,518			(49		)	(c)	259			(7		)			(838		)	(313		)	570			—			(c)
Mortgage servicing rights	6,608			(163		)	(e)	679			(109		)			(919		)	—			6,096			(163		)	(e)
Other assets:
Private equity investments	1,657			80			(c)	457			(485		)			(103		)	—			1,606			1			(c)
All other	744			50			(f)	30			(11		)			(196		)	—			617			47			(f)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2016 (in millions)	Fair value at January 1, 2016			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(i)			Fair value at Dec. 31, 2016			Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2016
								Purchases(g)			Sales			Issuances		Settlements(h)
Liabilities:(b)
Deposits	$	2,950		$	(56	)	(c)	$	—		$	—		$	1,375	$	(1,283	)	$	(869	)	$	2,117		$	23		(c)
Federal funds purchased and securities loaned or sold under repurchase agreements	—			—				—			—			—		(2		)	2			—			—
Other borrowed funds	639			(230		)	(c)	—			—			1,876		(1,210		)	59			1,134			(70		)	(c)
Trading liabilities – debt and equity instruments	63			(12		)	(c)	(15		)	23			—		(22		)	6			43			(18		)	(c)
Accounts payable and other liabilities	19			—				—			—			—		(6		)	—			13			—
Beneficial interests issued by consolidated VIEs	549			(31		)	(c)	—			—			143		(613		)	—			48			6			(c)
Long-term debt	11,613			216			(c)	—			—			8,949		(5,810		)	(1,074		)	13,894			540			(c)

	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)

(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 12%, 13% and 15% at December 31, 2016, 2015 and 2014, respectively.

(c) Predominantly reported in principal transactions revenue, except for changes in fair value for CCB mortgage loans, and 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 (“OTTI”) losses that are recorded in earnings, are reported in securities gains. Unrealized gains/(losses) are reported in OCI. Realized gains/(losses) and foreign exchange hedge accounting adjustments recorded in income on AFS securities were zero, $(7) million, and $(43) million for the years ended December 31, 2016, 2015 and 2014, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $1 million, $(25) million and $(16) million for the years ended December 31, 2016, 2015 and 2014, 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 deconsolidation 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 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. 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)	2016			2015		2014
Credit adjustments:
Derivatives CVA	$	(84	)	$	620	$	(322	)
Derivatives DVA and FVA	7			73		(58		)

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, 2016 and 2015, of financial assets and liabilities, excluding financial instruments that are carried at fair value on a recurring basis, and their classification within the fair value hierarchy. For additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value, seepages 150–153of this Note.

	December 31, 2016										December 31, 2015
			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	$	23.9	$	23.9	$	—	$	—	$	23.9	$	20.5	$	20.5	$	—	$	—	$	20.5
Deposits with banks	365.8		362.0		3.8		—		365.8		340.0		335.9		4.1		—		340.0
Accrued interest and accounts receivable	52.3		—		52.2		0.1		52.3		46.6		—		46.4		0.2		46.6
Federal funds sold and securities purchased under resale agreements	208.5		—		208.3		0.2		208.5		189.5		—		189.5		—		189.5
Securities borrowed	96.4		—		96.4		—		96.4		98.3		—		98.3		—		98.3
Securities, held-to-maturity	50.2		—		50.9		—		50.9		49.1		—		50.6		—		50.6
Loans, net of allowance for loan losses(a)	878.8		—		24.1		851.0		875.1		820.8		—		25.4		802.7		828.1
Other	71.4		0.1		60.8		14.3		75.2		66.0		0.1		56.3		14.3		70.7
Financial liabilities
Deposits	$	1,361.3	$	—	$	1,361.3	$	—	$	1,361.3	$	1,267.2	$	—	$	1,266.1	$	1.2	$	1,267.3
Federal funds purchased and securities loaned or sold under repurchase agreements	165.0		—		165.0		—		165.0		149.2		—		149.2		—		149.2
Commercial paper	11.7		—		11.7		—		11.7		15.6		—		15.6		—		15.6
Other borrowed funds	13.6		—		13.6		—		13.6		11.2		—		11.2		—		11.2
Accounts payable and other liabilities	148.0		—		144.8		3.4		148.2		144.6		—		141.7		2.8		144.5
Beneficial interests issued by consolidated VIEs	38.9		—		38.9		—		38.9		41.1		—		40.2		0.9		41.1
Long-term debt and junior subordinated deferrable interest debentures	257.5		—		260.0		2.0		262.0		255.6		—		257.4		4.3		261.7

(a) Fair value is typically estimated using a discounted cash flow model that incorporates the characteristics of the underlying loans (including principal, contractual interest rate and contractual fees) and other key inputs, including expected lifetime credit losses, interest rates, prepayment rates, and primary origination or secondary market spreads. For certain loans, the fair value is measured based on the value of the underlying collateral. The difference between the estimated fair value and carrying value of a financial asset or liability is the result of the different methodologies used to determine fair value as compared with carrying value. For example, credit losses are estimated for a financial asset’s remaining life in a fair value calculation but are estimated for a loss emergence period in the allowance for loan loss calculation; future loan income (interest and fees) is incorporated in a fair value calculation but is generally not considered in the allowance for loan losses. For a further discussion of the Firm’s methodologies for estimating the fair value of loans and lending-related commitments, see Valuation hierarchy on pages 150–153.

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 wholesale allowance for lending-related commitments and the estimated fair value of these wholesale lending-related commitments were as follows for the periods indicated.

	December 31, 2016										December 31, 2015
			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	$	1.1	$	—	$	—	$	2.1	$	2.1	$	0.8	$	—	$	—	$	3.0	$	3.0

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