Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2011

Fair Value Measurement (Tables) [Abstract]

Assets and liabilities measured at fair value on a recurring basis

	Fair value hierarchy
							Netting			Total
March 31, 2011 (in millions)	Level 1(i)		Level 2(i)		Level 3(i)		adjustments			fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	19,998	$	—	$	—		$	19,998
Securities borrowed		—		15,334		—		—			15,334
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)		27,862		9,422		191		—			37,475
Residential — nonagency		—		2,650		782		—			3,432
Commercial — nonagency		—		938		1,885		—			2,823
Total mortgage-backed securities		27,862		13,010		2,858		—			43,730
U.S. Treasury and government agencies(a)		19,282		8,829		—		—			28,111
Obligations of U.S. states and municipalities		1		11,418		1,971		—			13,390
Certificates of deposit, bankers’ acceptances and commercial paper		—		3,748		—		—			3,748
Non—U.S. government debt securities		30,359		47,780		640		—			78,779
Corporate debt securities		—		47,708		5,623		—			53,331
Loans(b)		—		21,759		12,490		—			34,249
Asset-backed securities		—		3,434		8,356		—			11,790
Total debt instruments		77,504		157,686		31,938		—			267,128
Equity securities		127,889		3,150		1,367		—			132,406
Physical commodities(c)		16,801		2,664		—		—			19,465
Other		2		3,157		246		—			3,405
Total debt and equity instruments(d)		222,196		166,657		33,551		—			422,404
Derivative receivables:
Interest rate		890		931,980		4,997		(906,685	)		31,182
Credit(e)		—		106,368		15,605		(113,947	)		8,026
Foreign exchange		1,331		155,845		4,126		(142,969	)		18,333
Equity		58		42,520		5,823		(40,043	)		8,358
Commodity		759		67,030		3,174		(58,118	)		12,845
Total derivative receivables(f)		3,038		1,303,743		33,725		(1,261,762	)		78,744
Total trading assets		225,234		1,470,400		67,276		(1,261,762	)		501,148
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)		103,692		18,162		—		—			121,854
Residential — nonagency		—		55,234		5		—			55,239
Commercial — nonagency		—		4,735		248		—			4,983
Total mortgage-backed securities		103,692		78,131		253		—			182,076
U.S. Treasury and government agencies(a)		565		6,490		—		—			7,055
Obligations of U.S. states and municipalities		27		11,155		256		—			11,438
Certificates of deposit		—		3,489		—		—			3,489
Non—U.S. government debt securities		18,386		14,864		—		—			33,250
Corporate debt securities		1		63,539		—		—			63,540
Asset-backed securities:
Credit card receivables		—		6,416		—		—			6,416
Collateralized loan obligations		—		127		14,741		—			14,868
Other		—		9,132		275		—			9,407
Equity securities		3,193		52		—		—			3,245
Total available-for-sale securities		125,864		193,395		15,525		—			334,784
Loans		—		434		1,371		—			1,805
Mortgage servicing rights		—		—		13,093		—			13,093
Other assets:
Private equity investments(g)		137		594		8,853		—			9,584
All other		5,334		132		4,560		—			10,026
Total other assets		5,471		726		13,413		—			19,610
Total assets measured at fair value on a recurring basis(h)	$	356,569	$	1,700,287	$	110,678	$	(1,261,762	)	$	905,772

	Fair value hierarchy
							Netting			Total
March 31, 2011 (in millions)	Level 1(i)		Level 2(i)		Level 3(i)		adjustments			fair value
Deposits	$	—	$	3,656	$	621	$	—		$	4,277
Federal funds purchased and securities loaned or sold under repurchase agreements		—		6,214		—		—			6,214
Other borrowed funds		—		9,143		1,473		—			10,616
Trading liabilities:
Debt and equity instruments(d)		61,666		18,192		173		—			80,031
Derivative payables:
Interest rate		924		895,092		2,527		(884,016	)		14,527
Credit(e)		—		107,089		11,232		(112,775	)		5,546
Foreign exchange		1,412		154,407		4,124		(141,393	)		18,550
Equity		74		39,320		7,969		(35,910	)		11,453
Commodity		759		64,276		4,039		(57,788	)		11,286
Total derivative payables(f)		3,169		1,260,184		29,891		(1,231,882	)		61,362
Total trading liabilities		64,835		1,278,376		30,064		(1,231,882	)		141,393
Accounts payable and other liabilities		—		—		146		—			146
Beneficial interests issued by consolidated VIEs		—		688		588		—			1,276
Long-term debt		—		24,888		13,027		—			37,915
Total liabilities measured at fair value on a recurring basis	$	64,835	$	1,322,965	$	45,919	$	(1,231,882	)	$	201,837

	Fair value hierarchy
							Netting			Total
December 31, 2010 (in millions)	Level 1		Level 2		Level 3		adjustments			fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	20,299	$	—	$	—		$	20,299
Securities borrowed		—		13,961		—		—			13,961
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)		36,813		10,738		174		—			47,725
Residential — nonagency		—		2,807		687		—			3,494
Commercial — nonagency		—		1,093		2,069		—			3,162
Total mortgage-backed securities		36,813		14,638		2,930		—			54,381
U.S. Treasury and government agencies(a)		12,863		9,026		—		—			21,889
Obligations of U.S. states and municipalities		—		11,715		2,257		—			13,972
Certificates of deposit, bankers’ acceptances and commercial paper		—		3,248		—		—			3,248
Non-U.S. government debt securities		31,127		38,482		697		—			70,306
Corporate debt securities		—		42,280		4,946		—			47,226
Loans(b)		—		21,736		13,144		—			34,880
Asset-backed securities		—		2,743		7,965		—			10,708
Total debt instruments		80,803		143,868		31,939		—			256,610
Equity securities		124,400		3,153		1,685		—			129,238
Physical commodities(c)		18,327		2,708		—		—			21,035
Other		—		2,275		253		—			2,528
Total debt and equity instruments(d)		223,530		152,004		33,877		—			409,411
Derivative receivables:
Interest rate		2,278		1,120,282		5,422		(1,095,427	)		32,555
Credit(e)		—		111,827		17,902		(122,004	)		7,725
Foreign exchange		1,121		163,114		4,236		(142,613	)		25,858
Equity		30		38,041		5,562		(39,429	)		4,204
Commodity		1,324		56,076		2,197		(49,458	)		10,139
Total derivative receivables(f)		4,753		1,489,340		35,319		(1,448,931	)		80,481
Total trading assets		228,283		1,641,344		69,196		(1,448,931	)		489,892
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)		104,736		15,490		—		—			120,226
Residential — nonagency		—		48,969		5		—			48,974
Commercial — nonagency		—		5,403		251		—			5,654
Total mortgage-backed securities		104,736		69,862		256		—			174,854
U.S. Treasury and government agencies(a)		522		10,826		—		—			11,348
Obligations of U.S. states and municipalities		31		11,272		256		—			11,559
Certificates of deposit		6		3,641		—		—			3,647
Non-U.S. government debt securities		13,107		7,670		—		—			20,777
Corporate debt securities		1		61,793		—		—			61,794
Asset-backed securities:
Credit card receivables		—		7,608		—		—			7,608
Collateralized loan obligations		—		128		13,470		—			13,598
Other		—		8,777		305		—			9,082
Equity securities		1,998		53		—		—			2,051
Total available-for-sale securities		120,401		181,630		14,287		—			316,318
Loans		—		510		1,466		—			1,976
Mortgage servicing rights		—		—		13,649		—			13,649
Other assets:
Private equity investments(g)		49		826		7,862		—			8,737
All other		5,093		192		4,179		—			9,464
Total other assets		5,142		1,018		12,041		—			18,201
Total assets measured at fair value on a recurring basis(h)	$	353,826	$	1,858,762	$	110,639	$	(1,448,931	)	$	874,296

	Fair value hierarchy
							Netting			Total
December 31, 2010 (in millions)	Level 1		Level 2		Level 3		adjustments			fair value
Deposits	$	—	$	3,736	$	633	$	—		$	4,369
Federal funds purchased and securities loaned or sold under repurchase agreements		—		4,060		—		—			4,060
Other borrowed funds		—		8,959		972		—			9,931
Trading liabilities:
Debt and equity instruments(d)		58,468		18,425		54		—			76,947
Derivative payables:
Interest rate		2,625		1,085,233		2,586		(1,070,057	)		20,387
Credit(e)		—		112,545		12,516		(119,923	)		5,138
Foreign exchange		972		158,908		4,850		(139,715	)		25,015
Equity		22		39,046		7,331		(35,949	)		10,450
Commodity		862		54,611		3,002		(50,246	)		8,229
Total derivative payables(f)		4,481		1,450,343		30,285		(1,415,890	)		69,219
Total trading liabilities		62,949		1,468,768		30,339		(1,415,890	)		146,166
Accounts payable and other liabilities		—		—		236		—			236
Beneficial interests issued by consolidated VIEs		—		622		873		—			1,495
Long-term debt		—		25,795		13,044		—			38,839
Total liabilities measured at fair value on a recurring basis	$	62,949	$	1,511,940	$	46,097	$	(1,415,890	)	$	205,096

(a)	At March 31, 2011, and December 31, 2010, included total U.S. government-sponsored enterprise obligations of $126.3 billion and $137.3 billion respectively, which were predominantly mortgage-related.
(b)	At March 31, 2011, and December 31, 2010, included within trading loans were $18.9 billion and $22.7 billion, respectively, of residential first-lien mortgages and $2.5 billion and $2.6 billion, respectively, of commercial first-lien mortgages. Residential mortgage loans include conforming mortgage loans originated with the intent to sell to U.S. government agencies of $10.2 billion and $13.1 billion, respectively, and reverse mortgages of $3.9 billion and $4.0 billion, respectively.
(c)	Physical commodities inventories are generally accounted for at the lower of cost or fair value.
(d)	Balances reflect the reduction of securities owned (long positions) by the amount of securities sold but not yet purchased (short positions) when the long and short positions have identical Committee on Uniform Security Identification Procedures numbers (“CUSIPs”).
(e)	The level 3 amounts for derivative receivables and derivative payables related to credit primarily include structured credit derivative instruments. For further information on the classification of instruments within the valuation hierarchy, see Note 3 on pages 170–187 of JPMorgan Chase’s 2010 Annual Report.
(f)	As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. Therefore, the balances reported in the fair value hierarchy table are gross of any counterparty netting adjustments. However, if the Firm were to net such balances within level 3, the reduction in the level 3 derivative receivable and payable balances would be $12.1 billion and $12.7 billion at March 31, 2011, and December 31, 2010, respectively; this is exclusive of the netting benefit associated with cash collateral, which would further reduce the level 3 balances.
(g)	Private equity instruments represent investments within the Corporate/Private Equity line of business. The cost basis of the private equity investment portfolio totaled $10.1 billion and $10.0 billion at March 31, 2011, and December 31, 2010, respectively.
(h)	At March 31, 2011, and December 31, 2010, balances included investments valued at net asset values of $12.5 billion and $12.1 billion, respectively, of which $6.2 billion and $5.9 billion, respectively, were classified in level 1, $1.9 billion and $2.0 billion, respectively, in level 2 and $4.4 billion and $4.2 billion, respectively, in level 3.
(i)	For the three months ended March 31, 2011 and 2010, the transfers between levels 1, 2 and 3, were not significant.

Changes in level 3 recurring fair value measurements

	Fair value measurements using significant unobservable inputs
																							Change in unrealized
				Total													Transfers						gains/(losses)
Three months ended	Fair value			realized/													into and/or			Fair value at			related to financial
March 31, 2011	at January 1,			unrealized													out of			March 31,			instruments held
(in millions)	2011			gains/(losses)			Purchases(g)		Sales			Issuances		Settlements			level 3(e)			2011			at March 31, 2011
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	174		$	17		$	21	$	(21	)	$	—	$	—		$	—		$	191		$	(1	)
Residential — nonagency		687			71			259		(168	)		—		(67	)		—			782			27
Commercial — nonagency		2,069			16			346		(482	)		—		(64	)		—			1,885			(22	)
Total mortgage-backed securities		2,930			104			626		(671	)		—		(131	)		—			2,858			4
Obligations of U.S. states and municipalities		2,257			(14	)		284		(555	)		—		(1	)		—			1,971			(14	)
Non-U.S. government debt securities		697			49			130		(143	)		—		(19	)		(74	)		640			50
Corporate debt securities		4,946			32			1,629		(1,075	)		—		(6	)		97			5,623			34
Loans		13,144			131			888		(1,024	)		—		(729	)		80			12,490			12
Asset-backed securities		7,965			354			1,118		(1,057	)		—		(43	)		19			8,356			245
Total debt instruments		31,939			656			4,675		(4,525	)		—		(929	)		122			31,938			331
Equity securities		1,685			70			37		(74	)		—		(330	)		(21	)		1,367			83
Other		253			20			5		(1	)		—		(31	)		—			246			20
Total debt and equity instruments		33,877			746	(a)		4,717		(4,600	)		—		(1,290	)		101			33,551			434	(a)
Net derivative receivables:
Interest rate		2,836			519			128		(83	)		—		(915	)		(15	)		2,470			184
Credit		5,386			(853	)		1		—			—		(146	)		(15	)		4,373			(1,068	)
Foreign exchange		(614	)		61			25		—			—		482			48			2			69
Equity		(1,769	)		194			95		(330	)		—		(424	)		88			(2,146	)		69
Commodity		(805	)		595			86		(67	)		—		(424	)		(250	)		(865	)		209
Total net derivative receivables		5,034			516	(a)		335		(480	)		—		(1,427	)		(144	)		3,834			(537)	(a)
Available-for-sale securities:
Asset-backed securities		13,775			478			1,109		(4	)		—		(342	)		—			15,016			475
Other		512			9			—		(3	)		—		(9	)		—			509			7
Total available-for-sale securities		14,287			487	(b)		1,109		(7	)		—		(351	)		—			15,525			482	(b)
Loans		1,466			120	(a)		84		—			—		(283	)		(16	)		1,371			108	(a)
Mortgage servicing rights		13,649			(751)	(c)		758		—			—		(563	)		—			13,093			(751)	(c)
Other assets:
Private equity investments		7,862			905	(a)		328		(139	)		—		(103	)		—			8,853			845	(a)
All other		4,179			60	(d)		409		(3	)		—		(86	)		1			4,560			60	(d)
	Fair value measurements using significant unobservable inputs
																							Change in unrealized
				Total													Transfers						(gains)/losses
Three months ended	Fair value			realized/													into and/or			Fair value at			related to financial
March 31, 2011	at January 1,			unrealized													out of			March 31,			instruments held
(in millions)	2011			(gains)/losses			Purchases		Sales			Issuances		Settlements			level 3(e)			2011			at March 31, 2011
Liabilities(f):
Deposits	$	633		$	(4)	(a)	$	—	$	—		$	59	$	(66	)	$	(1	)	$	621		$	(4)	(a)
Other borrowed funds		972			58	(a)		—		—			529		(88	)		2			1,473			58	(a)
Trading liabilities:													—
Debt and equity instruments		54			—	(a)		—		119			—		—			—			173			—	(a)
Accounts payable and other liabilities		236			(37)	(d)		—		—			—		(53	)		—			146			4	(d)
Beneficial interests issued by consolidated VIEs		873			(6)	(a)		—		—			11		(290	)		—			588			(7)	(a)
Long-term debt		13,044			62	(a)	$	—	$	—		$	653	$	(971	)		239			13,027			258	(a)

	Fair value measurements using significant unobservable inputs
																Change in unrealized
				Total			Purchases,			Transfers						gains/(losses) related
Three months ended	Fair value at			realized/			issuances,			into and/or			Fair value at			to financial
March 31, 2010	January 1,			unrealized			settlements,			out of			March 31,			instruments held
(in millions)	2010			gains/(losses)			net			level 3(e)			2010			at March 31, 2010
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	260		$	5		$	(50	)	$	—		$	215		$	(10	)
Residential — nonagency		1,115			16			(304	)		14			841			(11	)
Commercial — nonagency		1,770			36			(133	)		—			1,673			(36	)
Total mortgage-backed securities		3,145			57			(487	)		14			2,729			(57	)
Obligations of U.S. states and municipalities		1,971			(42	)		(96	)		142			1,975			(44	)
Non-U.S. government debt securities		734			(47	)		26			—			713			(46	)
Corporate debt securities		5,241			(278	)		(290	)		274			4,947			14
Loans		13,218			(331	)		2,986			(97	)		15,776			(369	)
Asset-backed securities		7,975			96			(69	)		76			8,078			19
Total debt instruments		32,284			(545	)		2,070			409			34,218			(483	)
Equity securities		1,956			(20	)		(232	)		12			1,716			73
Other		926			21			(600	)		78			425			19
Total debt and equity instruments		35,166			(544	)(a)		1,238			499			36,359			(391	)(a)
Net of derivative receivables:
Interest rate		2,040			420			(41	)		45			2,464			213
Credit		10,350			(604	)		(551	)		(9	)		9,186			(718	)
Foreign exchange		1,082			(380	)		(80	)		(293	)		329			(365	)
Equity		(1,791	)		263			(64	)		301			(1,291	)		247
Commodity		(329	)		(411	)		402			57			(281	)		(508	)
Total net derivative receivables		11,352			(712	)(a)		(334	)		101			10,407			(1,131	)(a)
Available-for-sale securities:
Asset-backed securities		12,732			(66	)		(95	)		—			12,571			(70	)
Other		461			(77	)		(22	)		1			363			15
Total available-for-sale securities		13,193			(143	)(b)		(117	)		1			12,934			(55	)(b)
Loans		990			1	(a)		157			(8	)		1,140			(18	)(a)
Mortgage servicing rights		15,531			(96	)(c)		96			—			15,531			(96	)(c)
Other assets:
Private equity investments		6,563			148	(a)		(61	)		(265	)		6,385			31	(a)
All other		9,521			(18	)(d)		(5,140	)		(11	)		4,352			(18	)(d)

	Fair value measurements using significant unobservable inputs
														Change in unrealized
			Total			Purchases,			Transfers					(gains)/losses
Three months ended	Fair value at		realized/			issuances,			into and/or			Fair value at		related to financial
March 31, 2010	January 1,		unrealized			settlements,			out of			March 31,		instruments held
(in millions)	2010		(gains)/losses			net			level 3(e)			2010		at March 31, 2010
Liabilities(f):
Deposits	$	476	$	(10	)(a)	$	(1	)	$	(25	)	$	440	$	(14	)(a)
Other borrowed funds		542		(52	)(a)		195			(233	)		452		(73	)(a)
Trading liabilities:
Debt and equity instruments		10		2	(a)		(3	)		23			32		2	(a)
Accounts payable and other liabilities		355		(23	)(d)		(4	)		—			328		(20	)(d)
Beneficial interests issued by consolidated VIEs		625		(7	)(a)		1,199			—			1,817		(7	)(a)
Long-term debt		18,287		(403	)(a)		(668	)		302			17,518		(402	)(a)

(a)	Predominantly reported in principal transactions revenue, except for changes in fair value for Retail Financial Services (“RFS”) mortgage loans originated with the intent to sell, which are reported in mortgage fees and related income.
(b)	Realized gains and losses on available-for-sale (“AFS”) securities, as well as other-than-temporary impairment losses that are recorded in earnings, are reported in securities gains. Unrealized gains and losses are reported in other comprehensive income (“OCI”). Realized gains and losses and foreign exchange remeasurement adjustments recorded in income on AFS securities were $330 million and $79 million for the three months ended March 31, 2011 and 2010, respectively. Unrealized gains and losses reported on AFS securities in OCI were $156 million and $65 million for the three months ended March 31, 2011 and 2010, respectively.
(c)	Changes in fair value for RFS mortgage servicing rights are reported in mortgage fees and related income.
(d)	Predominantly reported in other income.
(e)	All transfers into and/or out of level 3 are assumed to occur at the beginning of the reporting period.
(f)	Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 23% and 22% at March 31, 2011, and December 31, 2010, respectively.
(g)	Loan originations are included in purchases.

Assets and liabilities measured at fair value on a nonrecurring basis

	Fair value hierarchy
March 31, 2011 (in millions)	Level 1(d)		Level 2(d)		Level 3(d)		Total fair value
Loans retained(a)	$	—	$	1,418	$	625	$	2,043
Loans held-for-sale(b)		—		457		4,554		5,011
Total loans		—		1,875		5,179		7,054
Other real estate owned		—		58		251		309
Other assets		—		—		1		1
Total other assets		—		58		252		310
Total assets at fair value on a nonrecurring basis	$	—	$	1,933	$	5,431	$	7,364
Accounts payable and other liabilities(c)	$	—	$	36	$	17	$	53
Total liabilities at fair value on a nonrecurring basis	$	—	$	36	$	17	$	53

	Fair value hierarchy
December 31, 2010 (in millions)	Level 1		Level 2		Level 3		Total fair value
Loans retained(a)	$	—	$	5,484	$	690	$	6,174
Loans held-for-sale(b)		—		312		3,200		3,512
Total loans		—		5,796		3,890		9,686
Other real estate owned		—		78		311		389
Other assets		—		—		2		2
Total other assets		—		78		313		391
Total assets at fair value on a nonrecurring basis	$	—	$	5,874	$	4,203	$	10,077
Accounts payable and other liabilities(c)	$	—	$	53	$	18	$	71
Total liabilities at fair value on a nonrecurring basis	$	—	$	53	$	18	$	71

(a)	Reflects mortgage, home equity and other loans where the carrying value is based on the fair value of the underlying collateral.
(b)	Predominantly includes credit card loans at March 31, 2011, and December 31, 2010. Loans held-for-sale are carried on the Consolidated Balance Sheets at the lower of cost or fair value.
(c)	Represents, at March 31, 2011, and December 31, 2010, fair value adjustments associated with $828 million and $517 million, respectively, of unfunded held-for-sale lending-related commitments within the leveraged lending portfolio.
(d)	For the three months ended March 31, 2011 and 2010, the transfers between levels 1, 2 and 3 were not significant.

Nonrecurring fair value changes

	Three months ended March 31,
(in millions)	2011			2010
Loans retained	$	(690	)	$	(1,338	)
Loans held-for-sale		5			44
Total loans		(685	)		(1,294	)
Other assets		(3	)		4
Accounts payable and other liabilities		6			7
Total nonrecurring fair value gains/(losses)	$	(682	)	$	(1,283	)

Credit adjustments

(in millions)	March 31, 2011			December 31, 2010
Derivative receivables balance	$	78,744		$	80,481
Derivatives CVA(a)		(3,827	)		(4,362	)
Derivative payables balance		61,362			69,219
Derivatives DVA		(813	)		(882	)
Structured notes balance(b)(c)		52,808			53,139
Structured notes DVA		(1,176	)		(1,153	)

(a)	Derivatives credit valuation adjustments (“CVA”), gross of hedges, includes results managed by credit portfolio and other lines of business within the Investment Bank (“IB”).
(b)	Structured notes are recorded within long-term debt, other borrowed funds or deposits on the Consolidated Balance Sheets, based on the tenor and legal form of the note.
(c)	Structured notes are measured at fair value based on the Firm’s election under the fair value option. For further information on these elections, see Note 4 on pages 105–106 of this Form 10-Q.

Impact of credit adjustments on earnings

	Three months ended March 31,
(in millions)	2011			2010
Credit adjustments:
Derivative CVA(a)	$	535		$	156
Derivative DVA		(69	)		(106	)
Structured note DVA(b)		23			108

(a)	Derivatives CVA, gross of hedges, includes results managed by credit portfolio and other lines of business within IB.
(b)	Structured notes are measured at fair value based on the Firm’s election under the fair value option. For further information on these elections, see Note 4 on pages 105–106 of this Form 10-Q.

Carrying value and estimated fair value of financial assets and liabilities

	March 31, 2011							December 31, 2010
	Carrying		Estimated		Appreciation/			Carrying		Estimated		Appreciation/
(in billions)	value		fair value		(depreciation)			value		fair value		(depreciation)
Financial assets
Assets for which fair value approximates carrying value	$	104.3	$	104.3	$	—		$	49.2	$	49.2	$	—
Accrued interest and accounts receivable		79.2		79.2		—			70.1		70.1		—
Federal funds sold and securities purchased under resale agreements (included $20.0 and $20.3 at fair value)		217.4		217.4		—			222.6		222.6		—
Securities borrowed (included $15.3 and $14.0 at fair value)		119.0		119.0		—			123.6		123.6		—
Trading assets		501.1		501.1		—			489.9		489.9		—
Securities (included $334.8 and $316.3 at fair value)		334.8		334.8		—			316.3		316.3		—
Loans (included $1.8 and $2.0 at fair value)(a)		656.2		658.8		2.6			660.7		663.5		2.8
Mortgage servicing rights at fair value		13.1		13.1		—			13.6		13.6		—
Other (included $19.6 and $18.2 at fair value)		66.8		67.1		0.3			64.9		65.0		0.1
Total financial assets	$	2,091.9	$	2,094.8	$	2.9		$	2,010.9	$	2,013.8	$	2.9
Financial liabilities
Deposits (included $4.3 and $4.4 at fair value)	$	995.8	$	996.8	$	(1.0	)	$	930.4	$	931.5	$	(1.1	)
Federal funds purchased and securities loaned or sold under repurchase agreements (included $6.2 and $4.1 at fair value)		285.4		285.4		—			276.6		276.6		—
Commercial paper		46.0		46.0		—			35.4		35.4		—
Other borrowed funds (included $10.6 and $9.9 at fair value)(b)		36.7		36.7		—			34.3		34.3		—
Trading liabilities		141.4		141.4		—			146.2		146.2		—
Accounts payable and other liabilities (included $0.1 and $0.2 at fair value)		142.6		142.5		0.1			138.2		138.2		—
Beneficial interests issued by consolidated VIEs (included $1.3 and $1.5 at fair value)		70.9		71.2		(0.3	)		77.6		77.9		(0.3	)
Long-term debt and junior subordinated deferrable interest debentures (included $37.9 and $38.8 at fair value)(b)		269.6		270.8		(1.2	)		270.7		271.9		(1.2	)
Total financial liabilities	$	1,988.4	$	1,990.8	$	(2.4	)	$	1,909.4	$	1,912.0	$	(2.6	)
Net appreciation					$	(0.5	)					$	0.3

(a)

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

(b)

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

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

	March 31, 2011				December 31, 2010
	Carrying		Estimated		Carrying		Estimated
(in billions)	value(a)		fair value		value(a)		fair value
Wholesale lending—related commitments	$	0.7	$	1.0	$	0.7	$	0.9

(a) Represents the allowance for wholesale unfunded lending-related commitments. Excludes the current carrying values of the guarantee liability and the offsetting asset each recognized at fair value at the inception of guarantees.

Trading assets and liabilities average balances

	Three months ended March 31,
(in millions)	2011		2010
Trading assets — debt and equity instruments(a)	$	417,463	$	331,763
Trading assets — derivative receivables		85,437		78,683
Trading liabilities — debt and equity instruments(a)(b)		82,919		70,882
Trading liabilities — derivative payables		71,288		59,053

(a)	Balances reflect the reduction of securities owned (long positions) by the amount of securities sold, but not yet purchased (short positions) when the long and short positions have identical CUSIPs.
(b)	Primarily represent securities sold, not yet purchased.