Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2012

Fair Value Disclosures [Abstract]

Assets and liabilities measured at fair value on a recurring basis

The following table presents the asset and liabilities measured at fair value as of December 31, 2012 and 2011 by major product category and fair value hierarchy.

Assets and liabilities measured at fair value on a recurring basis
	Fair value hierarchy
December 31, 2012 (in millions)	Level 1		Level 2			Level 3			Netting adjustments			Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	24,258		$	—		$	—		$	24,258
Securities borrowed	—		10,177			—			—			10,177
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	—		36,240			498			—			36,738
Residential – nonagency	—		1,509			663			—			2,172
Commercial – nonagency	—		1,565			1,207			—			2,772
Total mortgage-backed securities	—		39,314			2,368			—			41,682
U.S. Treasury and government agencies(a)	12,240		10,185			—			—			22,425
Obligations of U.S. states and municipalities	—		16,726			1,436			—			18,162
Certificates of deposit, bankers’ acceptances and commercial paper	—		4,759			—			—			4,759
Non-U.S. government debt securities	23,500		45,121			67			—			68,688
Corporate debt securities	—		33,384			5,308			—			38,692
Loans(b)	—		30,754			10,787			—			41,541
Asset-backed securities	—		4,182			3,696			—			7,878
Total debt instruments	35,740		184,425			23,662			—			243,827
Equity securities	106,898		2,687			1,114			—			110,699
Physical commodities(c)	10,107		6,066			—			—			16,173
Other	—		3,483			863			—			4,346
Total debt and equity instruments(d)	152,745		196,661			25,639			—			375,045
Derivative receivables:
Interest rate	476		1,322,155			6,617			(1,290,043		)	39,205
Credit	—		93,821			6,489			(98,575		)	1,735
Foreign exchange	450		144,758			3,051			(134,117		)	14,142
Equity	—		36,017			4,921			(31,672		)	9,266
Commodity	316		41,129			2,180			(32,990		)	10,635
Total derivative receivables(e)	1,242		1,637,880			23,258			(1,587,397		)	74,983
Total trading assets	153,987		1,834,541			48,897			(1,587,397		)	450,028
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	—		98,388			—			—			98,388
Residential – nonagency	—		74,189			450			—			74,639
Commercial – nonagency	—		12,948			255			—			13,203
Total mortgage-backed securities	—		185,525			705			—			186,230
U.S. Treasury and government agencies(a)	8,907		3,223			—			—			12,130
Obligations of U.S. states and municipalities	35		21,489			187			—			21,711
Certificates of deposit	—		2,783			—			—			2,783
Non-U.S. government debt securities	41,218		24,826			—			—			66,044
Corporate debt securities	—		38,609			—			—			38,609
Asset-backed securities:
Collateralized loan obligations	—		—			27,896			—			27,896
Other	—		12,843			128			—			12,971
Equity securities	2,733		38			—			—			2,771
Total available-for-sale securities	52,893		289,336			28,916			—			371,145
Loans	—		273			2,282			—			2,555
Mortgage servicing rights	—		—			7,614			—			7,614
Other assets:
Private equity investments(f)	578		—			7,181			—			7,759
All other	4,188		253			4,258			—			8,699
Total other assets	4,766		253			11,439			—			16,458
Total assets measured at fair value on a recurring basis	$	211,646	$	2,158,838	(g)	$	99,148	(g)	$	(1,587,397	)	$	882,235
Deposits	$	—	$	3,750		$	1,983		$	—		$	5,733
Federal funds purchased and securities loaned or sold under repurchase agreements	—		4,388			—			—			4,388
Other borrowed funds	—		9,972			1,619			—			11,591
Trading liabilities:
Debt and equity instruments(d)	46,580		14,477			205			—			61,262
Derivative payables:
Interest rate	490		1,283,829			3,295			(1,262,708		)	24,906
Credit	—		95,411			4,616			(97,523		)	2,504
Foreign exchange	428		156,413			4,801			(143,041		)	18,601
Equity	—		36,083			6,727			(30,991		)	11,819
Commodity	176		45,363			1,926			(34,639		)	12,826
Total derivative payables(e)	1,094		1,617,099			21,365			(1,568,902		)	70,656
Total trading liabilities	47,674		1,631,576			21,570			(1,568,902		)	131,918
Accounts payable and other liabilities	—		—			36			—			36
Beneficial interests issued by consolidated VIEs	—		245			925			—			1,170
Long-term debt	—		22,312			8,476			—			30,788
Total liabilities measured at fair value on a recurring basis	$	47,674	$	1,672,243		$	34,609		$	(1,568,902	)	$	185,624

	Fair value hierarchy
December 31, 2011 (in millions)	Level 1		Level 2			Level 3			Netting adjustments			Total fair value
Federal funds sold and securities purchased under resale agreements	$	—	$	22,191		$	—		$	—		$	22,191
Securities borrowed	—		15,308			—			—			15,308
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies(a)	27,082		7,801			86			—			34,969
Residential – nonagency	—		2,956			796			—			3,752
Commercial – nonagency	—		870			1,758			—			2,628
Total mortgage-backed securities	27,082		11,627			2,640			—			41,349
U.S. Treasury and government agencies(a)	11,508		8,391			—			—			19,899
Obligations of U.S. states and municipalities	—		15,117			1,619			—			16,736
Certificates of deposit, bankers’ acceptances and commercial paper	—		2,615			—			—			2,615
Non-U.S. government debt securities	18,618		40,080			104			—			58,802
Corporate debt securities	—		33,938			6,373			—			40,311
Loans(b)	—		21,589			12,209			—			33,798
Asset-backed securities	—		2,406			7,965			—			10,371
Total debt instruments	57,208		135,763			30,910			—			223,881
Equity securities	93,799		3,502			1,177			—			98,478
Physical commodities(c)	21,066		4,898			—			—			25,964
Other	—		2,283			880			—			3,163
Total debt and equity instruments(d)	172,073		146,446			32,967			—			351,486
Derivative receivables:
Interest rate	1,324		1,433,469			6,728			(1,395,152		)	46,369
Credit	—		152,569			17,081			(162,966		)	6,684
Foreign exchange	833		162,689			4,641			(150,273		)	17,890
Equity	—		43,604			4,132			(40,943		)	6,793
Commodity	4,561		50,409			2,459			(42,688		)	14,741
Total derivative receivables(e)	6,718		1,842,740			35,041			(1,792,022		)	92,477
Total trading assets	178,791		1,989,186			68,008			(1,792,022		)	443,963
Available-for-sale securities:
Mortgage-backed securities:
U.S. government agencies(a)	92,426		14,681			—			—			107,107
Residential – nonagency	—		67,554			3			—			67,557
Commercial – nonagency	—		10,962			267			—			11,229
Total mortgage-backed securities	92,426		93,197			270			—			185,893
U.S. Treasury and government agencies(a)	3,837		4,514			—			—			8,351
Obligations of U.S. states and municipalities	36		16,246			258			—			16,540
Certificates of deposit	—		3,017			—			—			3,017
Non-U.S. government debt securities	25,381		19,884			—			—			45,265
Corporate debt securities	—		62,176			—			—			62,176
Asset-backed securities:
Collateralized loan obligations	—		116			24,745			—			24,861
Other	—		15,760			213			—			15,973
Equity securities	2,667		38			—			—			2,705
Total available-for-sale securities	124,347		214,948			25,486			—			364,781
Loans	—		450			1,647			—			2,097
Mortgage servicing rights	—		—			7,223			—			7,223
Other assets:
Private equity investments(f)	99		706			6,751			—			7,556
All other	4,336		233			4,374			—			8,943
Total other assets	4,435		939			11,125			—			16,499
Total assets measured at fair value on a recurring basis	$	307,573	$	2,243,022	(g)	$	113,489	(g)	$	(1,792,022	)	$	872,062
Deposits	$	—	$	3,515		$	1,418		$	—		$	4,933
Federal funds purchased and securities loaned or sold under repurchase agreements	—		6,817			—			—			6,817
Other borrowed funds	—		8,069			1,507			—			9,576
Trading liabilities:
Debt and equity instruments(d)	50,830		15,677			211			—			66,718
Derivative payables:
Interest rate	1,537		1,395,113			3,167			(1,371,807		)	28,010
Credit	—		155,772			9,349			(159,511		)	5,610
Foreign exchange	846		159,258			5,904			(148,573		)	17,435
Equity	—		39,129			7,237			(36,711		)	9,655
Commodity	3,114		53,684			3,146			(45,677		)	14,267
Total derivative payables(e)	5,497		1,802,956			28,803			(1,762,279		)	74,977
Total trading liabilities	56,327		1,818,633			29,014			(1,762,279		)	141,695
Accounts payable and other liabilities	—		—			51			—			51
Beneficial interests issued by consolidated VIEs	—		459			791			—			1,250
Long-term debt	—		24,410			10,310			—			34,720
Total liabilities measured at fair value on a recurring basis	$	56,327	$	1,861,903		$	43,091		$	(1,762,279	)	$	199,042

(a) At December 31, 2012 and 2011, included total U.S. government-sponsored enterprise obligations of $119.4 billion and $122.4 billion respectively, which were predominantly mortgage-related.

(b) At December 31, 2012 and 2011, included within trading loans were $26.4 billion and $20.1 billion, respectively, of residential first-lien mortgages, and $2.2 billion and $2.0 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 $17.4 billion and $11.0 billion, respectively, and reverse mortgages of $4.0 billion and $4.0 billion, respectively.

(c) Physical commodities inventories are generally accounted for at the lower of cost or market. “Market” is a term defined in U.S. GAAP as an amount 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 on pages 218–227 of this Annual Report. To provide consistent fair value disclosure information, all physical commodities inventories have been included in each period presented.

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

(e) As permitted under U.S. GAAP, the Firm has elected to net derivative receivables and derivative payables and the related cash collateral received and paid when a legally enforceable master netting agreement exists. For purposes of the tables above, the Firm does not reduce derivative receivables and derivative payables balances for this netting adjustment, either within or across the levels of the fair value hierarchy, as such netting is not relevant to a presentation based on the transparency of inputs to the valuation of an asset or liability. Therefore, the balances reported in the fair value hierarchy table are gross of any counterparty netting adjustments. However, if the Firm were to net such balances within level 3, the reduction in the level 3 derivative receivable and payable balances would be $8.4 billion and $11.7 billion at December 31, 2012 and 2011, respectively; this is exclusive of the netting benefit associated with cash collateral, which would further reduce the level 3 balances.

(f) Private equity instruments represent investments within the Corporate/Private Equity segment. The cost basis of the private equity investment portfolio totaled $8.4 billion and $9.5 billion at December 31, 2012 and 2011, respectively.

(g) Includes investments in hedge funds, private equity funds, real estate and other funds that do not have readily determinable fair values. The Firm uses net asset value per share when measuring the fair value of these investments. At December 31, 2012 and 2011, the fair value of these investments were $4.9 billion and $5.5 billion, respectively, of which $1.1 billion and $1.2 billion, respectively, in level 2, and $3.8 billion and $4.3 billion, respectively, in level 3.

Fair Value Inputs, Assets and Liabilities, Quantitative Information [Table Text Block]

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

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

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

Level 3 inputs(a)
December 31, 2012 (in millions, except for ratios and basis points)
Product/Instrument	Fair value			Principal valuation technique	Unobservable inputs	Range of input values				Weighted average
Residential mortgage-backed securities and loans	$	9,836		Discounted cash flows	Yield	4	%	-	20%	7%
					Prepayment speed	0	%	-	40%	6%
					Conditional default rate	0	%	-	100%	10%
					Loss severity	0	%	-	95%	15%
Commercial mortgage-backed securities and loans(b)	1,724			Discounted cash flows	Yield	2	%	-	32%	6%
					Conditional default rate	0	%	-	8%	0%
					Loss severity	0	%	-	40%	35%
Corporate debt securities, obligations of U.S. states and municipalities, and other(c)	19,563			Discounted cash flows	Credit spread	130 bps		-	250 bps	153 bps
					Yield	0	%	-	30%	9%
				Market comparables	Price	25		-	125	87
Net interest rate derivatives	3,322			Option pricing	Interest rate correlation	(75	)%	-	100%
					Interest rate spread volatility	0	%	-	60%
Net credit derivatives(b)	1,873			Discounted cash flows	Credit correlation	27	%	-	90%
Net foreign exchange derivatives	(1,750		)	Option pricing	Foreign exchange correlation	(75	)%	-	45%
Net equity derivatives	(1,806		)	Option pricing	Equity volatility	5	%	-	45%
Net commodity derivatives	254			Option pricing	Commodity volatility	24	%	-	47%
Collateralized loan obligations(d)	29,972			Discounted cash flows	Credit spread	130 bps		-	600 bps	163 bps
					Prepayment speed	15	%	-	20%	19%
					Conditional default rate	2%				2%
					Loss severity	40%				40%
Mortgage servicing rights (“MSRs”)	7,614			Discounted cash flows	Refer to Note 17 on pages 291–295 of this Annual Report.
Private equity direct investments	5,231			Market comparables	EBITDA multiple	2.7x		-	14.6x	8.3x
					Liquidity adjustment	0	%	-	30%	10%
Private equity fund investments	1,950			Net asset value	Net asset value(f)
Long-term debt, other borrowed funds, and deposits(e)	12,078			Option pricing	Interest rate correlation	(75	)%	-	100%
					Foreign exchange correlation	(75	)%	-	45%
					Equity correlation	(40	)%	-	85%
				Discounted cash flows	Credit correlation	27	%	-	84%

(a) The categories presented in the table have been aggregated based upon the product type, which may differ from their classification on the Consolidated Balance Sheet.

(b) The unobservable inputs and associated input ranges for approximately $1.3 billion of credit derivative receivables and $1.2 billion of credit derivative payables with underlying mortgage risk have been included in the inputs and ranges provided for commercial mortgage-backed securities and loans.

(c) Approximately 16% of instruments in this category include price as an unobservable input. This balance includes certain securities and illiquid trading loans, which are generally valued using comparable prices and/or yields for similar instruments.

(d) CLOs are securities backed by corporate loans. At December 31, 2012, $27.9 billion of CLOs were held in the available–for–sale (“AFS”) securities portfolio and $2.1 billion were included in asset-backed securities held in the trading portfolio. Substantially all of the securities are rated “AAA”, “AA” and “A”. The reported range of credit spreads increased from the third quarter to the fourth quarter of 2012, while the reported ranges of other unobservable parameters decreased. This was primarily due to the Firm incorporating a revised valuation model for CLOs, which uses a different combination of valuation parameters as compared with the old model. The change did not have a significant impact on the fair value of the Firm’s CLO positions.

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

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

Changes in level 3 recurring fair value measurements

	Fair value measurements using significant unobservable inputs
Year ended December 31, 2012 (in millions)	Fair value at January 1, 2012			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at Dec. 31, 2012			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2012
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	86		$	(44	)		$	575		$	(103	)			$	(16	)	$	—		$	498		$	(21	)
Residential – nonagency	796			151				417			(533		)			(145		)	(23		)	663			74
Commercial – nonagency	1,758			(159		)		287			(475		)			(104		)	(100		)	1,207			(145		)
Total mortgage-backed securities	2,640			(52		)		1,279			(1,111		)			(265		)	(123		)	2,368			(92		)
Obligations of U.S. states and municipalities	1,619			37				336			(552		)			(4		)	—			1,436			(15		)
Non-U.S. government debt securities	104			(6		)		661			(668		)			(24		)	—			67			(5		)
Corporate debt securities	6,373			187				8,391			(6,186		)			(3,045		)	(412		)	5,308			689
Loans	12,209			836				5,342			(3,269		)			(3,801		)	(530		)	10,787			411
Asset-backed securities	7,965			272				2,550			(6,468		)			(614		)	(9		)	3,696			184
Total debt instruments	30,910			1,274				18,559			(18,254		)			(7,753		)	(1,074		)	23,662			1,172
Equity securities	1,177			(209		)		460			(379		)			(12		)	77			1,114			(112		)
Other	880			186				68			(108		)			(163		)	—			863			180
Total trading assets – debt and equity instruments	32,967			1,251			(c)	19,087			(18,741		)			(7,928		)	(997		)	25,639			1,240			(c)
Net derivative receivables:(a)
Interest rate	3,561			6,930				406			(194		)			(7,071		)	(310		)	3,322			905
Credit	7,732			(4,487		)		124			(84		)			(1,416		)	4			1,873			(3,271		)
Foreign exchange	(1,263		)	(800		)		112			(184		)			436			(51		)	(1,750		)	(957		)
Equity	(3,105		)	168				1,676			(2,579		)			899			1,135			(1,806		)	580
Commodity	(687		)	(673		)		74			64					1,278			198			254			(160		)
Total net derivative receivables	6,238			1,138			(c)	2,392			(2,977		)			(5,874		)	976			1,893			(2,903		)	(c)
Available-for-sale securities:
Asset-backed securities	24,958			135				9,280			(3,361		)			(3,104		)	116			28,024			118
Other	528			55				667			(113		)			(245		)	—			892			59
Total available-for-sale securities	25,486			190			(d)	9,947			(3,474		)			(3,349		)	116			28,916			177			(d)
Loans	1,647			695			(c)	1,536			(22		)			(1,718		)	144			2,282			12			(c)
Mortgage servicing rights	7,223			(635		)	(e)	2,833			(579		)			(1,228		)	—			7,614			(635		)	(e)
Other assets:
Private equity investments	6,751			420			(c)	1,545			(512		)			(977		)	(46		)	7,181			333			(c)
All other	4,374			(195		)	(f)	818			(238		)			(501		)	—			4,258			(200		)	(f)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2012 (in millions)	Fair value at January 1, 2012			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at Dec. 31, 2012			Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2012
								Purchases(g)			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	1,418		$	212		(c)	$	—		$	—		$	1,236	$	(380	)	$	(503	)	$	1,983		$	185		(c)
Other borrowed funds	1,507			148			(c)	—			—			1,646		(1,774		)	92			1,619			72			(c)
Trading liabilities – debt and equity instruments	211			(16		)	(c)	(2,875		)	2,940			—		(50		)	(5		)	205			(12		)	(c)
Accounts payable and other liabilities	51			1			(f)	—			—			—		(16		)	—			36			1			(f)
Beneficial interests issued by consolidated VIEs	791			181			(c)	—			—			221		(268		)	—			925			143			(c)
Long-term debt	10,310			328			(c)	—			—			3,662		(4,511		)	(1,313		)	8,476			(101		)	(c)

	Fair value measurements using significant unobservable inputs
Year ended December 31, 2011 (in millions)	Fair value at January 1, 2011			Total realized/unrealized gains/(losses)															Transfers into and/or out of level 3(h)			Fair value at Dec. 31, 2011			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2011
								Purchases(g)			Sales					Settlements
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	174		$	24			$	28		$	(39	)			$	(43	)	$	(58	)	$	86		$	(51	)
Residential – nonagency	687			109				708			(432		)			(221		)	(55		)	796			(9		)
Commercial – nonagency	2,069			37				796			(973		)			(171		)	—			1,758			33
Total mortgage-backed securities	2,930			170				1,532			(1,444		)			(435		)	(113		)	2,640			(27		)
Obligations of U.S. states and municipalities	2,257			9				807			(1,465		)			(1		)	12			1,619			(11		)
Non-U.S. government debt securities	202			35				552			(531		)			(80		)	(74		)	104			38
Corporate debt securities	4,946			32				8,080			(5,939		)			(1,005		)	259			6,373			26
Loans	13,144			329				5,532			(3,873		)			(2,691		)	(232		)	12,209			142
Asset-backed securities	8,460			90				4,185			(4,368		)			(424		)	22			7,965			(217		)
Total debt instruments	31,939			665				20,688			(17,620		)			(4,636		)	(126		)	30,910			(49		)
Equity securities	1,685			267				180			(541		)			(352		)	(62		)	1,177			278
Other	930			48				36			(39		)			(95		)	—			880			79
Total trading assets – debt and equity instruments	34,554			980			(c)	20,904			(18,200		)			(5,083		)	(188		)	32,967			308			(c)
Net derivative receivables:(a)
Interest rate	2,836			5,205				511			(219		)			(4,534		)	(238		)	3,561			1,497
Credit	5,386			2,240				22			(13		)			116			(19		)	7,732			2,744
Foreign exchange	(614		)	(1,913		)		191			(20		)			886			207			(1,263		)	(1,878		)
Equity	(2,446		)	(60		)		715			(1,449		)			37			98			(3,105		)	(132		)
Commodity	(805		)	596				328			(350		)			(294		)	(162		)	(687		)	208
Total net derivative receivables	4,357			6,068			(c)	1,767			(2,051		)			(3,789		)	(114		)	6,238			2,439			(c)
Available-for-sale securities:
Asset-backed securities	13,775			(95		)		15,268			(1,461		)			(2,529		)	—			24,958			(106		)
Other	512			—				57			(15		)			(26		)	—			528			8
Total available-for-sale securities	14,287			(95		)	(d)	15,325			(1,476		)			(2,555		)	—			25,486			(98		)	(d)
Loans	1,466			504			(c)	326			(9		)			(639		)	(1		)	1,647			484			(c)
Mortgage servicing rights	13,649			(7,119		)	(e)	2,603			—					(1,910		)	—			7,223			(7,119		)	(e)
Other assets:
Private equity investments	7,862			943			(c)	1,452			(2,746		)			(594		)	(166		)	6,751			(242		)	(c)
All other	4,179			(54		)	(f)	938			(139		)			(521		)	(29		)	4,374			(83		)	(f)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2011 (in millions)	Fair value at January 1, 2011			Total realized/unrealized (gains)/losses															Transfers into and/or out of level 3(h)			Fair value at Dec. 31, 2011			Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2011
								Purchases(g)			Sales			Issuances		Settlements
Liabilities:(b)
Deposits	$	773		$	15		(c)	$	—		$	—		$	433	$	(386	)	$	583		$	1,418		$	4		(c)
Other borrowed funds	1,384			(244		)	(c)	—			—			1,597		(834		)	(396		)	1,507			(85		)	(c)
Trading liabilities – debt and equity instruments	54			17			(c)	(533		)	778			—		(109		)	4			211			(7		)	(c)
Accounts payable and other liabilities	236			(61		)	(f)	—			—			—		(124		)	—			51			5			(f)
Beneficial interests issued by consolidated VIEs	873			17			(c)	—			—			580		(679		)	—			791			(15		)	(c)
Long-term debt	13,044			60			(c)	—			—			2,564		(3,218		)	(2,140		)	10,310			288			(c)

	Fair value measurements using significant unobservable inputs
Year ended December 31, 2010 (in millions)	Fair value at January 1, 2010			Total realized/ unrealized gains/(losses)				Purchases, issuances, settlements, net			Transfers into and/or out of level 3(h)			Fair value at Dec. 31, 2010			Change in unrealized gains/(losses) related to financial instruments held at Dec. 31, 2010
Assets:
Trading assets:
Debt instruments:
Mortgage-backed securities:
U.S. government agencies	$	260		$	24			$	(107	)	$	(3	)	$	174		$	(31	)
Residential – nonagency	1,115			178				(564		)	(42		)	687			110
Commercial – nonagency	1,770			230				(33		)	102			2,069			130
Total mortgage-backed securities	3,145			432				(704		)	57			2,930			209
Obligations of U.S. states and municipalities	1,971			2				142			142			2,257			(30		)
Non-U.S. government debt securities	89			(36		)		194			(45		)	202			(8		)
Corporate debt securities	5,241			(325		)		115			(85		)	4,946			28
Loans	13,218			(40		)		1,296			(1,330		)	13,144			(385		)
Asset-backed securities	8,620			237				(408		)	11			8,460			195
Total debt instruments	32,284			270				635			(1,250		)	31,939			9
Equity securities	1,956			133				(351		)	(53		)	1,685			199
Other	1,441			211				(801		)	79			930			299
Total trading assets – debt and equity instruments	35,681			614			(c)	(517		)	(1,224		)	34,554			507			(c)
Net derivative receivables:(a)
Interest rate	2,040			3,057				(2,520		)	259			2,836			487
Credit	10,350			(1,757		)		(3,102		)	(105		)	5,386			(1,048		)
Foreign exchange	1,082			(913		)		(434		)	(349		)	(614		)	(464		)
Equity	(2,306		)	(194		)		(82		)	136			(2,446		)	(212		)
Commodity	(329		)	(700		)		134			90			(805		)	(76		)
Total net derivative receivables	10,837			(507		)	(c)	(6,004		)	31			4,357			(1,313		)	(c)
Available-for-sale securities:
Asset-backed securities	12,732			(146		)		1,189			—			13,775			(129		)
Other	461			(49		)		37			63			512			18
Total available-for-sale securities	13,193			(195		)	(d)	1,226			63			14,287			(111		)	(d)
Loans	990			145			(c)	323			8			1,466			37			(c)
Mortgage servicing rights	15,531			(2,268		)	(e)	386			—			13,649			(2,268		)	(e)
Other assets:
Private equity investments	6,563			1,038			(c)	715			(454		)	7,862			688			(c)
All other	9,521			(113		)	(f)	(5,132		)	(97		)	4,179			37			(f)
	Fair value measurements using significant unobservable inputs
Year ended December 31, 2010 (in millions)	Fair value at January 1, 2010			Total realized/ unrealized (gains)/losses				Purchases, issuances, settlements, net			Transfers into and/or out of level 3(h)			Fair value at Dec. 31, 2010			Change in unrealized (gains)/losses related to financial instruments held at Dec. 31, 2010
Liabilities:(b)
Deposits	$	476		$	54		(c)	$	(86	)	$	329		$	773		$	(77	)	(c)
Other borrowed funds	542			(242		)	(c)	1,326			(242		)	1,384			445			(c)
Trading liabilities – debt and equity instruments	10			2			(c)	19			23			54			—
Accounts payable and other liabilities	355			(138		)	(f)	19			—			236			37			(f)
Beneficial interests issued by consolidated VIEs	625			(7		)	(c)	87			168			873			(76		)	(c)
Long-term debt	18,287			(532		)	(c)	(4,796		)	85			13,044			662			(c)

(a) All level 3 derivatives are presented on a net basis, irrespective of underlying counterparty.

(b) Level 3 liabilities as a percentage of total Firm liabilities accounted for at fair value (including liabilities measured at fair value on a nonrecurring basis) were 19%, 22% and 23% at December 31, 2012, 2011 and 2010, respectively.

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

(d) Realized gains/(losses) on AFS securities, as well as other-than-temporary impairment losses that are recorded in earnings, are reported in securities gains. Unrealized gains/(losses) are reported in OCI. Realized gains/(losses) and foreign exchange remeasurement adjustments recorded in income on AFS securities were $145 million, $(240) million, and $(66) million for the years ended December 31, 2012, 2011 and 2010, respectively. Unrealized gains/(losses) recorded on AFS securities in OCI were $45 million, $145 million and $(129) million for the years ended December 31, 2012, 2011 and 2010, respectively.

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

(f) Largely reported in other income.

(g) Loan originations are included in purchases.

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

Credit adjustments

The following table provides the credit adjustments, excluding the effect of any hedging activity, reflected within the Consolidated Balance Sheets as of the dates indicated.

December 31, (in millions)	2012			2011
Derivative receivables balance (net of derivatives CVA)	$	74,983		$	92,477
Derivatives CVA(a)	(4,238		)	(6,936		)
Derivative payables balance (net of derivatives DVA)	70,656			74,977
Derivatives DVA	(830		)	(1,420		)
Structured notes balance (net of structured notes DVA)(b)(c)	48,112			49,229
Structured notes DVA	(1,712		)	(2,052		)

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

(b) Structured notes are recorded within long-term debt, other borrowed funds or deposits on the Consolidated Balance Sheets, depending upon the tenor and legal form of the note.

(c) Structured notes are measured at fair value based on the Firm’s election under the fair value option. For further information on these elections, see Note 4 on pages 214–216 of this Annual Report.

Impact of credit adjustments on earnings

The following table provides the impact of credit adjustments on earnings in the respective periods, excluding the effect of any hedging activity.

Year ended December 31, (in millions)	2012			2011			2010
Credit adjustments:
Derivative CVA(a)	$	2,698		$	(2,574	)	$	(665	)
Derivative DVA	(590		)	538			41
Structured notes DVA(b)	(340		)	899			468

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

(b) Structured notes are measured at fair value based on the Firm’s election under the fair value option. For further information on these elections, see Note 4 on pages 214–216 of this Annual Report.

Carrying value and estimated fair value of financial assets and liabilities

The following table presents the carrying values and estimated fair values at December 31, 2012 and 2011, of financial assets and liabilities that are not carried on the Firm’s Consolidated Balance Sheets at fair value (i.e. excluding financial instruments which are carried at fair value on a recurring basis. At December 31, 2012, information is provided on their classification within the fair value hierarchy. For additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value, see pages 196–200 of this Note.

	2012										2011
			Estimated fair value hierarchy
December 31, (in billions)	Carrying value		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value		Estimated fair value
Financial assets
Cash and due from banks	$	53.7	$	53.7	$	—	$	—	$	53.7	$	59.6	$	59.6
Deposits with banks	121.8		114.1		7.7		—		121.8		85.3		85.3
Accrued interest and accounts receivable	60.9		—		60.3		0.6		60.9		61.5		61.5
Federal funds sold and securities purchased under resale agreements	272.0		—		272.0		—		272.0		213.1		213.1
Securities borrowed	108.8		—		108.8		—		108.8		127.2		127.2
Loans, net of allowance for loan losses(a)	709.3		—		26.4		685.4		711.8		694.0		693.7
Other	49.7		—		42.7		7.4		50.1		49.8		50.3
Financial liabilities
Deposits	$	1,187.9	$	—	$	1,187.2	$	1.2	$	1,188.4	$	1,122.9	$	1,123.4
Federal funds purchased and securities loaned or sold under repurchase agreements	235.7		—		235.7		—		235.7		206.7		206.7
Commercial paper	55.4		—		55.4		—		55.4		51.6		51.6
Other borrowed funds	15.0		—		15.0		—		15.0		12.3		12.3
Accounts payable and other liabilities	156.5		—		153.8		2.5		156.3		166.9		166.8
Beneficial interests issued by consolidated VIEs	62.0		—		57.7		4.4		62.1		64.7		64.9
Long-term debt and junior subordinated deferrable interest debentures	218.2		—		220.0		5.4		225.4		222.1		219.5

(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 page 198 of this Note.

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

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

	2012										2011
			Estimated fair value hierarchy
December 31, (in billions)	Carrying value(a)		Level 1		Level 2		Level 3		Total estimated fair value		Carrying value(a)		Estimated fair value
Wholesale lending-related commitments	$	0.7	$	—	$	—	$	1.9	$	1.9	$	0.7	$	3.4

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

Trading assets and liabilities average balances

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

Year ended December 31, (in millions)	2012		2011		2010
Trading assets – debt and equity instruments(a)	$	349,337	$	393,890	$	354,441
Trading assets – derivative receivables	85,744		90,003		84,676
Trading liabilities – debt and equity instruments(a)(b)	69,001		81,916		78,159
Trading liabilities – derivative payables	76,162		71,539		65,714

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

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