Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2016

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Assets and Liabilities Measured at Fair Value on a Recurring Basis.
				Level 1			Level 2		Level 3		Counterparty and Cash Collateral Netting		Balance at March 31, 2016


					(dollars in millions)
Assets at Fair Value
Trading assets:
	U.S. government and agency securities:
		U.S. Treasury securities		$	23,545	$	—	$	—	$	—	$	23,545
		U.S. agency securities			1,004		20,662		8		—		21,674
			Total U.S. government and agency securities		24,549		20,662		8		—		45,219
	Other sovereign government obligations				15,835		8,232		8		—		24,075
	Corporate and other debt:
		State and municipal securities			—		1,832		5		—		1,837
		Residential mortgage-backed securities			—		1,337		292		—		1,629
		Commercial mortgage-backed securities			—		1,029		59		—		1,088
		Asset-backed securities			—		335		4		—		339
		Corporate bonds			—		9,955		224		—		10,179
		Collateralized debt and loan obligations			—		295		348		—		643
		Loans and lending commitments(1)			—		3,640		6,185		—		9,825
		Other debt			—		1,358		527		—		1,885
			Total corporate and other debt		—		19,781		7,644		—		27,425
	Corporate equities(2)				95,676		366		430		—		96,472
	Derivative and other contracts:
		Interest rate contracts			507		424,488		1,170		—		426,165
		Credit contracts			—		19,563		738		—		20,301
		Foreign exchange contracts			77		73,019		224		—		73,320
		Equity contracts			768		43,027		735		—		44,530
		Commodity contracts			2,925		10,648		4,045		—		17,618
		Other			—		19		—		—		19
		Netting(3)			(3,517)		(477,187)		(3,606)		(61,800)		(546,110)
			Total derivative and other contracts		760		93,577		3,306		(61,800)		35,843
	Investments(4):
		Principal investments			22		20		743		—		785
		Other			166		324		179		—		669
			Total investments		188		344		922		—		1,454
	Physical commodities				—		274		—		—		274
		Total trading assets(4)			137,008		143,236		12,318		(61,800)		230,762

AFS securities					32,731		35,436		—		—		68,167
Securities received as collateral					8,811		2		—		—		8,813
Securities purchased under agreements to resell					—		555		—		—		555
Intangible assets					—		—		4		—		4
Total assets measured at fair value				$	178,550	$	179,229	$	12,322	$	(61,800)	$	308,301

Liabilities at Fair Value
Deposits				$	—	$	624	$	23	$	—	$	647
Short-term borrowings					—		697		—		—		697
Trading liabilities:
	U.S. government and agency securities:
		U.S. Treasury securities			10,553		—		—		—		10,553
		U.S. agency securities			304		162		—		—		466
			Total U.S. government and agency securities		10,857		162		—		—		11,019
	Other sovereign government obligations				12,961		3,554		—		—		16,515
	Corporate and other debt:
		Corporate bonds			—		6,517		6		—		6,523
		Lending commitments			—		2		1		—		3
		Other debt			—		31		4		—		35
			Total corporate and other debt		—		6,550		11		—		6,561
	Corporate equities(2)				48,183		60		31		—		48,274
	Derivative and other contracts:
		Interest rate contracts			655		397,394		1,001		—		399,050
		Credit contracts			—		19,806		1,461		—		21,267
		Foreign exchange contracts			49		76,895		98		—		77,042
		Equity contracts			487		44,825		2,567		—		47,879
		Commodity contracts			2,493		9,401		2,845		—		14,739
		Other			—		116		—		—		116
		Netting(3)			(3,517)		(477,187)		(3,606)		(42,386)		(526,696)
			Total derivative and other contracts		167		71,250		4,366		(42,386)		33,397
		Total trading liabilities			72,168		81,576		4,408		(42,386)		115,766
Obligation to return securities received as collateral					17,980		3		1		—		17,984
Securities sold under agreements to repurchase					—		542		151		—		693
Other secured financings					—		2,169		454		—		2,623
Long-term borrowings					—		34,210		1,798		—		36,008
Total liabilities measured at fair value				$	90,148	$	119,821	$	6,835	$	(42,386)	$	174,418


					Level 1		Level 2		Level 3		Counterparty and Cash Collateral Netting		Balance at December 31, 2015


					(dollars in millions)
Assets at Fair Value
Trading assets:
	U.S. government and agency securities:
		U.S. Treasury securities		$	17,658	$	—	$	—	$	—	$	17,658
		U.S. agency securities			797		17,886		—		—		18,683
			Total U.S. government and agency securities		18,455		17,886		—		—		36,341
	Other sovereign government obligations				13,559		7,400		4		—		20,963
	Corporate and other debt:
		State and municipal securities			—		1,651		19		—		1,670
		Residential mortgage-backed securities			—		1,456		341		—		1,797
		Commercial mortgage-backed securities			—		1,520		72		—		1,592
		Asset-backed securities			—		494		25		—		519
		Corporate bonds			—		9,959		267		—		10,226
		Collateralized debt and loan obligations			—		284		430		—		714
		Loans and lending commitments(1)			—		4,682		5,936		—		10,618
		Other debt			—		2,263		448		—		2,711
			Total corporate and other debt		—		22,309		7,538		—		29,847
	Corporate equities(2)				106,296		379		433		—		107,108
	Derivative and other contracts:
		Interest rate contracts			406		323,586		2,052		—		326,044
		Credit contracts			—		22,258		661		—		22,919
		Foreign exchange contracts			55		64,608		292		—		64,955
		Equity contracts			653		38,552		1,084		—		40,289
		Commodity contracts			3,140		10,654		3,358		—		17,152
		Other			—		219		—		—		219
		Netting(3)			(3,840)		(380,443)		(3,120)		(55,562)		(442,965)
			Total derivative and other contracts		414		79,434		4,327		(55,562)		28,613
	Investments(4):
		Principal investments			20		44		486		—		550
		Other			163		310		221		—		694
			Total investments		183		354		707		—		1,244
	Physical commodities				—		321		—		—		321
		Total trading assets(4)			138,907		128,083		13,009		(55,562)		224,437
AFS securities					34,351		32,408		—		—		66,759
Securities received as collateral					11,221		3		1		—		11,225
Securities purchased under agreements to resell					—		806		—		—		806
Intangible assets					—		—		5		—		5
Total assets measured at fair value				$	184,479	$	161,300	$	13,015	$	(55,562)	$	303,232

Liabilities at Fair Value
Deposits				$	—	$	106	$	19	$	—	$	125
Short-term borrowings					—		1,647		1		—		1,648
Trading liabilities:
	U.S. government and agency securities:
		U.S. Treasury securities			12,932		—		—		—		12,932
		U.S. agency securities			854		127		—		—		981
			Total U.S. government and agency securities		13,786		127		—		—		13,913
	Other sovereign government obligations				10,970		2,558		—		—		13,528
	Corporate and other debt:
		Commercial mortgage-backed securities			—		2		—		—		2
		Corporate bonds			—		5,035		—		—		5,035
		Lending commitments			—		3		—		—		3
		Other debt			—		5		4		—		9
			Total corporate and other debt		—		5,045		4		—		5,049
	Corporate equities(2)				47,123		35		17		—		47,175
	Derivative and other contracts:
		Interest rate contracts			466		305,151		1,792		—		307,409
		Credit contracts			—		22,160		1,505		—		23,665
		Foreign exchange contracts			22		65,177		151		—		65,350
		Equity contracts			570		42,447		3,115		—		46,132
		Commodity contracts			3,012		9,431		2,308		—		14,751
		Other			—		43		—		—		43
		Netting(3)			(3,840)		(380,443)		(3,120)		(40,473)		(427,876)
			Total derivative and other contracts		230		63,966		5,751		(40,473)		29,474
		Total trading liabilities			72,109		71,731		5,772		(40,473)		109,139
Obligation to return securities received as collateral					19,312		3		1		—		19,316
Securities sold under agreements to repurchase					—		532		151		—		683
Other secured financings					—		2,393		461		—		2,854
Long-term borrowings					—		31,058		1,987		—		33,045
Total liabilities measured at fair value				$	91,421	$	107,470	$	8,392	$	(40,473)	$	166,810

_____________

AFS—Available for sale

(1) At March 31, 2016, Loans and lending commitments held at fair value consisted of $7,455 million of corporate loans, $1,727 million of residential real estate loans and $643 million of wholesale real estate loans. At December 31, 2015, Loans and lending commitments held at fair value consisted of $7,286 million of corporate loans, $1,885 million of residential real estate loans and $1,447 million of wholesale real estate loans.

(2) For trading purposes, the Company holds or sells short equity securities issued by entities in diverse industries and of varying sizes.

(3) For positions with the same counterparty that cross over the levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Counterparty and Cash Collateral Netting.” For contracts with the same counterparty, counterparty netting among positions classified within the same level is included within that shared level. For further information on derivative instruments and hedging activities, see Note 4.

(4) Amounts exclude certain investments that are measured at fair value using the net asset value (“NAV”) per share, which are not classified in the fair value hierarchy. At March 31, 2016 and December 31, 2015, the fair value of these investments was $3,388 million and $3,843 million, respectively. For additional disclosure about such investments, see “Fair Value of Investments Measured at Net Asset Value” herein.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis

Roll-forward of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis.

					Beginning Balance at December 31, 2015		Total Realized and Unrealized Gains (Losses)		Purchases (1)		Sales		Issuances		Settlements		Net Transfers		Ending Balance at March 31, 2016		Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at March 31, 2016
					(dollars in millions)
Assets at Fair Value
Trading assets:
	U.S. agency securities			$	—	$	5	$	—	$	—	$	—	$	—	$	3	$	8	$	5
	Other sovereign government obligations				4		—		—		(2)		—		—		6		8		—
	Corporate and other debt:
		State and municipal securities			19		—		—		(15)		—		—		1		5		—
		Residential mortgage-backed securities			341		(24)		19		(67)		—		—		23		292		(17)
		Commercial mortgage-backed securities			72		(9)		—		(15)		—		—		11		59		(9)
		Asset-backed securities			25		(1)		1		(17)		—		—		(4)		4		—
		Corporate bonds			267		44		17		(98)		—		—		(6)		224		28
		Collateralized debt and loan obligations			430		(14)		114		(113)		—		—		(69)		348		(4)
		Loans and lending commitments			5,936		(60)		952		(319)		—		(351)		27		6,185		(64)
		Other debt			448		5		75		(9)		—		—		8		527		5
			Total corporate and other debt		7,538		(59)		1,178		(653)		—		(351)		(9)		7,644		(61)
	Corporate equities				433		11		78		(44)		—		—		(48)		430		6
	Net derivative and other contracts(2):
		Interest rate contracts			260		470		5		—		(14)		(30)		(522)		169		411
		Credit contracts			(844)		28		—		—		—		67		26		(723)		24
		Foreign exchange contracts			141		(61)		—		—		—		(105)		151		126		(38)
		Equity contracts(3)			(2,031)		(135)		137		—		(128)		294		31		(1,832)		(12)
		Commodity contracts			1,050		73		9		—		(61)		(57)		186		1,200		68
			Total net derivative and
			other contracts		(1,424)		375		151		—		(203)		169		(128)		(1,060)		453
	Investments:
		Principal investments			486		(43)		365		(29)		—		(41)		5		743		(43)
		Other			221		12		—		(25)		—		—		(29)		179		12
			Total investments		707		(31)		365		(54)		—		(41)		(24)		922		(31)
Securities received as collateral					1		—		—		(1)		—		—		—		—		—
Intangible assets					5		—		—		(1)		—		—		—		4		(1)

Liabilities at Fair Value
Deposits				$	19	$	(2)	$	—	$	—	$	2	$	—	$	—	$	23	$	(2)
Short-term borrowings					1		—		—		—		—		(1)		—		—		—
Trading liabilities:
	Corporate and other debt:
		Corporate bonds			—		(4)		(2)		9		—		—		(5)		6		(4)
		Lending commitments			—		(1)		—		—		—		—		—		1		(1)
		Other debt			4		7		—		7		—		—		—		4		7
			Total corporate and other debt		4		2		(2)		16		—		—		(5)		11		2
	Corporate equities				17		(4)		(15)		13		—		—		12		31		(4)
Obligation to return securities
	received as collateral				1		—		—		—		—		—		—		1		—
Securities sold under agreements to repurchase					151		—		—		—		—		—		—		151		—
Other secured financings					461		(18)		—		—		47		(22)		(50)		454		(18)
Long-term borrowings					1,987		(46)		—		—		72		(79)		(228)		1,798		(45)


					Beginning Balance at December 31, 2014		Total Realized and Unrealized Gains (Losses)		Purchases (1)		Sales		Issuances		Settlements		Net Transfers		Ending Balance at March 31, 2015		Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at March 31, 2015

					(dollars in millions)
Assets at Fair Value
Trading assets:
	Other sovereign government obligations			$	41	$	1	$	2	$	(32)	$	—	$	—	$	(1)	$	11	$	1
	Corporate and other debt:
		Residential mortgage-backed securities			175		17		58		(40)		—		—		86		296		12
		Commercial mortgage-backed securities			96		(2)		96		(10)		—		—		—		180		(2)
		Asset-backed securities			76		(2)		57		(29)		—		—		(35)		67		3
		Corporate bonds			386		38		129		(141)		—		—		12		424		38
		Collateralized debt and loan obligations			1,152		79		241		(397)		—		(253)		—		822		2
		Loans and lending commitments			5,874		41		914		(213)		—		(1,807)		(20)		4,789		40
		Other debt			285		(10)		68		(1)		—		(5)		149		486		2
			Total corporate and other debt		8,044		161		1,563		(831)		—		(2,065)		192		7,064		95
	Corporate equities				272		19		30		(98)		—		—		7		230		12
	Net derivative and other contracts(2):
		Interest rate contracts			(173)		128		6		—		(11)		65		(511)		(496)		119
		Credit contracts			(743)		(247)		14		—		(30)		7		15		(984)		(252)
		Foreign exchange contracts			151		62		—		—		—		97		(13)		297		62
		Equity contracts(3)			(2,165)		(273)		33		—		(176)		(54)		163		(2,472)		(324)
		Commodity contracts			1,146		295		—		—		—		(37)		(59)		1,345		262
			Total net derivative and other contracts		(1,784)		(35)		53		—		(217)		78		(405)		(2,310)		(133)
	Investments:
		Principal investments			835		17		11		(34)		—		—		—		829		9
		Other			323		(12)		2		(5)		—		—		83		391		(10)
			Total investments		1,158		5		13		(39)		—		—		83		1,220		(1)
Securities received as collateral					—		—		33		—		—		—		—		33		—
Intangible assets					6		—		—		—		—		(1)		—		5		—
Liabilities at Fair Value
Trading liabilities:
	Corporate and other debt:
		Corporate bonds		$	78	$	(4)	$	(1)	$	8	$	—	$	—	$	(66)	$	23	$	(4)
		Lending commitments			5		5		—		—		—		—		—		—		5
		Other debt			38		6		(11)		5		—		—		(3)		23		6
	Total corporate and other debt				121		7		(12)		13		—		—		(69)		46		7
	Corporate equities				45		1		—		7		—		—		(1)		50		1
Obligation to return securities received as collateral					—		—		—		33		—		—		—		33		—
Securities sold under agreements to repurchase					153		(1)		—		—		—		—		—		154		(1)
Other secured financings					149		(8)		—		—		—		(24)		—		133		1
Long-term borrowings					1,934		17		—		—		115		(142)		(152)		1,738		10

___________

(1) Loan originations and consolidations of VIEs are included in purchases.

(2) Net derivative and other contracts represent Trading assets—Derivative and other contracts, net of Trading liabilities—Derivative and other contracts. For further information on derivative instruments and hedging activities, see Note 4.

(3) Net liability Level 3 derivative equity contracts increased by $785 million to correct the fair value level assigned to these contracts at December 31, 2014. The total amount of derivative equity contracts remained unchanged at December 31, 2014.

Quantitative Information about and Sensitivity of Significant Unobservable Inputs used in Recurring Level 3 Fair Value Measurements

Recurring Level 3 Fair Value Measurements Valuation Techniques and Sensitivity of Unobservable Inputs.

Balance at March 31, 2016

Valuation Technique(s) /Significant Unobservable Input(s) /Sensitivity of the Fair Value to Changes in the Unobservable Inputs

Range(1)

Averages(2)

(dollars in millions)

Assets at Fair Value

Trading assets:

Corporate and other debt:

Residential mortgage-backed

securities

292

Comparable pricing:

Comparable bond price / (A)

0 to 79 points

27 points

Commercial mortgage-backed

securities

Comparable pricing:

Comparable bond price / (A)

0 to 9 points

1 point

Corporate bonds

224

Comparable pricing(3):

Comparable bond price / (A)

3 to 118 points

63 points

Comparable pricing:

EBITDA multiple / (A)

5 to 10 times

7 times

Collateralized debt and loan

obligations

348

Comparable pricing(3):

Comparable bond price / (A)

55 to 100 points

66 points

Correlation model:

Credit correlation / (B)

27% to 60%

37%

Loans and lending commitments

6,185

Corporate loan model:

Credit spread / (C)

323 to 989 bps

581 bps

Margin loan model(3):

Credit spread / (C)(D)

30 to 101 bps

74 bps

Volatility skew / (C)(D)

19% to 53%

29%

Discount rate / (C)(D)

1% to 9%

Option model:

Volatility skew / (C)

-1%

Comparable pricing:

Comparable loan price / (A)

38 to 100 points

90 points

Expected recovery:

Asset coverage / (A)

48% to 100%

91%

Discounted cash flow:

Implied weighted average cost of capital / (C)(D)

6% to 7%

Capitalization rate / (C)(D)

4% to 10%

Other debt

527

Comparable pricing:

Comparable loan price / (A)

4 to 87 points

65 points

Comparable pricing:

Comparable bond price / (A)

7 points

Option model:

At the money volatility / (C)

16% to 53%

53%

Margin loan model(3):

Discount rate / (C)

1% to 2%

Corporate equities

430

Comparable pricing:

Comparable price / (A)

46% to 59%

54%

Comparable pricing(3):

Comparable equity price / (A)

100%

Net derivative and other contracts(4):

Interest rate contracts

169

Option model:

Interest rate volatility concentration

liquidity multiple / (C)(D)

2 times

Interest rate - Foreign exchange

correlation / (C)(D)

25% to 56%

42% / 43% (5)

Interest rate volatility skew / (A)(D)

31% to 116%

66% / 66% (5)

Interest rate quanto correlation / (A)(D)

-9% to 35%

5% / -7% (5)

Interest rate curve correlation / (C)(D)

27% to 96%

69% / 75% (5)

Inflation volatility / (A)(D)

58% to 60%

59% / 59% (5)

Interest rate - Inflation correlation / (A)(D)

-40% to 42%

-41% / -41% (5)

Credit contracts

(723)

Comparable pricing:

Cash synthetic basis / (C)(D)

5 to 12 points

10 points

Comparable bond price / (C)(D)

0 to 75 points

24 points

Correlation model(3):

Credit correlation / (B)

29% to 90%

42%

Foreign exchange contracts(6)

126

Option model:

Interest rate - Foreign exchange correlation /

(C)(D)

25% to 56%

42% / 43% (5)

Foreign exchange volatility skew / (C)(D)

-11% to 4%

0% / 0% (5)

Interest rate volatility skew / (A)(D)

31% to 116%

66% / 66% (5)

Interest rate curve / (A)(D)

0% / 0% (5)

Equity contracts(6)

(1,832)

Option model:

At the money volatility / (A)(D)

7% to 86%

33%

Volatility skew / (C)(D)

-5% to 0%

-1%

Equity - Equity correlation / (A)(D)

40% to 97%

78%

Equity - Foreign exchange correlation / (C)(D)

-60% to -21%

-36%

Equity - Interest rate correlation / (C)(D)

-29% to 50%

17% / 8% (5)

Commodity contracts

1,200

Option model:

Forward power price / (C)(D)

$1 to $93 per

$31 per

megawatt hour

Commodity volatility / (A)(D)

7% to 55%

17%

Cross commodity correlation / (C)(D)

43% to 99%

93%

Investments:

Principal investments

743

Discounted cash flow:

Implied weighted average cost of capital / (C)(D)

12% to 17%

14%

Exit multiple / (A)(D)

8 to 14 times

8 times

Market approach(3):

EBITDA multiple / (A)(D)

6 to 26 times

11 times

Forward capacity price / (A)(D)

$5 to $9

Comparable pricing:

Comparable equity price / (A)

43% to 100%

81%

Other

179

Discounted cash flow:

Implied weighted average cost of capital / (C)(D)

Exit multiple / (A)(D)

13 times

Market approach:

EBITDA multiple / (A)(D)

6 to 14 times

12 times

Comparable pricing(3):

Comparable equity price / (A)

100%

Liabilities at Fair Value

Securities sold under agreements

to repurchase

151

Discounted cash flow:

Funding spread / (A)

104 to 130 bps

120 bps

Other secured financings

454

Option model:

Volatility skew / (C)

-1%

Discounted cash flow(3):

Discount rate / (C)

4% to 14%

Discounted cash flow:

Funding spread / (A)

94 to 130 bps

112 bps

Long-term borrowings

1,798

Option model(3):

At the money volatility / (C)(D)

6% to 55%

28%

Volatility skew / (C)(D)

-2% to 0%

-1%

Equity - Equity correlation / (C)(D)

40% to 97%

73%

Equity - Foreign exchange correlation / (A)(D)

-60% to -13%

-28%

Option model:

Interest rate volatility skew / (A)(D)

25% to 50%

38%

Equity volatility discount / (C)(D)

10% to 20%

15%

Option model:

Interest rate - Foreign exchange correlation /

(A)(D)

25% to 56%

42% / 43% (5)

Correlation model:

Credit correlation / (B)

29% to 60%

42%

Comparable pricing:

Comparable equity price / (A)

100%

Valuation Technique(s) /

Significant Unobservable Input(s) /

Balance at

Sensitivity of the Fair Value to Changes

December 31, 2015

in the Unobservable Inputs

Range(1)

Averages(2)

(dollars in millions)

Assets at Fair Value

Trading assets:

Corporate and other debt:

Residential mortgage-backed

securities

341

Comparable pricing:

Comparable bond price / (A)

0 to 75 points

32 points

Commercial mortgage-backed

securities

Comparable pricing:

Comparable bond price / (A)

0 to 9 points

2 point

Corporate bonds

267

Comparable pricing(3):

Comparable bond price / (A)

3 to 119 points

90 points

Comparable pricing:

EBITDA multiple / (A)

7 to 9 times

8 times

Structured bond model:

Discount rate / (C)

15%

Collateralized debt and loan

obligations

430

Comparable pricing(3):

Comparable bond price / (A)

47 to 103 points

67 points

Correlation model:

Credit correlation / (B)

39% to 60%

49%

Loans and lending commitments

5,936

Corporate loan model:

Credit spread / (C)

250 to 866 bps

531 bps

Margin loan model(3):

Credit spread / (C)(D)

62 to 499 bps

145 bps

Volatility skew / (C)(D)

14% to 70%

33%

Discount rate / (C)(D)

1% to 4%

Option model:

Volatility skew / (C)

-1%

Comparable pricing:

Comparable loan price / (A)

35 to 100 points

88 points

Discounted cash flow:

Implied weighted average cost of capital / (C)(D)

6% to 8%

Capitalization rate / (C)(D)

4% to 10%

Other debt

448

Comparable pricing:

Comparable loan price / (A)

4 to 84 points

59 points

Comparable pricing:

Comparable bond price / (A)

8 points

Option model:

At the money volatility / (C)

16% to 53%

53%

Margin loan model(3):

Discount rate / (C)

Corporate equities

433

Comparable pricing:

Comparable price / (A)

50% to 80%

72%

Comparable pricing(3):

Comparable equity price / (A)

100%

Market approach:

EBITDA multiple / (A)

9 times

Net derivative and other contracts(4):

Interest rate contracts

260

Option model:

Interest rate volatility concentration

liquidity multiple / (C)(D)

0 to 3 times

2 times

Interest rate - Foreign exchange

correlation / (C)(D)

25% to 62%

43% / 43%(5)

Interest rate volatility skew / (A)(D)

29% to 82%

43% / 40%(5)

Interest rate quanto correlation / (A)(D)

-8% to 36%

5% / -6%(5)

Interest rate curve correlation / (C)(D)

24% to 95%

60% / 69%(5)

Inflation volatility / (A)(D)

58%

58% / 58%(5)

Interest rate - Inflation correlation / (A)(D)

-41% to -39%

-41% / -41%(5)

Credit contracts

(844)

Comparable pricing:

Cash synthetic basis / (C)(D)

5 to 12 points

9 points

Comparable bond price / (C)(D)

0 to 75 points

24 points

Correlation model(3):

Credit correlation / (B)

39% to 97%

57%

Foreign exchange contracts(6)

141

Option model:

Interest rate - Foreign exchange correlation

/ (C)(D)

25% to 62%

43% / 43%(5)

Interest rate volatility skew / (A)(D)

29% to 82%

43% / 40 %(5)

Interest rate curve / (A)(D)

0% / 0%(5)

Equity contracts(6)

(2,031)

Option model:

At the money volatility / (A)(D)

16% to 65%

32%

Volatility skew / (A)(D)

-3% to 0%

-1%

Equity - Equity correlation / (C)(D)

40% to 99%

71%

Equity - Foreign exchange correlation / (A)(D)

-60% to -11%

-39%

Equity - Interest rate correlation / (C)(D)

-29% to 50%

16% / 8%(5)

Commodity contracts

1,050

Option model:

Forward power price / (C)(D)

$3 to $91 per

$32 per

megawatt hour

Commodity volatility / (A)(D)

10% to 92%

18%

Cross commodity correlation / (C)(D)

43% to 99%

93%

Investments:

Principal investments

486

Discounted cash flow:

Implied weighted average cost of capital / (C)(D)

16%

Exit multiple / (A)(D)

8 to 14 times

9 times

Capitalization rate / (C)(D)

5% to 9%

Equity discount rate / (C)(D)

20% to 35%

26%

Market approach(3):

EBITDA multiple / (A)(D)

8 to 20 times

11 times

Forward capacity price / (A)(D)

$5 to $9

Comparable pricing:

Comparable equity price / (A)

43% to 100%

81%

Other

221

Discounted cash flow:

Implied weighted average cost of capital / (C)(D)

10%

Exit multiple / (A)(D)

13 times

Market approach:

EBITDA multiple / (A)

7 to 14 times

12 times

Comparable pricing(3):

Comparable equity price / (A)

100%

Liabilities at Fair Value

Securities sold under agreements

to repurchase

151

Discounted cash flow:

Funding spread / (A)

86 to 116 bps

105 bps

Other secured financings

461

Option model:

Volatility skew / (C)

-1%

Discounted cash flow(3):

Discount rate / (C)

4% to 13%

Discounted cash flow:

Funding spread / (A)

95 to 113 bps

104 bps

Long-term borrowings

1,987

Option model(3):

At the money volatility / (C)(D)

20% to 50%

29%

Volatility skew / (A)(D)

-1% to 0%

-1%

Equity - Equity correlation / (A)(D)

40% to 97%

77%

Equity - Foreign exchange correlation / (C)(D)

-70% to -11%

-39%

Option model:

Interest rate volatility skew / (A)(D)

50%

Equity volatility discount / (A)(D)

10%

Correlation model:

Credit correlation / (B)

40% to 60%

52%

Comparable pricing:

Comparable equity price / (A)

100%

________________

bps—Basis points.

EBITDA—Earnings before interest, taxes, depreciation and amortization.

(1) The range of significant unobservable inputs is represented in points, percentages, basis points, times or megawatt hours. Points are a percentage of par; for example, 79 points would be 79% of par. A basis point equals 1/100th of 1%; for example, 989 bps would equal 9.89%.

(2) Amounts represent weighted averages except where simple averages and the median of the inputs are provided (see footnote 5 below). Weighted averages are calculated by weighting each input by the fair value of the respective financial instruments except for collateralized debt and loan obligations, principal investments, other debt, corporate bonds, long-term borrowings and derivative instruments where some or all inputs are weighted by risk.

(3) This is the predominant valuation technique for this major asset or liability class.

(4) Credit valuation adjustments (“CVA”) and funding valuation adjustments (“FVA”) are included in the balance but excluded from the Valuation Technique(s) and Significant Unobservable Input(s) in the table above. CVA is a Level 3 input when the underlying counterparty credit curve is unobservable. FVA is a Level 3 input in its entirety given the lack of observability of funding spreads in the principal market.

(5) The data structure of the significant unobservable inputs used in valuing interest rate contracts, foreign exchange contracts and certain equity contracts may be in a multi-dimensional form, such as a curve or surface, with risk distributed across the structure. Therefore, a simple average and median, together with the range of data inputs, may be more appropriate measurements than a single point weighted average.

(6) Includes derivative contracts with multiple risks (i.e., hybrid products).

Sensitivity of the fair value to changes in the unobservable inputs:

(A) Significant increase (decrease) in the unobservable input in isolation would result in a significantly higher (lower) fair value measurement.

(B) Significant changes in credit correlation may result in a significantly higher or lower fair value measurement. Increasing (decreasing) correlation drives a redistribution of risk within the capital structure such that junior tranches become less (more) risky and senior tranches become more (less) risky.

(C) Significant increase (decrease) in the unobservable input in isolation would result in a significantly lower (higher) fair value measurement.

(D) There are no predictable relationships between the significant unobservable inputs.

Fair Value of Investments that Calculate Net Asset Value

Investments in Certain Funds Measured at NAV per Share.
			At March 31, 2016				At December 31, 2015
			Fair Value		Commitment		Fair Value		Commitment
		(dollars in millions)
Private equity funds		$	1,768	$	467	$	1,917	$	538
Real estate funds			1,274		113		1,337		128
Hedge funds:
	Long-short equity hedge funds		193		─		422		─
	Fixed income/credit-related hedge funds		52		─		71		─
	Event-driven hedge funds		2		─		2		─
	Multi-strategy hedge funds		99		4		94		4
Total		$	3,388	$	584	$	3,843	$	670

		At March 31, 2016
Fund Type		Less than 5 years		5-10 years		Over 10 years		Total
		(dollars in millions)
Private equity funds	$	141	$	926	$	701	$	1,768
Real estate funds		97		708		469		1,274

		At March 31, 2016
		Fair Value	Gate Restrictions	Remaining Exit Restriction Period
	(dollars in millions)
Long-short equity	$	193	26%	Indefinite
Fixed income/credit-related		52	73%	Indefinite
Event-driven		2	N/A	N/A
Multi-strategy(1)		99	N/A	N/A

(1) Approximately 21% of the fair value of multi-strategy investments is subject to lock-up restrictions, which have remaining periods primarily over three years at March 31, 2016.

Net Gains (Losses) Due to Changes in Fair Value for Items Measured at Fair Value Pursuant to the Fair Value Option Election

Impact on Earnings of Transactions Under the Fair Value Option Election.
				Interest		Gains (Losses)
		Trading		Income		Included in
		Revenues		(Expense)		Net Revenues
		(dollars in millions)
Three Months Ended March 31, 2016
Securities purchased under agreements to resell	$	─	$	2	$	2
Deposits(1)		(2)		─		(2)
Short-term borrowings(1)		45		─		45
Securities sold under agreements to repurchase(1)		(9)		(2)		(11)
Long-term borrowings(1)		(965)		(139)		(1,104)

Three Months Ended March 31, 2015
Securities purchased under agreements to resell	$	(1)	$	─	$	(1)
Short-term borrowings(2)		(40)		─		(40)
Securities sold under agreements to repurchase(2)		(2)		(1)		(3)
Long-term borrowings(2)		937		(132)		805

Gains (losses) are mainly attributable to changes in foreign currency rates or interest rates or movements in the reference price or index for short-term and long-term borrowings before the impact of related hedges. In accordance with the early adoption of a provision of the accounting update Recognition and Measurement of Financial Assets and Financial Liabilities, unrealized DVA gains of $323 million are recorded within OCI in the condensed consolidated statements of comprehensive income and not included in the above table for the quarter ended March 31, 2016. See Notes 2 and 14 for further information.
Gains (losses) recorded in Trading revenues for the quarter ended March 31, 2015 are attributable to DVA and the respective remainder is attributable to changes in foreign currency rates or interest rates or movements in the reference price or index for structured notes before the impact of related hedges.

Breakdown of Outstanding Short-term and Long-term Borrowings

Business Unit Responsible for Risk Management			At March 31, 2016		At December 31, 2015
			(dollars in millions)
Equity		$	19,006	$	17,789
Interest rates			15,657		14,255
Credit and foreign exchange			1,704		2,266
Commodities			338		383
	Total	$	36,705	$	34,693

Gains (Losses) Due to Changes in Instrument Specific Credit Risk

Gains (Losses) due to Changes in Instrument-Specific Credit Risk.

		Three Months Ended
		March 31,
		2016				2015
		Trading Revenues		OCI		Trading Revenues		OCI
		(dollars in millions)
Short-term and long-term borrowings(1)	$	41	$	319	$	125	$	─
Securities sold under agreements to repurchase(1)		─		4		─		─
Loans and other debt(2)		(100)		─		77		─
Lending commitments(3)		1		─		9		─

_____________

(1) In accordance with the early adoption of a provision of the accounting update, Recognition and Measurement of Financial Assets and Financial Liabilities, for the quarter ended March 31, 2016 DVA gains (losses) are recorded in OCI when unrealized and in Trading revenues when realized. In the quarter ended March 31, 2015, the realized and unrealized DVA gains (losses) are recorded in Trading revenues. The cumulative impact of changes in the Company’s DVA and the pre-tax amount recognized in AOCI is a loss of $138 million at March 31, 2016. See Notes 2 and 14 for further information.

(2) Loans and other debt instrument-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses, such as those due to changes in interest rates.

(3) Gains (losses) on lending commitments were generally determined based on the differential between estimated expected client yields and contractual yields at each respective period-end.

Net Difference between Contractual Principal Amount and Fair Value

Net Difference of Contractual Principal Amount Over Fair Value.
		At March 31, 2016		At December 31, 2015
		(dollars in millions)
Loans and other debt(1)	$	14,353	$	14,095
Loans 90 or more days past due and/or on nonaccrual status(1)(2)		12,177		11,651
Short-term and long-term borrowings(3)		344		508

_____________

(1) The majority of the difference between principal and fair value amounts for loans and other debt emanates from the distressed debt trading business, which purchases distressed debt at amounts well below par.

(2) The aggregate fair value of loans that were in nonaccrual status was $2,267 million and $1,853 million at March 31, 2016 and December 31, 2015, respectively, which includes all loans 90 or more days past due of $887 million and $885 million at March 31, 2016 and December 31, 2015, respectively.

(3) Short-term and long-term borrowings do not include structured notes where the repayment of the initial principal amount fluctuates based on changes in the reference price or index.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Assets and Liabilities Measured at Fair Value on a Non-Recurring Basis.

						Fair Value by Level
												Total
												Gains (Losses)
				Carrying								for the
				Value at								Three Months Ended
				March 31,								March 31,
				2016		Level 1		Level 2		Level 3		2016(1)
				(dollars in millions)
Assets:
	Loans(2)		$	6,515	$	─	$	3,359	$	3,156	$	(80)
	Other assets—Other investments(3)			27		─		─		27		(3)
	Other assets—Premises, equipment
		and software costs(4)		─		─		─		─		(5)
Total assets			$	6,542	$	─	$	3,359	$	3,183	$	(88)
Liabilities:
	Other liabilities and accrued
		expenses(2)	$	459	$	─	$	379	$	80	$	(20)
Total liabilities			$	459	$	─	$	379	$	80	$	(20)


					Fair Value by Level
											Total
											Gains (Losses)
			Carrying								for the
			Value at								Three Months Ended
			March 31,								March 31,
			2015		Level 1		Level 2		Level 3		2015(1)
			(dollars in millions)
Assets:
	Loans(2)	$	3,346	$	─	$	2,521	$	825	$	(24)
	Other assets—Other investments(3)		35		─		─		35		(2)
	Other assets—Premises, equipment
	and software costs(4)	software costs(5)	─		─		─		─		(19)
Total assets		$	3,381	$	─	$	2,521	$	860	$	(45)
Liabilities:
	Other liabilities and accrued
	expenses(2)	$	245	$	─	$	203	$	42	$	(7)
Total liabilities		$	245	$	─	$	203	$	42	$	(7)

___________________

(1) Changes in the fair value of Loans and losses related to Other assets—Other investments are recorded within Other revenues in the condensed consolidated statements of income. Losses related to Other assets—Premises, equipment and software costs are recorded within Other expenses if not held for sale and within Other revenues if held for sale. Changes in the fair value of lending commitments reported in Other liabilities and accrued expenses that are designated as held for sale are recorded within Other revenues, whereas, changes in the fair value related to held for investment lending commitments are recorded within Other expenses.

(2) Non-recurring changes in the fair value of loans and lending commitments held for investment were calculated using the value of the underlying collateral. Loans and lending commitments held for sale were calculated using recently executed transactions; market price quotations; valuation models that incorporate market observable inputs where possible, such as comparable loan or debt prices and credit default swap spread levels adjusted for any basis difference between cash and derivative instruments; or default recovery analysis where such transactions and quotations are unobservable.

(3) Losses related to Other assets—Other investments were determined primarily using discounted cash flow models and methodologies that incorporate multiples of certain comparable companies.

(4) Losses related to Other assets—Premises, equipment and software costs were determined primarily using a default recovery analysis.

Financial Instruments Not Measured at Fair Value

Financial Instruments Not Measured at Fair Value.

The tables below exclude certain financial instruments such as equity method investments and all non-financial assets and liabilities such as the value of the long-term relationships with our deposit customers.

			At March 31, 2016				Fair Value by Level
			Carrying Value		Fair Value		Level 1		Level 2		Level 3
			(dollars in millions)
Financial Assets:
Cash and due from banks		$	22,797	$	22,797	$	22,797	$	—	$	—
Interest bearing deposits with banks			30,841		30,841		30,841		—		—
Investment securities—HTM securities			9,425		9,478		1,963		7,515		—
Securities purchased under agreements to resell			98,219		98,246		—		97,727		519
Securities borrowed			140,413		140,416		—		140,314		102
Customer and other receivables(1)			40,935		40,823		—		36,227		4,596
Loans(2)			88,802		89,831		—		21,858		67,973
Other assets—Cash deposited with clearing organizations or
	segregated under federal and other regulations or requirements		31,808		31,808		31,808		—		—

Financial Liabilities:
Deposits		$	156,944	$	158,238	$	—	$	158,238	$	—
Short-term borrowings			412		412		—		412		—
Securities sold under agreements to repurchase			40,612		40,684		—		38,701		1,983
Securities loaned			17,140		17,160		—		17,160		—
Other secured financings			6,693		6,704		—		5,355		1,349
Customer and other payables(1)			191,137		191,137		—		191,137		—
Long-term borrowings			126,796		128,520		—		128,520		—


			At December 31, 2015				Fair Value by Level
			Carrying Value		Fair Value		Level 1		Level 2		Level 3
			(dollars in millions)
Financial Assets:
Cash and due from banks		$	19,827	$	19,827	$	19,827	$	—	$	—
Interest bearing deposits with banks			34,256		34,256		34,256		—		—
Investment securities—HTM securities			5,244		5,188		998		4,190		—
Securities purchased under agreements to resell			86,851		86,837		—		86,186		651
Securities borrowed			142,416		142,414		—		142,266		148
Customer and other receivables(1)			41,676		41,576		—		36,752		4,824
Loans(2)			85,759		86,423		—		19,241		67,182
Other assets—Cash deposited with clearing organizations or
	segregated under federal and other regulations or requirements		31,469		31,469		31,469		—		—

Financial Liabilities:
Deposits		$	155,909	$	156,163	$	—	$	156,163	$	—
Short-term borrowings			525		525		—		525		—
Securities sold under agreements to repurchase			36,009		36,060		—		34,150		1,910
Securities loaned			19,358		19,382		—		19,192		190
Other secured financings			6,610		6,610		—		5,333		1,277
Customer and other payables(1)			183,895		183,895		—		183,895		—
Long-term borrowings			120,723		123,219		—		123,219		—

___________________

HTM—Held to maturity.

(1) Accrued interest, fees, and dividend receivables and payables where carrying value approximates fair value have been excluded.

(2) Amounts include all loans measured at fair value on a non-recurring basis.