Fair Value Option (Tables)

9 Months Ended

Sep. 30, 2011

Fair Value Option (Tables) [Abstract]

Changes in fair value under the fair value option election



	Three months ended September 30,
	2011										2010
(in millions)	Principal transactions			Other income				Total changes in fair value recorded			Principal transactions			Other income				Total changes in fair value recorded
Federal funds sold and securities purchased under resale agreements	$	311		$	—			$	311		$	259		$	—			$	259
Securities borrowed	(14		)	—				(14		)	5			—				5
Trading assets:
Debt and equity instruments, excluding loans	(130		)	(6		)	^(c)	(136		)	235			(2		)	^(c)	233
Loans reported as trading assets:
Changes in instrument-specific credit risk	(161		)	(31		)	^(c)	(192		)	359			(20		)	^(c)	339
Other changes in fair value	(130		)	1,830			^(c)	1,700			530			1,703			^(c)	2,233
Loans:
Changes in instrument-specific credit risk	16			—				16			10			—				10
Other changes in fair value	160			—				160			122			—				122
Other assets	—			47			^(d)	47			—			(133		)	^(d)	(133		)
Deposits^(a)	(97		)	—				(97		)	(174		)	—				(174		)
Federal funds purchased and securities loaned or sold under repurchase agreements	(56		)	—				(56		)	(38		)	—				(38		)
Other borrowed funds^(a)	2,103			—				2,103			(679		)	—				(679		)
Trading liabilities	(20		)	—				(20		)	(16		)	—				(16		)
Beneficial interests issued by consolidated VIEs	14			—				14			(64		)	—				(64		)
Other liabilities	—			(1		)	^(d)	(1		)	(30		)	(4		)	^(d)	(34		)
Long-term debt:
Changes in instrument-specific credit risk^(a)	874			—				874			(207		)	—				(207		)
Other changes in fair value^(b)	662			—				662			(455		)	—				(455		)



	Nine months ended September 30,
	2011										2010
(in millions)	Principal transactions			Other income				Total changes in fair value recorded			Principal transactions			Other income				Total changes in fair value recorded
Federal funds sold and securities purchased under resale agreements	$	314		$	—			$	314		$	539		$	—			$	539
Securities borrowed	(13		)	—				(13		)	44			—				44
Trading assets:
Debt and equity instruments, excluding loans	141			(7		)	^(c)	134			431			(13		)	^(c)	418
Loans reported as trading assets:
Changes in instrument-specific credit risk	748			(27		)	^(c)	721			1,157			2			^(c)	1,159
Other changes in fair value	8			3,924			^(c)	3,932			(153		)	3,675			^(c)	3,522
Loans:
Changes in instrument-specific credit risk	3			—				3			89			—				89
Other changes in fair value	442			—				442			51			—				51
Other assets	—			5			^(d)	5			—			(235		)	^(d)	(235		)
Deposits^(a)	(207		)	—				(207		)	(466		)	—				(466		)
Federal funds purchased and securities loaned or sold under repurchase agreements	(35		)	—				(35		)	(103		)	—				(103		)
Other borrowed funds^(a)	3,059			—				3,059			233			—				233
Trading liabilities	(26		)	—				(26		)	(19		)	—				(19		)
Beneficial interests issued by consolidated VIEs	(75		)	—				(75		)	(32		)	—				(32		)
Other liabilities	(4		)	(4		)	^(d)	(8		)	(26		)	10			^(d)	(16		)
Long-term debt:
Changes in instrument-specific credit risk^(a)	1,073			—				1,073			378			—				378
Other changes in fair value^(b)	545			—				545			1,103			—				1,103

(a)

Total changes in instrument-specific credit risk related to structured notes were $901 million and $(246) million for the three months ended September 30, 2011 and 2010, respectively, and $1.1 billion and $450 million for the nine months ended September 30, 2011 and 2010, respectively. These totals include adjustments for structured notes classified within deposits and other borrowed funds, as well as long-term debt.


(b)	Structured notes are debt instruments with embedded derivatives that are tailored to meet a client’s need. The embedded derivative is the primary driver of risk. Although the risk associated with the structured notes is actively managed, the gains reported in this table do not include the income statement impact of such risk management instruments.


(c)	Reported in mortgage fees and related income.


(d)	Reported in other income.

Difference between aggregate fair value and aggregate remaining contractual principal balance outstanding



	September 30, 2011								December 31, 2010
(in millions)	Contractual principal outstanding			Fair value		Fair value over/(under) contractual principal outstanding			Contractual principal outstanding			Fair value		Fair value over/(under) contractual principal outstanding
Loans
Performing loans 90 days or more past due
Loans reported as trading assets	$	—		$	—	$	—		$	—		$	—	$	—
Loans	—			—		—			—			—		—
Nonaccrual loans
Loans reported as trading assets	5,124			1,275		(3,849		)	5,246			1,239		(4,007		)
Loans	863			56		(807		)	927			132		(795		)
Subtotal	5,987			1,331		(4,656		)	6,173			1,371		(4,802		)
All other performing loans
Loans reported as trading assets	37,529			32,461		(5,068		)	39,490			33,641		(5,849		)
Loans	2,020			1,443		(577		)	2,496			1,434		(1,062		)
Total loans	$	45,536		$	35,235	$	(10,301	)	$	48,159		$	36,446	$	(11,713	)
Long-term debt
Principal-protected debt	$	18,787	^(b)	$	19,954	$	1,167		$	20,761	^(b)	$	21,315	$	554
Nonprincipal-protected debt^(a)	NA			15,911		NA			NA			17,524		NA
Total long-term debt	NA			$	35,865	NA			NA			$	38,839	NA
Long-term beneficial interests
Principal-protected debt	$	—		$	—	$	—		$	49		$	49	$	—
Nonprincipal-protected debt^(a)	NA			905		NA			NA			1,446		NA
Total long-term beneficial interests	NA			$	905	NA			NA			$	1,495	NA

(a)

Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected notes, for which the Firm is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected notes do not obligate the Firm to return a stated amount of principal at maturity, but to return an amount based on the performance of an underlying variable or derivative feature embedded in the note.


(b)	Where the Firm issues principal-protected zero-coupon or discount notes, the balance reflected as the remaining contractual principal is the final principal payment at maturity.

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 18

-Subparagraph d, e

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

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Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 19

-Subparagraph a

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 30

-Subparagraph (a),(c)(1),(d)(1)

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Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 19

-Subparagraph c(1)

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 6: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

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Reference 7: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 18

-Subparagraph c(2)

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 30

-URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612

Reference 9: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 22

-Subparagraph b

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 10: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 19

-Subparagraph d(1)

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 11: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 17

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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