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Fair Value Option (Tables)
 12 Months Ended
Dec. 31, 2012
Fair Value Option [Abstract]  
Changes in fair value under the fair value option election
The profit and loss information presented below only includes the financial instruments that were elected to be measured at fair value; related risk management instruments, which are required to be measured at fair value, are not included in the table.
 
2012
 
2011
 
2010
December 31, (in millions)
Principal transactions
Other income
Total changes in fair value recorded
 
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
$
161

$
—

 
$
161

 
$
270

$
—

 
$
270

 
$
173

$
—

 
$
173

Securities borrowed
10

—

 
10

 
(61
)
—

 
(61
)
 
31

—

 
31

Trading assets:
 
 
 
 
 
 
 
 
 
 
 

 

 
 
Debt and equity instruments, excluding loans
513

7

(c) 
520

 
53

(6
)
(c) 
47

 
556

(2
)
(c) 
554

Loans reported as trading assets:
 
 
 
 
 
 
 
 
 
 
 

 

 
 
Changes in instrument-specific credit risk
1,489

81

(c) 
1,570

 
934

(174
)
(c) 
760

 
1,279

(6
)
(c) 
1,273

Other changes in fair value
(183
)
7,670

(c) 
7,487

 
127

5,263

(c) 
5,390

 
(312
)
4,449

(c) 
4,137

Loans:
 
 
 
 
 
 
 
 
 
 
 

 

 
 
Changes in instrument-specific credit risk
(14
)
—

 
(14
)
 
2

—

 
2

 
95

—

 
95

Other changes in fair value
676

—

 
676

 
535

—

 
535

 
90

—

 
90

Other assets
—

(339
)
(d) 
(339
)
 
(49
)
(19
)
(d) 
(68
)
 
—

(263
)
(d) 
(263
)
Deposits(a)
(188
)
—

 
(188
)
 
(237
)
—

 
(237
)
 
(564
)
—

 
(564
)
Federal funds purchased and securities loaned or sold under repurchase agreements
(25
)
—

 
(25
)
 
(4
)
—

 
(4
)
 
(29
)
—

 
(29
)
Other borrowed funds(a) 
494

—

 
494

 
2,986

—

 
2,986

 
123

—

 
123

Trading liabilities
(41
)
—

 
(41
)
 
(57
)
—

 
(57
)
 
(23
)
—

 
(23
)
Beneficial interests issued by consolidated VIEs
(166
)
—

 
(166
)
 
(83
)
—

 
(83
)
 
(12
)
—

 
(12
)
Other liabilities
—

—

 
—

 
(3
)
(5
)
(d) 
(8
)
 
(9
)
8

(d) 
(1
)
Long-term debt:
 
 
 
 
 
 
 
 
 
 
 

 

 
 
Changes in instrument-specific credit risk(a) 
(835
)
—

 
(835
)
 
927

—

 
927

 
400

—

 
400

Other changes in fair value(b)
(1,025
)
—

 
(1,025
)
 
322

—

 
322

 
1,297

—

 
1,297

(a)
Total changes in instrument-specific credit risk related to structured notes were $(340) million, $899 million, and $468 million for the years ended December 31, 2012, 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/(losses) 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
The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of December 31, 2012 and 2011, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
 
2012
 
2011
December 31, (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(a)
 
 
 
 
 
 
 
 
 
Nonaccrual loans
 
 
 
 
 
 
 
 
 
Loans reported as trading assets
$
4,217

 
$
960

$
(3,257
)
 
$
4,875

 
$
1,141

$
(3,734
)
Loans
116

 
64

(52
)
 
820

 
56

(764
)
Subtotal
4,333

 
1,024

(3,309
)
 
5,695

 
1,197

(4,498
)
All other performing loans
 
 
 
 
 
 
 
 
 
Loans reported as trading assets
44,084

 
40,581

(3,503
)
 
37,481

 
32,657

(4,824
)
Loans
2,211

 
2,099

(112
)
 
2,136

 
1,601

(535
)
Total loans
$
50,628

 
$
43,704

$
(6,924
)
 
$
45,312

 
$
35,455

$
(9,857
)
Long-term debt
 
 
 
 
 
 
 
 
 
Principal-protected debt
$
16,541

(c) 
$
16,391

$
(150
)
 
$
19,417

(c) 
$
19,890

$
473

Nonprincipal-protected debt(b)
NA

 
14,397

NA

 
NA

 
14,830

NA

Total long-term debt
NA

 
$
30,788

NA

 
NA

 
$
34,720

NA

Long-term beneficial interests
 
 
 
 
 
 
 
 
 
Nonprincipal-protected debt(b)
NA

 
$
1,170

NA

 
NA

 
$
1,250

NA

Total long-term beneficial interests
NA

 
$
1,170

NA

 
NA

 
$
1,250

NA

(a)
There were no performing loans which were ninety days or more past due as of December 31, 2012 and 2011, respectively.
(b)
Remaining contractual principal is not applicable to nonprincipal-protected notes. Unlike principal-protected structured notes, for which the Firm is obligated to return a stated amount of principal at the maturity of the note, nonprincipal-protected structured 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.
(c)
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.