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Fair Value Option (Tables)
 3 Months Ended
Mar. 31, 2013
Fair Value Option [Abstract]  
Changes in fair value under the fair value option election
The following table presents the changes in fair value included in the Consolidated Statements of Income for the three months ended March 31, 2013 and 2012, for items for which the fair value option was elected. 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.
 
Three months ended March 31,
 
2013
 
2012
(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
$
(71
)
$
—

 
$
(71
)
 
$
(48
)
$
—

 
$
(48
)
Securities borrowed
26

—

 
26

 
14

—

 
14

Trading assets:
 
 
 
 
 
 
 
 
 
Debt and equity instruments, excluding loans
256

3

(c) 
259

 
364

3

(c) 
367

Loans reported as trading assets:
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
328

12

(c) 
340

 
476

18

(c) 
494

Other changes in fair value
16

952

(c) 
968

 
(252
)
1,577

(c) 
1,325

Loans:
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
(5
)
—

 
(5
)
 
—

—

 
—

Other changes in fair value
—

—

 
—

 
25

—

 
25

Other assets
(1
)
(69
)
(d) 
(70
)
 
—

(194
)
(d) 
(194
)
Deposits(a)
78

—

 
78

 
(160
)
—

 
(160
)
Federal funds purchased and securities loaned or sold under repurchase agreements
4

—

 
4

 
2

—

 
2

Other borrowed funds(a) 
(354
)
—

 
(354
)
 
(475
)
—

 
(475
)
Trading liabilities
(18
)
—

 
(18
)
 
9

—

 
9

Beneficial interests issued by consolidated VIEs
(28
)
—

 
(28
)
 
(6
)
—

 
(6
)
Other liabilities
—

(1
)
(d) 
(1
)
 
—

—

 
—

Long-term debt:
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk(a) 
33

—

 
33

 
(419
)
—

 
(419
)
Other changes in fair value(b)
(31
)
—

 
(31
)
 
(705
)
—

 
(705
)
(a)
Total changes in instrument-specific credit risk related to structured notes were $131 million and $(468) million for the three months ended March 31, 2013 and 2012, 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 March 31, 2013, and December 31, 2012, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
 
March 31, 2013
 
December 31, 2012
(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
$
5,062

 
$
1,302

$
(3,760
)
 
$
4,217

 
$
960

$
(3,257
)
Loans
88

 
61

(27
)
 
116

 
64

(52
)
Subtotal
5,150

 
1,363

(3,787
)
 
4,333

 
1,024

(3,309
)
All other performing loans
 
 
 
 
 
 
 
 
 
Loans reported as trading assets
40,151

 
37,203

(2,948
)
 
44,084

 
40,581

(3,503
)
Loans
1,830

 
1,714

(116
)
 
2,211

 
2,099

(112
)
Total loans
$
47,131

 
$
40,280

$
(6,851
)
 
$
50,628

 
$
43,704

$
(6,924
)
Long-term debt
 
 
 
 
 
 
 
 
 
Principal-protected debt
$
16,629

(c) 
$
16,607

$
(22
)
 
$
16,541

(c) 
$
16,391

$
(150
)
Nonprincipal-protected debt(b)
NA

 
14,048

NA

 
NA

 
14,397

NA

Total long-term debt
NA

 
$
30,655

NA

 
NA

 
$
30,788

NA

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

 
$
1,130

NA

 
NA

 
$
1,170

NA

Total long-term beneficial interests
NA

 
$
1,130

NA

 
NA

 
$
1,170

NA

(a)
There were no performing loans which were ninety days or more past due as of March 31, 2013, and December 31, 2012, 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.