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Fair Value Option (Tables)
 6 Months Ended
Jun. 30, 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 and six months ended June 30, 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 June 30,
 
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
$
(287
)
$
—

 
$
(287
)
 
$
221

$
—

 
$
221

Securities borrowed
(8
)
—

 
(8
)
 
—

—

 
—

Trading assets:
 
 
 
 
 
 
 
 
 
Debt and equity instruments, excluding loans
(14
)
4

(c) 
(10
)
 
(26
)
—

 
(26
)
Loans reported as trading assets:
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
211

26

(c) 
237

 
333

11

(c) 
344

Other changes in fair value
(94
)
253

(c) 
159

 
78

1,782

(c) 
1,860

Loans:
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk
(1
)
—

 
(1
)
 
(14
)
—

 
(14
)
Other changes in fair value
21

—

 
21

 
550

—

 
550

Other assets
22

(20
)
(d) 
2

 
—

(69
)
(d) 
(69
)
Deposits(a)
219

—

 
219

 
(1
)
—

 
(1
)
Federal funds purchased and securities loaned or sold under repurchase agreements
41

—

 
41

 
(29
)
—

 
(29
)
Other borrowed funds(a) 
734

—

 
734

 
1,322

—

 
1,322

Trading liabilities
(14
)
—

 
(14
)
 
3

—

 
3

Beneficial interests issued by consolidated VIEs
(69
)
—

 
(69
)
 
(24
)
—

 
(24
)
Other liabilities
—

—

 
—

 
—

—

 
—

Long-term debt:
 
 
 
 
 
 
 
 
 
Changes in instrument-specific credit risk(a) 
159

—

 
159

 
(85
)
—

 
(85
)
Other changes in fair value(b)
1,000

—

 
1,000

 
313

—

 
313

 
Six months ended June 30,
 
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
$
(358
)
$
—

 
$
(358
)
 
$
173

$
—

 
$
173

Securities borrowed
18

—

 
18

 
14

—

 
14

Trading assets:
 
 
 
 
 
 

 

 
 
Debt and equity instruments, excluding loans
242

7

(c) 
249

 
338

3

(c) 
341

Loans reported as trading assets:
 
 
 
 
 
 

 

 
 
Changes in instrument-specific credit risk
539

38

(c) 
577

 
809

29

(c) 
838

Other changes in fair value
(78
)
1,205

(c) 
1,127

 
(174
)
3,359

(c) 
3,185

Loans:
 
 
 
 
 
 

 

 
 
Changes in instrument-specific credit risk
(6
)
—

 
(6
)
 
(14
)
—

 
(14
)
Other changes in fair value
21

—

 
21

 
575

—

 
575

Other assets
21

(89
)
(d) 
(68
)
 
—

(263
)
(d) 
(263
)
Deposits(a)
297

—

 
297

 
(161
)
—

 
(161
)
Federal funds purchased and securities loaned or sold under repurchase agreements
45

—

 
45

 
(27
)
—

 
(27
)
Other borrowed funds(a) 
380

—

 
380

 
847

—

 
847

Trading liabilities
(32
)
—

 
(32
)
 
12

—

 
12

Beneficial interests issued by consolidated VIEs
(97
)
—

 
(97
)
 
(30
)
—

 
(30
)
Other liabilities
—

(1
)
(d) 
(1
)
 
—

—

 
—

Long-term debt:
 
 
 
 
 
 

 

 
 
Changes in instrument-specific credit risk(a) 
192

—

 
192

 
(504
)
—

 
(504
)
Other changes in fair value(b)
969

—

 
969

 
(392
)
—

 
(392
)
(a)
Total changes in instrument-specific credit risk related to structured notes were $251 million and $415 million for the three months ended June 30, 2013 and 2012, and $382 million and $(53) million for the six months ended June 30, 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 predominantly financial instruments containing embedded derivatives. Where present, 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 the risk management instruments used to manage such risk.
(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 June 30, 2013, and December 31, 2012, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.
 
June 30, 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
$
5,293

 
$
1,407

$
(3,886
)
 
$
4,217

 
$
960

$
(3,257
)
Loans
163

 
88

(75
)
 
116

 
64

(52
)
Subtotal
5,456

 
1,495

(3,961
)
 
4,333

 
1,024

(3,309
)
All other performing loans
 
 
 
 
 
 
 
 
 
Loans reported as trading assets
40,924

 
37,219

(3,705
)
 
44,084

 
40,581

(3,503
)
Loans
1,579

 
1,486

(93
)
 
2,211

 
2,099

(112
)
Total loans
$
47,959

 
$
40,200

$
(7,759
)
 
$
50,628

 
$
43,704

$
(6,924
)
Long-term debt
 
 
 
 
 
 
 
 
 
Principal-protected debt
$
16,516

(c) 
$
16,127

$
(389
)
 
$
16,541

(c) 
$
16,391

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

 
13,093

NA

 
NA

 
14,397

NA

Total long-term debt
NA

 
$
29,220

NA

 
NA

 
$
30,788

NA

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

 
$
1,043

NA

 
NA

 
$
1,170

NA

Total long-term beneficial interests
NA

 
$
1,043

NA

 
NA

 
$
1,170

NA

(a)
There were no performing loans which were ninety days or more past due as of June 30, 2013, and December 31, 2012.
(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.
Fair Value, Option, Structured Notes By Balance Sheet Classification And Primary Embedded Derivative Risk
The table below presents the fair value of the structured notes issued by the Firm, by balance sheet classification and the primary risk to which the structured notes’ embedded derivative relates.
 
June 30, 2013
 
December 31, 2012
(in millions)
Long-term debt
Other borrowed funds
Deposits
Total
 
Long-term debt
Other borrowed funds
Deposits
Total
Risk exposure
 
 
 
 
 
 
 
 
 
Interest rate
$
8,948

$
397

$
1,000

$
10,345

 
$
8,669

$
1,143

$
559

$
10,371

Credit
5,006

123

—

5,129

 
6,166

—

—

6,166

Foreign exchange
2,675

206

27

2,908

 
2,819

—

29

2,848

Equity
11,173

11,289

3,293

25,755

 
11,580

9,809

2,972

24,361

Commodity
1,269

315

1,038

2,622

 
1,379

332

1,555

3,266

Total structured notes
$
29,071

$
12,330

$
5,358

$
46,759

 
$
30,613

$
11,284

$
5,115

$
47,012