Fair Value Option (Tables)

3 Months Ended

Mar. 31, 2011

Fair Value Option (Tables) [Abstract]

Changes in fair value under the fair value option election


	Three months ended March 31,
	2011									2010
							Total changes									Total changes
	Principal			Other			in fair value			Principal			Other			in fair value
(in millions)	transactions			Income			recorded			transactions			income			recorded

Federal funds sold and securities purchased under resale agreements	$	(118	)	$	—		$	(118	)	$	19		$	—		$	19
Securities borrowed		9			—			9			12			—			12
Trading assets:
Debt and equity instruments, excluding loans		164			3	^(c)		167			156			1	^(c)		157
Loans reported as trading assets:
Changes in instrument-specific credit risk		480			—			480			409			(6	)^(c)		403
Other changes in fair value		125			723	^(c)		848			(384	)		755	^(c)		371
Loans:
Changes in instrument-specific credit risk		(6	)		—			(6	)		47			—			47
Other changes in fair value		143			—			143			(27	)		—			(27	)
Other assets		—			—			—			—			(53	)^(d)		(53	)
Deposits^(a)		(17	)		—			(17	)		(189	)		—			(189	)
Federal funds purchased and securities loaned or sold under repurchase agreements		35			—			35			(9	)		—			(9	)
Other borrowed funds^(a)		217			—			217			74			—			74
Trading liabilities		(3	)		—			(3	)		(3	)		—			(3	)
Beneficial interests issued by consolidated VIEs		(34	)		—			(34	)		46			—			46
Other liabilities		(3	)		(2)	^(d)		(5	)		23			—			23
Long-term debt:
Changes in instrument-specific credit risk^(a)		54			—			54			51			—			51
Other changes in fair value^(b)		(24	)		—			(24	)		226			—			226


(a)		Total changes in instrument-specific credit risk related to structured notes were $23 million and $108 million for the three months ended March 31, 2011 and 2010, respectively. Those 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


	March 31, 2011								December 31, 2010
						Fair value								Fair value
						over/(under)								over/(under)
	Contractual					contractual			Contractual					contractual
	principal					principal			principal					principal
(in millions)	outstanding			Fair value		outstanding			outstanding			Fair value		outstanding

Loans
Performing 90 days or more past due
Loans reported as trading assets	$	—		$	—	$	—		$	—		$	—	$	—
Loans		—			—		—			—			—		—
Nonaccrual Loans
Loans reported as trading assets		5,632			1,509		(4,123	)		5,246			1,239		(4,007	)
Loans		892			60		(832	)		927			132		(795	)

Subtotal		6,524			1,569		(4,955	)		6,173			1,371		(4,802	)
All other performing loans
Loans reported as trading assets		38,107			32,740		(5,367	)		39,490			33,641		(5,849	)
Loans		2,246			1,275		(971	)		2,496			1,434		(1,062	)

Total loans	$	46,877		$	35,584	$	(11,293	)	$	48,159		$	36,446	$	(11,713	)

Long-term debt
Principal—protected debt	$	19,820	^(b)	$	20,207	$	387		$	20,761	^(b)	$	21,315	$	554
Nonprincipal—protected debt^(a)	NA				17,708	NA			NA				17,524	NA

Total long-term debt	NA				37,915	NA			NA			$	38,839	NA

Long-term beneficial interests
Principal—protected debt	$	—		$	—	$	—		$	49		$	49	$	—
Nonprincipal—protected debt^(a)	NA				1,276	NA			NA				1,446	NA

Total long-term beneficial interests	NA			$	1,276	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

This element represents quantitative disclosures relating to the Company's election to apply 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.

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