Financial Instruments Owned, At Fair Value And Financial Instruments Sold, But Not Yet Purchased, At Fair Value

6 Months Ended

Jun. 30, 2011

Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value [Abstract]

Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value

Note 4. Financial Instruments Owned, at Fair Value and Financial Instruments Sold, But Not Yet Purchased, at Fair Value

Financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value are accounted for at fair value either under the fair value option or in accordance with other U.S. GAAP. See Note 8 for further information about the fair value option. The table below presents the firm’s financial instruments owned, at fair value, including those pledged as collateral, and financial instruments sold, but not yet purchased, at fair value. Financial instruments owned, at fair value included $3.48 billion and $3.67 billion as of June 2011 and December 2010, respectively, of securities accounted for as available-for-sale, substantially all of which are held in the firm’s insurance subsidiaries.



	As of June 2011					As of December 2010
			Financial						Financial
			Instruments						Instruments
	Financial		Sold, But			Financial			Sold, But
	Instruments		Not Yet			Instruments			Not Yet
in millions	Owned		Purchased			Owned			Purchased

Commercial paper, certificates of deposit, time deposits and other money market instruments	$	7,186	$	—		$	11,262	⁴	$	—
U.S. government and federal agency obligations		87,075		29,392			84,928			23,264
Non-U.S. government obligations		55,023		28,622			40,675			29,009
Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate		6,693		—			6,200			5
Loans and securities backed by residential real estate		7,716		12			9,404			6
Loan portfolios ¹		1,238		—			1,438			—
Bank loans and bridge loans		18,927		1,823	³		18,039			1,487	³
Corporate debt securities		25,582		9,267			24,719			7,219
State and municipal obligations		3,328		—			2,792			—
Other debt obligations		2,554		4			3,232			—
Equities and convertible debentures		71,626		33,019			67,833			24,988
Commodities		10,133		8			13,138			9
Derivatives ²		73,524		47,492			73,293			54,730


Total	$	370,605	$	149,639		$	356,953		$	140,717


1.	Consists of acquired portfolios of distressed loans, primarily backed by commercial and residential real estate.

2.	Net of cash collateral received or posted under credit support agreements and reported on a net-by-counterparty basis when a legal right of setoff exists under an enforceable netting agreement.

3.	Includes the fair value of unfunded commitments to extend credit. The fair value of partially funded commitments is primarily included in “Financial instruments owned, at fair value.”

4.	Includes $4.06 billion as of December 2010 of money market instruments held by William Street Funding Corporation (Funding Corp.) to support the William Street credit extension program. See Note 18 for further information about the William Street credit extension program.

Gains and Losses from Market Making and Other Principal Transactions

The table below presents, by major product type, the firm’s “Market making” and “Other principal transactions” revenues. These gains/(losses) are primarily related to the firm’s financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value, including both derivative and non-derivative financial instruments. These gains/(losses) exclude related interest income and interest expense. See Note 23 for further information about interest income and interest expense.

The gains/(losses) in the table are not representative of the manner in which the firm manages its business activities because many of the firm’s market making, client facilitation, and investing and lending strategies utilize financial instruments across various product types. Accordingly, gains or losses in one product type frequently offset gains or losses in other product types.

For example, most of the firm’s longer-term derivatives are sensitive to changes in interest rates and may be economically hedged with interest rate swaps. Similarly, a significant portion of the firm’s cash instruments and derivatives has exposure to foreign currencies and may be economically hedged with foreign currency contracts.



	Three Months						Six Months
	Ended June						Ended June
in millions	2011			2010			2011			2010

Interest rates	$	1,034		$	(2,836	)	$	3,440		$	(4,768	)
Credit		929			2,216			2,980			6,449
Currencies		(984	)		3,601			(2,590	)		7,040
Equities		1,024			580			3,874			1,961
Commodities		(71	)		77			886			686
Other		406			619			822			1,155


Total	$	2,338		$	4,257		$	9,412		$	12,523