XML 144 R41.htm IDEA: XBRL DOCUMENT

Cash Instruments (Tables)

12 Months Ended

Dec. 31, 2012

Cash Instruments [Abstract]

Fair Value, Cash Instruments, Measurement Inputs, Disclosure


Level 3 Cash Instruments		Level 3 Assets as of December 2012 (in millions)		Significant Unobservable Inputs by Valuation Technique		Range of Significant Unobservable Inputs (Weighted Average ¹) as of December 2012
Loans and securities backed by commercial real estate Ÿ Collateralized by a single commercial real estate property or a portfolio of properties Ÿ May include tranches of varying levels of subordination		$3,389		Discounted cash flows:
				Ÿ Yield		4.0% to 43.3% (9.8%)
				Ÿ Recovery rate ³		37.0% to 96.2% (81.7%)
				Ÿ Duration (years) ⁴		0.1 to 7.0 (2.6)
				Ÿ Basis		(13) points to 18 points (2 points)
Loans and securities backed by residential real estate Ÿ Collateralized by portfolios of residential real estate Ÿ May include tranches of varying levels of subordination		$1,619		Discounted cash flows:
				Ÿ Yield		3.1% to 17.0% (9.7%)
				Ÿ Cumulative loss rate		0.0% to 61.6% (31.6%)
				Ÿ Duration (years) ⁴		1.3 to 5.9 (3.7)
Bank loans and bridge loans		$11,235		Discounted cash flows:
				Ÿ Yield		0.3% to 34.5% (8.3%)
				Ÿ Recovery rate ³		16.5% to 85.0% (56.0%)
				Ÿ Duration (years) ⁴		0.2 to 4.4 (1.9)
Non-U.S. government and agency obligations Corporate debt securities State and municipal obligations Other debt obligations		$4,651		Discounted cash flows:
				Ÿ Yield		0.6% to 33.7% (8.6%)
				Ÿ Recovery rate ³		0.0% to 70.0% (53.4%)
				Ÿ Duration (years) ⁴		0.5 to 15.5 (4.0)
Equities and convertible debentures (including private equity investments and investments in real estate entities)		$14,855²		Comparable multiples:
				Ÿ Multiples		0.7x to 21.0x (7.2x)
				Discounted cash flows:
				Ÿ Discount rate		10.0% to 25.0% (14.3%)
				Ÿ Long-term growth rate/compound annual growth rate		0.7% to 25.0% (9.3%)
				Ÿ Capitalization rate		3.9% to 11.4% (7.3%)

1.	Weighted averages are calculated by weighting each input by the relative fair value of the respective financial instruments.

2.	The fair value of any one instrument may be determined using multiple valuation techniques. For example, market comparables and discounted cash flows may be used together to determine fair value. Therefore, the level 3 balance encompasses both of these techniques.

3.	Recovery rate is a measure of expected future cash flows in a default scenario, expressed as a percentage of notional or face value of the instrument, and reflects the benefit of credit enhancement on certain instruments.

4.	Duration is an estimate of the timing of future cash flows and, in certain cases, may incorporate the impact of other unobservable inputs (e.g., prepayment speeds).

Cash Instruments by Level

Cash Instrument Assets at Fair Value as of December 2012

in millions

Level 1

Level 2

Level 3

Total

Commercial paper, certificates of deposit, time deposits and other
money market instruments

$ 2,155

$ 3,902

$ —

$ 6,057

U.S. government and federal agency obligations

42,856

50,385

—

93,241

Non-U.S. government and agency obligations

46,715

15,509

26

62,250

Mortgage and other asset-backed loans and securities ¹:

Loans and securities backed by commercial real estate

—

6,416

3,389

9,805

Loans and securities backed by residential real estate

—

6,597

1,619

8,216

Bank loans and bridge loans

—

11,172

11,235

22,407

Corporate debt securities ²

111

18,049

2,821

20,981

State and municipal obligations

—

1,858

619

2,477

Other debt obligations ²

—

1,066

1,185

2,251

Equities and convertible debentures

72,875

8,724

14,855

³

96,454

Commodities

—

11,696

—

11,696

Total

$164,712

$135,374

$35,749

$335,835

Cash Instrument Liabilities at Fair Value as of December 2012

in millions

Level 1

Level 2

Level 3

Total

U.S. government and federal agency obligations

$ 15,475

$ 430

$ —

$ 15,905

Non-U.S. government and agency obligations

31,011

1,350

—

32,361

Mortgage and other asset-backed loans and securities:

Loans and securities backed by residential real estate

—

4

—

4

Bank loans and bridge loans

—

1,143

636

1,779

Corporate debt securities

28

5,731

2

5,761

State and municipal obligations

—

1

—

1

Equities and convertible debentures

19,416

986

4

20,406

Total

$ 65,930

$ 9,645

$ 642

$ 76,217

1.	Includes $489 million and $446 million of collateralized debt obligations (CDOs) backed by real estate in level 2 and level 3, respectively.

2.	Includes $284 million and $1.76 billion of CDOs and collateralized loan obligations (CLOs) backed by corporate obligations in level 2 and level 3, respectively.

3.	Includes $12.67 billion of private equity investments, $1.58 billion of investments in real estate entities and $600 million of convertible debentures.


		Cash Instrument Assets at Fair Value as of December 2011
in millions			Level 1				Level 2				Level 3				Total
Commercial paper, certificates of deposit, time deposits and other money market instruments			$ 3,255				$ 10,185				$ —				$ 13,440

U.S. government and federal agency obligations			29,263				57,777				—				87,040

Non-U.S. government and agency obligations			42,854				6,203				148				49,205

Mortgage and other asset-backed loans and securities ¹:
Loans and securities backed by commercial real estate			—				3,353				3,346				6,699

Loans and securities backed by residential real estate			—				5,883				1,709				7,592

Bank loans and bridge loans			—				8,460				11,285				19,745

Corporate debt securities ²			133				19,518				2,480				22,131

State and municipal obligations			—				2,490				599				3,089

Other debt obligations ²			—				2,911				1,451				4,362

Equities and convertible debentures			39,955				11,491				13,667	³			65,113

Commodities			—				5,762				—				5,762
Total			$115,460				$134,033				$34,685				$284,178
		Cash Instrument Liabilities at Fair Value as of December 2011
in millions			Level 1				Level 2				Level 3				Total
U.S. government and federal agency obligations			$ 20,940				$ 66				$ —				$ 21,006

Non-U.S. government and agency obligations			34,339				547				—				34,886

Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate			—				27				—				27

Loans and securities backed by residential real estate			—				3				—				3

Bank loans and bridge loans			—				1,891				865				2,756

Corporate debt securities ⁴			—				6,522				31				6,553

State and municipal obligations			—				3				—				3

Equities and convertible debentures			20,069				1,248				9				21,326
Total			$ 75,348				$ 10,307				$ 905				$ 86,560

1.	Includes $213 million and $595 million of CDOs backed by real estate in level 2 and level 3, respectively.

2.	Includes $403 million and $1.19 billion of CDOs and CLOs backed by corporate obligations in level 2 and level 3, respectively.

3.	Includes $12.07 billion of private equity investments, $1.10 billion of investments in real estate entities and $497 million of convertible debentures.

4.	Includes $27 million of CDOs and CLOs backed by corporate obligations in level 3.

Cash Instruments, Level 3 Rollforward

Level 3 Cash Instrument Assets at Fair Value for the Year Ended December 2012

in millions

Balance,
beginning
of year

Net
realized
gains/
(losses)

Net unrealized
gains/(losses)
relating to
instruments
still held at

year-end

Purchases

¹

Sales

Settlements

Transfers
into
level 3

Transfers
out of
level 3

Balance,
end of

year

Non-U.S. government and agency obligations

$ 148

$ 2

$ (52

)

$ 16

$ (40

)

$ (45

)

$ 1

$ (4

)

$ 26

Mortgage and other asset-backed loans and securities:

Loans and securities backed by commercial real estate

3,346

238

232

1,613

(910

)

(1,389

)

337

(78

)

3,389

Loans and securities backed by residential real estate

1,709

146

276

703

(844

)

(380

)

65

(56

)

1,619

Bank loans and bridge loans

11,285

592

322

4,595

(2,794

)

(2,738

)

1,178

(1,205

)

11,235

Corporate debt securities

2,480

331

266

1,143

(961

)

(438

)

197

(197

)

2,821

State and municipal obligations

599

26

2

96

(90

)

(22

)

8

—

619

Other debt obligations

1,451

64

(25

)

759

(355

)

(125

)

39

(623

)²

1,185

Equities and convertible debentures

13,667

292

992

3,071

(702

)

(1,278

)

965

(2,152

)

14,855

Total

$34,685

$1,691

³

$2,013

³

$11,996

$(6,696

)

$(6,415

)

$2,790

$(4,315

)

$35,749

Level 3 Cash Instrument Liabilities at Fair Value for the Year Ended December 2012

in millions

Balance,
beginning
of year

Net
realized
(gains)/
losses

Net unrealized
(gains)/losses
relating to
instruments
still held at
year-end

Purchases

¹

Sales

Settlements

Transfers
into
level 3

Transfers
out of
level 3

Balance,
end of

year

Total

$ 905

$ (19

)

$ (54

)

$ (530

)

$ 366

$ 45

$ 63

$ (134

)

$ 642

1.	Includes both originations and secondary market purchases.

2.

Primarily reflects transfers related to the firm’s reinsurance business of level 3 other debt obligations within cash instruments at fair value to level 3 “Other assets,” within other financial assets at fair value, as this business was classified as held for sale as of December 2012. See Note 8 for further information.

3.	The aggregate amounts include approximately $617 million, $2.13 billion and $962 million reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.


		Level 3 Cash Instrument Assets at Fair Value for the Year Ended December 2011
in millions			Balance, beginning of year				Net realized gains/ (losses)				Net unrealized gains/(losses) relating to instruments still held at year-end				Purchases	¹			Sales				Settlements				Net transfers in and/or (out) of level 3				Balance, end of year
Non-U.S. government obligations			$ —				$ 25				$ (63	)			$ 27				$ (123	)			$ (8	)			$ 290				$ 148

Mortgage and other asset-backed loans and securities:
Loans and securities backed by commercial real estate			3,976				222				80				1,099				(1,124	)			(831	)			(76	)			3,346

Loans and securities backed by residential real estate			2,501				253				(81	)			768				(702	)			(456	)			(574	)			1,709

Bank loans and bridge loans			9,905				540				(216	)			6,725				(2,329	)			(1,554	)			(1,786	)			11,285

Corporate debt securities			2,737				391				(132	)			1,319				(1,137	)			(697	)			(1	)			2,480

State and municipal obligations			754				12				(1	)			448				(591	)			(13	)			(10	)			599

Other debt obligations			1,274				124				(17	)			560				(388	)			(212	)			110				1,451

Equities and convertible debentures			11,060				240				338				2,731				(1,196	)			(855	)			1,349				13,667
Total			$32,207				$1,807	²			$ (92	)²			$13,677				$(7,590	)			$(4,626	)			$ (698	)			$34,685

		Level 3 Cash Instrument Liabilities at Fair Value for the Year Ended December 2011
in millions			Balance, beginning of year				Net realized (gains)/ losses				Net unrealized (gains)/losses relating to instruments still held at year-end				Purchases	¹			Sales				Settlements				Net transfers in and/or (out) of level 3				Balance, end of year
Total			$ 446				$ (27	)			$ 218				$ (491	)			$ 475				$ 272				$ 12				$ 905

1.	Includes both originations and secondary market purchases.

2.	The aggregate amounts include approximately $(202) million, $623 million and $1.29 billion reported in “Market making,” “Other principal transactions” and “Interest income,” respectively.

Investments in Funds that Calculate Net Asset Value Per Share

As of December 2012

As of December 2011

in millions

Fair Value of
Investments

Unfunded
Commitments

Fair Value of
Investments

Unfunded
Commitments

Private equity funds ¹

$ 7,680

$2,778

$ 8,074

$3,514

Credit funds ²

3,927

2,843

3,596

3,568

Hedge funds ³

2,167

—

3,165

—

Real estate funds ⁴

2,006

870

1,531

1,613

Total

$15,780

$6,491

$16,366

$8,695

1.	These funds primarily invest in a broad range of industries worldwide in a variety of situations, including leveraged buyouts, recapitalizations and growth investments.

2.

These funds generally invest in loans and other fixed income instruments and are focused on providing private high-yield capital for mid- to large-sized leveraged and management buyout transactions, recapitalizations, financings, refinancings, acquisitions and restructurings for private equity firms, private family companies and corporate issuers.

3.	These funds are primarily multi-disciplinary hedge funds that employ a fundamental bottom-up investment approach across various asset classes and strategies including long/short equity, credit, convertibles, risk arbitrage, special situations and capital structure arbitrage.

4.	These funds invest globally, primarily in real estate companies, loan portfolios, debt recapitalizations and direct property.

Tabular disclosure of the fair value of investees that calculate net asset value per share (including by unit, membership interest, or other equity (ownership interest) unit measure) (alternative investments), whether measured at fair value on a recurring or nonrecurring basis, by major category of assets and liabilities (as defined), including, for example, (i) fair value measurements at the reporting date, (ii) the level within the fair value hierarchy in which the fair value measurements fall, (iii) a reconciliation of beginning and ending balances for those alternative investments that are measured at fair value using unobservable inputs (Level 3 - fair value hierarchy fair value measurement inputs), (iv) the inputs and valuation techniques used to measure fair value, (v) a discussion of changes to valuation techniques and inputs, if any, during the period, (vi) a description of the nature and risk associated with the alternative investments, and (vii) a discussion of the probability that any of the alternative investments are to be sold.

+ References+ Details