Securitization Activities (Tables)

12 Months Ended

Dec. 31, 2012

Securitization Activities [Abstract]

Amount of financial assets securitized and the cash flows received on retained interests

	Year Ended December
in millions		2012	2011	2010
Residential mortgages		$33,755	$40,131	$47,803
Commercial mortgages		300	—	1,451
Other financial assets		—	269	12
Total		$34,055	$40,400	$49,266
Cash flows on retained interests		$     389	$     569	$     517

Firms continuing involvement in securitization entities to which the firm sold assets

	As of December 2012				As of December 2011
in millions		Outstanding Principal Amount	Fair Value of Retained Interests	Fair Value of Purchased Interests		Outstanding Principal Amount	Fair Value of Retained Interests	Fair Value of Purchased Interests
U.S. government agency-issued collateralized mortgage obligations 1		$57,685	$4,654	$  —		$70,448	$5,038	$  —
Other residential mortgage-backed 2		3,656	106	—		4,459	101	3
Commercial mortgage-backed 3		1,253	1	56		3,398	606	331
CDOs, CLOs and other 4		8,866	51	331		9,972	32	211
Total 5		$71,460	$4,812	$387		$88,277	$5,777	$545

1. Outstanding principal amount and fair value of retained interests primarily relate to securitizations during 2012 and 2011 as of December 2012, and securitizations during 2011 and 2010 as of December 2011.

2. Outstanding principal amount and fair value of retained interests as of both December 2012 and December 2011 primarily relate to prime and Alt-A securitizations during 2007 and 2006.

3. As of December 2012, the outstanding principal amount primarily relates to securitizations during 2012 and 2007 and the fair value of retained interests primarily relate to securitizations during 2012. As of December 2011, the outstanding principal amount primarily relates to securitizations during 2010, 2007 and 2006 and the fair value of retained interests primarily relates to securitizations during 2010.

4. Outstanding principal amount and fair value of retained interests as of both December 2012 and December 2011 primarily relate to CDO and CLO securitizations during 2007 and 2006.

5. Outstanding principal amount includes $835 million and $774 million as of December 2012 and December 2011, respectively, related to securitization entities in which the firm’s only continuing involvement is retained servicing which is not a variable interest.

Weighted average key economic assumptions used in measuring the fair value of the firm's retained interests and the sensitivity of this fair value to immediate adverse changes

	As of December 2012				As of December 2011
	Type of Retained Interests				Type of Retained Interests
$ in millions		Mortgage-Backed		Other 1		Mortgage-Backed		Other 1
Fair value of retained interests		$4,761		$    51		$5,745		$    32
Weighted average life (years)		8.2		2.0		7.1		4.7
Constant prepayment rate  2		10.9	%	N.M.		14.1	%	N.M.
Impact of 10% adverse change 2		$    (57	)	N.M.		$    (55	)	N.M.
Impact of 20% adverse change 2		(110	)	N.M.		(108	)	N.M.
Discount rate  3		4.6	%	N.M.		5.4	%	N.M.
Impact of 10% adverse change		$    (96	)	N.M.		$  (125	)	N.M.
Impact of 20% adverse change		(180	)	N.M.		(240	)	N.M.

1. Due to the nature and current fair value of certain of these retained interests, the weighted average assumptions for constant prepayment and discount rates and the related sensitivity to adverse changes are not meaningful as of December 2012 and December 2011. The firm’s maximum exposure to adverse changes in the value of these interests is the carrying value of $51 million and $32 million as of December 2012 and December 2011, respectively.

2. Constant prepayment rate is included only for positions for which constant prepayment rate is a key assumption in the determination of fair value.

3. The majority of mortgage-backed retained interests are U.S. government agency-issued collateralized mortgage obligations, for which there is no anticipated credit loss. For the remainder of retained interests, the expected credit loss assumptions are reflected in the discount rate.