Fair Value Option (Tables)

12 Months Ended

Dec. 31, 2011

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 years ended December 31, 2011, 2010 and 2009, 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.



	2011										2010										2009
December 31, (in millions)	Principal transactions			Other income				Total changes in fair value recorded			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	$	270		$	—			$	270		$	173		$	—			$	173		$	(553	)	$	—			$	(553	)
Securities borrowed	(61		)	—				(61		)	31			—				31			82			—				82
Trading assets:
Debt and equity instruments, excluding loans	53			(6		)	^(c)	47			556			(2		)	^(c)	554			619			25			^(c)	644
Loans reported as trading assets:
Changes in instrument-specific credit risk	934			(174		)	^(c)	760			1,279			(6		)	^(c)	1,273			(300		)	(177		)	^(c)	(477		)
Other changes in fair value	127			5,263			^(c)	5,390			(312		)	4,449			^(c)	4,137			1,132			3,119			^(c)	4,251
Loans:
Changes in instrument-specific credit risk	2			—				2			95			—				95			(78		)	—				(78		)
Other changes in fair value	535			—				535			90			—				90			(343		)	—				(343		)
Other assets	(49		)	(19		)	^(d)	(68		)	—			(263		)	^(d)	(263		)	—			(731		)	^(d)	(731		)
Deposits^(a)	(237		)	—				(237		)	(564		)	—				(564		)	(770		)	—				(770		)
Federal funds purchased and securities loaned or sold under repurchase agreements	(4		)	—				(4		)	(29		)	—				(29		)	116			—				116
Other borrowed funds^(a)	2,986			—				2,986			123			—				123			(1,287		)	—				(1,287		)
Trading liabilities	(57		)	—				(57		)	(23		)	—				(23		)	(3		)	—				(3		)
Beneficial interests issued by consolidated VIEs	(83		)	—				(83		)	(12		)	—				(12		)	(351		)	—				(351		)
Other liabilities	(3		)	(5		)	^(d)	(8		)	(9		)	8			^(d)	(1		)	64			—				64
Long-term debt:
Changes in instrument-specific credit risk^(a)	927			—				927			400			—				400			(1,704		)	—				(1,704		)
Other changes in fair value^(b)	322			—				322			1,297			—				1,297			(2,393		)	—				(2,393		)


(a)	Total changes in instrument-specific credit risk related to structured notes were $899 million, $468 million, and $(1.7) billion for the years ended December 31, 2011, 2010 and 2009, 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 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

The following table reflects the difference between the aggregate fair value and the aggregate remaining contractual principal balance outstanding as of December 31, 2011 and 2010, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected.



	2011								2010
December 31, (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	$	4,875		$	1,141	$	(3,734	)	$	5,246		$	1,239	$	(4,007	)
Loans	820			56		(764		)	927			132		(795		)
Subtotal	5,695			1,197		(4,498		)	6,173			1,371		(4,802		)
All other performing loans
Loans reported as trading assets	37,481			32,657		(4,824		)	39,490			33,641		(5,849		)
Loans	2,136			1,601		(535		)	2,496			1,434		(1,062		)
Total loans	$	45,312		$	35,455	$	(9,857	)	$	48,159		$	36,446	$	(11,713	)
Long-term debt
Principal-protected debt	$	19,417	^(c)	$	19,890	$	473		$	20,761	^(c)	$	21,315	$	554
Nonprincipal-protected debt^(b)	NA			14,830		NA			NA			17,524		NA
Total long-term debt	NA			$	34,720	NA			NA			$	38,839	NA
Long-term beneficial interests
Principal-protected debt	$	—		$	—	$	—		$	49		$	49	$	—
Nonprincipal-protected debt^(b)	NA			1,250		NA			NA			1,446		NA
Total long-term beneficial interests	NA			$	1,250	NA			NA			$	1,495	NA


(a)	There were no performing loans which were ninety days or more past due as of December 31, 2011 and 2010, respectively.

(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.

- Definition

Tabular disclosure of the application of 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.

+ References

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

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Reference 2: http://www.xbrl.org/2003/role/presentationRef

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-Publisher FASB

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-Number 159

-Paragraph 19

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

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Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 19

-Subparagraph c(1)

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 6: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 18

-Subparagraph c(2)

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Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

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-URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612

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-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 10: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 19

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-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 11: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 17

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