| Changes in fair value under the fair value option election |
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 |
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. |
|