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Fair Value Option (Tables)
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6 Months Ended |
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Jun. 30, 2014
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| Fair Value Option [Abstract] |
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| 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 three and six months ended June 30, 2014 and 2013, 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. | | | | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, | | 2014 | | 2013 | (in millions) | 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 | $ | 96 |
| $ | — |
| | $ | 96 |
| | $ | (287 | ) | $ | — |
| | $ | (287 | ) | Securities borrowed | (2 | ) | — |
| | (2 | ) | | (8 | ) | — |
| | (8 | ) | Trading assets: | | | | | | | | | | Debt and equity instruments, excluding loans | 245 |
| 3 |
| (b) | 248 |
| | (14 | ) | 4 |
| (b) | (10 | ) | Loans reported as trading assets: | | | | | | | | | | Changes in instrument-specific credit risk | 391 |
| 3 |
| (b) | 394 |
| | 211 |
| 26 |
| (b) | 237 |
| Other changes in fair value | 38 |
| 400 |
| (b) | 438 |
| | (94 | ) | 253 |
| (b) | 159 |
| Loans: | | | | | | | | | | Changes in instrument-specific credit risk | 20 |
| — |
| | 20 |
| | (1 | ) | — |
| | (1 | ) | Other changes in fair value | 24 |
| — |
| | 24 |
| | 21 |
| — |
| | 21 |
| Other assets | 7 |
| (30 | ) | (c) | (23 | ) | | 22 |
| (20 | ) | (c) | 2 |
| Deposits(a) | (107 | ) | — |
| | (107 | ) | | 219 |
| — |
| | 219 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | (18 | ) | — |
| | (18 | ) | | 41 |
| — |
| | 41 |
| Other borrowed funds(a) | (911 | ) | — |
| | (911 | ) | | 734 |
| — |
| | 734 |
| Trading liabilities | (3 | ) | — |
| | (3 | ) | | (14 | ) | — |
| | (14 | ) | Beneficial interests issued by consolidated VIEs | (48 | ) | — |
| | (48 | ) | | (69 | ) | — |
| | (69 | ) | Other liabilities | (27 | ) | — |
| | (27 | ) | | — |
| — |
| | — |
| Long-term debt: | | | | | | | | | | Changes in instrument-specific credit risk(a) | 82 |
| — |
| | 82 |
| | 159 |
| — |
| | 159 |
| Other changes in fair value | (773 | ) | — |
| | (773 | ) | | 1,000 |
| — |
| | 1,000 |
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| | | | | | | | | | | | | | | | | | | | | | | | Six months ended June 30, | | 2014 | | 2013 | (in millions) | 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 | $ | 56 |
| $ | — |
| | $ | 56 |
| | $ | (358 | ) | $ | — |
| | $ | (358 | ) | Securities borrowed | (5 | ) | — |
| | (5 | ) | | 18 |
| — |
| | 18 |
| Trading assets: | | | | | | |
| |
| | | Debt and equity instruments, excluding loans | 475 |
| 1 |
| (b) | 476 |
| | 242 |
| 7 |
| (b) | 249 |
| Loans reported as trading assets: | | | | | | |
| |
| | | Changes in instrument-specific credit risk | 754 |
| 12 |
| (b) | 766 |
| | 539 |
| 38 |
| (b) | 577 |
| Other changes in fair value | 102 |
| 692 |
| (b) | 794 |
| | (78 | ) | 1,205 |
| (b) | 1,127 |
| Loans: | | | | | | |
| |
| | | Changes in instrument-specific credit risk | 28 |
| — |
| | 28 |
| | (6 | ) | — |
| | (6 | ) | Other changes in fair value | 31 |
| — |
| | 31 |
| | 21 |
| — |
| | 21 |
| Other assets | 12 |
| (142 | ) | (c) | (130 | ) | | 21 |
| (89 | ) | (c) | (68 | ) | Deposits(a) | (211 | ) | — |
| | (211 | ) | | 297 |
| — |
| | 297 |
| Federal funds purchased and securities loaned or sold under repurchase agreements | (34 | ) | — |
| | (34 | ) | | 45 |
| — |
| | 45 |
| Other borrowed funds(a) | (1,171 | ) | — |
| | (1,171 | ) | | 380 |
| — |
| | 380 |
| Trading liabilities | (9 | ) | — |
| | (9 | ) | | (32 | ) | — |
| | (32 | ) | Beneficial interests issued by consolidated VIEs | (137 | ) | — |
| | (137 | ) | | (97 | ) | — |
| | (97 | ) | Other liabilities | (27 | ) | — |
| | (27 | ) | | — |
| (1 | ) | (c) | (1 | ) | Long-term debt: | | | | | | |
| |
| | | Changes in instrument-specific credit risk(a) | 5 |
| — |
| | 5 |
| | 192 |
| — |
| | 192 |
| Other changes in fair value(b) | (791 | ) | — |
| | (791 | ) | | 969 |
| — |
| | 969 |
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| | (a) | Total changes in instrument-specific credit risk (DVA) related to structured notes were $134 million and $251 million for the three months ended June 30, 2014 and 2013 and $19 million and $382 million for the six months ended June 30, 2014 and 2013, respectively. These totals include such changes for structured notes classified within deposits and other borrowed funds, as well as long-term debt. |
| | (b) | Reported in mortgage fees and related income. |
| | (c) | Reported in other income. |
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| 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 June 30, 2014, and December 31, 2013, for loans, long-term debt and long-term beneficial interests for which the fair value option has been elected. | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2014 | | December 31, 2013 | (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 | $ | 4,462 |
| | $ | 1,270 |
| $ | (3,192 | ) | | $ | 5,156 |
| | $ | 1,491 |
| $ | (3,665 | ) | Loans | 214 |
| | 154 |
| (60 | ) | | 209 |
| | 154 |
| (55 | ) | Subtotal | 4,676 |
| | 1,424 |
| (3,252 | ) | | 5,365 |
| | 1,645 |
| (3,720 | ) | All other performing loans | | | | | | | | | | Loans reported as trading assets | 35,185 |
| | 31,920 |
| (3,265 | ) | | 33,069 |
| | 29,295 |
| (3,774 | ) | Loans | 3,934 |
| | 3,877 |
| (57 | ) | | 1,618 |
| | 1,563 |
| (55 | ) | Total loans | $ | 43,795 |
| | $ | 37,221 |
| $ | (6,574 | ) | | $ | 40,052 |
| | $ | 32,503 |
| $ | (7,549 | ) | Long-term debt | | | | | | | | | | Principal-protected debt | $ | 15,634 |
| (c) | $ | 15,882 |
| $ | 248 |
| | $ | 15,797 |
| (c) | $ | 15,909 |
| $ | 112 |
| Nonprincipal-protected debt(b) | NA |
| | 15,260 |
| NA |
| | NA |
| | 12,969 |
| NA |
| Total long-term debt | NA |
| | $ | 31,142 |
| NA |
| | NA |
| | $ | 28,878 |
| NA |
| Long-term beneficial interests | | | | | | | | | | Nonprincipal-protected debt(b) | NA |
| | $ | 2,094 |
| NA |
| | NA |
| | $ | 1,996 |
| NA |
| Total long-term beneficial interests | NA |
| | $ | 2,094 |
| NA |
| | NA |
| | $ | 1,996 |
| NA |
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| | (a) | There were no performing loans that were ninety days or more past due as of June 30, 2014, and December 31, 2013. |
| | (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. However, investors are exposed to the credit risk of the Firm as issuer for both nonprincipal-protected and principal protected notes. |
| | (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. |
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| Fair value, option, structured notes by balance sheet classification and primary embedded derivative risk |
The table below presents the fair value of the structured notes issued by the Firm, by balance sheet classification and the primary risk to which the structured notes’ embedded derivative relates. | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2014 | | December 31, 2013 | (in millions) | Long-term debt | Other borrowed funds | Deposits | Total | | Long-term debt | Other borrowed funds | Deposits | Total | Risk exposure | | | | | | | | | | Interest rate | $ | 10,505 |
| $ | 461 |
| $ | 1,735 |
| $ | 12,701 |
| | $ | 9,516 |
| $ | 615 |
| $ | 1,270 |
| $ | 11,401 |
| Credit | 4,429 |
| 124 |
| — |
| 4,553 |
| | 4,248 |
| 13 |
| — |
| 4,261 |
| Foreign exchange | 2,307 |
| 136 |
| 16 |
| 2,459 |
| | 2,321 |
| 194 |
| 27 |
| 2,542 |
| Equity | 12,512 |
| 13,510 |
| 4,184 |
| 30,206 |
| | 11,082 |
| 11,936 |
| 3,736 |
| 26,754 |
| Commodity | 1,154 |
| 589 |
| 1,570 |
| 3,313 |
| | 1,260 |
| 310 |
| 1,133 |
| 2,703 |
| Total structured notes | $ | 30,907 |
| $ | 14,820 |
| $ | 7,505 |
| $ | 53,232 |
| | $ | 28,427 |
| $ | 13,068 |
| $ | 6,166 |
| $ | 47,661 |
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