A description of the valuation techniques applied to the Company's major categories of assets and liabilities measured at fair value on a recurring basis follows.

• U.S. Treasury Securities. U.S. Treasury securities are valued using quoted market prices. Valuation adjustments are not applied. Accordingly, U.S. Treasury securities are generally categorized in Level 1 of the fair value hierarchy.

• U.S. Agency Securities. U.S. agency securities are composed of three main categories consisting of agency-issued debt, agency mortgage pass-through pool securities and collateralized mortgage obligations. Non-callable agency-issued debt securities are generally valued using quoted market prices. Callable agency-issued debt securities are valued by benchmarking model-derived prices to quoted market prices and trade data for identical or comparable securities. The fair value of agency mortgage pass-through pool securities is model-driven based on spreads of the comparable To-be-announced (“TBA”) security. Collateralized mortgage obligations are valued using quoted market prices and trade data adjusted by subsequent changes in related indices for identical or comparable securities. Actively traded non-callable agency-issued debt securities are generally categorized in Level 1 of the fair value hierarchy. Callable agency-issued debt securities, agency mortgage pass-through pool securities and collateralized mortgage obligations are generally categorized in Level 2 of the fair value hierarchy.

• Foreign sovereign government obligations are valued using quoted prices in active markets when available. These bonds are generally categorized in Level 1 of the fair value hierarchy. If the market is less active or prices are dispersed, these bonds are categorized in Level 2 of the fair value hierarchy.

• State and Municipal Securities. The fair value of state and municipal securities is determined using recently executed transactions, market price quotations and pricing models that factor in, where applicable, interest rates, bond or credit default swap spreads and volatility. These bonds are generally categorized in Level 2 of the fair value hierarchy.

• Residential Mortgage-Backed Securities (“RMBS”), Commercial Mortgage-Backed Securities (“CMBS”) and other Asset-Backed Securities (“ABS”). RMBS, CMBS and other ABS may be valued based on price or spread data obtained from observed transactions or independent external parties such as vendors or brokers. When position-specific external price data are not observable, the fair value determination may require benchmarking to similar instruments and/or analyzing expected credit losses, default and recovery rates. In evaluating the fair value of each security, the Company considers security collateral-specific attributes, including payment priority, credit enhancement levels, type of collateral, delinquency rates and loss severity. In addition, for RMBS borrowers, Fair Isaac Corporation (“FICO”) scores and the level of documentation for the loan are also considered. Market standard models, such as Intex, Trepp or others, may be deployed to model the specific collateral composition and cash flow structure of each transaction. Key inputs to these models are market spreads, forecasted credit losses, default and prepayment rates for each asset category. Valuation levels of RMBS and CMBS indices are also used as an additional data point for benchmarking purposes or to price outright index positions.

RMBS, CMBS and other ABS are generally categorized in Level 2 of the fair value hierarchy. If external prices or significant spread inputs are unobservable or if the comparability assessment involves significant subjectivity related to property type differences, cash flows, performance and other inputs, then RMBS, CMBS and other ABS are categorized in Level 3 of the fair value hierarchy.

• Corporate Bonds. The fair value of corporate bonds is determined using recently executed transactions, market price quotations (where observable), bond spreads or credit default swap spreads obtained from independent external parties such as vendors and brokers adjusted for any basis difference between cash and derivative instruments. The spread data used are for the same maturity as the bond. If the spread data do not reference the issuer, then data that reference a comparable issuer are used. When position-specific external price data are not observable, fair value is determined based on either benchmarking to similar instruments or cash flow models with yield curves, bond or single name credit default swap spreads and recovery rates as significant inputs. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the fair value hierarchy.

• Collateralized Debt Obligations (“CDO”). The Company holds cash CDOs that typically reference a tranche of an underlying synthetic portfolio of single name credit default swaps collateralized by corporate bonds (“credit-linked notes”) or cash portfolio of asset-backed securities (“asset-backed CDOs”). Credit correlation, a primary input used to determine the fair value of credit-linked notes, is usually unobservable and derived using a benchmarking technique. The other credit-linked note model inputs such as credit spreads, including collateral spreads, and interest rates are typically observable. Asset-backed CDOs are valued based on an evaluation of the market and model input parameters sourced from similar positions as indicated by primary and secondary market activity. Each asset-backed CDO position is evaluated independently taking into consideration available comparable market levels, underlying collateral performance and pricing, deal structures, as well as liquidity. Cash CDOs are categorized in Level 2 of the fair value hierarchy when either the credit correlation input is insignificant or comparable market transactions are observable. In instances where the credit correlation input is deemed to be significant or comparable market transactions are unobservable, cash CDOs are categorized in Level 3 of the fair value hierarchy.

• Corporate Loans and Lending Commitments. The fair value of corporate loans is determined using recently executed transactions, market price quotations (where observable), implied yields from comparable debt, and market observable credit default swap spread levels obtained from independent external parties such as vendors and brokers adjusted for any basis difference between cash and derivative instruments, along with proprietary valuation models and default recovery analysis where such transactions and quotations are unobservable. The fair value of contingent corporate lending commitments is determined by using executed transactions on comparable loans and the anticipated market price based on pricing indications from syndicate banks and customers. The valuation of loans and lending commitments also takes into account fee income that is considered an attribute of the contract. Corporate loans and lending commitments are categorized in Level 2 of the fair value hierarchy except in instances where prices or significant spread inputs are unobservable, in which case they are categorized in Level 3 of the fair value hierarchy. Corporate loans and lending commitments are presented within Loans and lending commitments in the fair value hierarchy table.

• Mortgage Loans. Mortgage loans are valued using observable prices based on transactional data or third party pricing for identical or comparable instruments, when available. Where position-specific external prices are not observable, the Company estimates fair value based on benchmarking to prices and rates observed in the primary market for similar loan or borrower types or based on the present value of expected future cash flows using its best estimates of the key assumptions, including forecasted credit losses, prepayment rates, forward yield curves and discount rates commensurate with the risks involved or a methodology that utilizes the capital structure and credit spreads of recent comparable securitization transactions. Mortgage loans valued based on observable market data for identical or comparable instruments are categorized in Level 2 of the fair value hierarchy. Where observable prices are not available, due to the subjectivity involved in the comparability assessment related to mortgage loan vintage, geographical concentration, prepayment speed and projected loss assumptions, mortgage loans are categorized in Level 3 of the fair value hierarchy. Mortgage loans are presented within Loans and lending commitments in the fair value hierarchy table.

• Auction Rate Securities (“ARS”). The Company primarily holds investments in Student Loan Auction Rate Securities (“SLARS”) and Municipal Auction Rate Securities (“MARS”) with interest rates that are reset through periodic auctions. SLARS are ABS backed by pools of student loans. MARS are municipal bonds often wrapped by municipal bond insurance. ARS were historically traded and valued as floating rate notes, priced at par due to the auction mechanism. Beginning in fiscal 2008, uncertainties in the credit markets have resulted in auctions failing for certain types of ARS. Once the auctions failed, ARS could no longer be valued using observations of auction market prices. Accordingly, the fair value of ARS is determined using independent external market data where available and an internally developed methodology to discount for the lack of liquidity and non-performance risk.

Inputs that impact the valuation of SLARS are independent external market data, the underlying collateral types, level of seniority in the capital structure, amount of leverage in each structure, credit rating and liquidity considerations. Inputs that impact the valuation of MARS are recently executed transactions, the maximum rate, quality of underlying issuers/insurers and evidence of issuer calls/prepayment. ARS are generally categorized in Level 2 of the fair value hierarchy as the valuation technique relies on observable external data. SLARS and MARS are presented within Asset-backed securities and State and municipal securities, respectively, in the fair value hierarchy table.

• Exchange-Traded Equity Securities. Exchange-traded equity securities are generally valued based on quoted prices from the exchange. To the extent these securities are actively traded, valuation adjustments are not applied, and they are categorized in Level 1 of the fair value hierarchy; otherwise, they are categorized in Level 2 or Level 3 of the fair value hierarchy.

• Unlisted Equity Securities. Unlisted equity securities are valued based on an assessment of each underlying security, considering rounds of financing and third-party transactions, discounted cash flow analyses and market-based information, including comparable company transactions, trading multiples and changes in market outlook, among other factors. These securities are generally categorized in Level 3 of the fair value hierarchy.

• Fund Units. Listed fund units are generally marked to the exchange-traded price or net asset value (“NAV”) and are categorized in Level 1 of the fair value hierarchy if actively traded on an exchange or in Level 2 of the fair value hierarchy if trading is not active. Unlisted fund units are generally marked to NAV and categorized as Level 2; however, positions which are not redeemable at the measurement date or in the near future are categorized in Level 3 of the fair value hierarchy.

• Listed Derivative Contracts. Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. Listed derivatives that are not actively traded are valued using the same approaches as those applied to over-the-counter (“OTC”) derivatives; they are generally categorized in Level 2 of the fair value hierarchy.

• OTC Derivative Contracts. OTC derivative contracts include forward, swap and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices or commodity prices.

Depending on the product and the terms of the transaction, the fair value of OTC derivative products can be either observed or modeled using a series of techniques and model inputs from comparable benchmarks, including closed-form analytic formulas, such as the Black-Scholes option-pricing model, and simulation models or a combination thereof. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgment, and the pricing inputs are observed from actively quoted markets, as is the case for generic interest rate swaps, certain option contracts and certain credit default swaps. In the case of more established derivative products, the pricing models used by the Company are widely accepted by the financial services industry. A substantial majority of OTC derivative products valued by the Company using pricing models fall into this category and are categorized in Level 2 of the fair value hierarchy.

Other derivative products, including complex products that have become illiquid, require more judgment in the implementation of the valuation technique applied due to the complexity of the valuation assumptions and the reduced observability of inputs. This includes certain types of interest rate derivatives with both volatility and correlation exposure and credit derivatives including credit default swaps on certain mortgage-backed or asset-backed securities, basket credit default swaps and CDO-squared positions (a CDO-squared position is a special purpose vehicle that issues interests, or tranches, that are backed by tranches issued by other CDOs) where direct trading activity or quotes are unobservable. These instruments involve significant unobservable inputs and are categorized in Level 3 of the fair value hierarchy.

Derivative interests in credit default swaps on certain mortgage-backed or asset-backed securities, for which observability of external price data is limited, are valued based on an evaluation of the market and model input parameters sourced from similar positions as indicated by primary and secondary market activity. Each position is evaluated independently taking into consideration available comparable market levels as well as cash-synthetic basis, or the underlying collateral performance and pricing, behavior of the tranche under various cumulative loss and prepayment scenarios, deal structures (e.g., non-amortizing reference obligations, call features, etc.) and liquidity. While these factors may be supported by historical and actual external observations, the determination of their value as it relates to specific positions nevertheless requires significant judgment.

For basket credit default swaps and CDO-squared positions, the correlation input between reference credits is unobservable for each specific swap or position and is benchmarked to standardized proxy baskets for which correlation data are available. The other model inputs such as credit spread, interest rates and recovery rates are observable. In instances where the correlation input is deemed to be significant, these instruments are categorized in Level 3 of the fair value hierarchy; otherwise, these instruments are categorized in Level 2 of the fair value hierarchy.

The Company trades various derivative structures with commodity underlyings. Depending on the type of structure, the model inputs generally include interest rate yield curves, commodity underlier price curves, implied volatility of the underlying commodities and, in some cases, the implied correlation between these inputs. The fair value of these products is determined using executed trades and broker and consensus data to provide values for the aforementioned inputs. Where these inputs are unobservable, relationships to observable commodities and data points, based on historic and/or implied observations, are employed as a technique to estimate the model input values. Commodity derivatives are generally categorized in Level 2 of the fair value hierarchy; in instances where significant inputs are unobservable, they are categorized in Level 3 of the fair value hierarchy.

For further information on derivative instruments and hedging activities, see Note 10.

• The Company's investments include direct investments in equity securities as well as investments in private equity funds, real estate funds and hedge funds, which include investments made in connection with certain employee deferred compensation plans. Direct investments are presented in the fair value hierarchy table as Principal investments and Other. Initially, the transaction price is generally considered by the Company as the exit price and is the Company's best estimate of fair value.

After initial recognition, in determining the fair value of non-exchange-traded internally and externally managed funds, the Company generally considers the NAV of the fund provided by the fund manager to be the best estimate of fair value. For non-exchange-traded investments either held directly or held within internally managed funds, fair value after initial recognition is based on an assessment of each underlying investment, considering rounds of financing and third-party transactions, discounted cash flow analyses and market-based information, including comparable company transactions, trading multiples and changes in market outlook, among other factors. Exchange-traded direct equity investments are generally valued based on quoted prices from the exchange.

Exchange-traded direct equity investments that are actively traded are categorized in Level 1 of the fair value hierarchy. Non-exchange-traded direct equity investments and investments in private equity and real estate funds are generally categorized in Level 3 of the fair value hierarchy. Investments in hedge funds that are redeemable at the measurement date or in the near future are categorized in Level 2 of the fair value hierarchy; otherwise, they are categorized in Level 3 of the fair value hierarchy.

• The Company trades various physical commodities, including crude oil and refined products, natural gas, base and precious metals and agricultural products. Fair value for physical commodities is determined using observable inputs, including broker quotations and published indices. Physical commodities are categorized in Level 2 of the fair value hierarchy; in instances where significant inputs are unobservable, they are categorized in Level 3 of the fair value hierarchy.

• Securities available for sale are composed of U.S. government and agency securities (e.g., U.S. Treasury securities, agency-issued debt, agency mortgage pass-through securities and collateralized mortgage obligations), Federal Family Education Loan Program (“FFELP”) student loan asset-backed securities, auto loan asset-backed securities, corporate bonds and equity securities. Actively traded U.S. Treasury securities, non-callable agency-issued debt securities and equity securities are generally categorized in Level 1 of the fair value hierarchy. Callable agency-issued debt securities, agency mortgage pass-through securities, collateralized mortgage obligations and FFELP student loan asset-backed securities, auto loan asset-backed securities and corporate bonds are generally categorized in Level 2 of the fair value hierarchy. For further information on securities available for sale, see Note 4.

• Time Deposits. The fair value of certificates of deposit is determined using third-party quotations. These deposits are generally categorized in Level 2 of the fair value hierarchy.

• Structured Notes. The Company issues structured notes that have coupon or repayment terms linked to the performance of fixed income or equity securities, indices, currencies or commodities. Fair value of structured notes is determined using valuation models for the derivative and debt portions of the notes. These models incorporate observable inputs referencing identical or comparable securities, including prices that the notes are linked to, interest rate yield curves, option volatility and currency, commodity or equity prices. Independent, external and traded prices for the notes are also considered. The impact of the Company's own credit spreads is also included based on the Company's observed secondary bond market spreads. Most structured notes are categorized in Level 2 of the fair value hierarchy.

Securities Purchased under Agreements to Resell, and Securities Sold under Agreements to Repurchase.

• The fair value of a reverse repurchase agreement or repurchase agreement is computed using a standard cash flow discounting methodology. The inputs to the valuation include contractual cash flows and collateral funding spreads, which are estimated using various benchmarks, interest rate yield curves and option volatilities. In instances where the unobservable inputs are deemed significant, reverse repurchase agreements and repurchase agreements are categorized in Level 3 of the fair value hierarchy; otherwise, they are categorized in Level 2 of the fair value hierarchy.

The following fair value hierarchy tables present information about the Company's assets and liabilities measured at fair value on a recurring basis at June 30, 2012 and December 31, 2011.

Assets and Liabilities Measured at Fair Value on a Recurring Basis at June 30, 2012.

				Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Counterparty and Cash Collateral Netting		Balance at June 30, 2012



					(dollars in millions)
Assets at Fair Value
Financial instruments owned:
	U.S. government and agency securities:
		U.S. Treasury securities		$	25,656	$	—	$	—	$	—	$	25,656
		U.S. agency securities			3,985		24,497		—		—		28,482
			Total U.S. government and agency securities		29,641		24,497		—		—		54,138
	Other sovereign government obligations				28,744		4,883		1		—		33,628
	Corporate and other debt:
		State and municipal securities			—		2,799		3		—		2,802
		Residential mortgage-backed securities			—		1,500		24		—		1,524
		Commercial mortgage-backed securities			—		1,240		256		—		1,496
		Asset-backed securities			—		965		9		—		974
		Corporate bonds			—		18,142		745		—		18,887
		Collateralized debt obligations			—		682		1,457		—		2,139
		Loans and lending commitments			—		12,771		7,794		—		20,565
		Other debt			—		9,357		13		—		9,370
			Total corporate and other debt		—		47,456		10,301		—		57,757
	Corporate equities(1)				44,200		1,664		482		—		46,346
	Derivative and other contracts:
		Interest rate contracts			807		870,435		4,597		—		875,839
		Credit contracts			—		92,251		9,213		—		101,464
		Foreign exchange contracts			11		49,876		337		—		50,224
		Equity contracts			1,493		42,578		834		—		44,905
		Commodity contracts			6,324		24,654		2,539		—		33,517
		Other			—		126		—		—		126
		Netting(2)			(3,943)		(980,633)		(9,430)		(77,726)		(1,071,732)
			Total derivative and other contracts		4,692		99,287		8,090		(77,726)		34,343
	Investments:
		Private equity funds			—		—		2,005		—		2,005
		Real estate funds			—		6		1,326		—		1,332
		Hedge funds			—		349		533		—		882
		Principal investments			118		93		3,047		—		3,258
		Other			143		66		543		—		752
			Total investments		261		514		7,454		—		8,229
	Physical commodities				—		6,141		—		—		6,141
		Total financial instruments owned			107,538		184,442		26,328		(77,726)		240,582
Securities available for sale					11,561		19,881		—		—		31,442
Securities received as collateral					12,126		24		—		—		12,150
Federal funds sold and securities purchased
	under agreements to resell				—		622		—		—		622
Intangible assets(3)					—		—		8		—		8
Total assets measured at fair value				$	131,225	$	204,969	$	26,336	$	(77,726)	$	284,804

Liabilities at Fair Value
Deposits				$	—	$	1,965	$	—	$	—	$	1,965
Commercial paper and other short-term borrowings					—		838		2		—		840
Financial instruments sold, not yet purchased:
	U.S. government and agency securities:
		U.S. Treasury securities			26,197		—		—		—		26,197
		U.S. agency securities			1,421		152		—		—		1,573
			Total U.S. government and agency securities		27,618		152		—		—		27,770
	Other sovereign government obligations				20,863		1,345		—		—		22,208
	Corporate and other debt:
		State and municipal securities			—		7		—		—		7
		Residential mortgage-backed securities			—		8		4		—		12
		Corporate bonds			—		7,570		127		—		7,697
		Collateralized debt obligations			—		159		1		—		160
		Unfunded lending commitments			—		866		51		—		917
		Other debt			—		185		63		—		248
			Total corporate and other debt		—		8,795		246		—		9,041
	Corporate equities(1)				28,695		779		47		—		29,521
	Derivative and other contracts:
		Interest rate contracts			859		840,040		4,769		—		845,668
		Credit contracts			—		90,845		5,371		—		96,216
		Foreign exchange contracts			14		53,049		561		—		53,624
		Equity contracts			1,530		45,501		2,007		—		49,038
		Commodity contracts			7,352		24,582		1,602		—		33,536
		Other			—		43		27		—		70
		Netting(2)			(3,943)		(980,633)		(9,430)		(49,211)		(1,043,217)
			Total derivative and other contracts		5,812		73,427		4,907		(49,211)		34,935
		Total financial instruments sold, not yet purchased			82,988		84,498		5,200		(49,211)		123,475
Obligation to return securities received as collateral					17,047		31		—		—		17,078
Securities sold under agreements to repurchase					—		161		185		—		346
Other secured financings					—		8,766		470		—		9,236
Long-term borrowings					1		40,271		2,210		—		42,482
Total liabilities measured at fair value				$	100,036	$	136,530	$	8,067	$	(49,211)	$	195,422

(1) The Company holds or sells short for trading purposes equity securities issued by entities in diverse industries and of varying size.

(2) For positions with the same counterparty that cross over the levels of the fair value hierarchy, both counterparty netting and cash collateral netting are included in the column titled “Counterparty and Cash Collateral Netting.” For contracts with the same counterparty, counterparty netting among positions classified within the same level is included within that level. For further information on derivative instruments and hedging activities, see Note 10.

(3) Amount represents mortgage servicing rights (“MSR”) accounted for at fair value. See Note 6 for further information on MSRs.

For assets and liabilities that were transferred between Level 1 and Level 2 during the period, fair values are ascribed as if the assets or liabilities had been transferred as of the beginning of the period.

Financial instruments owned—Derivative and other contracts and Financial instruments sold, not yet purchased—Derivative and other contracts. During the quarter ended June 30, 2012, the Company reclassified approximately $1.5 billion of derivative assets and approximately $1.7 billion of derivative liabilities from Level 2 to Level 1 as these listed derivatives became actively traded and were valued based on quoted prices from the exchange. Also during the quarter ended June 30, 2012, the Company reclassified approximately $0.5 billion of derivative assets and approximately $0.7 billion of derivative liabilities from Level 1 to Level 2 as transactions in these contracts did not occur with sufficient frequency and volume to constitute an active market.

Transfers Between Level 1 and Level 2 During the Six Months Ended June 30, 2012.

Financial instruments owned—Derivative and other contracts and Financial instruments sold, not yet purchased—Derivative and other contracts. During the six months ended June 30, 2012, the Company reclassified approximately $2.0 billion of derivative assets and approximately $1.8 billion of derivative liabilities from Level 2 to Level 1 as these listed derivatives became actively traded and were valued based on quoted prices from the exchange. Also during the six months ended June 30, 2012, the Company reclassified approximately $0.4 billion of derivative assets and approximately $0.4 billion of derivative liabilities from Level 1 to Level 2 as transactions in these contracts did not occur with sufficient frequency and volume to constitute an active market.

Assets and Liabilities Measured at Fair Value on a Recurring Basis at December 31, 2011.

				Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Counterparty and Cash Collateral Netting		Balance at December 31, 2011




					(dollars in millions)
Assets at Fair Value
Financial instruments owned:
	U.S. government and agency securities:
		U.S. Treasury securities		$	38,769	$	1	$	—	$	—	$	38,770
		U.S. agency securities			4,332		20,339		8		—		24,679
			Total U.S. government and agency securities		43,101		20,340		8		—		63,449
	Other sovereign government obligations				22,650		6,290		119		—		29,059
	Corporate and other debt:
		State and municipal securities			—		2,261		—		—		2,261
		Residential mortgage-backed securities			—		1,304		494		—		1,798
		Commercial mortgage-backed securities			—		1,686		134		—		1,820
		Asset-backed securities			—		937		31		—		968
		Corporate bonds			—		25,873		675		—		26,548
		Collateralized debt obligations			—		1,711		980		—		2,691
		Loans and lending commitments			—		14,854		9,590		—		24,444
		Other debt			—		8,265		128		—		8,393
			Total corporate and other debt		—		56,891		12,032		—		68,923
	Corporate equities(1)				45,173		2,376		417		—		47,966
	Derivative and other contracts:
		Interest rate contracts			1,493		906,082		5,301		—		912,876
		Credit contracts			—		123,689		15,102		—		138,791
		Foreign exchange contracts			—		61,770		573		—		62,343
		Equity contracts			929		44,558		800		—		46,287
		Commodity contracts			6,356		31,246		2,176		—		39,778
		Other			—		292		306		—		598
		Netting(2)			(7,596)		(1,045,912)		(11,837)		(87,264)		(1,152,609)
			Total derivative and other contracts		1,182		121,725		12,421		(87,264)		48,064
	Investments:
		Private equity funds			—		7		1,936		—		1,943
		Real estate funds			—		5		1,213		—		1,218
		Hedge funds			—		473		696		—		1,169
		Principal investments			161		104		2,937		—		3,202
		Other			141		21		501		—		663
			Total investments		302		610		7,283		—		8,195
	Physical commodities				—		9,651		46		—		9,697
		Total financial instruments owned			112,408		217,883		32,326		(87,264)		275,353
Securities available for sale					13,437		17,058		—		—		30,495
Securities received as collateral					11,530		121		—		—		11,651
Federal funds sold and securities purchased under
	agreements to resell				—		112		—		—		112
Intangible assets(3)					—		—		133		—		133
Total assets measured at fair value				$	137,375	$	235,174	$	32,459	$	(87,264)	$	317,744

Liabilities at Fair Value
Deposits				$	—	$	2,101	$	—	$	—	$	2,101
Commercial paper and other short-term borrowings					—		1,337		2		—		1,339
Financial instruments sold, not yet purchased:
	U.S. government and agency securities:
		U.S. Treasury securities			17,776		—		—		—		17,776
		U.S. agency securities			1,748		106		—		—		1,854
			Total U.S. government and agency securities		19,524		106		—		—		19,630
	Other sovereign government obligations				14,981		2,152		8		—		17,141
	Corporate and other debt:
		State and municipal securities			—		3		—		—		3
		Residential mortgage-backed securities			—		—		355		—		355
		Commercial mortgage-backed securities			—		14		—		—		14
		Corporate bonds			—		6,217		219		—		6,436
		Collateralized debt obligations			—		3		—		—		3
		Unfunded lending commitments			—		1,284		85		—		1,369
		Other debt			—		157		73		—		230
			Total corporate and other debt		—		7,678		732		—		8,410
	Corporate equities(1)				24,347		149		1		—		24,497
	Derivative and other contracts:
		Interest rate contracts			1,680		873,466		4,881		—		880,027
		Credit contracts			—		121,438		9,288		—		130,726
		Foreign exchange contracts			—		64,218		530		—		64,748
		Equity contracts			877		45,375		2,034		—		48,286
		Commodity contracts			7,144		31,248		1,606		—		39,998
		Other			—		879		1,396		—		2,275
		Netting(2)			(7,596)		(1,045,912)		(11,837)		(54,262)		(1,119,607)
			Total derivative and other contracts		2,105		90,712		7,898		(54,262)		46,453
	Physical commodities				—		16		—		—		16
		Total financial instruments sold, not yet purchased			60,957		100,813		8,639		(54,262)		116,147
Obligation to return securities received as collateral					15,267		127		—		—		15,394
Securities sold under agreements to repurchase					—		8		340		—		348
Other secured financings					—		14,024		570		—		14,594
Long-term borrowings					10		38,050		1,603		—		39,663
Total liabilities measured at fair value				$	76,234	$	156,460	$	11,154	$	(54,262)	$	189,586

(1) The Company holds or sells short for trading purposes equity securities issued by entities in diverse industries and of varying size.

(3) Amount represents MSRs accounted for at fair value. See Note 6 for further information on MSRs.

Transfers Between Level 1 and Level 2 During the Six Months Ended June 30, 2011.

The following tables present additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter and six months ended June 30, 2012 and 2011, respectively. Level 3 instruments may be hedged with instruments classified in Level 1 and Level 2. As a result, the realized and unrealized gains (losses) for assets and liabilities within the Level 3 category presented in the tables below do not reflect the related realized and unrealized gains (losses) on hedging instruments that have been classified by the Company within the Level 1 and/or Level 2 categories.

Additionally, both observable and unobservable inputs may be used to determine the fair value of positions that the Company has classified within the Level 3 category. As a result, the unrealized gains (losses) during the period for assets and liabilities within the Level 3 category presented in the tables below may include changes in fair value during the period that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long-dated volatilities) inputs.

For assets and liabilities that were transferred into Level 3 during the period, gains (losses) are presented as if the assets or liabilities had been transferred into Level 3 at the beginning of the period; similarly, for assets and liabilities that were transferred out of Level 3 during the period, gains (losses) are presented as if the assets or liabilities had been transferred out at the beginning of the period.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Quarter Ended June 30, 2012.

					Beginning Balance at March 31, 2012		Total Realized and Unrealized Gains (Losses) (1)		Purchases		Sales		Issuances		Settlements		Net Transfers		Ending Balance at June 30, 2012		Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at June 30, 2012 (2)

					(dollars in millions)
Assets at Fair Value
Financial instruments owned:
	U.S. agency securities			$	23	$	—	$	—	$	(23)	$	—	$	—	$	—	$	—	$	—
	Other sovereign government obligations				8		—		1		(1)		—		—		(7)		1		—
	Corporate and other debt:
		State and municipal securities			3		1		—		(1)		—		—		—		3		—
		Residential mortgage-backed securities			43		(6)		17		(33)		—		—		3		24		(23)
		Commercial mortgage-backed securities			127		(3)		146		(12)		—		—		(2)		256		1
		Asset-backed securities			3		(1)		8		(1)		—		—		—		9		(1)
		Corporate bonds			899		(39)		277		(428)		—		—		36		745		(27)
		Collateralized debt obligations			1,165		20		509		(241)		—		—		4		1,457		(10)
		Loans and lending commitments			8,597		(126)		326		(1,320)		—		(580)		897		7,794		(173)
		Other debt			57		(2)		14		(56)		—		—		—		13		(5)
			Total corporate and other debt		10,894		(156)		1,297		(2,092)		—		(580)		938		10,301		(238)
	Corporate equities				554		34		(14)		(45)		—		—		(47)		482		2
	Net derivative and other contracts(3):
		Interest rate contracts			22		(35)		158		—		(235)		59		(141)		(172)		17
		Credit contracts			4,381		340		19		—		(401)		(272)		(225)		3,842		181
		Foreign exchange contracts			66		(103)		—		—		—		(187)		—		(224)		(147)
		Equity contracts			(1,442)		218		31		(2)		(33)		15		40		(1,173)		213
		Commodity contracts			803		142		—		—		—		(9)		1		937		89
		Other			(23)		—		—		—		—		(4)		—		(27)		—
			Total net derivative and
			other contracts		3,807		562		208		(2)		(669)		(398)		(325)		3,183		353
	Investments:
		Private equity funds			1,994		15		50		(54)		—		—		—		2,005		7
		Real estate funds			1,338		12		30		(54)		—		—		—		1,326		10
		Hedge funds			623		(23)		6		(25)		—		—		(48)		533		(23)
		Principal investments			3,194		(9)		51		(80)		—		—		(109)		3,047		(22)
		Other			527		23		19		(23)		—		—		(3)		543		21
			Total investments		7,676		18		156		(236)		—		—		(160)		7,454		(7)
Intangible assets					99		(5)		—		(84)		—		(2)		—		8		(4)

Liabilities at Fair Value
Commercial paper and other
	short-term borrowings			$	15	$	—	$	—	$	—	$	—	$	(13)	$	—	$	2	$	—
Other sovereign government obligations					1		—		(1)		—		—		—		—		—		—
Financial instruments sold, not yet purchased:
	Corporate and other debt:
		Residential mortgage-backed securities			61		57		—		—		—		—		—		4		57
		Corporate bonds			193		32		(164)		139		—		—		(9)		127		59
		Collateralized debt obligations			—		—		(1)		2		—		—		—		1		—
		Unfunded lending commitments			60		9		—		—		—		—		—		51		9
		Other debt			33		16		(2)		48		—		—		—		63		16
			Total corporate and other debt		347		114		(167)		189		—		—		(9)		246		141
	Corporate equities				2		(27)		(13)		25		—		—		6		47		(26)
Obligation to return securities
Securities sold under agreements to repurchase					186		1		—		—		—		—		—		185		1
Other secured financings					594		(4)		—		—		41		(152)		(17)		470		(4)
Long-term borrowings					2,143		(59)		—		—		315		(284)		(23)		2,210		(146)

(1) Total realized and unrealized gains (losses) are primarily included in Principal transactions—Trading in the condensed consolidated statements of income except for $18 million related to Financial instruments owned—Investments, which is included in Principal transactions—Investments.

(2) Amounts represent unrealized gains (losses) for the quarter ended June 30, 2012 related to assets and liabilities still outstanding at June 30, 2012.

(3) Net derivative and other contracts represent Financial instruments owned—Derivative and other contracts net of Financial instruments sold, not yet purchased—Derivative and other contracts. For further information on derivative instruments and hedging activities, see Note 10.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Six Months Ended June 30, 2012.

					Beginning Balance at December 31, 2011		Total Realized and Unrealized Gains (Losses) (1)		Purchases		Sales		Issuances		Settlements		Net Transfers		Ending Balance at June 30, 2012		Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at June 30, 2012(2)

					(dollars in millions)
Assets at Fair Value
Financial instruments owned:
	U.S. agency securities			$	8	$	—	$	—	$	(7)	$	—	$	—	$	(1)	$	—	$	—
	Other sovereign government obligations				119		—		1		(118)		—		—		(1)		1		—
	Corporate and other debt:
		State and municipal securities			—		1		—		(1)		—		—		3		3		1
		Residential mortgage-backed securities			494		(27)		3		(265)		—		—		(181)		24		(61)
		Commercial mortgage-backed securities			134		25		138		(37)		—		(1)		(3)		256		23
		Asset-backed securities			31		—		8		(29)		—		—		(1)		9		(1)
		Corporate bonds			675		6		331		(391)		—		—		124		745		(8)
		Collateralized debt obligations			980		137		725		(335)		—		—		(50)		1,457		52
		Loans and lending commitments			9,590		(168)		1,410		(2,269)		—		(695)		(74)		7,794		(312)
		Other debt			128		(7)		32		(158)		—		—		18		13		(12)
			Total corporate and other debt		12,032		(33)		2,647		(3,485)		—		(696)		(164)		10,301		(318)
	Corporate equities				417		(13)		215		(149)		—		—		12		482		(20)
	Net derivative and other contracts(3):
		Interest rate contracts			420		(28)		164		—		(240)		37		(525)		(172)		62
		Credit contracts			5,814		(1,083)		81		—		(411)		(267)		(292)		3,842		(1,539)
		Foreign exchange contracts			43		(40)		—		—		—		(207)		(20)		(224)		(102)
		Equity contracts			(1,234)		117		211		(1)		(74)		(244)		52		(1,173)		102
		Commodity contracts			570		320		5		—		(4)		34		12		937		338
		Other			(1,090)		59		—		—		—		264		740		(27)		57
			Total net derivative and
			other contracts		4,523		(655)		461		(1)		(729)		(383)		(33)		3,183		(1,082)
	Investments:
		Private equity funds			1,936		15		143		(89)		—		—		—		2,005		(5)
		Real estate funds			1,213		64		117		(68)		—		—		—		1,326		148
		Hedge funds			696		(1)		24		(58)		—		—		(128)		533		1
		Principal investments			2,937		24		230		(144)		—		—		—		3,047		(17)
		Other			501		(12)		52		(24)		—		—		26		543		(18)
			Total investments		7,283		90		566		(383)		—		—		(102)		7,454		109
	Physical commodities				46		—		—		—		—		(46)		—		—		—
Intangible assets					133		(39)		—		(84)		—		(2)		—		8		(8)

Liabilities at Fair Value
Commercial paper and other
	short-term borrowings			$	2	$	—	$	—	$	—	$	—	$	—	$	—	$	2	$	—
Financial instruments sold, not yet purchased:
	Other sovereign government obligations				8		—		(8)		1		—		—		(1)		—		—
	Corporate and other debt:
		Residential mortgage-backed securities			355		(4)		(355)		—		—		—		—		4		(4)
		Corporate bonds			219		(25)		(203)		111		—		—		(25)		127		49
		Collateralized debt obligations			—		—		—		—		—		—		1		1		—
		Unfunded lending commitments			85		34		—		—		—		—		—		51		34
		Other debt			73		11		(1)		46		—		(55)		11		63		13
			Total corporate and other debt		732		16		(559)		157		—		(55)		(13)		246		92
	Corporate equities				1		(21)		—		27		—		—		(2)		47		(53)
Securities sold under agreements to repurchase					340		3		—		—		—		—		(152)		185		3
Other secured financings					570		(19)		—		—		52		(149)		(22)		470		(19)
Long-term borrowings					1,603		(190)		—		—		444		(102)		75		2,210		(214)

(1) Total realized and unrealized gains (losses) are primarily included in Principal transactions—Trading in the condensed consolidated statements of income except for $90 million related to Financial instruments owned—Investments, which is included in Principal transactions—Investments.

(2) Amounts represent unrealized gains (losses) for the six months ended June 30, 2012 related to assets and liabilities still outstanding at June 30, 2012.

Financial instruments owned—Net derivative and other contracts. The net loss in Net derivative and other contracts was primarily driven by tightening of credit spreads on underlying reference entities of basket credit default swaps.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Quarter Ended June 30, 2011.

					Beginning Balance at March 31, 2011		Total Realized and Unrealized Gains (Losses) (1)		Purchases		Sales		Issuances		Settlements		Net Transfers		Ending Balance at June 30, 2011		Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at June 30, 2011(2)

					(dollars in millions)
Assets at Fair Value
Financial instruments owned:
	U.S. agency securities			$	57	$	1	$	29	$	(72)	$	—	$	—	$	(13)	$	2	$	—
	Other sovereign government obligations				126		9		—		(4)		—		—		1		132		9
	Corporate and other debt:
		State and municipal securities			4		—		21		(25)		—		—		—		—		—
		Residential mortgage-backed securities			361		(10)		101		(54)		—		—		111		509		—
		Commercial mortgage-backed securities			132		(21)		81		(10)		—		—		(46)		136		(1)
		Asset-backed securities			—		259		4		—		—		—		35		298		259
		Corporate bonds			1,366		(93)		216		(353)		—		—		43		1,179		(57)
		Collateralized debt obligations			1,593		17		357		(352)		—		(19)		54		1,650		14
		Loans and lending commitments			11,218		(168)		1,898		(676)		—		(1,285)		(567)		10,420		(236)
		Other debt			165		5		6		(13)		—		—		—		163		1
			Total corporate and other debt		14,839		(11)		2,684		(1,483)		—		(1,304)		(370)		14,355		(20)
	Corporate equities				502		11		127		(144)		—		—		(35)		461		24
	Net derivative and other contracts(3):
		Interest rate contracts			(58)		472		22		—		(45)		(62)		(12)		317		376
		Credit contracts			6,079		1,002		1,089		—		(109)		(737)		68		7,392		958
		Foreign exchange contracts			46		(34)		2		—		—		30		—		44		(39)
		Equity contracts			(645)		58		77		(7)		(1,163)		52		(33)		(1,661)		60
		Commodity contracts			330		(129)		330		—		(146)		(99)		30		316		(139)
		Other			(508)		(74)		2		—		(112)		296		(1)		(397)		(81)
			Total net derivative and other contracts		5,244		1,295		1,522		(7)		(1,575)		(520)		52		6,011		1,135
	Investments:
		Private equity funds			2,006		153		91		(90)		—		—		—		2,160		129
		Real estate funds			1,251		81		17		(59)		—		—		—		1,290		148
		Hedge funds			871		(17)		20		(120)		—		—		73		827		(17)
		Principal investments			3,057		182		75		(108)		—		—		(86)		3,120		(15)
		Other			398		2		2		(3)		—		—		126		525		(2)
			Total investments		7,583		401		205		(380)		—		—		113		7,922		243
Physical commodities					—		(48)		721		—		—		—		—		673		(48)
Intangible assets					144		(11)		1		—		—		(1)		—		133		(11)

Liabilities at Fair Value
Commercial paper and other short-term borrowings				$	4	$	7	$	—	$	—	$	29	$	(3)	$	—	$	23	$	7
Financial instruments sold, not yet purchased:
	Corporate and other debt:
		Residential mortgage-backed securities			—		(13)		(13)		41		—		—		—		41		(13)
		Corporate bonds			150		49		(324)		336		—		—		(78)		35		60
		Collateralized debt obligations			2		—		(1)		—		—		—		(1)		—		—
		Unfunded lending commitments			171		(69)		—		—		—		—		—		240		(69)
		Other debt			180		13		—		13		—		—		(2)		178		13
	Total corporate and other debt				503		(20)		(338)		390		—		—		(81)		494		(9)
	Corporate equities				9		13		(8)		12		—		—		1		1		3
Securities sold under agreements to repurchase					352		(5)		—		—		1		—		—		358		(5)
Other secured financings					605		(9)		—		—		145		(17)		—		742		(9)
Long-term borrowings					1,374		38		—		—		215		(175)		(125)		1,251		20

(1) Total realized and unrealized gains (losses) are primarily included in Principal transactions—Trading in the condensed consolidated statements of income except for $401 million related to Financial instruments owned—Investments, which is included in Principal transactions—Investments.

(2) Amounts represent unrealized gains (losses) for the quarter ended June 30, 2011 related to assets and liabilities still outstanding at June 30, 2011.

Financial instruments owned—Corporate and other debt. During the quarter ended June 30, 2011, the Company reclassified approximately $1.2 billion of certain Corporate and other debt, primarily corporate loans, from Level 3 to Level 2. The Company reclassified the corporate loans as external prices and/or spread inputs for these instruments became observable.

The Company also reclassified approximately $0.8 billion of certain Corporate and other debt from Level 2 to Level 3. The reclassifications were primarily related to corporate loans and were generally due to a reduction in market price quotations for these or comparable instruments, or a lack of available broker quotes, such that unobservable inputs had to be utilized for the fair value measurement of these instruments.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Six Months Ended June 30, 2011.

					Beginning Balance at December 31, 2010		Total Realized and Unrealized Gains (Losses) (1)		Purchases		Sales		Issuances		Settlements		Net Transfers		Ending Balance at June 30, 2011		Unrealized Gains (Losses) for Level 3 Assets/ Liabilities Outstanding at June 30, 2011(2)

					(dollars in millions)
Assets at Fair Value
Financial instruments owned:
	U.S. agency securities			$	13	$	—	$	34	$	(40)	$	—	$	—	$	(5)	$	2	$	—
	Other sovereign government obligations				73		8		56		—		—		—		(5)		132		8
	Corporate and other debt:
		State and municipal securities			110		(1)		—		(96)		—		—		(13)		—		—
		Residential mortgage-backed securities			319		(62)		279		(193)		—		(1)		167		509		(71)
		Commercial mortgage-backed securities			188		(19)		96		(30)		—		—		(99)		136		(18)
		Asset-backed securities			13		259		13		(17)		—		—		30		298		258
		Corporate bonds			1,368		(26)		273		(409)		—		34		(61)		1,179		42
		Collateralized debt obligations			1,659		273		641		(862)		—		(55)		(6)		1,650		70
		Loans and lending commitments			11,666		213		2,321		(537)		—		(2,038)		(1,205)		10,420		212
		Other debt			193		—		5		(33)		—		—		(2)		163		(9)
			Total corporate and other debt		15,516		637		3,628		(2,177)		—		(2,060)		(1,189)		14,355		484
	Corporate equities				484		(207)		219		(176)		—		—		141		461		1
	Net derivative and other contracts(3):
		Interest rate contracts			424		702		19		—		(704)		(192)		68		317		600
		Credit contracts			6,594		388		1,148		—		(197)		(614)		73		7,392		772
		Foreign exchange contracts			46		(159)		1		—		—		159		(3)		44		(130)
		Equity contracts			(762)		105		119		—		(1,236)		98		15		(1,661)		96
		Commodity contracts			188		165		455		—		(321)		(281)		110		316		153
		Other			(913)		117		2		—		(116)		428		85		(397)		110
			Total net derivative and other contracts		5,577		1,318		1,744		—		(2,574)		(402)		348		6,011		1,601
	Investments:
		Private equity funds			1,986		260		88		(245)		—		—		71		2,160		209
		Real estate funds			1,176		145		31		(62)		—		—		—		1,290		255
		Hedge funds			901		(25)		15		(172)		—		—		108		827		(25)
		Principal investments			3,131		242		(26)		(195)		—		—		(32)		3,120		(105)
		Other			560		51		(4)		(11)		—		—		(71)		525		41
			Total investments		7,754		673		104		(685)		—		—		76		7,922		375
Physical commodities					—		(48)		721		—		—		—		—		673		(48)
Securities received as collateral					1		—		—		(1)		—		—		—		—		—
Intangible assets					157		(26)		5		(1)		(1)		(1)		—		133		(26)
Liabilities at Fair Value
Deposits				$	16	$	2	$	—	$	—	$	—	$	(14)	$	—	$	—	$	—
Commercial paper and other short-term borrowings					2		7		—		—		29		(1)		—		23		7
Financial instruments sold, not yet purchased:
	Corporate and other debt:
		Residential mortgage-backed securities			—		(13)		(12)		40		—		—		—		41		(13)
		Commercial mortgage-backed securities			—		1		—		1		—		—		—		—		—
		Corporate bonds			44		40		(367)		426		—		—		(28)		35		30
		Unfunded lending commitments			263		23		—		—		—		—		—		240		23
		Other debt			194		4		(10)		14		—		—		(16)		178		4
	Total corporate and other debt				501		55		(389)		481		—		—		(44)		494		44
	Corporate equities				15		5		(19)		6		—		—		4		1		3
Obligation to return securities received as collateral					1		—		(1)		—		—		—		—		—		—
Securities sold under agreements to repurchase					351		(6)		1		—		—		—		—		358		(8)
Other secured financings					1,016		(12)		—		—		142		(122)		(306)		742		(12)
Long-term borrowings					1,316		(28)		—		—		388		(342)		(139)		1,251		(22)

(1) Total realized and unrealized gains (losses) are primarily included in Principal transactions—Trading in the condensed consolidated statements of income except for $673 million related to Financial instruments owned—Investments, which is included in Principal transactions—Investments.

(2) Amounts represent unrealized gains (losses) for the six months ended June 30, 2011 related to assets and liabilities still outstanding at June 30, 2011.

Financial instruments owned—Corporate and other debt. During the six months ended June 30, 2011, the Company reclassified approximately $1.8 billion of certain Corporate and other debt, primarily corporate loans, from Level 3 to Level 2. The Company reclassified these corporate loans as external prices and/or spread inputs for these instruments became observable.

The Company also reclassified approximately $0.6 billion of certain Corporate and other debt from Level 2 to Level 3. The reclassifications were primarily related to corporate loans and were generally due to a reduction in market price quotations for these or comparable instruments, or a lack of available broker quotes, such that unobservable inputs had to be utilized for the fair value measurement of these instruments.

Quantitative Information about and Sensitivity of Significant Unobservable Inputs used in Recurring Level 3 Fair Value Measurements at June 30, 2012

The disclosures below provide information on the valuation techniques, significant unobservable inputs and their ranges for each major category of assets and liabilities measured at fair value on a recurring basis with a significant Level 3 balance. The level of aggregation and breadth of products cause the range of inputs to be wide and not evenly distributed across the inventory. Further, the range of unobservable inputs may differ across firms in the financial services industry because of diversity in the types of products included in each firm's inventory. The disclosures below also include qualitative information on the sensitivity of the fair value measurements to changes in the significant unobservable inputs.

				Balance at
				June 30,			Significant Unobservable Input(s) /
				2012	Valuation		Sensitivity of the Fair Value to Changes
				(dollars in millions)	Technique(s)		in the Unobservable Inputs		Range(1)

Assets
Financial instruments owned:
	Corporate and other debt:
		Commercial mortgage-backed securities	$	256	Comparable pricing(2)		Comparable bond price / (A)			40	to		98	points
		Corporate bonds		745	Comparable pricing(2)		Comparable bond price / (A)			2	to		138	points
		Collateralized debt obligations		1,457	Comparable pricing(2)		Comparable bond price / (A)			16	to		84	points
		Collateralized debt obligations		1,457		Correlation model		Credit correlation / (B)			25	to		58	%
		Loans and lending commitments		7,794	Corporate loan model		Credit spread / (C)			33	to		1,255	basis points
						Option model		At the money volatility / (C)			45	to		47	%
						Comparable pricing(2)		Comparable loan price / (A)			55	to		100	points
	Corporate equities(3)			482	Net asset value		Discount to net asset value / (C)			0	to		33	%
									Discounted cash flow	Implied weighted average cost of capital / (C)		10	to		18	%
									Market approach	Earnings before interest, taxes, depreciation and amortization ("EBITDA") multiple / (A)		3	to		21	times
	Net derivative and other contracts:
		Interest rate contracts		(172)	Option model		Interest rate volatility concentration liquidity multiple / (C)(D)			0	to		12	times
		Interest rate contracts		(172)	Option model				Interest rate volatility skew / (A)(D)		15	to		90	%
		Credit contracts		3,842	Comparable pricing(2)		Cash synthetic basis / (C)			2	to		10	points
					Comparable pricing(2)				Comparable bond price / (C)		3	to		75	points
							Correlation model		Credit correlation / (B)		21	to		94	%
		Foreign exchange contracts(4)		(224)	Option model		Comparable bond price / (A)(D)			5	to		96	points
							Interest rate quanto correlation / (A)(D)			-14	to		24	%
							Interest rate - credit spread correlation / (A)(D)			-2	to		46	%
							Interest rate - Foreign exchange correlation / (A)(D)			25	to		67	%
							Interest rate volatility skew / (A)(D)			15	to		90	%
		Equity contracts(4)		(1,173)	Option model		At the money volatility / (C)(D)			2	to		32	%
								Volatility skew / (C)(D)			-5	to		0	%
								Equity - Equity correlation / (C)(D)			40	to		96	%
								Equity - Foreign exchange correlation / (C)(D)			-45	to		50	%
								Equity - Interest rate correlation / (C)(D)			-62	to		79	%
		Commodity contracts		937	Option model		Forward power price / (C)(D)		$	34	to	$	80	per
										Megawatt hour
								Commodity volatility / (A)(D)			20	to		100	%
								Cross commodity correlation / (C)(D)			49	to		91	%
	Investments (3):
		Principal investments		3,047	Discounted cash flow		Implied weighted average cost of capital / (C)(D)			9	to		18	%
					Discounted cash flow			Exit multiple / (A)(D)			5	to		10	times
						Discounted cash flow		Capitalization rate / (C)(D)			5	to		10	%
						Discounted cash flow		Equity discount rate / (C)(D)			15	to		35	%
						Market approach		EBITDA multiple / (A)			3	to		10	times
		Other		543	Discounted cash flow		Implied weighted average cost of capital / (C)(D)			12	to		17	%
					Discounted cash flow			Exit multiple / (A)(D)			5	to		10	times
						Market approach		EBITDA multiple / (A)			3	to		14	times
Liabilities
Financial instruments sold, not yet purchased:
	Corporate and other debt:
		Corporate bonds	$	127	Comparable pricing(2)		Comparable bond price / (A)			5	to		125	points
		Unfunded lending commitments		51	Corporate loan model		Credit spread / (C)			43	to		887	basis points
		Other debt		63	Comparable pricing(2)		Comparable bond price / (A)						100	points
							Comparable bond price / (C)			2	to		10	points
Securities sold under agreements to repurchase				185	Discounted cash flow		Funding spread / (A)			95	to		362	basis points
Other secured financings				470	Comparable pricing(2)		Comparable bond price / (A)			86	to		138	points
Other secured financings				470				Discounted cash flow		Funding spread / (A)			314	to		325	basis points
Long-term borrowings				2,210	Option model		At the money volatility / (A)(D)			10	to		15	%
										Volatility skew / (A)(D)			-2	to		0	%
										Equity - Equity correlation / (C)(D)			50	to		97	%
										Equity - Foreign exchange correlation / (A)(D)			-70	to		-15	%

(1) The ranges of significant unobservable inputs are represented in points, percentages, basis points, times or megawatt hours. Points are a percentage of par; for example, 98 points would be 98% of par. A basis point equals 1/100th of 1%; for example, 1,255 basis points would equal 12.55%.

(2) Prices for the identical instrument are not available and significant subjectivity may be involved when fair value is determined using pricing data available for comparable instruments.

(3) Investments in funds measured using an unadjusted net asset value are excluded.

(A) Significant increase (decrease) in the unobservable input in isolation would result in a significantly higher (lower) fair value measurement.

(B) Significant changes in credit correlation may result in a significantly higher or lower fair value measurement. Increasing (decreasing) correlation drives a redistribution of risk within the capital structure such that junior tranches become less (more) risky and senior tranches become more (less) risky.

(C) Significant increase (decrease) in the unobservable input in isolation would result in a significantly lower (higher) fair value measurement.

(D) There are no predictable relationships between the significant unobservable inputs.

The Company's Investments measured at fair value were $8,229 million and $8,195 million at June 30, 2012 and December 31, 2011, respectively. The following table presents information solely about the Company's investments in private equity funds, real estate funds and hedge funds measured at fair value based on net asset value at June 30, 2012 and December 31, 2011, respectively.

(1) Fixed income/credit-related hedge funds, event-driven hedge funds, and multi-strategy hedge funds are redeemable at least on a six-month period basis primarily with a notice period of 90 days or less. At June 30, 2012, approximately 37% of the fair value amount of long-short equity hedge funds is redeemable at least quarterly, 36% is redeemable every six months and 27% of these funds have a redemption frequency of greater than six months. The notice period for long-short equity hedge funds at June 30, 2012 is primarily greater than six months. At December 31, 2011, approximately 38% of the fair value amount of long-short equity hedge funds is redeemable at least quarterly, 32% is redeemable every six months and 30% of these funds have a redemption frequency of greater than six months. The notice period for long-short equity hedge funds at December 31, 2011 is primarily greater than six months.

Private Equity Funds. Amount includes several private equity funds that pursue multiple strategies including leveraged buyouts, venture capital, infrastructure growth capital, distressed investments, and mezzanine capital. In addition, the funds may be structured with a focus on specific domestic or foreign geographic regions. These investments are generally not redeemable with the funds. Instead, the nature of the investments in this category is that distributions are received through the liquidation of the underlying assets of the fund. At June 30, 2012, it is estimated that 6% of the fair value of the funds will be liquidated in the next five years, another 31% of the fair value of the funds will be liquidated between five to 10 years and the remaining 63% of the fair value of the funds have a remaining life of greater than 10 years.

Real Estate Funds. Amount includes several real estate funds that invest in real estate assets such as commercial office buildings, retail properties, multi-family residential properties, developments or hotels. In addition, the funds may be structured with a focus on specific geographic domestic or foreign regions. These investments are generally not redeemable with the funds. Distributions from each fund will be received as the underlying investments of the funds are liquidated. At June 30, 2012, it is estimated that 4% of the fair value of the funds will be liquidated within the next five years, another 41% of the fair value of the funds will be liquidated between five to 10 years and the remaining 55% of the fair value of the funds have a remaining life of greater than 10 years.

Hedge Funds. Investments in hedge funds may be subject to initial period lock-up restrictions or gates. A hedge fund lock-up provision is a provision that provides that, during a certain initial period, an investor may not make a withdrawal from the fund. The purpose of a gate is to restrict the level of redemptions that an investor in a particular hedge fund can demand on any redemption date.

• Long-short Equity Hedge Funds. Amount includes investments in hedge funds that invest, long or short, in equities. Equity value and growth hedge funds purchase stocks perceived to be undervalued and sell stocks perceived to be overvalued. Investments representing approximately 9% of the fair value of the investments in this category cannot be redeemed currently because the investments include certain initial period lock-up restrictions. The remaining restriction period for these investments subject to lock-up restrictions was three years or less at June 30, 2012. Investments representing approximately 7% of the fair value of the investments in long-short equity hedge funds cannot be redeemed currently because an exit restriction has been imposed by the hedge fund manager. The restriction period for these investments subject to an exit restriction was primarily one year or less at June 30, 2012.

• Fixed Income/Credit-Related Hedge Funds. Amount includes investments in hedge funds that employ long-short, distressed or relative value strategies in order to benefit from investments in undervalued or overvalued securities that are primarily debt or credit related. At June 30, 2012, investments representing approximately 18% of the fair value of the investments in fixed income/credit-related hedge funds cannot be redeemed currently because the investments include certain initial period lock-up restrictions. The remaining restriction period for these investments subject to lock-up restrictions was primarily one year or less at June 30, 2012.

• Event-Driven Hedge Funds. Amount includes investments in hedge funds that invest in event-driven situations such as mergers, hostile takeovers, reorganizations, or leveraged buyouts. This may involve the simultaneous purchase of stock in companies being acquired and the sale of stock in its acquirer, with the expectation to profit from the spread between the current market price and the ultimate purchase price of the target company. At June 30, 2012, there were no restrictions on redemptions.

• Multi-strategy Hedge Funds. Amount includes investments in hedge funds that pursue multiple strategies to realize short- and long-term gains. Management of the hedge funds has the ability to overweight or underweight different strategies to best capitalize on current investment opportunities. At June 30, 2012, investments representing approximately 70% of the fair value of the investments in this category cannot be redeemed currently because the investments include certain initial period lock-up restrictions. The remaining restriction period for these investments subject to lock-up restrictions was primarily two years or less at June 30, 2012.

The Company elected the fair value option for certain eligible instruments that are risk managed on a fair value basis to mitigate income statement volatility caused by measurement basis differences between the elected instruments and their associated risk management transactions or to eliminate complexities of applying certain accounting models. The following tables present net gains (losses) due to changes in fair value for items measured at fair value pursuant to the fair value option election for the quarters and six months ended June 30, 2012 and 2011, respectively.

			Principal		Interest		Gains (Losses)
			Transactions-		Income		Included in
			Trading		(Expense)		Net Revenues

			(dollars in millions)
Three Months Ended June 30, 2012
Federal funds sold and securities purchased under
	agreements to resell	$	12	$	1	$	13
Deposits			15		(22)		(7)
Commercial paper and other short-term borrowings(1)			211		─		211
Securities sold under agreements to repurchase			5		(1)		4
Long-term borrowings(1)			1,300		(325)		975

Six Months Ended June 30, 2012
Federal funds sold and securities purchased under
	agreements to resell	$	8	$	2	$	10
Deposits			25		(44)		(19)
Commercial paper and other short-term borrowings(1)			82		─		82
Securities sold under agreements to repurchase			3		(2)		1
Long-term borrowings(1)			(1,651)		(669)		(2,320)

Three Months Ended June 30, 2011
Deposits		$	18	$	(30)	$	(12)
Commercial paper and other short-term borrowings(2)			49		─		49
Securities sold under agreements to repurchase			2		─		2
Long-term borrowings(2)			(42)		(270)		(312)

Six Months Ended June 30, 2011
Deposits		$	31	$	(60)	$	(29)
Commercial paper and other short-term borrowings(2)			44		─		44
Securities sold under agreements to repurchase			─		─		─
Long-term borrowings(2)			(1,308)		(560)		(1,868)

In addition to the amounts in the above table, as discussed in Note 2 to the consolidated financial statements for the year ended December 31, 2011 included in the Form 10-K, all of the instruments within Financial instruments owned or Financial instruments sold, not yet purchased are measured at fair value, either through the election of the fair value option, or as required by other accounting guidance. The amounts in the above table are included within Net revenues and do not reflect gains or losses on related hedging instruments, if any.

The following tables present information on the Company's short-term and long-term borrowings (primarily structured notes), loans and unfunded lending commitments for which the fair value option was elected.

(1) The change in the fair value of short-term and long-term borrowings (primarily structured notes) includes an adjustment to reflect the change in credit quality of the Company based upon observations of the Company's secondary bond market spreads.

(2) Instrument-specific credit gains (losses) were determined by excluding the non-credit components of gains and losses, such as those due to changes in interest rates.

(3) Gains (losses) were generally determined based on the differential between estimated expected client yields and contractual yields at each respective period end.

(1) These amounts do not include structured notes where the repayment of the initial principal amount fluctuates based on changes in the reference price or index.

(2) The majority of this difference between principal and fair value amounts emanates from the Company's distressed debt trading business, which purchases distressed debt at amounts well below par.

(3) The aggregate fair value of loans that were in non-accrual status, which includes all loans 90 or more days past due, was $1.3 billion and $2.0 billion at June 30, 2012 and December 31, 2011, respectively. The aggregate fair value of loans that were 90 or more days past due was $0.8 billion and $1.5 billion at June 30, 2012 and December 31, 2011, respectively.

The tables above exclude non-recourse debt from consolidated VIEs, liabilities related to failed sales of financial assets, pledged commodities and other liabilities that have specified assets attributable to them.

Certain assets were measured at fair value on a non-recurring basis and are not included in the tables above. These assets may include loans, equity method investments, premises and equipment, intangible assets and real estate investments.

The following tables present, by caption on the condensed consolidated statements of financial condition, the fair value hierarchy for those assets measured at fair value on a non-recurring basis for which the Company recognized a non-recurring fair value adjustment for the quarters and six months ended June 30, 2012 and 2011, respectively.

(1) Carrying values relate only to those assets that had fair value adjustments during the quarter ended June 30, 2012. These amounts do not include assets that had fair value adjustments during the six months ended June 30, 2012, unless the assets also had a fair value adjustment during the quarter ended June 30, 2012.

(2) Losses are recorded within Other expenses in the condensed consolidated statement of income except for fair value adjustments related to Loans and losses related to Other investments, which are included in Other revenues.

(3) Non-recurring changes in fair value for loans held for investment were calculated based upon the fair value of the underlying collateral. The fair value of the collateral was determined using internal expected recovery models. The non-recurring change in fair value for mortgage loans held for sale is based upon a valuation model incorporating market observable inputs.

(4) Losses recorded were determined primarily using discounted cash flow models.

In addition to the losses included in the table above, there was a pre-tax gain of approximately $51 million (related to Other assets) included in discontinued operations in the six months ended June 30, 2012 in connection with the disposition of Saxon (see Notes 1 and 20). This pre-tax gain was primarily due to the subsequent increase in fair value of Saxon, which had incurred impairment losses of $98 million in the quarter ended December 31, 2011. The fair value of Saxon was determined based on the revised purchase price agreed upon with the buyer.

There were no liabilities measured at fair value on a non-recurring basis during the quarter and six months ended June 30, 2012.

(1) Carrying values relate only to those assets that had fair value adjustments during the quarter ended June 30, 2011. These amounts do not include assets that had fair value adjustments during the six months ended June 30, 2011, unless the assets also had a fair value adjustment during the quarter ended June 30, 2011.

(4) Losses recorded were determined primarily using discounted cash flow models.

(5) Losses primarily related to investment management contracts and were determined primarily using discounted cash flow models.

There were no liabilities measured at fair value on a non-recurring basis during the quarter and six months ended June 30, 2011.

The table below presents the carrying value, fair value and fair value hierarchy category of certain financial instruments that are not measured at fair value in the condensed consolidated statements of financial condition. The table below excludes certain financial instruments such as equity method investments and all non-financial assets and liabilities such as the value of the long-term relationships with our deposit customers.

The carrying value of cash and cash equivalents, including Interest bearing deposits with banks, and other short-term financial instruments such as Federal funds sold and securities purchased under agreements to resell, Securities borrowed, Securities sold under agreements to repurchase, Securities loaned, certain receivables and payables arising in the ordinary course of business, certain Deposits, Commercial paper and other short-term borrowings and Other secured financings approximate fair value because of the relatively short period of time between their origination and expected maturity.

The fair value of sweep facilities whereby cash balances are swept into separate money market savings deposits and transaction accounts included within Deposits is determined using a standard cash flow discounting methodology.

For longer-dated Federal funds sold and securities purchased under agreements to resell, Securities borrowed, Securities sold under agreements to repurchase, Securities loaned and Other secured financings, fair value is determined using a standard cash flow discounting methodology. The inputs to the valuation include contractual cash flows and collateral funding spreads, which are estimated using various benchmarks and interest rate yield curves.

For consumer and residential real estate loans where position-specific external price data is not observable, the fair value is based on the credit risks of the borrower using a probability of default and loss given default method, discounted at the estimated external cost of funding level. The fair value of corporate loans is determined using recently executed transactions, market price quotations (where observable), implied yields from comparable debt, and market observable credit default swap spread levels along with proprietary valuation models and default recovery analysis where such transactions and quotations are unobservable.

The fair value of long-term borrowings is generally determined based on transactional data or third party pricing for identical or comparable instruments, when available. Where position-specific external prices are not observable, fair value is determined based on current interest rates and credit spreads for debt instruments with similar terms and maturity.

			At June 30, 2012				Fair Value Measurements using:
			Carrying Value		Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)

			(dollars in millions)
Financial Assets:
Cash and due from banks		$	12,408	$	12,408	$	12,408	$	—	$	—
Interest bearing deposits with banks			29,598		29,598		29,598		—		—
Cash deposited with clearing organizations or segregated under federal and
	other regulations or requirements		29,418		29,418		29,418		—		—
Federal funds sold and securities purchased under agreements to resell			147,366		147,388		—		145,704		1,684
Securities borrowed			134,263		134,261		—		134,252		9
Receivables:(1)
	Customers		37,666		37,666		—		37,666		—
	Brokers, dealers and clearing organizations		9,107		9,107		—		9,107		—
	Fees, interest and other		6,256		6,074		—		—		6,074
Loans(2)			21,394		21,446		—		2,808		18,638

Financial Liabilities:
Deposits		$	66,287	$	66,413	$	—	$	66,413	$	—
Commercial paper and other short-term borrowings			1,148		1,148		—		860		288
Securities sold under agreements to repurchase			108,332		108,397		—		100,698		7,699
Securities loaned			30,762		29,896		—		28,890		1,006
Other secured financings			8,087		7,963		—		6,342		1,621
Payables:(1)
	Customers		119,455		119,455		—		119,455		—
	Brokers, dealers and clearing organizations		4,158		4,158		—		4,158		—
Long-term borrowings			125,346		117,698		—		105,971		11,727

(1) Accrued interest, fees and dividend receivables and payables where carrying value approximates fair value have been excluded.

The fair value of the Company's unfunded lending commitments, primarily related to corporate lending in the Institutional Securities business segment, that are not carried at fair value at June 30, 2012 was $747 million, of which $560 million and $187 million would be categorized in Level 2 and Level 3 of the fair value hierarchy, respectively. The carrying value of these commitments, if fully funded, would be $39.5 billion. For a description of the Company's lending commitments, see Note 13 to the consolidated financial statements for the year ended December 31, 2011 included in the Form 10-K.