Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2012

Derivative Instrument Detail [Abstract]

			At December 31, 2012				At December 31, 2011
			Assets		Liabilities		Assets		Liabilities

			(dollars in millions)
Exchange traded derivative products		$	4,641	$	6,131	$	4,103	$	4,969
OTC derivative products			31,556		30,827		43,961		41,484
	Total	$	36,197	$	36,958	$	48,064	$	46,453

Summary by Counterparty Credit Rating and Remaining Contract Maturity of the Fair Value of OTC Derivatives in a Gain Position

OTC Derivative Products—Financial Instruments Owned at December 31, 2012(1)

											Cross-Maturity and Cash Collateral Netting(3)		Net Exposure Post-Cash Collateral		Net Exposure Post-Collateral
			Years to Maturity
Credit Rating(2)			Less than 1		1 - 3		3 - 5		Over 5

			(dollars in millions)
AAA		$	353	$	551	$	1,299	$	6,121	$	(4,851)	$	3,473	$	3,088
AA			2,125		3,635		2,958		10,270		(12,761)		6,227		4,428
A			6,643		9,596		14,228		29,729		(50,721)		9,475		7,638
BBB			2,673		3,970		3,704		18,586		(21,704)		7,229		5,764
Non-investment grade			2,091		2,855		2,142		4,538		(6,474)		5,152		2,947
	Total	$	13,885	$	20,607	$	24,331	$	69,244	$	(96,511)	$	31,556	$	23,865

(1) Fair values shown represent the Company's net exposure to counterparties related to the Company's OTC derivative products. Amounts include centrally cleared derivatives. The table does not include listed derivatives and the effect of any related hedges utilized by the Company.

(2) Obligor credit ratings are determined by the Company's Credit Risk Management Department.

(3) Amounts represent the netting of receivable balances with payable balances for the same counterparty across maturity categories. Receivable and payable balances with the same counterparty in the same maturity category are netted within such maturity category, where appropriate. Cash collateral received is netted on a counterparty basis, provided legal right of offset exists.

OTC Derivative Products—Financial Instruments Owned at December 31, 2011(1)

		Years to Maturity									Cross-Maturity and Cash Collateral Netting(3)		Net Exposure Post-Cash Collateral		Net Exposure Post-Collateral
Credit Rating(2)			Less than 1		1 - 3		3 - 5		Over 5
Credit Rating(2)			Less than 1		1 - 3		3 - 5		Over 5

			(dollars in millions)
AAA		$	621	$	1,615	$	1,586	$	10,375	$	(7,513)	$	6,684	$	6,389
AA			5,578		7,547		5,972		21,068		(31,074)		9,091		7,048
A			7,576		5,538		10,224		27,417		(41,608)		9,147		7,117
BBB			4,437		4,448		3,231		17,758		(17,932)		11,942		10,337
Non-investment grade			2,819		2,949		2,703		5,084		(6,458)		7,097		4,158
	Total	$	21,031	$	22,097	$	23,716	$	81,702	$	(104,585)	$	43,961	$	35,049

_____________

(2) Obligor credit ratings are determined by the Company's Credit Risk Management Department.

Fair Value of Derivative Instruments Designated and Not Designated as Accounting Hedges by Type of Derivative Contract on a Gross Basis

				Assets at				Liabilities at
				December 31, 2012				December 31, 2012
				Fair Value		Notional		Fair Value		Notional

				(dollars in millions)
Derivatives designated as accounting hedges:
	Interest rate contracts		$	8,347	$	75,115	$	168	$	2,660
	Foreign exchange contracts			367		10,291		319		17,156
		Total derivatives designated as accounting hedges		8,714		85,406		487		19,816

Derivatives not designated as accounting hedges(1):
	Interest rate contracts			815,454		18,130,030		793,936		17,682,566
	Credit contracts			68,267		1,932,786		64,494		1,867,807
	Foreign exchange contracts			52,427		1,841,186		56,094		1,886,073
	Equity contracts			38,600		587,700		41,870		587,199
	Commodity contracts			20,646		341,556		21,831		325,101
	Other			143		4,908		61		5,161
		Total derivatives not designated as accounting hedges		995,537		22,838,166		978,286		22,353,907
Total derivatives			$	1,004,251	$	22,923,572	$	978,773	$	22,373,723
Cash collateral netting				(69,248)		—		(43,009)		—
Counterparty netting				(898,806)		—		(898,806)		—
	Total derivatives		$	36,197	$	22,923,572	$	36,958	$	22,373,723

_____________

(1) Notional amounts include gross notionals related to open long and short futures contracts of $73 billion and $68 billion, respectively. The unsettled fair value on these futures contracts (excluded from the table above) of $1,073 million and $24 million is included in Receivables—Brokers, dealers and clearing organizations and Payables—Brokers, dealers and clearing organizations, respectively, on the consolidated statements of financial condition.

				Assets at				Liabilities at
				December 31, 2011				December 31, 2011
				Fair Value		Notional		Fair Value		Notional

				(dollars in millions)
Derivatives designated as accounting hedges:
	Interest rate contracts		$	8,151	$	71,706	$	—	$	—
	Foreign exchange contracts			348		12,222		57		7,111
		Total derivatives designated as accounting hedges		8,499		83,928		57		7,111

Derivatives not designated as accounting hedges(1):
	Interest rate contracts			904,725		21,099,876		880,027		21,005,733
	Credit contracts			138,791		2,466,623		130,726		2,428,042
	Foreign exchange contracts			61,995		1,582,364		64,691		1,604,493
	Equity contracts			46,287		603,290		48,286		595,146
	Commodity contracts			39,778		411,661		39,998		374,594
	Other			598		11,662		2,275		24,905
		Total derivatives not designated as accounting hedges		1,192,174		26,175,476		1,166,003		26,032,913
Total derivatives			$	1,200,673	$	26,259,404	$	1,166,060	$	26,040,024
Cash collateral netting				(77,938)		—		(44,936)		—
Counterparty netting				(1,074,671)		—		(1,074,671)		—
	Total derivatives		$	48,064	$	26,259,404	$	46,453	$	26,040,024

_____________

(1) Notional amounts include gross notionals related to open long and short futures contracts of $77 billion and $66 billion, respectively. The unsettled fair value on these futures contracts (excluded from the table above) of $605 million and $37 million is included in Receivables—Brokers, dealers and clearing organizations and Payables—Brokers, dealers and clearing organizations, respectively, on the consolidated statements of financial condition.

Summary of Gains or Losses Reported on Derivative Instruments Designated and Not Designated as Accounting Hedges

		Gains (Losses) Recognized
Product Type		2012		2011		2010
		(dollars in millions)
Derivatives	$	29	$	3,415	$	1,257
Borrowings		703		(2,549)		(604)
Total	$	732	$	866	$	653

			Gains (Losses) Recognized in OCI (effective portion)
Product Type			2012(1)		2011		2010

			(dollars in millions)
Foreign exchange contracts(2)		$	102	$	180	$	(285)
	Total	$	102	$	180	$	(285)

_____________

(1) A gain of $77 million, net of tax, related to net investment hedges was reclassified from other comprehensive income into income during 2012. The amount primarily related to the reversal of amounts recorded in cumulative other comprehensive income due to the incorrect application of hedge accounting on certain derivative contracts (see above for further information).

(2) Losses of $235 million, $220 million and $147 million were recognized in income related to amounts excluded from hedge effectiveness testing during 2012, 2011 and 2010, respectively.

			Gains (Losses) Recognized in Income(1)(2)
Product Type			2012		2011		2010

			(dollars in millions)
Interest rate contracts		$	2,930	$	5,538	$	544
Credit contracts			(722)		38		(533)
Foreign exchange contracts			(340)		(2,982)		146
Equity contracts			(1,794)		3,880		(2,772)
Commodity contracts			387		500		597
Other contracts			1		(51)		(160)
	Total derivative instruments	$	462	$	6,923	$	(2,178)

____________

(1) Gains (losses) on derivative contracts not designated as hedges are primarily included in Principal transactions—Trading.

(2) Gains (losses) associated with certain derivative contracts that have physically settled are excluded from the table above. Gains (losses) on these contracts are reflected with the associated cash instruments, which are also included in Principal transactions—Trading.

Disclosure of Credit Derivatives

		At December 31, 2012
		Maximum Potential Payout/Notional
		Protection Sold				Protection Purchased
		Notional		Fair Value (Asset)/Liability		Notional		Fair Value (Asset)/Liability

		(dollars in millions)
Single name credit default swaps	$	1,069,474	$	2,889	$	1,029,543	$	(2,456)
Index and basket credit default swaps		551,630		5,664		454,800		(5,124)
Tranched index and basket credit default swaps		272,088		2,330		423,058		(7,076)
Total	$	1,893,192	$	10,883	$	1,907,401	$	(14,656)

		At December 31, 2011
		Maximum Potential Payout/Notional
		Protection Sold				Protection Purchased
		Notional		Fair Value (Asset)/Liability		Notional		Fair Value (Asset)/Liability

		(dollars in millions)
Single name credit default swaps	$	1,325,045	$	47,045	$	1,315,333	$	(45,345)
Index and basket credit default swaps		787,228		29,475		601,452		(24,373)
Tranched index and basket credit default swaps		320,131		17,109		545,476		(31,976)
Total	$	2,432,404	$	93,629	$	2,462,261	$	(101,694)

			Protection Sold
			Maximum Potential Payout/Notional										Fair Value
			Years to Maturity										(Asset)/
Credit Ratings of the Reference Obligation			Less than 1		1-3		3-5		Over 5		Total		Liability(1)(2)

			(dollars in millions)
Single name credit default swaps:
	AAA	$	2,368	$	6,592	$	19,848	$	5,767	$	34,575	$	(204)
	AA		10,984		16,804		34,280		7,193		69,261		(325)
	A		66,635		72,796		67,285		10,760		217,476		(2,740)
	BBB		124,662		145,462		142,714		34,396		447,234		(492)
	Non-investment grade		91,743		98,515		92,143		18,527		300,928		6,650
Total			296,392		340,169		356,270		76,643		1,069,474		2,889
Index and basket credit default swaps(3):
	AAA		18,652		36,005		45,789		3,240		103,686		(1,377)
	AA		1,255		9,479		12,026		8,343		31,103		(55)
	A		2,684		5,423		5,440		125		13,672		(155)
	BBB		27,720		105,870		143,562		29,101		306,253		(862)
	Non-investment grade		97,389		86,703		153,858		31,054		369,004		10,443
Total			147,700		243,480		360,675		71,863		823,718		7,994
Total credit default swaps sold		$	444,092	$	583,649	$	716,945	$	148,506	$	1,893,192	$	10,883
Other credit contracts(4)(5)		$	796	$	125	$	155	$	1,323	$	2,399	$	(745)
Total credit derivatives and
	other credit contracts	$	444,888	$	583,774	$	717,100	$	149,829	$	1,895,591	$	10,138

_____________

(1) Fair value amounts are shown on a gross basis prior to cash collateral or counterparty netting.

(2) Fair value amounts of certain credit default swaps where the Company sold protection have an asset carrying value because credit spreads of the underlying reference entity or entities tightened during the terms of the contracts.

(3) Credit ratings are calculated internally.

(4) Other credit contracts include CLNs, CDOs and credit default swaps that are considered hybrid instruments.

(5) Fair value amount shown represents the fair value of the hybrid instruments.

The table below summarizes the credit ratings and maturities of protection sold through credit default swaps and other credit contracts at December 31, 2011:

			Protection Sold
			Maximum Potential Payout/Notional										Fair Value
			Years to Maturity										(Asset)/
Credit Ratings of the Reference Obligation			Less than 1		1-3		3-5		Over 5		Total		Liability(1)(2)

			(dollars in millions)
Single name credit default swaps:
	AAA	$	1,290	$	5,681	$	24,087	$	12,942	$	44,000	$	1,536
	AA		12,416		22,043		23,341		10,986		68,786		1,597
	A		67,344		124,445		85,543		47,640		324,972		8,683
	BBB		131,588		218,262		115,320		64,347		529,517		4,789
	Non-investment grade		94,105		133,867		82,163		47,635		357,770		30,440
Total			306,743		504,298		330,454		183,550		1,325,045		47,045
Index and basket credit default swaps(3):
	AAA		48,115		49,997		33,584		19,110		150,806		(907)
	AA		6,584		15,349		9,498		15,745		47,176		1,053
	A		5,202		18,996		17,396		12,286		53,880		2,470
	BBB		8,525		99,004		235,888		32,057		375,474		8,365
	Non-investment grade		112,451		141,042		160,537		65,993		480,023		35,603
Total			180,877		324,388		456,903		145,191		1,107,359		46,584
Total credit default swaps sold		$	487,620	$	828,686	$	787,357	$	328,741	$	2,432,404	$	93,629
Other credit contracts(4)(5)		$	65	$	2,356	$	717	$	2,469	$	5,607	$	(1,146)
Total credit derivatives and other
	credit contracts	$	487,685	$	831,042	$	788,074	$	331,210	$	2,438,011	$	92,483

_____________

(1) Fair value amounts are shown on a gross basis prior to cash collateral or counterparty netting.

(3) Credit ratings are calculated internally.

(4) Other credit contracts include CLNs, CDOs and credit default swaps that are considered hybrid instruments.

(5) Fair value amount shown represents the fair value of the hybrid instruments.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References+ Details

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details