UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
For the quarterly period ended September 30, 2016
OR
¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES
EXCHANGE ACT OF 1934
Commission File Number 1-11758
(Exact Name of Registrant as specified in its charter)
Delaware (State or other jurisdiction of incorporation or organization) |
1585 Broadway New York, NY 10036 (Address of principal executive offices, including zip code) |
36-3145972 (I.R.S. Employer Identification No.) |
(212) 761-4000 (Registrants telephone number, including area code) |
Indicate by check mark whether the Registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨
Indicate by check mark whether the Registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the Registrant was required to submit and post such files). Yes x No ¨
Indicate by check mark whether the Registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act. (Check one):
Large Accelerated Filer x |
Accelerated Filer ¨ | |
Non-Accelerated Filer ¨ |
Smaller reporting company ¨ | |
(Do not check if a smaller reporting company) |
Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x
As of October 31, 2016, there were 1,872,821,289 shares of the Registrants Common Stock, par value $0.01 per share, outstanding.
QUARTERLY REPORT ON FORM 10-Q
For the quarter ended September 30, 2016
Table of Contents | Page | |
Part IFinancial Information |
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1 | ||
1 | ||
2 | ||
3 | ||
4 | ||
5 | ||
6 | ||
6 | ||
7 | ||
8 | ||
21 | ||
28 | ||
31 | ||
33 | ||
37 | ||
37 | ||
37 | ||
38 | ||
12. Variable Interest Entities and Securitization Activities |
43 | |
47 | ||
49 | ||
50 | ||
51 | ||
51 | ||
51 | ||
52 | ||
54 | ||
55 | ||
Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations |
56 | |
56 | ||
57 | ||
61 | ||
71 | ||
71 | ||
72 | ||
73 | ||
Item 3. Quantitative and Qualitative Disclosures about Market Risk |
87 | |
97 | ||
98 | ||
101 | ||
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds |
102 | |
102 | ||
102 |
i
Available Information
We file annual, quarterly and current reports, proxy statements and other information with the U.S. Securities and Exchange Commission (the SEC). You may read and copy any document we file with the SEC at the SECs public reference room at 100 F Street, NE, Washington, DC 20549. Please call the SEC at 1-800-SEC-0330 for information on the public reference room. The SEC maintains an internet site that contains annual, quarterly and current reports, proxy and information statements and other information that issuers (including us) file electronically with the SEC. Our electronic SEC filings are available to the public at the SECs internet site, www.sec.gov.
Our internet site is www.morganstanley.com. You can access our Investor Relations webpage at www.morganstanley.com/about-us-ir. We make available free of charge, on or through our Investor Relations webpage, our proxy statements, Annual Reports on Form 10-K, Quarterly Reports on Form 10-Q, Current Reports on Form 8-K and any amendments to those reports filed or furnished pursuant to the Securities Exchange Act of 1934, as amended (the Exchange Act), as soon as reasonably practicable after such material is electronically filed with, or furnished to, the SEC. We also make available, through our Investor Relations webpage, via a link to the SECs internet site, statements of beneficial ownership of our equity securities filed by our directors, officers, 10% or greater shareholders and others under Section 16 of the Exchange Act.
You can access information about our corporate governance at www.morganstanley.com/about-us-governance. Our Corporate Governance webpage includes:
| Amended and Restated Certificate of Incorporation; |
| Amended and Restated Bylaws; |
| Charters for its Audit Committee, Compensation, Management Development and Succession Committee, Nominating and Governance Committee, Operations and Technology Committee, and Risk Committee; |
| Corporate Governance Policies; |
| Policy Regarding Communication with the Board of Directors; |
| Policy Regarding Director Candidates Recommended by Shareholders; |
| Policy Regarding Corporate Political Activities; |
| Policy Regarding Shareholder Rights Plan; |
| Equity Ownership Commitment; |
| Code of Ethics and Business Conduct; |
| Code of Conduct; and |
| Integrity Hotline Information. |
Morgan Stanleys Code of Ethics and Business Conduct applies to all directors, officers and employees, including our Chief Executive Officer, Chief Financial Officer and Deputy Chief Financial Officer. We will post any amendments to the Code of Ethics and Business Conduct and any waivers that are required to be disclosed by the rules of either the SEC or the New York Stock Exchange LLC (NYSE) on our internet site. You can request a copy of these documents, excluding exhibits, at no cost, by contacting Investor Relations, 1585 Broadway, New York, NY 10036 (212-761-4000). The information on our internet site is not incorporated by reference into this report.
ii
Part IFinancial Information |
Consolidated Statements of Income
(Unaudited)
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
in millions, except per share data | 2016 | 2015 | 2016 | 2015 | ||||||||||||
Revenues |
||||||||||||||||
Investment banking |
$ | 1,225 | $ | 1,313 | $ | 3,556 | $ | 4,284 | ||||||||
Trading |
2,609 | 2,026 | 7,420 | 8,649 | ||||||||||||
Investments |
87 | (119 | ) | 179 | 408 | |||||||||||
Commissions and fees |
991 | 1,115 | 3,066 | 3,459 | ||||||||||||
Asset management, distribution and administration fees |
2,686 | 2,732 | 7,943 | 8,155 | ||||||||||||
Other |
308 | (62 | ) | 631 | 406 | |||||||||||
Total non-interest revenues |
7,906 | 7,005 | 22,795 | 25,361 | ||||||||||||
Interest income |
1,734 | 1,451 | 5,148 | 4,321 | ||||||||||||
Interest expense |
731 | 689 | 2,333 | 2,265 | ||||||||||||
Net interest |
1,003 | 762 | 2,815 | 2,056 | ||||||||||||
Net revenues |
8,909 | 7,767 | 25,610 | 27,417 | ||||||||||||
Non-interest expenses |
||||||||||||||||
Compensation and benefits |
4,097 | 3,437 | 11,795 | 12,366 | ||||||||||||
Occupancy and equipment |
339 | 341 | 997 | 1,034 | ||||||||||||
Brokerage, clearing and exchange fees |
491 | 485 | 1,440 | 1,435 | ||||||||||||
Information processing and communications |
456 | 447 | 1,327 | 1,300 | ||||||||||||
Marketing and business development |
130 | 158 | 418 | 487 | ||||||||||||
Professional services |
489 | 576 | 1,550 | 1,660 | ||||||||||||
Other |
526 | 849 | 1,481 | 2,079 | ||||||||||||
Total non-interest expenses |
6,528 | 6,293 | 19,008 | 20,361 | ||||||||||||
Income from continuing operations before income taxes |
2,381 | 1,474 | 6,602 | 7,056 | ||||||||||||
Provision for income taxes |
749 | 423 | 2,160 | 1,704 | ||||||||||||
Income from continuing operations |
1,632 | 1,051 | 4,442 | 5,352 | ||||||||||||
Income (loss) from discontinued operations, net of income taxes |
8 | (2 | ) | 1 | (9 | ) | ||||||||||
Net income |
$ | 1,640 | $ | 1,049 | $ | 4,443 | $ | 5,343 | ||||||||
Net income applicable to noncontrolling interests |
43 | 31 | 130 | 124 | ||||||||||||
Net income applicable to Morgan Stanley |
$ | 1,597 | $ | 1,018 | $ | 4,313 | $ | 5,219 | ||||||||
Preferred stock dividends and other |
79 | 79 | 314 | 301 | ||||||||||||
Earnings applicable to Morgan Stanley common shareholders |
$ | 1,518 | $ | 939 | $ | 3,999 | $ | 4,918 | ||||||||
Earnings per basic common share |
||||||||||||||||
Income from continuing operations |
$ | 0.82 | $ | 0.49 | $ | 2.15 | $ | 2.57 | ||||||||
Income (loss) from discontinued operations |
0.01 | | | | ||||||||||||
Earnings per basic common share |
$ | 0.83 | $ | 0.49 | $ | 2.15 | $ | 2.57 | ||||||||
Earnings per diluted common share |
||||||||||||||||
Income from continuing operations |
$ | 0.80 | $ | 0.48 | $ | 2.11 | $ | 2.52 | ||||||||
Income (loss) from discontinued operations |
0.01 | | | (0.01 | ) | |||||||||||
Earnings per diluted common share |
$ | 0.81 | $ | 0.48 | $ | 2.11 | $ | 2.51 | ||||||||
Dividends declared per common share |
$ | 0.20 | $ | 0.15 | $ | 0.50 | $ | 0.40 | ||||||||
Average common shares outstanding |
||||||||||||||||
Basic |
1,838 | 1,904 | 1,863 | 1,916 | ||||||||||||
Diluted |
1,879 | 1,949 | 1,898 | 1,958 |
See Notes to Consolidated Financial Statements | 1 | September 2016 Form 10-Q |
Consolidated Statements of Comprehensive Income (Unaudited) |
Three Months Ended September 30, |
Nine Months Ended September 30, |
|||||||||||||||
$ in millions | 2016 | 2015 | 2016 | 2015 | ||||||||||||
Net income |
$ | 1,640 | $ | 1,049 | $ | 4,443 | $ | 5,343 | ||||||||
Other comprehensive income (loss), net of tax: |
||||||||||||||||
Foreign currency translation adjustments1 |
$ | 43 | $ | (61 | ) | $ | 360 | $ | (249 | ) | ||||||
Change in net unrealized gains (losses) on available for sale securities2 |
(99 | ) | 100 | 439 | 72 | |||||||||||
Pension, postretirement and other |
(1 | ) | 4 | (5 | ) | 3 | ||||||||||
Change in net debt valuation adjustments3 |
(93 | ) | | 255 | | |||||||||||
Total other comprehensive income (loss) |
$ | (150 | ) | $ | 43 | $ | 1,049 | $ | (174 | ) | ||||||
Comprehensive income |
$ | 1,490 | $ | 1,092 | $ | 5,492 | $ | 5,169 | ||||||||
Net income applicable to noncontrolling interests |
43 | 31 | 130 | 124 | ||||||||||||
Other comprehensive income (loss) applicable to noncontrolling interests |
15 | 15 | 151 | (3 | ) | |||||||||||
Comprehensive income applicable to Morgan Stanley |
$ | 1,432 | $ | 1,046 | $ | 5,211 | $ | 5,048 |
1. | Amounts include Provision for (benefit from) income taxes of $(30) million and $30 million in the quarter ended September 30, 2016 (current quarter) and the quarter ended September 30, 2015 (prior year quarter), respectively, and $(204) million and $150 million in the nine months ended September 30, 2016 (current year period) and the nine months ended September 30, 2015 (prior year period), respectively. |
2. | Amounts include Provision for (benefit from) income taxes of $(58) million and $57 million in the current quarter and prior year quarter, respectively, and $256 million and $41 million in the current year period and prior year period, respectively. |
3. | Debt valuation adjustments (DVA) represent the change in the fair value resulting from fluctuations in the Firms credit spreads and other credit factors related to liabilities carried at fair value, primarily related to certain Long-term and Short-term borrowings. Amounts include Provision for (benefit from) income taxes of $(50) million and $150 million in the current quarter and current year period, respectively. See Notes 2 and 14 for further information. |
September 2016 Form 10-Q | 2 | See Notes to Consolidated Financial Statements |
Consolidated Balance Sheets |
(Unaudited)
$ in millions, except share data | At September 30, |
At December 31, |
||||||
Assets |
||||||||
Cash and due from banks |
$ | 26,899 | $ | 19,827 | ||||
Interest bearing deposits with banks |
15,653 | 34,256 | ||||||
Trading assets, at fair value ($156,351 and $127,627 were pledged to various parties) |
273,151 | 239,505 | ||||||
Investment securities (includes $65,732 and $66,759 at fair value) |
78,956 | 71,983 | ||||||
Securities purchased under agreements to resell (includes $554 and $806 at fair value) |
90,579 | 87,657 | ||||||
Securities borrowed |
126,280 | 142,416 | ||||||
Customer and other receivables |
51,411 | 45,407 | ||||||
Loans:
|
||||||||
Held for investment (net of allowance of $287 and $225) |
80,400 | 72,559 | ||||||
Held for sale |
12,108 | 13,200 | ||||||
Goodwill |
6,584 | 6,584 | ||||||
Intangible assets (net of accumulated amortization of $2,354 and $2,130) |
2,747 | 2,984 | ||||||
Other assets |
49,123 | 51,087 | ||||||
Total assets |
$ | 813,891 | $ | 787,465 | ||||
Liabilities |
||||||||
Deposits (includes $60 and $125 at fair value) |
$ | 151,843 | $ | 156,034 | ||||
Short-term borrowings (includes $408 and $1,648 at fair value) |
914 | 2,173 | ||||||
Trading liabilities, at fair value |
136,299 | 128,455 | ||||||
Securities sold under agreements to repurchase (includes $745 and $683 at fair value) |
46,936 | 36,692 | ||||||
Securities loaned |
16,515 | 19,358 | ||||||
Other secured financings (includes $3,746 and $2,854 at fair value) |
9,812 | 9,464 | ||||||
Customer and other payables |
194,007 | 186,626 | ||||||
Other liabilities and accrued expenses |
15,176 | 18,711 | ||||||
Long-term borrowings (includes $38,747 and $33,045 at fair value) |
163,927 | 153,768 | ||||||
Total liabilities |
735,429 | 711,281 | ||||||
Commitments and contingent liabilities (see Note 11) |
||||||||
Equity |
||||||||
Morgan Stanley shareholders equity: |
||||||||
Preferred stock (see Note 14) |
7,520 | 7,520 | ||||||
Common stock, $0.01 par value: |
||||||||
Shares authorized: 3,500,000,000; Shares issued: 2,038,893,979; Shares outstanding: 1,876,466,446 and 1,920,024,027 |
20 | 20 | ||||||
Additional paid-in capital |
22,995 | 24,153 | ||||||
Retained earnings |
52,545 | 49,204 | ||||||
Employee stock trusts |
2,839 | 2,409 | ||||||
Accumulated other comprehensive income (loss) |
(1,070 | ) | (1,656 | ) | ||||
Common stock held in treasury, at cost, $0.01 par value (162,427,533 and 118,869,952 shares) |
(4,861 | ) | (4,059 | ) | ||||
Common stock issued to employee stock trusts |
(2,839 | ) | (2,409 | ) | ||||
Total Morgan Stanley shareholders equity |
77,149 | 75,182 | ||||||
Noncontrolling interests |
1,313 | 1,002 | ||||||
Total equity |
78,462 | 76,184 | ||||||
Total liabilities and equity |
$ | 813,891 | $ | 787,465 |
See Notes to Consolidated Financial Statements | 3 | September 2016 Form 10-Q |
Consolidated Statements of Changes in Total Equity |
Nine Months Ended September 30, 2016 and 2015
(Unaudited)
$ in millions | Preferred Stock |
Common Stock |
Additional Paid-in Capital |
Retained Earnings |
Employee Stock Trusts |
Accumulated Other Comprehensive Income (Loss) |
Common Stock Held in Treasury at Cost |
Common Stock Issued to Employee Stock Trusts |
Non- controlling Interests |
Total Equity |
||||||||||||||||||||||||||||||
Balance at December 31, 2015 |
$ | 7,520 | $ | 20 | $ | 24,153 | $ | 49,204 | $ | 2,409 | $ | (1,656 | ) | $ | (4,059 | ) | $ | (2,409 | ) | $ | 1,002 | $ | 76,184 | |||||||||||||||||
Cumulative adjustment for accounting change related to DVA1 |
| | | 312 | | (312 | ) | | | | | |||||||||||||||||||||||||||||
Net adjustment for accounting change related to consolidation2 |
| | | | | | | | 106 | 106 | ||||||||||||||||||||||||||||||
Net income applicable to Morgan Stanley |
| | | 4,313 | | | | | | 4,313 | ||||||||||||||||||||||||||||||
Net income applicable to noncontrolling interests |
| | | | | | | | 130 | 130 | ||||||||||||||||||||||||||||||
Dividends |
| | | (1,284 | ) | | | | | | (1,284 | ) | ||||||||||||||||||||||||||||
Shares issued under employee plans and related tax effects |
| | (1,168 | ) | | 430 | | 2,106 | (430 | ) | | 938 | ||||||||||||||||||||||||||||
Repurchases of common stock and employee tax withholdings |
| | | | | | (2,908 | ) | | | (2,908 | ) | ||||||||||||||||||||||||||||
Net change in Accumulated other comprehensive income (loss) |
| | | | | 898 | | | 151 | 1,049 | ||||||||||||||||||||||||||||||
Other net increase (decreases) |
| | 10 | | | | | | (76 | ) | (66 | ) | ||||||||||||||||||||||||||||
Balance at September 30, 2016 |
$ | 7,520 | $ | 20 | $ | 22,995 | $ | 52,545 | $ | 2,839 | $ | (1,070 | ) | $ | (4,861 | ) | $ | (2,839 | ) | $ | 1,313 | $ | 78,462 | |||||||||||||||||
Balance at December 31, 2014 |
$ | 6,020 | $ | 20 | $ | 24,249 | $ | 44,625 | $ | 2,127 | $ | (1,248 | ) | $ | (2,766 | ) | $ | (2,127 | ) | $ | 1,204 | $ | 72,104 | |||||||||||||||||
Net income applicable to Morgan Stanley |
| | | 5,219 | | | | | | 5,219 | ||||||||||||||||||||||||||||||
Net income applicable to noncontrolling interests |
| | | | | | | | 124 | 124 | ||||||||||||||||||||||||||||||
Dividends |
| | | (1,098 | ) | | | | | | (1,098 | ) | ||||||||||||||||||||||||||||
Shares issued under employee plans and related tax effects |
| | (356 | ) | | 272 | | 1,445 | (272 | ) | | 1,089 | ||||||||||||||||||||||||||||
Repurchases of common stock and employee tax withholdings |
| | | | | | (2,135 | ) | | | (2,135 | ) | ||||||||||||||||||||||||||||
Net change in Accumulated other comprehensive income (loss) |
| | | | | (171 | ) | | | (3 | ) | (174 | ) | |||||||||||||||||||||||||||
Issuance of preferred stock |
1,500 | | (7 | ) | | | | | | | 1,493 | |||||||||||||||||||||||||||||
Deconsolidation of certain legal entities associated with a real estate fund |
| | | | | | | | (191 | ) | (191 | ) | ||||||||||||||||||||||||||||
Other net decreases |
| | (10 | ) | | | | | | (1 | ) | (11 | ) | |||||||||||||||||||||||||||
Balance at September 30, 2015 |
$ | 7,520 | $ | 20 | $ | 23,876 | $ | 48,746 | $ | 2,399 | $ | (1,419 | ) | $ | (3,456 | ) | $ | (2,399 | ) | $ | 1,133 | $ | 76,420 |
1. | In accordance with the early adoption of a provision of the accounting update Recognition and Measurement of Financial Assets and Financial Liabilities, a cumulative catch up adjustment was recorded as of January 1, 2016 to move the cumulative DVA amount, net of noncontrolling interest and tax, related to outstanding liabilities under the fair value option election from Retained earnings into Accumulated other comprehensive income (loss) (AOCI). See Notes 2 and 14 for further information. |
2. | In accordance with the accounting update Amendments to the Consolidation Analysis, a net adjustment was recorded as of January 1, 2016 to consolidate or deconsolidate certain entities under the new guidance. See Note 2 for further information. |
September 2016 Form 10-Q | 4 | See Notes to Consolidated Financial Statements |
Consolidated Statements of Cash Flows |
(Unaudited)
Nine Months Ended September 30, |
||||||||
$ in millions | 2016 | 2015 | ||||||
Cash flows from operating activities |
||||||||
Net income |
$ | 4,443 | $ | 5,343 | ||||
Adjustments to reconcile net income to net cash provided by (used for) operating activities: |
||||||||
(Income) loss from equity method investments |
39 | (118 | ) | |||||
Compensation payable in common stock and options |
794 | 836 | ||||||
Depreciation and amortization |
1,357 | 1,023 | ||||||
Net gain on sale of available for sale securities |
(127 | ) | (74 | ) | ||||
Impairment charges |
102 | 91 | ||||||
Provision for credit losses on lending activities |
138 | 47 | ||||||
Other operating adjustments |
(36 | ) | 264 | |||||
Changes in assets and liabilities: |
||||||||
Trading assets, net of Trading liabilities |
(20,509 | ) | 39,775 | |||||
Securities borrowed |
16,136 | (11,537 | ) | |||||
Securities loaned |
(2,843 | ) | (4,575 | ) | ||||
Customer and other receivables and other assets |
(2,800 | ) | 5,842 | |||||
Customer and other payables and other liabilities |
3,798 | 10,351 | ||||||
Securities purchased under agreements to resell |
(2,922 | ) | (43,918 | ) | ||||
Securities sold under agreements to repurchase |
10,244 | (11,313 | ) | |||||
Net cash provided by (used for) operating activities |
7,814 | (7,963 | ) | |||||
Cash flows from investing activities |
||||||||
Proceeds from (payments for): |
||||||||
Other assetsPremises, equipment and software, net |
(941 | ) | (964 | ) | ||||
Changes in loans, net |
(7,709 | ) | (11,313 | ) | ||||
Investment securities: |
||||||||
Purchases |
(41,230 | ) | (32,133 | ) | ||||
Proceeds from sales |
28,960 | 32,788 | ||||||
Proceeds from paydowns and maturities |
5,956 | 4,285 | ||||||
Other investing activities |
(24 | ) | (61 | ) | ||||
Net cash used for investing activities |
(14,988 | ) | (7,398 | ) | ||||
Cash flows from financing activities |
||||||||
Net proceeds from (payments for): |
||||||||
Short-term borrowings |
(1,233 | ) | (279 | ) | ||||
Noncontrolling interests |
(47 | ) | (70 | ) | ||||
Other secured financings |
(278 | ) | (1,677 | ) | ||||
Deposits |
(4,191 | ) | 13,682 | |||||
Proceeds from: |
||||||||
Excess tax benefits associated with stock-based awards |
51 | 180 | ||||||
Derivatives financing activities |
| 392 | ||||||
Issuance of preferred stock, net of issuance costs |
| 1,493 | ||||||
Issuance of long-term borrowings |
27,528 | 30,159 | ||||||
Payments for: |
||||||||
Long-term borrowings |
(22,902 | ) | (17,615 | ) | ||||
Derivatives financing activities |
(120 | ) | (372 | ) | ||||
Repurchases of common stock and employee tax withholdings |
(2,908 | ) | (2,135 | ) | ||||
Cash dividends |
(1,311 | ) | (1,096 | ) | ||||
Net cash provided by (used for) financing activities |
(5,411 | ) | 22,662 | |||||
Effect of exchange rate changes on cash and cash equivalents |
1,054 | (767 | ) | |||||
Net increase (decrease) in cash and cash equivalents |
(11,531 | ) | 6,534 | |||||
Cash and cash equivalents, at beginning of period |
54,083 | 46,984 | ||||||
Cash and cash equivalents, at end of period |
$ | 42,552 | $ | 53,518 | ||||
Cash and cash equivalents include: |
||||||||
Cash and due from banks |
$ | 26,899 | $ | 19,244 | ||||
Interest bearing deposits with banks |
15,653 | 34,274 | ||||||
Cash and cash equivalents, at end of period |
$ | 42,552 | $ | 53,518 |
Supplemental Disclosure of Cash Flow Information
Cash payments for interest were $1,784 million and $1,456 million.
Cash payments for income taxes, net of refunds, were $504 million and $541 million.
See Notes to Consolidated Financial Statements | 5 | September 2016 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
September 2016 Form 10-Q | 6 |
Notes to Consolidated Financial Statements (Unaudited) |
7 | September 2016 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
Fair Value Measurement
Assets and Liabilities Measured at Fair Value on a Recurring Basis
$ in millions | Level 1 | Level 2 | Level 3 | Counterparty and Cash Collateral Netting |
At September 30, 2016 |
|||||||||||||||
Assets at Fair Value |
||||||||||||||||||||
Trading assets: |
||||||||||||||||||||
U.S. government and agency securities: |
||||||||||||||||||||
U.S. Treasury securities |
$ | 23,199 | $ | | $ | | $ | | $ | 23,199 | ||||||||||
U.S. agency securities |
2,020 | 25,398 | 8 | | 27,426 | |||||||||||||||
Total U.S. government and agency securities |
25,219 | 25,398 | 8 | | 50,625 | |||||||||||||||
Other sovereign government obligations |
21,437 | 6,975 | 12 | | 28,424 | |||||||||||||||
Corporate and other debt: |
||||||||||||||||||||
State and municipal securities |
| 2,247 | 4 | | 2,251 | |||||||||||||||
Residential mortgage-backed securities |
| 811 | 188 | | 999 | |||||||||||||||
Commercial mortgage-backed securities |
| 1,427 | 64 | | 1,491 | |||||||||||||||
Asset-backed securities |
| 115 | 12 | | 127 | |||||||||||||||
Corporate bonds |
| 12,896 | 199 | | 13,095 | |||||||||||||||
Collateralized debt and loan obligations |
| 403 | 85 | | 488 | |||||||||||||||
Loans and lending commitments1 |
| 5,057 | 4,155 | | 9,212 | |||||||||||||||
Other debt |
| 892 | 246 | | 1,138 | |||||||||||||||
Total corporate and other debt |
| 23,848 | 4,953 | | 28,801 | |||||||||||||||
Corporate equities2 |
113,805 | 338 | 336 | | 114,479 | |||||||||||||||
Securities received as collateral |
12,535 | 4 | 1 | | 12,540 | |||||||||||||||
Derivative and other contracts: |
||||||||||||||||||||
Interest rate contracts |
648 | 417,114 | 1,116 | | 418,878 | |||||||||||||||
Credit contracts |
| 14,208 | 516 | | 14,724 | |||||||||||||||
Foreign exchange contracts |
124 | 51,072 | 6 | | 51,202 | |||||||||||||||
Equity contracts |
1,363 | 40,194 | 1,864 | | 43,421 | |||||||||||||||
Commodity contracts |
2,225 | 7,279 | 4,098 | | 13,602 | |||||||||||||||
Other |
| 25 | | | 25 | |||||||||||||||
Netting3 |
(3,758 | ) | (444,890 | ) | (2,172 | ) | (57,947 | ) | (508,767 | ) | ||||||||||
Total derivative and other contracts |
602 | 85,002 | 5,428 | (57,947 | ) | 33,085 | ||||||||||||||
Investments4: |
||||||||||||||||||||
Principal investments |
33 | 19 | 726 | | 778 | |||||||||||||||
Other |
609 | 276 | 210 | | 1,095 | |||||||||||||||
Total investments |
642 | 295 | 936 | | 1,873 | |||||||||||||||
Physical commodities |
| 179 | | | 179 | |||||||||||||||
Total trading assets4 |
174,240 | 142,039 | 11,674 | (57,947 | ) | 270,006 | ||||||||||||||
Investment securitiesAFS securities |
28,997 | 36,735 | | | 65,732 | |||||||||||||||
Securities purchased under agreements to resell |
| 554 | | | 554 | |||||||||||||||
Intangible assets |
| 3 | | | 3 | |||||||||||||||
Total assets measured at fair value |
$ | 203,237 | $ | 179,331 | $ | 11,674 | $ | (57,947 | ) | $ | 336,295 | |||||||||
Liabilities at Fair Value |
||||||||||||||||||||
Deposits |
$ | | $ | 29 | $ | 31 | $ | | $ | 60 | ||||||||||
Short-term borrowings |
| 406 | 2 | | 408 | |||||||||||||||
Trading liabilities: |
||||||||||||||||||||
U.S. government and agency securities: |
||||||||||||||||||||
U.S. Treasury securities |
9,500 | | | | 9,500 | |||||||||||||||
U.S. agency securities |
786 | 96 | | | 882 | |||||||||||||||
Total U.S. government and agency securities |
10,286 | 96 | | | 10,382 | |||||||||||||||
Other sovereign government obligations |
18,685 | 2,110 | | | 20,795 | |||||||||||||||
Corporate and other debt: |
||||||||||||||||||||
State and municipal securities |
| 230 | | | 230 | |||||||||||||||
Asset-backed securities |
| 477 | | | 477 | |||||||||||||||
Corporate bonds |
| 5,873 | 13 | | 5,886 | |||||||||||||||
Other debt |
| 17 | 3 | | 20 | |||||||||||||||
Total corporate and other debt |
| 6,597 | 16 | | 6,613 | |||||||||||||||
Corporate equities2 |
44,980 | 50 | 19 | | 45,049 | |||||||||||||||
Obligation to return securities received as collateral |
20,929 | 5 | 1 | | 20,935 | |||||||||||||||
Derivative and other contracts: |
||||||||||||||||||||
Interest rate contracts |
690 | 396,224 | 1,075 | | 397,989 | |||||||||||||||
Credit contracts |
| 14,765 | 1,399 | | 16,164 | |||||||||||||||
Foreign exchange contracts |
22 | 56,108 | 113 | | 56,243 | |||||||||||||||
Equity contracts |
1,305 | 43,623 | 1,724 | | 46,652 | |||||||||||||||
Commodity contracts |
2,002 | 5,860 | 2,804 | | 10,666 | |||||||||||||||
Other |
| 76 | | | 76 | |||||||||||||||
Netting3 |
(3,758 | ) | (444,890 | ) | (2,172 | ) | (44,449 | ) | (495,269 | ) | ||||||||||
Total derivative and other contracts |
261 | 71,766 | 4,943 | (44,449 | ) | 32,521 | ||||||||||||||
Physical commodities |
| 4 | | | 4 | |||||||||||||||
Total trading liabilities |
95,141 | 80,628 | 4,979 | (44,449 | ) | 136,299 | ||||||||||||||
Securities sold under agreements to repurchase |
| 596 | 149 | | 745 | |||||||||||||||
Other secured financings |
| 3,296 | 450 | | 3,746 | |||||||||||||||
Long-term borrowings |
43 | 36,662 | 2,042 | | 38,747 | |||||||||||||||
Total liabilities measured at fair value |
$ | 95,184 | $ | 121,617 | $ | 7,653 | $ | (44,449 | ) | $ | 180,005 |
September 2016 Form 10-Q | 8 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Level 1 | Level 2 | Level 3 | Counterparty and Cash Collateral Netting |
At December 31, 2015 |
|||||||||||||||
Assets at Fair Value |
||||||||||||||||||||
Trading assets: |
||||||||||||||||||||
U.S. government and agency securities: |
||||||||||||||||||||
U.S. Treasury securities |
$ | 17,658 | $ | | $ | | $ | | $ | 17,658 | ||||||||||
U.S. agency securities |
797 | 17,886 | | | 18,683 | |||||||||||||||
Total U.S. government and agency securities |
18,455 | 17,886 | | | 36,341 | |||||||||||||||
Other sovereign government obligations |
13,559 | 7,400 | 4 | | 20,963 | |||||||||||||||
Corporate and other debt: |
||||||||||||||||||||
State and municipal securities |
| 1,651 | 19 | | 1,670 | |||||||||||||||
Residential mortgage-backed securities |
| 1,456 | 341 | | 1,797 | |||||||||||||||
Commercial mortgage-backed securities |
| 1,520 | 72 | | 1,592 | |||||||||||||||
Asset-backed securities |
| 494 | 25 | | 519 | |||||||||||||||
Corporate bonds |
| 9,959 | 267 | | 10,226 | |||||||||||||||
Collateralized debt and loan obligations |
| 284 | 430 | | 714 | |||||||||||||||
Loans and lending commitments1 |
| 4,682 | 5,936 | | 10,618 | |||||||||||||||
Other debt |
| 2,263 | 448 | | 2,711 | |||||||||||||||
Total corporate and other debt |
| 22,309 | 7,538 | | 29,847 | |||||||||||||||
Corporate equities2 |
106,296 | 379 | 433 | | 107,108 | |||||||||||||||
Securities received as collateral |
11,221 | 3 | 1 | | 11,225 | |||||||||||||||
Derivative and other contracts: |
||||||||||||||||||||
Interest rate contracts |
406 | 323,586 | 2,052 | | 326,044 | |||||||||||||||
Credit contracts |
| 22,258 | 661 | | 22,919 | |||||||||||||||
Foreign exchange contracts |
55 | 64,608 | 292 | | 64,955 | |||||||||||||||
Equity contracts |
653 | 38,552 | 1,084 | | 40,289 | |||||||||||||||
Commodity contracts |
3,140 | 10,654 | 3,358 | | 17,152 | |||||||||||||||
Other |
| 219 | | | 219 | |||||||||||||||
Netting3 |
(3,840 | ) | (380,443 | ) | (3,120 | ) | (55,562 | ) | (442,965 | ) | ||||||||||
Total derivative and other contracts |
414 | 79,434 | 4,327 | (55,562 | ) | 28,613 | ||||||||||||||
Investments4: |
||||||||||||||||||||
Principal investments |
20 | 44 | 486 | | 550 | |||||||||||||||
Other |
163 | 310 | 221 | | 694 | |||||||||||||||
Total investments |
183 | 354 | 707 | | 1,244 | |||||||||||||||
Physical commodities |
| 321 | | | 321 | |||||||||||||||
Total trading assets4 |
150,128 | 128,086 | 13,010 | (55,562 | ) | 235,662 | ||||||||||||||
Investment securitiesAFS securities |
34,351 | 32,408 | | | 66,759 | |||||||||||||||
Securities purchased under agreements to resell |
| 806 | | | 806 | |||||||||||||||
Intangible assets |
| | 5 | | 5 | |||||||||||||||
Total assets measured at fair value |
$ | 184,479 | $ | 161,300 | $ | 13,015 | $ | (55,562 | ) | $ | 303,232 | |||||||||
Liabilities at Fair Value |
||||||||||||||||||||
Deposits |
$ | | $ | 106 | $ | 19 | $ | | $ | 125 | ||||||||||
Short-term borrowings |
| 1,647 | 1 | | 1,648 | |||||||||||||||
Trading liabilities: |
||||||||||||||||||||
U.S. government and agency securities: |
||||||||||||||||||||
U.S. Treasury securities |
12,932 | | | | 12,932 | |||||||||||||||
U.S. agency securities |
854 | 127 | | | 981 | |||||||||||||||
Total U.S. government and agency securities |
13,786 | 127 | | | 13,913 | |||||||||||||||
Other sovereign government obligations |
10,970 | 2,558 | | | 13,528 | |||||||||||||||
Corporate and other debt: |
||||||||||||||||||||
Commercial mortgage-backed securities |
| 2 | | | 2 | |||||||||||||||
Corporate bonds |
| 5,035 | | | 5,035 | |||||||||||||||
Lending commitments |
| 3 | | | 3 | |||||||||||||||
Other debt |
| 5 | 4 | | 9 | |||||||||||||||
Total corporate and other debt |
| 5,045 | 4 | | 5,049 | |||||||||||||||
Corporate equities2 |
47,123 | 35 | 17 | | 47,175 | |||||||||||||||
Obligation to return securities received as collateral |
19,312 | 3 | 1 | | 19,316 | |||||||||||||||
Derivative and other contracts: |
||||||||||||||||||||
Interest rate contracts |
466 | 305,151 | 1,792 | | 307,409 | |||||||||||||||
Credit contracts |
| 22,160 | 1,505 | | 23,665 | |||||||||||||||
Foreign exchange contracts |
22 | 65,177 | 151 | | 65,350 | |||||||||||||||
Equity contracts |
570 | 42,447 | 3,115 | | 46,132 | |||||||||||||||
Commodity contracts |
3,012 | 9,431 | 2,308 | | 14,751 | |||||||||||||||
Other |
| 43 | | | 43 | |||||||||||||||
Netting3 |
(3,840 | ) | (380,443 | ) | (3,120 | ) | (40,473 | ) | (427,876 | ) | ||||||||||
Total derivative and other contracts |
230 | 63,966 | 5,751 | (40,473 | ) | 29,474 | ||||||||||||||
Total trading liabilities |
91,421 | 71,734 | 5,773 | (40,473 | ) | 128,455 | ||||||||||||||
Securities sold under agreements to repurchase |
| 532 | 151 | | 683 | |||||||||||||||
Other secured financings |
| 2,393 | 461 | | 2,854 | |||||||||||||||
Long-term borrowings |
| 31,058 | 1,987 | | 33,045 | |||||||||||||||
Total liabilities measured at fair value |
$ | 91,421 | $ | 107,470 | $ | 8,392 | $ | (40,473 | ) | $ | 166,810 | |||||||||
AFSAvailablefor sale |
1. | At September 30, 2016, loans held at fair value consisted of $7,038 million of corporate loans, $1,338 million of residential real estate loans and $836 million of wholesale real estate loans. At December 31, 2015, loans held at fair value consisted of $7,286 million of corporate loans, $1,885 million of residential real estate loans and $1,447 million of wholesale real estate loans. |
2. | For trading purposes, the Firm holds or sells short equity securities issued by entities in diverse industries and of varying sizes. |
3. | 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 shared level. For further information on derivative instruments and hedging activities, see Note 4. |
4. | Amounts exclude certain investments that are measured at fair value using the net asset value (NAV) per share, which are not classified in the fair value hierarchy. For additional disclosure about such investments, see Fair Value of Investments Measured at Net Asset Value herein. |
9 | September 2016 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
For a description of the valuation techniques applied to the Firms major categories of assets and liabilities measured at fair value on a recurring basis, see Note 3 to the consolidated financial statements in the 2015 Form 10-K. During the current quarter and current year period, there were no significant updates made to the Firms valuation techniques.
Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following tables present additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for all periods presented. 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 following tables do not reflect the related realized and unrealized gains (losses) on hedging instruments that have been classified by the Firm 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 Firm 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 following tables herein may include changes in fair value during the period that were attributable to both observable and unobservable inputs.
Roll-forward of Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis
$ in millions | Beginning Balance at June 30, 2016 |
Realized and Unrealized Gains (Losses) |
Purchases1 | Sales | Issuances | Settlements | Net Transfers |
Ending Balance at September 30, 2016 |
Unrealized Gains (Losses) at September 30, 2016 |
|||||||||||||||||||||||||||
Assets at Fair Value |
||||||||||||||||||||||||||||||||||||
Trading assets: |
||||||||||||||||||||||||||||||||||||
U.S. agency securities |
$ | 20 | $ | | $ | | $ | (18 | ) | $ | | $ | | $ | 6 | $ | 8 | $ | | |||||||||||||||||
Other sovereign government obligations |
2 | | 6 | (1 | ) | | | 5 | 12 | | ||||||||||||||||||||||||||
Corporate and other debt: |
||||||||||||||||||||||||||||||||||||
State and municipal securities |
10 | 1 | | (7 | ) | | | | 4 | | ||||||||||||||||||||||||||
Residential mortgage-backed securities |
216 | 1 | 56 | (76 | ) | | | (9 | ) | 188 | (12 | ) | ||||||||||||||||||||||||
Commercial mortgage-backed securities |
51 | (5 | ) | 12 | (1 | ) | | | 7 | 64 | (3 | ) | ||||||||||||||||||||||||
Asset-backed securities |
88 | (3 | ) | 6 | (79 | ) | | | | 12 | | |||||||||||||||||||||||||
Corporate bonds |
276 | (55 | ) | 20 | (23 | ) | | | (19 | ) | 199 | (55 | ) | |||||||||||||||||||||||
Collateralized debt and loan obligations |
109 | 6 | 9 | (38 | ) | | | (1 | ) | 85 | 10 | |||||||||||||||||||||||||
Loans and lending commitments |
5,418 | (12 | ) | 501 | (206 | ) | | (733 | ) | (813 | ) | 4,155 | (12 | ) | ||||||||||||||||||||||
Other debt |
528 | | 191 | (212 | ) | | | (261 | ) | 246 | | |||||||||||||||||||||||||
Total corporate and other debt |
6,696 | (67 | ) | 795 | (642 | ) | | (733 | ) | (1,096 | ) | 4,953 | (72 | ) | ||||||||||||||||||||||
Corporate equities |
572 | (28 | ) | 42 | (36 | ) | | | (214 | ) | 336 | (26 | ) | |||||||||||||||||||||||
Securities received as collateral |
| | 1 | | | | | 1 | | |||||||||||||||||||||||||||
Net derivative and other contracts2: |
||||||||||||||||||||||||||||||||||||
Interest rate contracts |
(235 | ) | (60 | ) | 3 | | (15 | ) | 11 | 337 | 41 | (45 | ) | |||||||||||||||||||||||
Credit contracts |
(1,114 | ) | 147 | | | | 2 | 82 | (883 | ) | 147 | |||||||||||||||||||||||||
Foreign exchange contracts |
(1 | ) | (27 | ) | | | | (42 | ) | (37 | ) | (107 | ) | (27 | ) | |||||||||||||||||||||
Equity contracts |
(1,473 | ) | 220 | 31 | (2 | ) | (37 | ) | 567 | 834 | 140 | 239 | ||||||||||||||||||||||||
Commodity contracts |
1,298 | 269 | | | (14 | ) | (170 | ) | (89 | ) | 1,294 | 104 | ||||||||||||||||||||||||
Other |
(11 | ) | | | | | | 11 | | | ||||||||||||||||||||||||||
Total net derivative and other contracts |
(1,536 | ) | 549 | 34 | (2 | ) | (66 | ) | 368 | 1,138 | 485 | 418 | ||||||||||||||||||||||||
Investments: |
||||||||||||||||||||||||||||||||||||
Principal investments |
769 | (29 | ) | 2 | (8 | ) | | (27 | ) | 19 | 726 | (30 | ) | |||||||||||||||||||||||
Other |
205 | (12 | ) | | | | | 17 | 210 | (6 | ) | |||||||||||||||||||||||||
Total investments |
974 | (41 | ) | 2 | (8 | ) | | (27 | ) | 36 | 936 | (36 | ) | |||||||||||||||||||||||
Liabilities at Fair Value |
||||||||||||||||||||||||||||||||||||
Deposits |
$ | 30 | $ | 1 | $ | | $ | | $ | 5 | $ | | $ | (3 | ) | $ | 31 | $ | 1 | |||||||||||||||||
Short-term borrowings |
| | | | | | 2 | 2 | | |||||||||||||||||||||||||||
Trading liabilities: |
||||||||||||||||||||||||||||||||||||
Corporate and other debt: |
||||||||||||||||||||||||||||||||||||
Corporate bonds |
6 | (1 | ) | (3 | ) | 2 | | | 7 | 13 | (1 | ) | ||||||||||||||||||||||||
Other debt |
3 | | | | | | | 3 | | |||||||||||||||||||||||||||
Total corporate and other debt |
9 | (1 | ) | (3 | ) | 2 | | | 7 | 16 | (1 | ) | ||||||||||||||||||||||||
Corporate equities |
26 | 2 | (2 | ) | 2 | | | (5 | ) | 19 | | |||||||||||||||||||||||||
Obligation to return securities received as collateral |
| | | 1 | | | | 1 | | |||||||||||||||||||||||||||
Securities sold under agreements to repurchase |
150 | 1 | | | | | | 149 | 2 | |||||||||||||||||||||||||||
Other secured financings |
441 | (11 | ) | | | | (2 | ) | | 450 | (11 | ) | ||||||||||||||||||||||||
Long-term borrowings |
1,929 | (88 | ) | | | 193 | (147 | ) | (21 | ) | 2,042 | (87 | ) |
September 2016 Form 10-Q | 10 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Beginning Balance at December 31, 2015 |
Realized and Unrealized Gains (Losses) |
Purchases1 | Sales | Issuances | Settlements | Net Transfers |
Ending Balance at September 30, 2016 |
Unrealized Gains (Losses) at September 30, 2016 |
|||||||||||||||||||||||||||
Assets at Fair Value |
||||||||||||||||||||||||||||||||||||
Trading assets: |
||||||||||||||||||||||||||||||||||||
U.S. agency securities |
$ | | $ | | $ | 3 | $ | (37 | ) | $ | | $ | | $ | 42 | $ | 8 | $ | | |||||||||||||||||
Other sovereign government obligations |
4 | | 10 | (6 | ) | | | 4 | 12 | | ||||||||||||||||||||||||||
Corporate and other debt: |
||||||||||||||||||||||||||||||||||||
State and municipal securities |
19 | | | (16 | ) | | | 1 | 4 | | ||||||||||||||||||||||||||
Residential mortgage-backed securities |
341 | (14 | ) | 64 | (201 | ) | | | (2 | ) | 188 | (13 | ) | |||||||||||||||||||||||
Commercial mortgage-backed securities |
72 | (17 | ) | 19 | (18 | ) | | | 8 | 64 | (15 | ) | ||||||||||||||||||||||||
Asset-backed securities |
25 | (4 | ) | 5 | (95 | ) | | | 81 | 12 | (3 | ) | ||||||||||||||||||||||||
Corporate bonds |
267 | (4 | ) | 146 | (276 | ) | | | 66 | 199 | (17 | ) | ||||||||||||||||||||||||
Collateralized debt and loan obligations |
430 | 9 | 13 | (295 | ) | | | (72 | ) | 85 | 16 | |||||||||||||||||||||||||
Loans and lending commitments |
5,936 | (65 | ) | 921 | (860 | ) | | (986 | ) | (791 | ) | 4,155 | (51 | ) | ||||||||||||||||||||||
Other debt |
448 | 1 | 92 | (35 | ) | | | (260 | ) | 246 | 65 | |||||||||||||||||||||||||
Total corporate and other debt |
7,538 | (94 | ) | 1,260 | (1,796 | ) | | (986 | ) | (969 | ) | 4,953 | (18 | ) | ||||||||||||||||||||||
Corporate equities |
433 | (57 | ) | 62 | (324 | ) | | | 222 | 336 | (80 | ) | ||||||||||||||||||||||||
Securities received as collateral |
1 | | | | | | | 1 | | |||||||||||||||||||||||||||
Net derivative and other contracts2: |
||||||||||||||||||||||||||||||||||||
Interest rate contracts |
260 | 257 | 3 | | (15 | ) | (59 | ) | (405 | ) | 41 | (156 | ) | |||||||||||||||||||||||
Credit contracts |
(844 | ) | (255 | ) | 1 | | | 155 | 60 | (883 | ) | (277 | ) | |||||||||||||||||||||||
Foreign exchange contracts |
141 | (104 | ) | | | | (224 | ) | 80 | (107 | ) | (102 | ) | |||||||||||||||||||||||
Equity contracts |
(2,031 | ) | 334 | 816 | (2 | ) | (166 | ) | 1,083 | 106 | 140 | 172 | ||||||||||||||||||||||||
Commodity contracts |
1,050 | 377 | 33 | | (20 | ) | (312 | ) | 166 | 1,294 | 162 | |||||||||||||||||||||||||
Total net derivative and other contracts |
(1,424 | ) | 609 | 853 | (2 | ) | (201 | ) | 643 | 7 | 485 | (201 | ) | |||||||||||||||||||||||
Investments: |
||||||||||||||||||||||||||||||||||||
Principal investments |
486 | (57 | ) | 374 | (29 | ) | | (67 | ) | 19 | 726 | (58 | ) | |||||||||||||||||||||||
Other |
221 | (3 | ) | | (8 | ) | | | | 210 | (5 | ) | ||||||||||||||||||||||||
Total investments |
707 | (60 | ) | 374 | (37 | ) | | (67 | ) | 19 | 936 | (63 | ) | |||||||||||||||||||||||
Intangible assets |
5 | | | | | | (5 | ) | | | ||||||||||||||||||||||||||
Liabilities at Fair Value |
||||||||||||||||||||||||||||||||||||
Deposits |
$ | 19 | $ | (1 | ) | $ | | $ | | $ | 15 | $ | | $ | (4 | ) | $ | 31 | $ | (1 | ) | |||||||||||||||
Short-term borrowings |
1 | | | | | (1 | ) | 2 | 2 | | ||||||||||||||||||||||||||
Trading liabilities: |
||||||||||||||||||||||||||||||||||||
Corporate and other debt: |
||||||||||||||||||||||||||||||||||||
Corporate bonds |
| (3 | ) | (7 | ) | 32 | | | (15 | ) | 13 | (3 | ) | |||||||||||||||||||||||
Other debt |
4 | | (1 | ) | | | | | 3 | | ||||||||||||||||||||||||||
Total corporate and other debt |
4 | (3 | ) | (8 | ) | 32 | | | (15 | ) | 16 | (3 | ) | |||||||||||||||||||||||
Corporate equities |
17 | 4 | (37 | ) | 14 | | | 29 | 19 | 32 | ||||||||||||||||||||||||||
Obligation to return securities received as collateral |
1 | | | | | | | 1 | | |||||||||||||||||||||||||||
Securities sold under agreements to repurchase |
151 | 2 | | | | | | 149 | 3 | |||||||||||||||||||||||||||
Other secured financings |
461 | (42 | ) | | | 69 | (44 | ) | (78 | ) | 450 | (42 | ) | |||||||||||||||||||||||
Long-term borrowings |
1,987 | (103 | ) | | | 366 | (262 | ) | (152 | ) | 2,042 | 91 |
11 | September 2016 Form 10-Q |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Beginning Balance at June 30, 2015 |
Realized and Unrealized Gains (Losses) |
Purchases1 | Sales | Issuances | Settlements | Net Transfers |
Ending Balance at September 30, 2015 |
Unrealized Gains (Losses) at September 30, 2015 |
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Assets at Fair Value |
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Trading assets: |
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U.S. agency securities |
$ | 3 | $ | | $ | | $ | | $ | | $ | | $ | (3 | ) | $ | | $ | | |||||||||||||||||
Other sovereign government obligations |
12 | | 5 | (4 | ) | | | (2 | ) | 11 | | |||||||||||||||||||||||||
Corporate and other debt: |
||||||||||||||||||||||||||||||||||||
State and municipal securities |
7 | 5 | 12 | (5 | ) | | | 14 | 33 | 5 | ||||||||||||||||||||||||||
Residential mortgage-backed securities |
378 | 3 | 59 | (55 | ) | | | 19 | 404 | 4 | ||||||||||||||||||||||||||
Commercial mortgage-backed securities |
84 | (12 | ) | 17 | (6 | ) | | | (4 | ) | 79 | (12 | ) | |||||||||||||||||||||||
Asset-backed securities |
19 | | 13 | (7 | ) | | | 6 | 31 | | ||||||||||||||||||||||||||
Corporate bonds |
479 | (25 | ) | 78 | (228 | ) | | (50 | ) | (28 | ) | 226 | (6 | ) | ||||||||||||||||||||||
Collateralized debt and loan obligations |
660 | (7 | ) | 80 | (188 | ) | | | | 545 | (11 | ) | ||||||||||||||||||||||||
Loans and lending commitments |
5,512 | (78 | ) | 939 | (156 | ) | | (1,229 | ) | 176 | 5,164 | (53 | ) | |||||||||||||||||||||||
Other debt |
564 | (22 | ) | 9 | (4 | ) | | (1 | ) | (16 | ) | 530 | (23 | ) | ||||||||||||||||||||||
Total corporate and other debt |
7,703 | (136 | ) | 1,207 | (649 | ) | | (1,280 | ) | 167 | 7,012 | (96 | ) | |||||||||||||||||||||||
Corporate equities |
486 | 10 | 150 | (80 | ) | | | 9 | 575 | 4 | ||||||||||||||||||||||||||
Securities received as collateral |
3 | | | (2 | ) | | | | 1 | | ||||||||||||||||||||||||||
Net derivative and other contracts2: |
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Interest rate contracts |
(236 | ) | (137 | ) | 12 | | (7 | ) | 74 | 383 | 89 | (66 | ) | |||||||||||||||||||||||
Credit contracts |
(989 | ) | 210 | | | (74 | ) | 86 | (38 | ) | (805 | ) | 219 | |||||||||||||||||||||||
Foreign exchange contracts |
446 | 42 | 3 | | | (327 | ) | (98 | ) | 66 | 45 | |||||||||||||||||||||||||
Equity contracts |
(2,102 | ) | 309 | 16 | | (50 | ) | (187 | ) | (27 | ) | (2,041 | ) | 296 | ||||||||||||||||||||||
Commodity contracts |
1,205 | 238 | | | | (11 | ) | | 1,432 | 179 | ||||||||||||||||||||||||||
Total net derivative and other contracts |
(1,676 | ) | 662 | 31 | | (131 | ) | (365 | ) | 220 | (1,259 | ) | 673 | |||||||||||||||||||||||
Investments: |
||||||||||||||||||||||||||||||||||||
Principal investments |
581 | 26 | 8 | (50 | ) | | | (24 | ) | 541 | 26 | |||||||||||||||||||||||||
Other |
300 | 11 | 1 | | | | | 312 | 11 | |||||||||||||||||||||||||||
Total investments |
881 | 37 | 9 | (50 | ) | | | (24 | ) | 853 | 37 | |||||||||||||||||||||||||
Intangible assets |
6 | (1 | ) | | | | | | 5 | (1 | ) | |||||||||||||||||||||||||
Liabilities at Fair Value |
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Short-term borrowings |
$ | | $ | (2 | ) | $ | | $ | | $ | 4 | $ | | $ | 63 | $ | 69 | $ | (2 | ) | ||||||||||||||||
Trading liabilities: |
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Corporate and other debt: |
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Corporate bonds |
15 | 9 | (10 | ) | 23 | | | | 19 | 7 | ||||||||||||||||||||||||||
Other debt |
4 | | | | | | | 4 | | |||||||||||||||||||||||||||
Total corporate and other debt |
19 | 9 | (10 | ) | 23 | | | | 23 | 7 | ||||||||||||||||||||||||||
Corporate equities |
112 | 72 | (50 | ) | 99 | | | 8 | 97 | 73 | ||||||||||||||||||||||||||
Obligation to return securities received as collateral |
3 | | (2 | ) | | | | | 1 | | ||||||||||||||||||||||||||
Securities sold under agreements to repurchase |
154 | | | | | | | 154 | | |||||||||||||||||||||||||||
Other secured financings |
168 | 2 | | | 187 | (12 | ) | | 341 | 2 | ||||||||||||||||||||||||||
Long-term borrowings |
2,221 | 61 | | | 237 | (81 | ) | 146 | 2,462 | 64 |
September 2016 Form 10-Q | 12 |
Notes to Consolidated Financial Statements (Unaudited) |
$ in millions | Beginning Balance at December 31, 2014 |
Realized and Unrealized Gains (Losses) |
Purchases1 | Sales | Issuances | Settlements | Net Transfers |
Ending Balance at September 30, 2015 |
Unrealized Gains (Losses) at September 30, 2015 |
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Assets at Fair Value |
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Trading assets: |
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Other sovereign government obligations |
$ | 41 | $ | (1 | ) | $ | 7 | $ | (31 | ) | $ | | $ | | $ | (5 | ) | $ | 11 | $ | | |||||||||||||||
Corporate and other debt: |
||||||||||||||||||||||||||||||||||||
State and municipal securities |
| 5 | 14 | (1 | ) | | | 15 | 33 | 5 | ||||||||||||||||||||||||||
Residential mortgage-backed securities |
175 | 28 | 172 | (57 | ) | | | 86 | 404 | 19 | ||||||||||||||||||||||||||
Commercial mortgage-backed securities |
96 | (17 | ) | 23 | (23 | ) | | | | 79 | (19 | ) | ||||||||||||||||||||||||
Asset-backed securities |
76 | (1 | ) | 22 | (31 | ) | | | (35 | ) | 31 | 4 | ||||||||||||||||||||||||
Corporate bonds |
386 | (19 | ) | 155 | (218 | ) | | (53 | ) | (25 | ) | 226 | (16 | ) | ||||||||||||||||||||||
Collateralized debt and loan obligations |
1,152 | 141 | 320 | (709 | ) | | (331 | ) | (28 | ) | 545 | (7 | ) | |||||||||||||||||||||||
Loans and lending commitments |
5,874 | (34 | ) | 1,860 | (95 | ) | | (2,461 | ) | 20 | 5,164 | (62 | ) | |||||||||||||||||||||||
Other debt |
285 | (13 | ) | 30 | (14 | ) | | (25 | ) | 267 | 530 | | ||||||||||||||||||||||||
Total corporate and other debt |
8,044 | 90 | 2,596 | (1,148 | ) | | (2,870 | ) | 300 | 7,012 | (76 | ) | ||||||||||||||||||||||||
Corporate equities |
272 | 57 | 437 | (199 | ) | | | 8 | 575 | 67 | ||||||||||||||||||||||||||
Securities received as collateral |
| | 1 | | | | | 1 | | |||||||||||||||||||||||||||
Net derivative and other contracts2: |
||||||||||||||||||||||||||||||||||||
Interest rate contracts |
(173 | ) | (37 | ) | 16 | | (22 | ) | 277 | 28 | 89 | 20 | ||||||||||||||||||||||||
Credit contracts |
(743 | ) | (69 | ) | 6 | | (94 | ) | 86 | 9 | (805 | ) | (89 | ) | ||||||||||||||||||||||
Foreign exchange contracts |
151 | 133 | 4 | | (1 | ) | (197 | ) | (24 | ) | 66 | 133 | ||||||||||||||||||||||||
Equity contracts |
(2,165 | ) | (76 | ) | 115 | | (279 | ) | 252 | 112 | (2,041 | ) | (237 | ) | ||||||||||||||||||||||
Commodity contracts |
1,146 | 345 | 2 | | (112 | ) | 111 | (60 | ) | 1,432 | 420 | |||||||||||||||||||||||||
Total net derivative and other contracts |
(1,784 | ) | 296 | 143 | | (508 | ) | 529 | 65 | (1,259 | ) | 247 | ||||||||||||||||||||||||
Investments: |
||||||||||||||||||||||||||||||||||||
Principal investments |
835 | 22 | 20 | (109 | ) | | (187 | ) | (40 | ) | 541 | | ||||||||||||||||||||||||
Other |
323 | (5 | ) | 2 | (6 | ) | | | (2 | ) | 312 | | ||||||||||||||||||||||||
Total investments |
1,158 | 17 | 22 | (115 | ) | | (187 | ) | (42 | ) | 853 | | ||||||||||||||||||||||||
Intangible assets |
6 | | | | | (1 | ) | | 5 | | ||||||||||||||||||||||||||
Liabilities at Fair Value |
||||||||||||||||||||||||||||||||||||
Short-term borrowings |
$ | | $ | (2 | ) | $ | | $ | | $ | 60 | $ | | $ | 7 | $ | 69 | $ | (2 | ) | ||||||||||||||||
Trading liabilities: |
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Corporate and other debt: |
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Corporate bonds |
78 | 6 | (25 | ) | 37 | | | (65 | ) | 19 | 6 | |||||||||||||||||||||||||
Lending commitments |
5 | 5 | | | | | | | 5 | |||||||||||||||||||||||||||
Other debt |
38 | | (1 | ) | 7 | | (39 | ) | (1 | ) | 4 | | ||||||||||||||||||||||||
Total corporate and other debt |
121 | 11 | (26 | ) | 44 | | (39 | ) | (66 | ) | 23 | 11 | ||||||||||||||||||||||||
Corporate equities |
45 | 90 | (88 | ) | 128 |