SEC Info - Goldman Sachs Group Inc - ‘10-Q’ for 3/31/11

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Goldman Sachs Group Inc – ‘10-Q’ for 3/31/11 – ‘XML.R12’

On: Monday, 5/9/11, at 7:31pm ET · As of: 5/10/11 · For: 3/31/11 · Accession #: 950123-11-47633 · File #: 1-14965

  As Of               Filer                 Filing    For·On·As Docs:Size             Issuer                      Filing Agent

 5/10/11  Goldman Sachs Group Inc           10-Q        3/31/11  113:34M                                    Donnelley … Solutions/FA

Quarterly Report — Form 10-Q — Sect. 13 / 15(d) – SEA’34
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: 10-Q        Quarterly Report                                    HTML   2.18M 
 2: EX-3.1      EX-3.1 : Certificate of Elimination of 10%          HTML     33K 
                Cumulative Perpetual Preferred Stock, Series G, of               
                the Goldman Sachs Group, Inc.                                    
 3: EX-3.2      Ex-3.2: Restated Certificate of Incorporation of    HTML    343K 
                the Goldman Sachs Group, Inc.                                    
 4: EX-12.1     Ex-12.1: Statement Re: Computation of Ratios of     HTML     53K 
                Earnings to Fixed Charges and Ratios of Earnings                 
                to Combined Fixed Charges and Preferred Stock                    
                Dividends                                                        
 5: EX-15.1     Ex-15.1: Letter Re: Unaudited Interim Financial     HTML     33K 
                Information                                                      
 6: EX-31.1     Ex-31.1: Rule 13A-14(A) Certifications              HTML     43K 
 7: EX-32.1     Ex-32.1: Section 1350 Certifications                HTML     34K 
84: XML         IDEA XML File -- Definitions and References          XML    485K 
102: XML         IDEA XML File -- Filing Summary                      XML    541K  
97: XML.R1      Document and Entity Information                      XML    221K 
98: XML.R2      Condensed Consolidated Statements of Earnings        XML    365K 
                (Unaudited)                                                      
50: XML.R3      Condensed Consolidated Statements of Financial       XML    391K 
                Condition (Unaudited)                                            
59: XML.R4      Condensed Consolidated Statements of Financial       XML    270K 
                Condition (Unaudited) (Parenthetical)                            
82: XML.R5      Condensed Consolidated Statements of Changes in      XML    927K 
                Shareholders Equity (Unaudited)                                  
77: XML.R6      Condensed Consolidated Statements of Cash Flows      XML    499K 
                (Unaudited)                                                      
108: XML.R7      Condensed Consolidated Statements of Comprehensive   XML    108K  
                Income (Unaudited)                                               
25: XML.R8      Description of Business                              XML     60K 
76: XML.R9      Basis of Presentation                                XML     58K 
21: XML.R10     Significant Accounting Policies                      XML     92K 
20: XML.R11     Financial Instruments Owned, At Fair Value And       XML    105K 
                Financial Instruments Sold, But Not Yet Purchased,               
                At Fair Value                                                    
49: XML.R12     Fair Value Measurements                              XML    324K 
91: XML.R13     Cash Instruments                                     XML    321K 
51: XML.R14     Derivatives and Hedging Activities                   XML    501K 
55: XML.R15     Fair Value Option                                    XML    123K 
71: XML.R16     Collateralized Agreements and Financings             XML    148K 
113: XML.R17     Securitization Activities                            XML    115K  
42: XML.R18     Variable Interest Entities                           XML    241K 
14: XML.R19     Other Assets                                         XML     72K 
58: XML.R20     Goodwill and Identifiable Intangible Assets          XML    135K 
89: XML.R21     Deposits                                             XML     77K 
32: XML.R22     Short-Term Borrowings                                XML     79K 
83: XML.R23     Long-Term Borrowings                                 XML    131K 
56: XML.R24     Other Liabilities and Accrued Expenses               XML     81K 
107: XML.R25     Commitments, Contingencies and Guarantees            XML    160K  
93: XML.R26     Shareholders Equity                                  XML    106K 
62: XML.R27     Regulation and Capital Adequacy                      XML    102K 
72: XML.R28     Earnings Per Common Share                            XML     75K 
19: XML.R29     Transactions with Affiliated Funds                   XML     68K 
23: XML.R30     Interest Income and Interest Expense                 XML     76K 
35: XML.R31     Income Taxes                                         XML     69K 
45: XML.R32     Business Segments                                    XML    145K 
70: XML.R33     Credit Concentrations                                XML     74K 
92: XML.R34     Legal Proceedings                                    XML    135K 
17: XML.R35     Significant Accounting Policies (Policies)           XML    358K 
26: XML.R36     Financial Instruments Owned, at Fair Value and       XML    108K 
                Financial Instruments Sold but not yet Purchased,                
                at Fair Value (Tables)                                           
99: XML.R37     Fair Value Measurements (Tables)                     XML    318K 
106: XML.R38     Cash Instruments (Tables)                            XML    300K  
63: XML.R39     Derivatives and Hedging Activities (Tables)          XML    497K 
110: XML.R40     Fair Value Option (Tables)                           XML    107K  
27: XML.R41     Collateralized Agreements and Financings (Tables)    XML    154K 
112: XML.R42     Securitization Activities (Tables)                   XML    118K  
37: XML.R43     Variable Interest Entities (Tables)                  XML    219K 
15: XML.R44     Other Assets (Tables)                                XML     66K 
36: XML.R45     Goodwill and Identifiable Intangible Assets          XML    138K 
                (Tables)                                                         
87: XML.R46     Deposits (Tables)                                    XML     83K 
105: XML.R47     Short-Term Borrowings (Tables)                       XML     81K  
53: XML.R48     Long Term Borrowings (Tables)                        XML    142K 
39: XML.R49     Other Liabilities and Accrued Expenses (Tables)      XML     84K 
69: XML.R50     Commitments, Contingencies and Guarantees (Tables)   XML    134K 
18: XML.R51     Shareholders' Equity (Tables)                        XML    107K 
74: XML.R52     Regulation and Capital Adequacy (Tables)             XML     78K 
40: XML.R53     Earnings Per Common Share (Tables)                   XML     79K 
24: XML.R54     Transactions with Affiliated Funds (Tables)          XML     71K 
104: XML.R55     Interest Income And Interest Expense (Tables)        XML     75K  
101: XML.R56     Income Taxes (Tables)                                XML     62K  
48: XML.R57     Business Segments (Tables)                           XML    152K 
31: XML.R58     Credit Concentrations (Tables)                       XML     76K 
95: XML.R59     Significant Accounting Policies (Details)            XML     77K 
22: XML.R60     Financial Instruments Owned, At Fair Value And       XML   1.23M 
                Financial Instruments Sold, But Not Yet Purchased,               
                At Fair Value (Details)                                          
78: XML.R61     Fair Value Measurements (Details)                    XML   5.53M 
75: XML.R62     Cash Instruments (Details)                           XML  13.29M 
100: XML.R63     Derivatives and Hedging Activities (Details)         XML    165K  
96: XML.R64     Derivatives and Hedging Activities (Details 1)       XML    997K 
109: XML.R65     Derivatives and Hedging Activities (Details 2)       XML   2.10M  
29: XML.R66     Derivatives and Hedging Activities (Details 3)       XML    772K 
47: XML.R67     Derivatives and Hedging Activities (Details 4)       XML    136K 
67: XML.R68     Derivatives and Hedging Activities (Details 5)       XML   1.68M 
57: XML.R69     Derivatives and Hedging Activities (Details 6)       XML    160K 
68: XML.R70     Derivatives and Hedging Activities (Details 7)       XML   1.52M 
111: XML.R71     Derivatives and Hedging Activities (Details 8)       XML    114K  
30: XML.R72     Derivatives and Hedging Activities (Details 9)       XML    157K 
38: XML.R73     Fair Value Option (Details)                          XML    608K 
34: XML.R74     Collateralized Agreements and Financings (Details)   XML    684K 
64: XML.R75     Securitization Activities (Details)                  XML    389K 
73: XML.R76     Securitization Activities (Details 1)                XML    338K 
61: XML.R77     Variable Interest Entities (Details)                 XML   1.96M 
54: XML.R78     Other Assets (Details)                               XML    168K 
28: XML.R79     Goodwill and Identifiable Intangible Assets          XML   1.02M 
                (Details)                                                        
16: XML.R80     Deposits (Details)                                   XML    422K 
65: XML.R81     Short Term Borrowings (Details)                      XML    178K 
46: XML.R82     Long Term Borrowings (Details)                       XML     85K 
60: XML.R83     Long Term Borrowings (Details 1)                     XML    210K 
86: XML.R84     Long Term Borrowings (Details 2)                     XML    123K 
81: XML.R85     Long Term Borrowings (Details 3)                     XML    792K 
43: XML.R86     Other Liabilities and Accrued Expenses (Details)     XML    262K 
90: XML.R87     Commitments, Contingencies and Guarantees            XML   1.64M 
                (Details)                                                        
79: XML.R88     Shareholders' Equity (Details)                       XML   2.37M 
33: XML.R89     Regulation and Capital Adequacy (Details)            XML    586K 
52: XML.R90     Earnings Per Common Share (Details)                  XML    171K 
80: XML.R91     Transactions with Affiliated Funds (Details)         XML    148K 
41: XML.R92     Interest Income and Interest Expense (Details)       XML    187K 
94: XML.R93     Income Taxes (Details)                               XML    193K 
44: XML.R94     Business Segments (Details)                          XML   1.35M 
85: XML.R95     Credit Concentrations (Details)                      XML    245K 
66: XML.R96     Legal Proceedings (Details)                          XML    298K 
103: EXCEL       IDEA Workbook of Financial Reports (.xls)            XLS   4.68M  
 8: EX-101.INS  XBRL Instance -- gs-20110331                         XML   6.55M 
10: EX-101.CAL  XBRL Calculations -- gs-20110331_cal                 XML    292K 
13: EX-101.DEF  XBRL Definitions -- gs-20110331_def                  XML   1.21M 
11: EX-101.LAB  XBRL Labels -- gs-20110331_lab                       XML   2.93M 
12: EX-101.PRE  XBRL Presentations -- gs-20110331_pre                XML   1.77M 
 9: EX-101.SCH  XBRL Schema -- gs-20110331                           XSD    629K 
88: ZIP         XBRL Zipped Folder -- 0000950123-11-047633-xbrl      Zip    486K

‘XML.R12’ — Fair Value Measurements

This Financial Report is an XBRL XML File.

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<div style="margin-left: 0%"> <div style="margin-top: 12pt; font-size: 1pt"> </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Note 5. Fair Value Measurements</font></b> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets are marked to bid prices and financial liabilities are marked to offer prices. Fair value measurements do not include transaction costs. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The best evidence of fair value is a quoted price in an active market. If listed prices or quotations are not available, fair value is determined by reference to prices for similar instruments, quoted prices or recent transactions in less active markets, or internally developed models that primarily use, as inputs, <font style="white-space: nowrap">market-based</font> or independently sourced parameters, including but not limited to interest rates, volatilities, equity or debt prices, foreign exchange rates, commodities prices and credit curves. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> U.S. GAAP has a three-level fair value hierarchy for disclosure of fair value measurements. The fair value hierarchy prioritizes inputs to the valuation techniques used to measure fair value, giving the highest priority to level 1 inputs and the lowest priority to level 3 inputs. A financial instrument’s level in the fair value hierarchy is based on the lowest level of any input that is significant to its fair value measurement. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The fair value hierarchy is as follows: </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b>Level 1. </b>Inputs are unadjusted quoted prices in active markets to which the firm had access at the measurement date for identical, unrestricted assets or liabilities. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b>Level 2. </b>Inputs to valuation techniques are observable, either directly or indirectly. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b>Level 3. </b>One or more inputs to valuation techniques are significant and unobservable. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> See Notes 6 and 7 for further information about fair value measurements of cash instruments and derivatives, respectively. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The fair value of certain level 2 and level 3 financial assets and financial liabilities may include valuation adjustments for counterparty and the firm’s credit quality, transfer restrictions, large <font style="white-space: nowrap">and/or</font> concentrated positions, illiquidity and bid/offer inputs. See Notes 6 and 7 for further information about valuation adjustments. </div> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> </div>   <div style="margin-left: 0%">  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="left" style="margin-top: 6pt; text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Level 3 financial assets are summarized below. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="83%"> </td> <td width="1%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="11" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="9" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>As of</b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>March<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>December<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>2011</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>2010</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="11" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total level 3 assets </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>45,843</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 45,377 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total assets </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>933,289</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 911,332 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total financial assets at fair value </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>641,556</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 637,514 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total level 3 assets as a percentage of Total assets </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4.9%</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 5.0% </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total level 3 assets as a percentage of Total financial assets at fair value </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>7.1%</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 7.1% </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="11" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="11" style="border-top: 1px solid #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Financial Assets and Financial Liabilities by Level</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The tables below present, by level within the fair value hierarchy, financial instruments owned, at fair value and financial instruments sold, but not yet purchased, at fair value, and other financial assets and financial liabilities accounted for at fair value under the fair value option. See Notes 6 and 7 for further information on the assets and liabilities included in cash instruments and derivatives, respectively, and their valuation methodologies and inputs. See Note 8 for the valuation methodologies and inputs for other financial assets and financial liabilities accounted for at fair value under the fair value option. </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="62%"> </td> <td width="1%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="23" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="21" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Financial Assets at Fair Value as of March 2011 </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Netting and<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 1</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 2</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 3</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Collateral</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Total</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="23" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 16pt"> Total cash instruments </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>132,377</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>139,760</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>33,526</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>305,663</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 16pt"> Total derivatives </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>43</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>164,843</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>11,837</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(107,580</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> <b><sup style="font-size: 85%; vertical-align: top">3</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>69,143</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Financial instruments owned, at fair value </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>132,420</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>304,603</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>45,363</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(107,580</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>374,806</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities segregated for regulatory and other purposes </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>19,584</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><sup style="font-size: 85%; vertical-align: top">1</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>14,741</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><sup style="font-size: 85%; vertical-align: top">2</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>34,325</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities purchased under agreements to resell </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>161,936</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>158</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>162,094</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities borrowed </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>62,236</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>62,236</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Receivables from customers and counterparties </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>7,773</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>322</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>8,095</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> <b>Total</b> </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>152,004</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>551,289</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>45,843</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(107,580</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>641,556</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 3px double #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="62%"> </td> <td width="1%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="23" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="21" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Financial Liabilities at Fair Value as of March 2011 </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Netting and<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 1</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 2</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 3</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Collateral</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Total</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="23" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 16pt"> Total cash instruments </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>88,633</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>10,492</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>482</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>99,607</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 16pt"> Total derivatives </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>167</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>63,838</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>5,034</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(17,648</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> <b><sup style="font-size: 85%; vertical-align: top">3</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>51,391</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Financial instruments sold, but not yet purchased, at fair value </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>88,800</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>74,330</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>5,516</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(17,648</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>150,998</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Deposits </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,914</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,914</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities sold under agreements to repurchase </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>163,529</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,946</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>165,475</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities loaned </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,430</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,430</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Other secured financings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>18,046</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>7,107</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>25,153</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Unsecured <font style="white-space: nowrap">short-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>19,003</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>3,209</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>22,212</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Unsecured <font style="white-space: nowrap">long-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>18,261</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,404</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>20,665</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Other liabilities and accrued expenses </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>548</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6,852</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>7,400</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> <b>Total</b> </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>88,800</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>297,061</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>27,034</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><sup style="font-size: 85%; vertical-align: top">4</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(17,648</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>395,247</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 3px double #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 3pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 1. </td> <td align="left" style="text-align:justify"> Principally consists of U.S. Department of the Treasury (U.S. Treasury) securities and money market instruments as well as insurance separate account assets measured at fair value. </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 2. </td> <td align="left" style="text-align:justify"> Principally consists of securities borrowed and resale agreements. The underlying securities have been segregated to satisfy certain regulatory requirements. </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 3. </td> <td align="left" style="text-align:justify"> Represents cash collateral and the impact of netting across levels of the fair value hierarchy. Netting among positions classified in the same level is included in that level. </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 4. </td> <td align="left" style="text-align:justify"> Level 3 liabilities were 6.8% of total financial liabilities at fair value. </td> </tr> </table> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> </div>   <div style="margin-left: 0%">  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="62%"> </td> <td width="1%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="23" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="21" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Financial Assets at Fair Value as of December 2010 </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Netting and<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 1</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 2</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 3</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Collateral</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Total</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="23" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 16pt"> Total cash instruments </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 117,800 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 133,653 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 32,207 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>283,660</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 16pt"> Total derivatives </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 93 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 172,513 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 12,772 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (112,085 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) <sup style="font-size: 85%; vertical-align: top">3</sup> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>73,293</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Financial instruments owned, at fair value </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 117,893 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 306,166 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 44,979 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (112,085 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>356,953</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities segregated for regulatory and other purposes </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 19,794 </td> <td nowrap="nowrap" align="left" valign="bottom"> <sup style="font-size: 85%; vertical-align: top">1</sup> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 16,388 </td> <td nowrap="nowrap" align="left" valign="bottom"> <sup style="font-size: 85%; vertical-align: top">2</sup> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>36,182</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities purchased under agreements to resell </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 188,255 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 100 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>188,355</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities borrowed </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 48,822 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>48,822</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Receivables from customers and counterparties </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 6,904 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 298 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>7,202</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> <b>Total</b> </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>137,687</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>566,535</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>45,377</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(112,085</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>637,514</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 3px double #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="62%"> </td> <td width="1%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="23" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="21" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Financial Liabilities at Fair Value as of December 2010 </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Netting and<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 1</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 2</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Level 3</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Collateral</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Total</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="23" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 16pt"> Total cash instruments </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 75,668 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 9,873 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 446 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>85,987</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 16pt"> Total derivatives </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 45 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 66,963 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,210 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (17,488 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) <sup style="font-size: 85%; vertical-align: top">3</sup> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>54,730</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Financial instruments sold, but not yet purchased, at fair value </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 75,713 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 76,836 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,656 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (17,488 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>140,717</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Deposits </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,975 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,975</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities sold under agreements to repurchase </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 160,285 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,060 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>162,345</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities loaned </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,514 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,514</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Other secured financings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 23,445 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 8,349 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>31,794</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Unsecured <font style="white-space: nowrap">short-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 18,640 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 3,476 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>22,116</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Unsecured <font style="white-space: nowrap">long-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 16,067 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,104 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>18,171</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Other liabilities and accrued expenses </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 563 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,409 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,972</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> <b>Total</b> </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>75,713</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>299,325</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>24,054</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><sup style="font-size: 85%; vertical-align: top">4</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(17,488</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>381,604</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="23" style="border-top: 3px double #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 3pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 1. </td> <td align="left" style="text-align:justify"> Principally consists of U.S. Treasury securities and money market instruments as well as insurance separate account assets measured at fair value. </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 2. </td> <td align="left" style="text-align:justify"> Principally consists of securities borrowed and resale agreements. The underlying securities have been segregated to satisfy certain regulatory requirements. </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 3. </td> <td align="left" style="text-align:justify"> Represents cash collateral and the impact of netting across levels of the fair value hierarchy. Netting among positions classified in the same level is included in that level. </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 4. </td> <td align="left" style="text-align:justify"> Level 3 liabilities were 6.3% of total financial liabilities at fair value. </td> </tr> </table>  <div align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> </div>   <div style="margin-left: 0%">  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Level 3 Unrealized Gains/(Losses)</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b>Cash Instruments. </b>Level 3 cash instruments are frequently economically hedged with level 1 and level 2 cash instruments <font style="white-space: nowrap">and/or</font> level 1, level 2 and level 3 derivatives. Accordingly, gains or losses that are reported in level 3 can be partially offset by gains or losses attributable to level 1 or level 2 cash instruments <font style="white-space: nowrap">and/or</font> level 1, level 2 and level 3 derivatives. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b>Derivatives. </b>Gains and losses on level 3 derivatives should be considered in the context of the following: </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> A derivative with level 1 <font style="white-space: nowrap">and/or</font> level 2 inputs is classified in level 3 in its entirety if it has at least one significant level 3 input. </td> </tr> <tr style="line-height: 6pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> If there is one significant level 3 input, the entire gain or loss from adjusting only observable inputs (i.e., level 1 and level 2 inputs) is classified as level 3. </td> </tr> <tr style="line-height: 6pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> Gains or losses that have been reported in level 3 resulting from changes in level 1 or level 2 inputs are frequently offset by gains or losses attributable to level 1 or level 2 derivatives <font style="white-space: nowrap">and/or</font> level 1, level 2 and level 3 cash instruments. </td> </tr> </table> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The table below presents the unrealized gains/(losses) on level 3 financial assets and financial liabilities at fair value still held at the period-end. See Notes 6 and 7 for further information about level 3 cash instruments and derivatives, respectively. See Note 8 for further information about other financial assets and financial liabilities at fair value under the fair value option. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="83%"> </td> <td width="1%"> </td> <td width="2%" align="right"> </td> <td width="2%" align="right"> </td> <td width="2%" align="left"> </td> <td width="3%"> </td> <td width="2%" align="right"> </td> <td width="2%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="11" nowrap="nowrap" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="9" nowrap="nowrap" align="center" valign="bottom"> <b>Level 3 Unrealized<br /> </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="9" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Gains/(Losses)</b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="9" nowrap="nowrap" align="center" valign="bottom"> <b>Three Months<br /> </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="9" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Ended March</b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>2011</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>2010</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="11" nowrap="nowrap" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Cash instruments — assets </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,262</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 833 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Cash instruments — liabilities </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(41</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 34 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="11" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="11" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Net unrealized gains on level 3 cash instruments </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,221</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 867 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Derivatives — net </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(560</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,568 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Receivables from customers and counterparties </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>16</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (28 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Other secured financings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(9</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (10 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Unsecured <font style="white-space: nowrap">short-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>204</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 82 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Unsecured <font style="white-space: nowrap">long-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(45</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 12 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Other liabilities and accrued expenses </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(152</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 64 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="11" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="11" style="border-top: 1px solid #000000"> </td> </tr> <tr valign="bottom"> <td nowrap="nowrap" align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> <b>Total</b> </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>675</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,555</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="11" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="11" style="border-top: 3px double #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Gains and losses in the table above include: </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b>Three Months Ended March 2011</b> </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> A net unrealized gain on cash instruments of $1.22 billion primarily consisting of unrealized gains on bank loans and bridge loans, private equity investments, and corporate debt securities. Gains during the first quarter of 2011 reflected strengthening global credit markets and equity markets. </td> </tr> </table> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> A net unrealized loss on derivatives of $560 million primarily attributable to increases in equity index prices, tighter credit spreads and changes in foreign exchange rates (all of which are level 2 observable inputs) on the underlying instruments. </td> </tr> </table> <div style="margin-top: 12pt; font-size: 1pt"> </div> <div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Three Months Ended March 2010</font></b> </div> <div style="margin-top: 3pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> A net unrealized gain on cash instruments of $867 million, primarily consisting of unrealized gains on corporate debt securities, bank loans and bridge loans, loans and securities backed by commercial real estate, and loans and securities backed by residential real estate reflecting a decrease in market yields evidenced by sales of similar assets during the period. </td> </tr> </table> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> A net unrealized gain on derivatives of $1.57 billion, primarily attributable to changes in foreign exchange rates and interest rates (which are level 2 inputs) underlying certain credit derivatives. These unrealized gains were substantially offset by unrealized losses on currency, interest rate and credit derivatives which are classified within level 2 and are used to economically hedge derivatives classified within level 3. </td> </tr> </table> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> </div>   <div style="margin-left: 0%">  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b><font style="font-family: Arial, Helvetica">Level 3 Rollforward</font></b> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> If a financial asset or financial liability was transferred to level 3 during a reporting period, its entire gain or loss for the period is included in level 3. Transfers between levels are recognized at the beginning of the reporting period in which they occur. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> See Notes 6 and 7 for further information about cash instruments and derivatives included in level 3, respectively. See Note 8 for other financial assets and financial liabilities at fair value under the fair value option. </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> The tables below present changes in fair value for all financial assets and financial liabilities categorized as level 3 as of the end of the period. </div> <div style="margin-top: 12pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="33%"> </td> <td width="1%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="7%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="35" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="33" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Level 3 Financial Assets at Fair Value for the Three Months Ended March 2011 </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net unrealized<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>gains/(losses)<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>relating to<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>transfers<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Balance,<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>realized<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>instruments<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>in <font style="white-space: nowrap">and/or</font><br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Balance,<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>beginning<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>gains/<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>still held at<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(out) of<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>end of<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>of period</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(losses)</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>period-end</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Purchases</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Sales</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Settlements</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>level 3</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>period</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="35" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total cash instruments — assets </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>32,207</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>434</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><sup style="font-size: 85%; vertical-align: top">1</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,262</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><sup style="font-size: 85%; vertical-align: top">1</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,816</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(1,944</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(1,412</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>163</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>33,526</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total derivatives — net </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>7,562</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>74</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b><sup style="font-size: 85%; vertical-align: top">2</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(560</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> <b><sup style="font-size: 85%; vertical-align: top">2, 3</sup></b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>796</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(945</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(567</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>443</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6,803</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities purchased under agreements to resell </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>100</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>64</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(8</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>158</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Receivables from customers and counterparties </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>298</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>16</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>14</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(6</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>322</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="35" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="35" style="border-top: 1px solid #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 3pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 1. </td> <td align="left" style="text-align:justify"> The aggregate amounts include approximately $1.26 billion and $432 million reported in <font style="white-space: nowrap">“Non-interest</font> revenues” (“Market making” and “Other principal transactions”) and “Interest income,” respectively. </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 2. </td> <td align="left" style="text-align:justify"> Substantially all is reported in <font style="white-space: nowrap">“Non-interest</font> revenues” (“Market making” and “Other principal transactions”). </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 3. </td> <td align="left" style="text-align:justify"> Principally resulted from changes in level 2 inputs. </td> </tr> </table> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 7pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="26%"> </td> <td width="1%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="7%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="1%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="39" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="37" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Level 3 Financial Liabilities at Fair Value for the Three Months Ended March 2011 </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net unrealized<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(gains)/losses<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>relating to<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>transfers<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Balance,<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>realized<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>instruments<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>in <font style="white-space: nowrap">and/or</font><br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Balance,<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>beginning<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(gains)/<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>still held at<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(out) of<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>end of<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>of period</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>losses</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>period-end</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Purchases</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Sales</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Issuances</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Settlements</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>level 3</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>period</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="39" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -7pt; margin-left: 7pt"> Total cash instruments — liabilities </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>446</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(22</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>41</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(59</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>90</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>8</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(22</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>482</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -7pt; margin-left: 7pt"> Securities sold under agreements to repurchase, at fair value </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,060</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(114</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,946</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -7pt; margin-left: 7pt"> Other secured financings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>8,349</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>9</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>11</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(1,262</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>7,107</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -7pt; margin-left: 7pt"> Unsecured <font style="white-space: nowrap">short-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>3,476</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>60</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(204</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>562</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(153</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(532</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>3,209</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -7pt; margin-left: 7pt"> Unsecured <font style="white-space: nowrap">long-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,104</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>45</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>241</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(72</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>82</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,404</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -7pt; margin-left: 7pt"> Other liabilities and accrued expenses </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,409</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>152</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>4,337</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>(46</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> <b>)</b> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>—</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6,852</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="39" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="39" style="border-top: 1px solid #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> </div>   <div style="margin-left: 0%">  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div>  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="left" style="margin-top: 6pt; text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Significant transfers in or out of level 3 during the three months ended March 2011, included: </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> Unsecured <font style="white-space: nowrap">short-term</font> borrowings and Unsecured <font style="white-space: nowrap">long-term</font> borrowings: net transfer out of level 3 of $532 million and net transfer into level 3 of $82 million, respectively, principally due to a transfer of approximately $230 million from level 3 Unsecured <font style="white-space: nowrap">short-term</font> borrowings to level 3 Unsecured <font style="white-space: nowrap">long-term</font> borrowings related to an extension in the tenor of certain borrowings and the transfer to level 2 of certain <font style="white-space: nowrap">short-term</font> and <font style="white-space: nowrap">long-term</font> hybrid financial instruments due to improved transparency of the equity price inputs used to value these financial instruments. </td> </tr> </table> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="47%"> </td> <td width="1%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="7%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="27" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="25" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Level 3 Financial Assets at Fair Value for the Three Months Ended March 2010 </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net unrealized<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>gains/(losses)<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>relating to<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>purchases,<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Balance,<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>realized<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>instruments<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>issuances<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>transfers in<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Balance,<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>beginning<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>gains/<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>still held at<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>and<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b><font style="white-space: nowrap">and/or</font> (out)<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>end of<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>of period</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(losses)</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>period-end</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>settlements</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>of level 3</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>period</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="27" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total cash instruments — assets </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 34,879 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 501 </td> <td nowrap="nowrap" align="left" valign="bottom"> <sup style="font-size: 85%; vertical-align: top">1</sup> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 833 </td> <td nowrap="nowrap" align="left" valign="bottom"> <sup style="font-size: 85%; vertical-align: top">1</sup> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (2,064 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,621 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>32,528</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total derivatives — net </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 5,196 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 369 </td> <td nowrap="nowrap" align="left" valign="bottom"> <sup style="font-size: 85%; vertical-align: top">2</sup> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,568 </td> <td nowrap="nowrap" align="left" valign="bottom"> <sup style="font-size: 85%; vertical-align: top">2, 3</sup> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (917 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 120 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>6,336</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities purchased under agreements to resell </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 268 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>268</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Receivables from customers and counterparties </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 6 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (28 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 256 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>234</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="27" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="27" style="border-top: 1px solid #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 3pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 1. </td> <td align="left" style="text-align:justify"> The aggregate amounts include approximately $961 million and $373 million reported in <font style="white-space: nowrap">“Non-interest</font> revenues” (“Market making” and “Other principal transactions”) and “Interest income,” respectively. </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 2. </td> <td align="left" style="text-align:justify"> Substantially all is reported in <font style="white-space: nowrap">“Non-interest</font> revenues” (“Market making” and “Other principal transactions”). </td> </tr> <tr style="line-height: 3pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> 3. </td> <td align="left" style="text-align:justify"> Principally resulted from changes in level 2 inputs. </td> </tr> </table> <table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: Arial, Helvetica; color: #000000; background: transparent; text-align: left">  <tr style="font-size: 1pt" valign="bottom"> <td width="47%"> </td> <td width="1%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="7%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="5%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="2%"> </td> <td width="3%" align="right"> </td> <td width="1%" align="right"> </td> <td width="1%" align="left"> </td> <td width="1%"> </td> <td width="1%"> </td> </tr>   <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="27" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td colspan="25" align="center" valign="bottom" style="border-bottom: 1px solid #000000"> <b>Level 3 Financial Liabilities at Fair Value for the Three Months Ended March 2010 </b> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net unrealized<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(gains)/losses<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>relating to<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>purchases,<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Net<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Balance,<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>realized<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>instruments<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>issuances<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>transfers in<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>Balance,<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>beginning<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>(gains)/<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>still held at<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>and<br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b><font style="white-space: nowrap">and/or(out)</font><br /> </b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>end of<br /> </b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 8pt" valign="bottom" align="center"> <td nowrap="nowrap" align="left" valign="bottom"> <i>in millions</i> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>of period</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>losses</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>period-end</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>settlements</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>of level 3</b> </td> <td> </td> <td> </td> <td colspan="2" nowrap="nowrap" align="right" valign="bottom"> <b>period</b> </td> <td> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> </tr> <tr style="font-size: 1pt" valign="bottom" align="center"> <td colspan="27" align="right" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000"> </td> </tr>  <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Total cash instruments — liabilities </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> 572 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (14 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (34 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (10 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> $ </td> <td nowrap="nowrap" align="right" valign="bottom"> (31 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>$</b> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>483</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Securities sold under agreements to repurchase, at fair value </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 394 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <i>—</i> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 494 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 167 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,055</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Other secured financings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 6,756 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 9 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 10 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,172 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 192 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>8,139</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Unsecured <font style="white-space: nowrap">short-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 2,310 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 21 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (82 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (139 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 884 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,994</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="background: #cceeff"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Unsecured <font style="white-space: nowrap">long-term</font> borrowings </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 3,077 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 13 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (12 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 33 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (1,396 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>1,715</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom"> <td align="left" valign="bottom"> <div style="text-indent: -8pt; margin-left: 8pt"> Other liabilities and accrued expenses </div> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 1,913 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 3 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> (64 </td> <td nowrap="nowrap" align="left" valign="bottom"> ) </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> — </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> 475 </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="right" valign="bottom"> </td> <td nowrap="nowrap" align="right" valign="bottom"> <b>2,327</b> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> <td> </td> <td nowrap="nowrap" align="left" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="27" valign="bottom"> </td> </tr> <tr valign="bottom" style="font-size: 1pt"> <td colspan="27" style="border-top: 1px solid #000000"> </td> </tr> </table> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> <div style="margin-top: 12pt; font-size: 1pt"> </div> <div align="left" style="text-align:justify; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> Significant transfers in or out of level 3 during the three months ended March 2010, which were principally due to the consolidation of certain VIEs upon adoption of ASU <font style="white-space: nowrap">No. 2009-17</font> as of January 1, 2010, included: </div> <div style="margin-top: 6pt; font-size: 1pt"> </div> <table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left"> <tr> <td width="2%"></td> <td width="98%"></td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> Unsecured <font style="white-space: nowrap">long-term</font> borrowings: net transfer out of level 3 of $1.40 billion, principally due to the consolidation of certain VIEs which caused the firm’s borrowings from these VIEs to become intercompany borrowings which were eliminated in consolidation. Substantially all of these borrowings were level 3. </td> </tr> <tr style="line-height: 6pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> Unsecured <font style="white-space: nowrap">short-term</font> borrowings: net transfer into level 3 of $884 million, principally due to the consolidation of certain VIEs. </td> </tr> <tr style="line-height: 6pt; font-size: 1pt"> <td> </td> </tr> <tr valign="top" style="font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <td> • </td> <td align="left" style="text-align:justify"> Other liabilities and accrued expenses: net transfer into level 3 of $475 million, principally due to an increase in subordinated liabilities issued by certain consolidated VIEs. </td> </tr> </table>  <div align="center" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> </div> </div>   <div style="margin-left: 0%">  <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 10pt; font-family: Arial, Helvetica; color: #000000; background: transparent"> <b> <font style="font-family: Arial, Helvetica"> </font> </b> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div> <div style="margin-top: 0pt; font-size: 1pt"> </div>  </div>

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Filing Submission 0000950123-11-047633 – Alternative Formats (Word / Rich Text, HTML, Plain Text, et al.)

Goldman Sachs Group Inc – ‘10-Q’ for 3/31/11 – ‘XML.R12’

On: Monday, 5/9/11, at 7:31pm ET · As of: 5/10/11 · For: 3/31/11 · Accession #: 950123-11-47633 · File #: 1-14965

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Quarterly Report — Form 10-Q — Sect. 13 / 15(d) – SEA’34Filing Table of Contents

‘XML.R12’ — Fair Value Measurements

This Financial Report is an XBRL XML File.

Quarterly Report — Form 10-Q — Sect. 13 / 15(d) – SEA’34
Filing Table of Contents