January
31, 2008
VIA
ELECTRONIC DELIVERY
Mr.
Rufus
Decker
Accounting
Branch Chief
Securities
and Exchange Commission
450
Fifth
Street, N.W., Mail Stop 7010
Washington,
D.C. 20549
Re:
Merrill Lynch & Co., Inc.
Form
10-K for the Fiscal Year ended
December 29, 2006
Forms
10-Q for the Fiscal Quarters ended March 30, 2007 and June 29, 2007
File
No.
1-7182
Dear
Mr.
Decker:
This
letter provides the response of Merrill Lynch & Co., Inc. (“Merrill Lynch”,
“we”, “our”, or “us”) to the comments from the staff of the Securities and
Exchange Commission on Form 10-K for the Fiscal Year ended December 29, 2006
(“2006 Form 10-K”) and Forms 10-Q for the Fiscal Quarters ended March 30, 2007
(“first quarter 2007 10Q”), June 29, 2007 and September 28, 2007 (“third quarter
2007 10Q”) contained in your letter dated December 28, 2007 addressed to Mr.
Nelson Chai. For your convenience, we have included your comments in
bold type along with our responses.
Page
2 of
15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
FORM
10-K FOR THE YEAR ENDED
DECEMBER 29, 2006
General
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1.
|
Where
a comment below requests additional disclosures or other revision
to be
made, please show us in your response what the revisions will
look
like in
your
future
filings.
|
Response
1:
The
following responses to your comments include illustrations of our proposed
revisions to future filings where applicable.
Critical
Accounting Policy
and Estimates, page 24
Valuation
of Financial
Instruments, page 25
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2.
|
We
have reviewed
your response to prior comment 2. In a similar manner to your
response, please disclose your use of external pricing services,
which
should include a list of the significant vendors
used.
|
Response
2:
We
do not
believe that disclosing individual external pricing services that we utilize
as
part of our overall valuation process is required or meaningful. The
use of these pricing services is commonplace in our industry and is just
one
component of our overall price verification process. We use the
information we receive from these services to verify the market data that
is
utilized in our pricing models but not to directly value the
positions.
We
have
considered the speech given by Stephanie L. Hunsaker, Associate Chief
Accountant, Division of Corporation Finance U.S. Securities and Exchange
Commission at the 2007 AICPA National Conference on Current SEC and PCAOB
Developments related to consents and experts. We do not view these
pricing services as independent valuation firms or experts as contemplated
in
this speech. We note that the speech states that the rationale for
naming an expert in the report is because management is referring to the
use of
an expert, and may be transferring some, or perhaps all, of the responsibility
for an item in their financial statements. This is not the case in
relation to our valuation of OTC derivatives. We take full
accountability for the valuation of our financial instruments and the
utilization of pricing services is one source of information in our valuation
process.
Risk
Management, page
50
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3.
|
We
have reviewed your response to prior comment 8. Given that your
disclosures on page 28 of your Form 10-Q for the quarter ended
September
28, 2007 indicate that the derivative arrangements related
to your U.S.
sub-prime residential mortgage-related and ABS CDO positions
are in the
form of credit default swaps and given the $7.9 billion of
write-downs
taken on U.S. sub-prime residential mortgage-related and ABS
CDO positions
during 2007, please
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Page 3
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
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further
advise how you determined that disaggregated disclosures related
to credit
default swaps would not be appropriate. These disclosures
should include the types of exposures that you hedge, the dollar
amount of
the exposures, the credit ratings of the counterparties involved
in credit
default swaps, the duration of the credit default swaps by type
of credit
rating, and the amount of any collateral
held.
|
Response
3:
In
the
normal course of business, Merrill Lynch enters into hundreds of credit default
swaps, both single name and baskets. We have historically disclosed
the notional amounts of these credit default swaps (page 103 of our 2006
Form
10-K) and the credit ratings of counterparties, maturities of the contracts
and
the amount of collateral held by Merrill Lynch (page 56 of MD&A in our 2006
Form 10-K). Due to the volume of the transactions, we believe that
disaggregated disclosure would not provide meaningful disclosure to users
of our
financial statements unless provided in a concentrated area of
exposure. In response to market conditions that have impacted certain
credit default swaps held by Merrill Lynch, we have provided enhanced
disclosures in our fourth quarter 2007 press release related to exposure
from
credit default swaps on U.S. super senior ABS CDOs entered into with financial
guarantors. Please see Attachment VIII of our press release dated
January 17, 2008, attached as Appendix I.
We
intend
to provide similar disclosures in our 2007 Form 10-K and believe they provide
relevant disaggregated disclosure for the material subset of our credit default
swaps.
Financial
Statements
Notes
to the Financial
Statements
Note
3. Segment and
Geographic Information, page 91
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4.
|
We
have reviewed your response to prior comment 17. Please provide
us with all of the financial information provided to your
CODM for each of
the last three fiscal years as well as the interim period
ended September
28, 2007. Please also tell us whether discrete financial
information is prepared at a lower level than your current
reportable
segments and explain to us who utilizes this information
and for what
purpose. Please also provide us with the financial information
you provided to your Board of Directors during these
periods.
|
Response
4:
In
Appendix II, we have
provided an index of the financial reports provided to our chief operating
decision maker (“CODM”) for the periods requested. The nature and
frequency of these reports are as follows:
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A.
|
Merrill
Lynch 2005, 2006 and 2007 Operating Plans --These reports were
provided
annually to our CODM and contain Merrill Lynch’s full year operating
budget. Key financial metrics of Global Markets and Investment
Banking ("GMI"), Global Private Client ("GPC"), and Merrill Lynch
Investment Managers ("MLIM"), including revenues, operating expenses,
pre-tax earnings and pre-tax margin are included in these
reports.
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Page 4
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
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B.
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Daily
Earnings Summary--These reports were provided weekly to our CODM
and
include estimated net revenues and earnings for GMI, GPC, MLIM
and
Corporate for periods prior to December 2006 and for GMI and Global
Wealth Management ("GWM") for periods subsequent to December
2006.
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|
C.
|
Presentations
to the Executive Committee – These reports were generally provided three
to four times a year to update the CODM and other members of the
Executive
Committee on the financial performance of Merrill Lynch. The
key financial metrics contained in these reports included net revenues,
compensation and non-compensation expenses, pre-tax earnings and
pre-tax
margin for GMI, GPC, MLIM and Corporate for periods prior to December
2006
and for GMI and GWM for periods subsequent to December
2006.
|
|
D.
|
Presentations
to the Board of Directors – These reports were generally provided three or
four times a year to update the CODM and other Board members on
the
financial results and business plans of Merrill Lynch. The key
financial metrics contained in these reports included net revenues,
compensation and non-compensation expenses, pre-tax earnings and
pre-tax
margin for GMI, GPC, MLIM and Corporate for periods prior to December
2006
and for GMI and GWM for periods subsequent to December
2006.
|
Reports
A, B, C and D of Appendix II represent the information that the CODM relied
upon
to allocate resources within Merrill Lynch. While net revenues are
provided for components of the segments in these reports, no further specific
financial measures were provided or used by the CODM at this level of the
business with respect to operating performance. These reports include
allocations of corporate level revenues and expenses, including expenses
related
to certain corporate technology initiatives, and certain interest, including
amounts charged on capital usage to the operating segments.
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E.
|
The
CODM also received the GMI Weekly Highlights Report. These
reports contain financial information for fixed income, currency
and
commodities (“FICC”), equity markets and investment
banking. This information is reviewed by the heads of the
businesses in evaluating performance by business area and
region.
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F.
|
Financial
Summary to the Board of Directors – These reports were provided monthly to
our CODM and other Board members and contain net revenues and pre-tax
earnings for GMI, GPC and MLIM for periods prior to December 2006
and for
GMI and GWM for periods subsequent to December 2006. Also
included is consolidated financial information for Merrill
Lynch.
|
The
Board
of Directors received the EXCO Budget Reports, Report A in Appendix II, the
Presentations to the Board of Directors, Report D in Appendix II and the
Financial Summary to the Board of Directors, Report F in Appendix
II.
Discrete
financial information is prepared at lower levels than our reportable
segments. This information is used by the heads of various businesses
to evaluate the results of their businesses by product and
region. Other than Report E in Appendix II (described above) these
reports were not provided to the CODM and do not include certain corporate
revenue and expense allocations.
Page 5
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
Note
5. Investment
Securities, page 94
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5.
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We
have reviewed your response to prior comment
18. The financial information provided in your response
indicates that the amount of earnings recorded from equity
method
investments in recent periods has been increasing as percentage
of your
total earnings before income taxes. Please separately present
earnings from equity method investments on the face of your
statements of
earnings as a component of net
revenues.
|
Response
5:
In
our
fourth quarter 2007 earnings release, we have separately presented earnings
from
equity method investments on the face of our income statement as a component
of
net revenues. We will include this presentation in our 2007 Form
10-K.
Note
9, Borrowings, page
105
Long-Term
Borrowings
Floating
Rate LYONS, page
106
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6.
|
We
have reviewed your response to prior comment 19. Please tell us
how you determined that the conversion feature met the criteria
of
paragraphs 12 through 32 of EITF 00-19 for classification as permanent
equity. Please specifically address each of the
criteria.
|
Response
6:
In
December 2004, Merrill Lynch issued $2.2 billion of aggregate principal amount
of floating rate zero-coupon contingently convertible LYONs®
(“LYONs®”)
at an
issue price of $1,000 per note. Upon conversion, holders of
LYONs®
will
receive the value of 13.82131
shares as
follows:
|
·
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the
contingent principal amount (i.e., $1,000) plus accrued interest
will be
paid in cash
|
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·
|
the
conversion spread (i.e., the “in the money amount related to the
conversion option”) may be settled in stock or cash at Merrill Lynch’s
option.
|
We
analyzed all of the criteria outlined in paragraphs 12-32 of EITF 00-19 and
concluded that the conversion option embedded in the LYONs®
qualified as equity. In summary, there are no provisions in the
LYONs®
that
could require Merrill Lynch to pay cash related to the value of the conversion
option. Our conclusion that the equity criteria outlined in EITF 00-19 has
been
met is based on the following:
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·
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The
contract permits the company to settle in unregistered
shares.
|
Although
the contract does not permit Merrill Lynch to deliver unregistered shares,
paragraph 18 of EITF 00-19 states that “if a derivative involves
________________________
1
The
number of shares is subject to adjustment up to a maximum of 18.3823 shares
per
LYONs®.
Page 6
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
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·
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The
contract contains an explicit limit on the number of shares to
be
delivered in a share settlement.
|
The
Prospectus caps the number of shares
that may be delivered to settle the conversion option in each LYONs®at
18.3823. 2,200,000
LYONs®
were issued,
resulting in a total cap on the number of shares of 40,441,060. As
discussed below, the
number of authorized and unissued shares available to satisfy the
LYONs® exceeds
that
cap.
|
·
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The
company has sufficient authorized and unissued shares available
to settle
the contract after considering all other commitments that may require
the
issuance of stock during the maximum period the derivative contract
could
remain outstanding.
|
At
theLYONs®
issuance date, Merrill Lynch’s authorized and unissued shares
available for issuance far exceeded the maximum number of shares that could
be
required to be delivered under the LYONs®. Total
authorized and unissued shares available after considering all other outstanding
commitments to issue shares (but prior to consideration of the LYONs®)
exceeded 1.64 billion shares. As the maximum number of shares that
may be delivered under the LYONs®
approximates 40 million shares, there is a sufficient amount of authorized
and
unissued shares available to settle the LYONs®.
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·
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There
are no required cash payments to the counterparty in the event
the company
fails to make timely filings with the
SEC.
|
There
is no such feature in the
LYONs®.
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·
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There
are no required cash payments to the counterparty if the shares
initially
delivered upon settlement are subsequently sold by the counterparty
and
the sales proceeds are insufficient to provide the counterparty
with full
return of the amount due (that is, there are no cash settled "top-off"
or
"make-whole" provisions).
|
There are
no “top-off” or “make-whole” provisions in the LYONs®.
|
·
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The
contract requires net-cash settlement only in specific circumstances
in
which holders of shares underlying the contract also would receive
cash in
exchange for their shares.
|
In
the
LYONs®,
there are no circumstances under which Merrill Lynch could be required to
settle
the conversion option in cash.
Page 7
of 15 Confidential
Treatment requested by Merrill Lynch & Co.,
Inc.
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·
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There
are no provisions in the contract that indicate that the counterparty
has
rights that rank higher than those of a shareholder of the stock
underlying the contract.
|
Although
the LYONs®
rank equally with all of Merrill Lynch’s existing and future unsecured and
unsubordinated indebtedness, this pertains only to the original principal
amount
plus accrued interest, which is required to be paid in cash upon exercise
of the
conversion option. In regards to the value of the conversion option, the
holder
has no rights that rank senior to those of a shareholder of Merrill Lynch
common
stock.
|
·
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There
is no requirement in the contract to post collateral at any point
or for
any reason.
|
No
such
feature exists in the LYONs®.
FORM
10-Q FOR THE QUARTER
ENDED SEPTEMBER 28, 2007
General
|
7.
|
Please
address the comments above in your interim filings as
well.
|
Response
7:
The
above
comments will also be addressed in our interim filings where
applicable.
Financial
Statements
Notes
to the Financial
Statements
Note
3. Fair Value of
Financial Instruments, page 26
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8.
|
We
have reviewed your response to prior comment 24. You adopted
SFAS 159 as of December 30, 2006. As part of this early
adoption, you elected the fair value option for certain fixed rate
securities for which you previously accounted for under SFAS
115. In connection with this adoption, you also reviewed your
treasury liquidity portfolio and determined that you should decrease
your
economic exposure to interest rate risk by eliminating long-term
fixed
rate assets from the portfolio. All of the fixed rate assets
were subsequently sold during the first quarter of 2007. The
fixed rate assets had previously been classified as available-for-sale
and
the unrealized losses related to such assets had been recorded
in
accumulated other comprehensive income. As a result of the
adoption of SFAS 159, the loss related to these assets was removed
from
accumulated other comprehensive income and a loss of approximately
$172
million, net of tax, related to these assets, was recorded as a
cumulative-effect adjustment to beginning retained
earnings. Given that it appears you would have recorded a loss
to your statements of earnings if you had not early adopted SFAS
159,
please help us understand your basis for electing the fair value
option in
light of your intention to eliminate these fixed rate assets from
your
portfolio. For each security or related group of securities,
please tell us the carrying value, the fair value as of the date
of
adopting SFAS 159, and the fair value on the date of
sale.
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Page 8
of 15 Confidential
Treatment requested by Merrill Lynch & Co.,
Inc.
Response
8:
In
connection with the early adoption of SFAS 159, The Fair Value Option
for Financial
Assets and Financial Liabilities, (“SFAS 159”), in the first quarter of
2007, we undertook a comprehensive review of all of our financial instruments
eligible for the fair value option. As a result of this review, we elected
the
fair value option for a variety of financial instruments including our treasury
liquidity portfolio, certain loans and long-term debt. In addition, subsequent
to the initial adoption of SFAS 159, we have also elected the fair value
option
for new financial instruments acquired throughout the year.
During
the first quarter of 2007, we made a decision to change the composition of
our
liquidity portfolio from fixed rate assets to variable rate assets in connection
with an increase in the size of our liquidity portfolio. Increasing
the portfolio with fixed rate securities would lead to greater volatility
in
capital due to the changes in fair value; thus a decision was made to change
the
liquidity portfolio composition to floating rate securities. The
floating rate securities purchased were classified as available for sale
securities in accordance with SFAS 115, Accounting for Certain
Investments
in Debt and Equity Securities. All of the fixed rate
securities were sold by the end of the first quarter of 2007 and no fixed
rate
securities have been subsequently purchased into the liquidity portfolio
during
2007.
As
part
of our overall adoption of SFAS 159, we decided to elect the fair value option
for the fixed rate securities in the liquidity portfolio. The
intention and result was not to take unrealized losses through equity, sell
the
securities, repurchase similar securities and thus have very little change
to
the economic position of the portfolio. The economic position of the
liquidity portfolio changed substantially, as interest rate risk associated
with
the fixed rate securities was the dominant risk in the portfolio. The
floating rate securities purchased were not substantiality similar to the
fixed
rate securities sold. At the time of adoption of SFAS 159, we were
aware of and considered the SEC staff’s views as to potential abuses in adopting
SFAS 159, particularly as it related to our fact pattern and concluded our
accounting was appropriate.
In
deliberations over SFAS 159, board members of the Financial Accounting Standard
Board (“FASB”) noted that the transition provisions of the standard could result
in the election of the fair value option for available-for-sale securities
in a
loss position which are then subsequently sold. Board members
recognized that this situation existed and enhanced the disclosure requirements
specific to the transition population, rather than restricting the use of
the
option for available-for-sale securities.
Excerpt
from the October 18, 2006 FASB Board meeting on Fair Value Option
Disclosures
in Year of Adoption about FVO Election of Assets Later Sold and Liabilities
Settled Prematurely
32.
Mr.
Wilkins stated that the staff recommends that the FVO Statement not require
any
special disclosures if, in initially adopting the FVO Statement, the FVO
has
been elected at the beginning of a fiscal year for an existing financial
asset
or financial liability that is sold or settled (extinguished) later in that
fiscal year prior to its maturity. Mr. Young stated that he is concerned
about
users’ questions regarding adoption and whether they would have enough
information to understand the effects of the FVO on existing items for which
the
FVO was elected. Mr. Wilkins noted that the staff is recommending a transition
provision
Page 9
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
for
a
special one-time disclosure regarding the effects of the FVO on existing
items
that should address Mr. Young’s concern.
33.
The
Board unanimously agreed with the staff’s recommendation.
In
compliance with paragraph 27 of SFAS 159, Merrill Lynch disclosed:
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·
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The
pretax amount of the cumulative-effect
adjustment;
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·
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The
fair value of the securities at adoption of $8,723 million (page
27, first
quarter 2007 10Q) was equal to the carrying value of the securities,
and
|
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·
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Merrill
Lynch’s reason for electing the fair value
option.
|
Our
disclosures in respect of the adoption of the fair value option on the
available-for-sale securities explained that the rationale for our election
was
based upon the change to our liquidity portfolio composition;
We
early
adopted SFAS No. 159 in the first quarter of 2007. In connection with this
adoption
management reviewed its treasury liquidity portfolio and determined that
we
should decrease our economic exposure to interest rate risk by eliminating
long-term fixed rate assets from the portfolio and replacing them with floating
rate assets. The fixed rate assets had been classified as available-for-sale
and
the unrealized losses related to such assets had been recorded in accumulated
other comprehensive income. As a result of the adoption of SFAS No. 159,
the loss related to these assets was removed from accumulated other
comprehensive income and a loss of approximately $185 million, net of tax,
primarily related to these assets, was recorded as a cumulative-effect
adjustment to beginning retained earnings, with no material impact to total
stockholders’ equity (pages 17-18, first quarter 2007 10Q).
*[Confidential
information has been omitted and furnished separately to the Securities and
Exchange Commission]*
U.S.
Sub-Prime Residential
Mortgage-Related and ABS CDO Activities, page 29
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9.
|
You
disclosed additional off-balance sheet exposures on derivative
positions
with notional amounts of $13.6 billion and additional off-balance
sheet
exposures on loan commitments of $0.6 billion. Please disclose
in a comprehensive manner the nature of these off-balance sheet
arrangements, what your maximum exposure to loss is under these
off-balance sheet arrangements, the credit rating of the relevant
counterparties under these arrangements, and any other material
disclosures that are relevant to an investor to assess your sub-prime
exposures.
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Page 10
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
Response
9:
The
nature of the off-balance sheet exposures addressed in this comment are notional
amounts on derivatives related to ABS CDOs and the principal amount of loan
commitments that have not been funded. In relation to the notional
amounts of derivatives related to ABS CDOs, this amount represents our maximum
exposure to loss and is the reason why we included this
disclosure. In addition, we have disclosed in our fourth quarter 2007
earnings release our exposures to financial guarantor counterparties by credit
rating on these derivatives, as we believe this group of counterparties is
the
most relevant in assessing counterparty credit risk. Please see
Attachment VIII of our press release dated January 17, 2008, attached as
Appendix I. We intend to include similar disclosure in our 2007 Form
10-K.
At
the
end of the fourth quarter of 2007, the off-balance sheet exposure related
to the
loan commitments was approximately $10 million, significantly reduced from
approximately $600 million at the end of the third quarter. The firm
has intentionally reduced the level of such commitments and does not anticipate
incurring such commitments in the foreseeable future. If this lending
business and related commitments become material in the future we will provide
additional disclosures.
Management’s
Discussion and
Analysis
U.S.
Sub-Prime Residential
Mortgage-Related and ABS CDO Activities, page 73
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10.
|
We
have reviewed your response to comment 6 and the additional disclosures
provided. It does not appear that all items included in our
prior comment were addressed in the additional disclosures
provided. Please specifically address each of these items
listed below. For any items that you believe you have disclosed
the requested information, please tell us specifically where the
disclosures are located or tell us why they are not
applicable. Otherwise, please provide us with the requested
information.
|
|
·
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Provide
us with your risk management philosophy as it specifically related
to
sub-prime loans. Please
address:
|
|
o
|
Your
origination policies;
|
|
o
|
The
purchase and securitization of loans,
and;
|
|
o
|
Loans,
commitments and investments in sub-prime
lenders.
|
|
·
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Quantify
your portfolio of sub-prime residential mortgages. If
practicable, please breakout the portfolio to show the underlying
reason
for sub-prime definition, in other words, subject to payment increase,
high LTV ratio, interest only, negative amortizing, and so
on.
|
|
·
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Quantify
the following regarding sub-prime residential
mortgages. Explain how you define each
category;
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|
o
|
The
allowance for loan loses, and;
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|
o
|
The
most recent provision for loan
loses.
|
|
·
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Quantify
the principal amount and nature of any retained securitized interests
in
sub-prime residential mortgages.
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|
·
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Quantify
the current delinquencies in retained securitized sub-prime residential
mortgages
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Page 11
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
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·
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Quantify
the current delinquencies in retained securitized sub-prime residential
mortgages
|
|
·
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Quantify
any write-offs/impairments related to retained interests in sub-prime
residential mortgages.
|
|
·
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Please
address all involvement with special purpose entities and variable
interest entities and quantify the sub-prime exposure related
to such
entities, regardless of whether they are consolidated for the
purposes of
generally accepted accounting
principles.
|
|
·
|
Quantify
and describe any and all potential repurchase commitments you
have
regarding sub-prime residential
mortgages.
|
|
·
|
Quantify
and describe any loans to, commitments in, or investments in
sub-prime
lenders. Describe any other potential exposures you may be
subject to, such as repurchase commitments related to the receipt
of
assets in bankruptcy, for example.
|
|
·
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Quantify
your revenues from involvement in sub-prime loans. Break out
such revenues based on fees, interest earned, servicing rights
and other
sources.
|
Where
we have asked you to quantify amounts as of a point in time, please do so
as of
the end of your last full fiscal year and as of the most recent date
practicable. Where we have asked you to quantify amounts for a
period, please provide this for the last three full fiscal years and any
more
recent period, if practicable.
If
you believe that a material adverse impact on your financial condition, results
of operations or liquidity, resulting from our remaining exposure to sub-prime
lending, is remote, please explain. If you believe that a material
adverse impact resulting from your remaining exposure is reasonably possible,
please tell us what disclosures you may consider in order to provide a clearer
understanding of this remaining exposure.
Response
10:
*[Confidential
information has been omitted and furnished separately to the Securities and
Exchange Commission]*
|
11.
|
On
page 75, you disclose that you had U.S. sub-prime residential
mortgage-related net exposures of $8.8 billion as of June 29,
2007. This net exposure decreased to $5.6 billion as of
September 28, 2007 primarily due to a $2.0 billion net decrease
in other
net changes in net exposures. Your note to this column states
that this $2.0 billion amount represents purchases, sales, hedges,
paydowns, as well as changes in loan commitments and related
funding. Please tell us what consideration you gave to
quantifying each of these items included in this column as well
as
providing additional disclosures related to the hedging
instruments. Specifically, please tell us what consideration
you gave to disclosing the dollar amounts of the hedges, the respective
credit ratings of the counterparties involved in the hedges, the
types of
hedges, the duration of the hedges by type of credit rating and
the amount
of any collateral held. Please disclose the existence of any
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Page 12
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
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|
concentrations
of credit risk with financial guarantors or other financial institutions
that are counterparties to your hedges as required by paragraph
15A of
SFAS 107.
|
Response
11:
The referenced
disclosure was intended to provide users of our financial statements with
an
understanding of our U.S. sub-prime residential mortgage related net
exposure. In providing the rollforward of net exposure from the end
of the second quarter of 2007 to the end of the third quarter of 2007, we
concluded that the most relevant information was the amount of net loss
recognized in the quarter. However, in order to rollforward the
balances, changes to the net exposure other than income (loss), such as sales,
purchases and other activity were also disclosed. The vast majority
of the amounts in the “Other Net Changes in Net Exposures” column represented
paydowns of loans and decreases in unfunded commitments. Included in
this column was a decrease of approximately $500 million in hedges (short
positions) during the third quarter of 2007 resulting in an increase in the
net exposure related to residential mortgage-backed securities. It
should also be noted that these short positions are not credit default swaps
and
do not present the same counterparty credit risks associated with the hedges
on
our ABS CDOs. Since we did not consider the hedge amount (short
positions) to be a material change to our net exposure, we did not believe
it
warranted gross disclosure.
|
12.
|
Please
tell us what consideration you gave to presenting your gross exposures
to
U.S. sub-prime residential mortgage-related positions in addition
to your
current presentation of net exposures. For example, an
additional table could reconcile from your gross exposures to your
net
U.S. sub-prime residential mortgage-related exposures, with corresponding
explanations for the significant reconciling
items.
|
Response
12:
The
difference between the gross and net exposure for the U.S. sub-prime disclosures
at the end of the third quarter was approximately $650 million. We
did not consider this difference to be material in relation to a net vs.
gross
exposure presentation due to the dollar amount and type of hedges (primarily
short positions on various indices and not credit default swaps), and therefore
did not provide the gross amount.
|
13.
|
You
disclose on page 76 that you had total CDO-related exposures of
$33.9
billion as of June 29, 2007. This net exposure decreased to
$15.8 billion as of September 28, 2007 primarily due to an $11.2
billion
net decrease in other net changes in net exposures. You
disclosed that this primarily consists of hedging activity such
as
entering into credit default swaps that are matched to specific
CDO
securities. Please tell us what consideration you gave to
disclosing the dollar amounts of the credit default swaps, the
respective
credit ratings of the counterparties involved in the credit default
swaps,
the duration of the credit default swaps by type of credit rating,
and the
amount of any collateral held. Please also disclose the
existence of any concentrations of credit risk with financial guarantors
or other financial institutions that are counterparties to your
hedges as
required by paragraph 15A of SFAS
107.
|
Page 13
of 15 Confidential
Treatment requested by Merrill Lynch & Co.,
Inc.
Response
13:
The disclosure
was intended to provide users of our financial statements with an understanding
of our exposure to U.S. ABS CDO positions. In providing the
rollforward of net exposure from the end of the second quarter of 2007 to
the
end of the third quarter of 2007, we concluded at that time that disclosing
the
net amounts was appropriate. At that point in time, we believed that
the credit worthiness of our credit default swap counterparties did not give
rise to the same credit risk existing at the end of the fourth quarter and
as a
result we disclosed the net exposure. As a result of increased
counterparty credit risk, we have provided enhanced disclosures in our 2007
earnings release (please see attachment VIII of our press release dated January
17, 2008, attached as Appendix I) for the third and fourth quarters
of 2007 for both the net and gross exposure of our U.S. ABS CDO
positions. In addition, we have also provided the amounts of our
exposure on credit default swaps on our super senior U.S. ABS CDO positions
entered into with financial guarantors, as well as the credit rating of such
counterparties. We intend to provide similar disclosures in our 2007
Form 10-K.
|
14.
|
Please
tell us what consideration you gave to presenting your gross exposures
to
CDO positions in addition to your current presentation of net
exposures. For example, an additional table could reconcile
from your gross exposures to your net CDO exposures, with corresponding
explanations for the significant reconciling
items.
|
Response
14:
Please
see response to comment 13 above.
|
15.
|
You
disclose on page 31 that you have residential and commercial real
estate
loans held for sale of $4.8 billion in the United
Kingdom. Please expand your disclosure to address risks and
exposures to sub-prime residential mortgage-related and ABS CDO
positions
in this market in a similar manner to your discussion of the U.S.
market.
|
Response
15:
Please
see attachment IX of our press release dated January 17, 2008, attached as
Appendix III where we have disclosed our non-U.S. residential mortgage-related
net exposure as of December 28, 2007. We intend to provide similar
disclosure in our 2007 Form 10-K.
Fixed
Income, Currencies and
Commodities (FICC), page 79
|
16.
|
Please
expand your disclosure to address the specific facts and circumstances
in
the third quarter of 2007 that led you to determine that this was
the
appropriate period in which to record the $7.9 billion of write-downs
on
the U.S. sub-prime residential mortgage-related and ABS CDO
positions. Please specifically address any new information that
became available during the quarter or significant changes in the
market
conditions during this quarter.
|
Page 14
of 15 Confidential
Treatment requested by Merrill Lynch & Co.,
Inc.
Response
16:
In
our
2007 third quarter 10Q, we believe we have provided appropriate and meaningful
disclosure addressing the circumstances surrounding the recording of our
write-downs. As noted in your comment to us, the Fixed Income,
Currencies and Commodities (FICC) section of our MD&A discloses $7.9 billion
of 2007 third quarter net losses related to our U.S. ABS CDO positions and
warehouses as well as our U.S. sub-prime mortgage related
assets. Within this section of our MD&A we have disclosed the
following with respect to the changes in market conditions which led to our
write-downs during the quarter:
(Page
79)
During
the third quarter of 2007 FICC was adversely impacted by the deterioration
in
the credit markets, lower levels of liquidity, reduced price transparency,
increased volatility and a weaker U.S. housing market. The
combination of these market conditions resulted in approximately $7.9 billion
of
total net losses for the third quarter of 2007 related to our U.S. ABS CDO
positions and warehouses, as well as our U.S. sub-prime mortgage related
assets
including whole loans, warehouse lending, residual positions and residential
mortgage-backed securities.
This
disclosure was preceded by additional and more expansive disclosures in our
Business Environment,
Quarterly Results of Operations and U.S. Sub-prime
Residential
Mortgage-Related and ABS CDO Activities sections of our MD&A as
follows:
(Page
68 – Business
Environment)
Global
financial markets experienced significant stress during the third quarter
of
2007, primarily driven by challenging conditions in the markets related to
U.S.
sub-prime mortgages (including Collateralized Debt Obligations (“CDOs”) based on
sub-prime collateral), and the markets for loans and bonds related to leveraged
finance transactions. This adverse market environment began to
intensify towards the end of July and was characterized by significant credit
spread widening, prolonged illiquidity, reduced price transparency and increased
volatility. As conditions in these markets deteriorated, other areas
such as the asset-backed commercial paper market also experienced decreased
liquidity, and the equity markets experienced short-term weakness and increased
volatility. For example, during the third quarter ABX indices
experienced significant widening, with the A and AAA classes moving
substantially off par for the first time in 2007.
(Page
69 – Business
Environment)
However,
the challenging conditions in certain credit markets, such as the CDO and
related sub-prime mortgage markets, have continued into the fourth
quarter.
At
the end of the third quarter, we maintained exposures to these markets through
cash positions, loans, derivatives and commitments. During the third
quarter, FICC revenues were adversely affected by the substantial deterioration
in the value of many of these exposures, particularly towards quarter end.
See
U.S. Sub-prime Residential Mortgage-Related and ABS CDO Activities on page
73
for further detail.
The
markets for U.S. ABS CDO exposures remain extremely illiquid and as a result,
valuation of these exposures is complex and involves a comprehensive process
including the use of quantitative modeling and management
judgment. Valuation of these
Page 15
of 15 Confidential
Treatment requested by Merrill Lynch & Co., Inc.
exposures
will also
continue to be impacted by external market factors including default rates,
rating agency actions, and the prices at which observable market transactions
occur. Our ability to mitigate our risk by selling or hedging our
exposures is also limited by the market environment. Our future
results may continue to be materially impacted by the valuation adjustments
applied to these positions.
(Page
71 - Quarterly Results
of Operations)
Deterioration
in the credit markets, prolonged illiquidity, reduced price
transparency,
increased
volatility and a weaker U.S. housing market all contributed to the decline
in
these businesses and the difficult environment experienced in the third
quarter.
(Page
76 - U.S. Sub-prime
Residential Mortgage-Related and ABS CDO Activities)
Despite
the high credit rating of these CDO securities (typically AAA), their fair
value
at
September
28, 2007 reflects unprecedented market illiquidity and the deterioration
of
underlying sub-prime collateral.
We
believe that the cumulative disclosures as presented in our MD&A address the
facts and circumstances which led us to record these loses in the third quarter
of 2007. Additionally, we will continue to describe any new information that
becomes available or significant changes in market conditions in our future
filings.
We
hope
that this letter is responsive to your comments. If you have any
questions concerning this response, please do not hesitate to contact me
at
(212) 449-0778 or our Controller, Gary Carlin at (212) 449-5825.
| |
Sincerely,
|
| |
|
| |
|
| |
|
| |
/s/
Christopher
Hayward |
| |
Christopher
Hayward |
| |
Finance Director |
| |
Principal
Accounting
Officer |
cc:
Gus Rodriguez, Staff Accountant
Nudrat
Salik, Staff
Accountant
Nelson
Chai, Chief Financial
Officer
| |
|
|
|
|
Appendix
I
|
|
|
| |
|
|
|
|
|
|
|
|
Merrill
Lynch & Co.,
Inc.
|
|
|
|
|
Attachment
VIII
|
|
(Unaudited)
|
|
|
|
|
(dollars
in
millions)
|
| |
|
Net
Exposures as of Sept. 28,
2007
|
Gain/(Loss)
Reported in
Income(1)
|
Other
Net Changes in Net
Exposures(2)
|
Net
Exposures
as of Dec. 28, 2007
(5)
|
|
U.S.
ABS CDO net
exposures:
|
|
|
|
|
| |
U.S.
Super senior ABS CDO net
exposures:
|
|
|
|
|
| |
High-grade
|
$ 8,925
|
$ (5,531)
|
$ 986
|
$ 4,380
|
| |
Mezzanine
|
5,237
|
(2,912)
|
(141)
|
2,184
|
| |
CDO-squared
|
630
|
(280)
|
(79)
|
271
|
| |
Total
super
senior ABS CDO net exposures(3)
|
14,792
|
(8,723)
|
766
|
6,835
|
| |
Secondary
trading (4)
|
1,026
|
(1,141)
|
(1,882)
|
(1,997)
|
| |
Total
U.S. ABS CDO-related
net exposures
|
$ 15,818
|
$ (9,864)
|
$ (1,116)
|
$ 4,838
|
|
(1)
|
Primarily
represents unrealized
losses on net exposures. Amounts exclude credit valuation adjustments
of
negative $2.6 billion
|
|
| |
related
to financial guarantor
exposures on U.S. super senior ABS CDOs. See table regarding
financial
guarantor exposures.
|
|
|
|
(2)
|
Primarily
consists of principal
amortization for U.S. super senior ABS CDO net exposures, as
well as
changes in hedges and increases due to
|
| |
ineffective
hedges.
|
|
|
|
|
|
|
|
(3)
|
For
total U.S. super senior ABS
CDOs, long exposures (including associated gains and losses
reported in
income and other net changes in
|
| |
net
exposures) were $46.1 billion
and $30.4 billion at September 28, 2007 and December 28, 2007,
respectively. Short exposures
|
|
| |
(including
associated gains and
losses reported in income and other net changes in net exposures)
were
$31.3 billion and $23.6 billion
|
|
| |
at
September 28, 2007 and December
28, 2007. Short exposures primarily consist of purchases of
credit default
swap protection from
|
|
| |
various
third parties, including
monoline financial guarantors, insurers and other market
participants.
|
|
|
|
|
(4)
|
Previously
disclosed as "Other
retained and warehouse net exposures."
|
|
|
|
|
|
|
(5)
|
Hedges
are affected by a variety
of factors that impact the degree of their effectiveness. These
factors
may include differences in
|
|
| |
attachment
point, timing of cash
flows, control rights, litigation, limited recourse to counterparties
and
other basis risks.
|
|
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
|
U.S.
Super Senior ABS CDOs as of
Dec. 28, 2007
|
|
|
|
|
| |
|
Notional(1)
|
Mark-to-Market
Prior
to
Credit Valuation
Adjustments
|
Notional,
net
of
Mark-to-Market
Prior
to
Credit Valuation
Adjustments
|
Credit
Valuation
Adjustments
|
Carrying
Value
|
|
|
Credit
Default Swaps with
Financial Guarantors (2):
|
|
|
|
|
|
|
|
| |
By
counterparty credit quality
(3):
|
|
|
|
|
|
|
|
| |
AAA
|
$ (13,237)
|
$ 4,133
|
$ (9,104)
|
$ (679)
|
$ 3,454
|
|
|
| |
AA
|
-
|
-
|
-
|
-
|
-
|
|
|
| |
A
|
-
|
-
|
-
|
-
|
-
|
|
|
| |
BBB
|
-
|
-
|
-
|
-
|
-
|
|
|
| |
Non-investment
grade
or unrated
|
(6,664)
|
1,929
|
(4,735)
|
(1,929)
|
-
|
|
|
| |
Total
financial guarantor exposures for ABS CDOs
|
$ (19,901)
|
$ 6,062
|
$ (13,839)
|
$ (2,608)
|
$ 3,454
|
|
|
| |
|
|
|
|
|
|
|
|
|
(1)
|
Represents
gross notional amount
of credit default swaps purchased as protection for U.S. super
senior ABS
CDOs. Amounts do not include
|
| |
counterparty
exposure with
financial guarantors for other asset classes.
|
|
|
|
|
|
|
|
(2)
|
Excludes
the benefit of $2.0
billion (notional) of credit default swaps purchased from unrelated
third
parties as protection for exposure to
|
|
| |
financial
guarantors, as well as
the related positive mark-to-market adjustments.
|
|
|
|
|
|
|
(3)
|
Represents
rating agency credit
ratings.
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
Appendix
II
Index
of Reports provided to the CODM
Report
A-Merrill Lynch’s
2005, 2006 and 2007 Operating Plans
Merrill
Lynch 2005 Operating Plan
Merrill
Lynch 2006 Operating Plan
Merrill
Lynch 2007 Operating Plan
Report
B-Merrill Lynch &
Co’s Daily Earnings Summary
2004
Friday, January 2
2004
Friday, January 9
2004
Friday, January 16
2004
Friday, January 23
2004
Friday, January 30
2004
Friday, February 6
2004
Friday, February 13
2004
Friday, February 20
2004
Friday, February 27
2004
Friday, March 5
2004
Friday, March 12
2004
Friday, March 19
2004
Friday, March 26
2004
Friday, April 2
2004
Friday, April 9
2004
Friday, April 16
2004
Friday, April 23
2004
Friday, April 30
2004
Friday, May 7
2004
Friday, May 14
2004
Friday, May 21
2004
Friday, May 28
2004
Friday, June 4
2004
Friday, June 11
2004
Friday, June 18
2004
Friday, June 25
2004
Friday, July 2
2004
Friday, July 9
2004
Friday, July 16
2004
Friday, July 23
2004
Friday, July 30
2004
Friday, August 6
2004
Friday, August 13
2004
Friday, August 20
Report
B-Merrill Lynch &
Co’s Daily Earnings Summary
2004
Friday, August 27
2004
Friday, September 3
2004
Friday, September 10
2004
Friday, September 17
2004
Friday, September 24
2004
Friday, October 1
2004
Friday, October 8
2004
Friday, October 15
2004
Friday, October 22
2004
Friday, October 29
2004
Friday, November 5
2004
Friday, November 12
2004
Friday, November 19
2004
Friday, November 26
2004
Friday, December 3
2004
Friday, December 10
2004
Friday, December 17
2004
Friday, December 24
2004
Friday, December 31
2005
Friday, January 7
2005
Friday, January 14
2005
Friday, January 21
2005
Friday, January 28
2005
Friday, February 4
2005
Friday, February 11
2005
Friday, February 18
2005
Friday, February 25
2005
Friday, March 4
2005
Friday, March 11
2005
Friday, March 18
2005
Friday, March 25
2005
Friday, April 1
2005
Friday, April 8
2005
Friday, April 15
2005
Friday, April 22
2005
Friday, April 29
2005
Friday, May 6
2005
Friday, May 13
2005
Friday, May 20
2005
Friday, May 27
2005
Friday, June 3
2005
Friday, June 10
2005
Friday, June 17
Report
B-Merrill Lynch &
Co’s Daily Earnings Summary
2005
Friday, June 24
2005
Friday, July 1
2005
Friday, July 8
2005
Friday, July 15
2005
Friday, July 22
2005
Friday, July 29
2005
Friday, August 5
2005
Friday, August 12
2005
Friday, August 19
2005
Friday, August 26
2005
Friday, September 2
2005
Friday, September 9
2005
Friday, September 16
2005
Friday, September 23
2005
Friday, September 30
2005
Friday, October 7
2005
Friday, October 14
2005
Friday, October 21
2005
Friday, October 28
2005
Friday, November 4
2005
Friday, November 11
2005
Friday, November 18
2005
Friday, November 25
2005
Friday, December 2
2005
Friday, December 9
2005
Friday, December 16
2005
Friday, December 23
2005
Friday, December 30
2006
Friday, January 6
2006
Friday, January 13
2006
Friday, January 20
2006
Friday, January 27
2006
Friday, February 3
2006
Friday, February 10
2006
Friday, February 17
2006
Friday, February 24
2006
Friday, March 3
2006
Friday, March 10
2006
Friday, March 17
2006
Friday, March 24
2006
Friday, March 31
2006
Friday, April 7
2006
Friday, April 14
Report
B-Merrill Lynch &
Co’s Daily Earnings Summary
2006
Friday, April 21
2006
Friday, April 28
2006
Friday, May 5
2006
Friday, May 12
2006
Friday, May 19
2006
Friday, May 26
2006
Friday, June 2
2006
Friday, June 9
2006
Friday, June 16
2006
Friday, June 23
2006
Friday, June 30
2006
Friday, July 7
2006
Friday, July 14
2006
Friday, July 21
2006
Friday, July 28
2006
Friday, August 4
2006
Friday, August 11
2006
Friday, August 18
2006
Friday, August 25
2006
Friday, September 1
2006
Friday, September 8
2006
Friday, September 15
2006
Friday, September 22
2006
Friday, September 29
2006
Friday, October 6
2006
Friday, October 13
2006
Friday, October 20
2006
Friday, October 27
2006
Friday, November 3
2006
Friday, November 10
2006
Friday, November 17
2006
Friday, November 24
2006
Friday, December 1
2006
Friday, December 8
2006
Friday, December 15
2006
Friday, December 22
2006
Friday, December 29
Report
B-Merrill Lynch &
Co’s Daily Earnings Summary
2007
Friday, January 5
2007
Friday, January 12
2007
Friday, January 19
2007
Friday, January 26
2007
Friday, February 2
2007
Friday, February 9
2007
Friday, February 16
2007
Friday, February 23
2007
Friday, March 2
2007
Friday, March 9
2007
Friday, March 16
2007
Friday, March 23
2007
Friday, March 30
2007
Friday, April 6
2007
Friday, April 13
2007
Friday, April 20
2007
Friday, April 27
2007
Friday, May 4
2007
Friday, May 11
2007
Friday, May 18
2007
Friday, May 25
2007
Friday, June 1
2007
Friday, June 8
2007
Friday, June 15
2007
Friday, June 22
2007
Friday, June 29
2007
Friday, July 6
2007
Friday, July 13
2007
Friday, July 20
2007
Friday, July 27
2007
Friday, August 3
2007
Friday, August 10
2007
Friday, August 17
2007
Friday, August 24
2007
Friday, August 31
2007
Friday, September 7
2007
Friday, September 14
2007
Friday, September 21
2007
Friday, September 28
Report
C-Presentations to
the Executive Committee
January
20, 2005
July
5,
2005
September
7, 2005
October
25, 20005
November
21, 2005
April
5,
2006
June
8,
2006
July
26,
2006
September
6, 2006
November
13, 2006
December
8, 2006
January
20, 2007
March
6,
2007
April
23,
2007
June
11,
2007
July
26,
2007
Report
D - Presentations to
the Board Of Directors
2003
Financial Performance 2004 Outlook
July
2004
Three Year Plans/Initiatives
2Q
2004
Financial Performance
3Q
2004
Financial Overview
1Q
2005
Financial Review
2Q
2005
Financial Review
July
2005
Three Year Plan Overview
3Q
2005
Financial Review
2005
Plan
Status and 2006 Plan Review
Fourth
Quarter and Full Year 2005 Financial Review
1Q
2006
Financial Review
2Q
2006
Financial Review
3Q
2006
Financial Review
2006
Financial Summary & Relative Performance
1Q
2007
Financial Review
2Q
2007
Financial Review
Report
E-GMI Weekly
Highlight Report For the week ended
2004
Friday, January 2
2004
Friday, January 9
2004
Friday, January 16
2004
Friday, January 23
2004
Friday, January 30
2004
Friday, February 6
2004
Friday, February 13
2004
Friday, February 20
Report
E-GMI Weekly
Highlight Report For the week ended
2004
Friday, February 27
2004
Friday, March 5
2004
Friday, March 12
2004
Friday, March 19
2004
Friday, March 26
2004
Friday, April 2
2004
Friday, April 9
2004
Friday, April 16
2004
Friday, April 23
2004
Friday, April 30
2004
Friday, May 7
2004
Friday, May 14
2004
Friday, May 21
2004
Friday, May 28
2004
Friday, June 4
2004
Friday, June 11
2004
Friday, June 18
2004
Friday, June 25
2004
Friday, July 2
2004
Friday, July 9
2004
Friday, July 16
2004
Friday, July 23
2004
Friday, July 30
2004
Friday, August 6
2004
Friday, August 13
2004
Friday, August 20
2004
Friday, August 27
2004
Friday, September 3
2004
Friday, September 10
2004
Friday, September 17
2004
Friday, September 24
2004
Friday, October 1
2004
Friday, October 8
2004
Friday, October 15
2004
Friday, October 22
2004
Friday, October 29
2004
Friday, November 5
2004
Friday, November 12
2004
Friday, November 19
2004
Friday, November 26
2004
Friday, December 3
2004
Friday, December 10
2004
Friday, December 17
2004
Friday, December 24
2004
Friday, December 31
Report
E-GMI Weekly
Highlight Report For the week ended
2005
Friday, January 7
2005
Friday, January 14
2005
Friday, January 21
2005
Friday, January 28
2005
Friday, February 4
2005
Friday, February 11
2005
Friday, February 18
2005
Friday, February 25
2005
Friday, March 4
2005
Friday, March 11
2005
Friday, March 18
2005
Friday, March 25
2005
Friday, April 1
2005
Friday, April 8
2005
Friday, April 15
2005
Friday, April 22
2005
Friday, April 29
2005
Friday, May 6
2005
Friday, May 13
2005
Friday, May 20
2005
Friday, May 27
2005
Friday, June 3
2005
Friday, June 10
2005
Friday, June 17
2005
Friday, June 24
2005
Friday, July 1
2005
Friday, July 8
2005
Friday, July 15
2005
Friday, July 22
2005
Friday, July 29
2005
Friday, August 5
2005
Friday, August 12
2005
Friday, August 19
2005
Friday, August 26
2005
Friday, September 2
2005
Friday, September 9
2005
Friday, September 16
2005
Friday, September 23
2005
Friday, September 30
2005
Friday, October 7
2005
Friday, October 14
2005
Friday, October 21
2005
Friday, October 28
2005
Friday, November 4
2005
Friday, November 11
Report
E-GMI Weekly
Highlight Report For the week ended
2005
Friday, November 18
2005
Friday, November 25
2005
Friday, December 2
2005
Friday, December 9
2005
Friday, December 16
2005
Friday, December 23
2005
Friday, December 30
2006
Friday, January 6
2006
Friday, January 13
2006
Friday, January 20
2006
Friday, January 27
2006
Friday, February 3
2006
Friday, February 10
2006
Friday, February 17
2006
Friday, February 24
2006
Friday, March 3
2006
Friday, March 10
2006
Friday, March 17
2006
Friday, March 24
2006
Friday, March 31
2006
Friday, April 7
2006
Friday, April 14
2006
Friday, April 21
2006
Friday, April 28
2006
Friday, May 5
2006
Friday, May 12
2006
Friday, May 19
2006
Friday, May 26
2006
Friday, June 2
2006
Friday, June 9
2006
Friday, June 16
2006
Friday, June 23
2006
Friday, June 30
2006
Friday, July 7
2006
Friday, July 14
2006
Friday, July 21
2006
Friday, July 28
2006
Friday, August 4
2006
Friday, August 11
2006
Friday, August 18
2006
Friday, August 25
2006
Friday, September 1
2006
Friday, September 8
2006
Friday, September 15
2006
Friday, September 22
2006
Friday, September 29
Report
E-GMI Weekly
Highlight Report For the week ended
2006
Friday, October 6
2006
Friday, October 13
2006
Friday, October 20
2006
Friday, October 27
2006
Friday, November 3
2006
Friday, November 10
2006
Friday, November 17
2006
Friday, November 24
2006
Friday, December 1
2006
Friday, December 8
2006
Friday, December 15
2006
Friday, December 22
2006
Friday, December 29
2007
Friday, January 5
2007
Friday, January 12
2007
Friday, January 19
2007
Friday, January 26
2007
Friday, February 2
2007
Friday, February 9
2007
Friday, February 16
2007
Friday, February 23
2007
Friday, March 2
2007
Friday, March 9
2007
Friday, March 16
2007
Friday, March 23
2007
Friday, March 30
2007
Friday, April 6
2007
Friday, April 13
2007
Friday, April 20
2007
Friday, April 27
2007
Friday, May 4
2007
Friday, May 11
2007
Friday, May 18
2007
Friday, May 25
2007
Friday, June 1
2007
Friday, June 8
2007
Friday, June 15
2007
Friday, June 22
2007
Friday, June 29
2007
Friday, July 6
2007
Friday, July 13
2007
Friday, July 20
2007
Friday, July 27
2007
Friday, August 3
2007
Friday, August 10
Report
E-GMI Weekly
Highlight Report For the week ended
2007
Friday, August 17
2007
Friday, August 24
2007
Friday, August 31
2007
Friday, September 7
2007
Friday, September 14
2007
Friday, September 21
2007
Friday, September 28
Report
F-Financial Summary
to the Board of Directors
January
2004
February
2004
March
2004
April
2004
May
2004
June
2004
July
2004
August
2004
September
2004
October
2004
November
2004
December
2004
January
2005
February
2005
March
2005
April
2005
May
2005
June
2005
July
2005
August
2005
September
2005
October
2005
November
2005
December
2005
January
2006
February
2006
March
2006
April
2006
May
2006
June
2006
July
2006
August
2006
September
2006
October
2006
Report
F-Financial Summary
to the Board of Directors
November
2006
December
2006
January
2007
February
2007
March
2007
April
2007
May
2007
June
2007
July
2007
August
2007