Exhibit 99.2
Merrill Lynch & Co., Inc. | Attachment I | ||||||||||||||||||
Preliminary Unaudited Earnings Summary | |||||||||||||||||||
For the Three Months Ended |
Percent Inc / (Dec) |
||||||||||||||||||
Mar. 28, | Dec. 28, | Mar. 30, | 1Q08 vs. | 1Q08 vs. | |||||||||||||||
(in millions, except per share amounts) | 2008 | 2007 | 2007 | 4Q07 | 1Q07 | ||||||||||||||
Revenues | |||||||||||||||||||
Principal transactions | $ | (2,418 | ) | $ | (12,596 | ) | $ | 2,734 | N/M |
% |
|
N/M |
% |
||||||
Commissions | 1,889 | 1,924 | 1,713 | (2 | ) | 10 | |||||||||||||
Managed accounts and other fee-based revenues | 1,455 | 1,440 | 1,284 | 1 | 13 | ||||||||||||||
Investment banking | 917 | 1,267 | 1,510 | (28 | ) | (39 | ) | ||||||||||||
Earnings from equity method investments | 431 | 531 | 310 | (19 | ) | 39 | |||||||||||||
Other (1) |
(1,449 | ) | (2,304 | ) | 840 | N/M | N/M | ||||||||||||
Subtotal | 825 | (9,738 | ) | 8,391 | N/M | (90 | ) | ||||||||||||
Interest and dividend revenues | 11,861 | 14,170 | 12,721 | (16 | ) | (7 | ) | ||||||||||||
Less interest expense | 9,752 | 12,624 | 11,509 | (23 | ) | (15 | ) | ||||||||||||
Net interest profit | 2,109 | 1,546 | 1,212 | 36 | 74 | ||||||||||||||
Revenues, net of interest expense | 2,934 | (8,192 | ) | 9,603 | N/M | (69 | ) | ||||||||||||
Non-interest expenses | |||||||||||||||||||
Compensation and benefits | 4,196 | 4,339 | 4,854 | (3 | ) | (14 | ) | ||||||||||||
Communications and technology | 555 | 597 | 479 | (7 | ) | 16 | |||||||||||||
Brokerage, clearing, and exchange fees | 387 | 395 | 310 | (2 | ) | 25 | |||||||||||||
Occupancy and related depreciation | 309 | 306 | 265 | 1 | 17 | ||||||||||||||
Professional fees | 242 | 311 | 226 | (22 | ) | 7 | |||||||||||||
Advertising and market development | 176 | 249 | 155 | (29 | ) | 14 | |||||||||||||
Office supplies and postage | 57 | 64 | 59 | (11 | ) | (3 | ) | ||||||||||||
Other | 313 | 467 | 354 | (33 | ) | (12 | ) | ||||||||||||
Total non-interest expenses | 6,235 | 6,728 | 6,702 | (7 | ) | (7 | ) | ||||||||||||
Pre-tax (loss)/earnings from continuing operations | (3,301 | ) | (14,920 | ) | 2,901 | N/M | N/M | ||||||||||||
Income tax (benefit)/expense | (1,332 | ) | (4,623 | ) | 871 | N/M | N/M | ||||||||||||
Net (loss)/earnings from continuing operations | (1,969 | ) | (10,297 | ) | 2,030 | N/M | N/M | ||||||||||||
Discontinued operations: | |||||||||||||||||||
Pre-tax (loss)/earnings from discontinued operations | (25 | ) | 795 | 194 | N/M | N/M | |||||||||||||
Income tax (benefit)/expense | (32 | ) | 331 | 66 | N/M | N/M | |||||||||||||
Net earnings from discontinued operations | 7 | 464 | 128 | N/M | N/M | ||||||||||||||
Net (loss)/earnings | $ | (1,962 | ) | $ | (9,833 | ) | $ | 2,158 | N/M | N/M | |||||||||
Preferred stock dividends | $ | 174 | $ | 73 | $ | 52 | 138 | 235 | |||||||||||
Net (loss)/earnings applicable to common stockholders | $ | (2,136 | ) | $ | (9,906 | ) | $ | 2,106 | N/M | N/M | |||||||||
Basic (loss)/earnings per common share from continuing operations | (2.20 | ) | (12.57 | ) | 2.35 | N/M | N/M | ||||||||||||
Basic earnings per common share from discontinued operations | 0.01 | 0.56 | 0.15 | N/M | N/M | ||||||||||||||
Basic (loss)/earnings per common share | $ | (2.19 | ) | $ | (12.01 | ) | $ | 2.50 | N/M | N/M | |||||||||
Diluted (loss)/earnings per common share from continuing operations | (2.20 | ) | (12.57 | ) | 2.12 | N/M | N/M | ||||||||||||
Diluted earnings per common share from discontinued operations | 0.01 | 0.56 | 0.14 | N/M | N/M | ||||||||||||||
Diluted (loss)/earnings per common share | $ | (2.19 | ) | $ | (12.01 | ) | $ | 2.26 | N/M | N/M | |||||||||
Average shares used in computing earnings per common share | |||||||||||||||||||
Basic | 974.1 | 825.0 | 841.3 | 18 | 16 | ||||||||||||||
Diluted | 974.1 | 825.0 | 930.2 | 18 | 5 | ||||||||||||||
Annualized return on average common equity from continuing operations |
N/M | N/M | 21.8 | % | |||||||||||||||
Annualized return on average common equity | N/M | N/M | 23.2 | % | |||||||||||||||
N/M = Not Meaningful |
Note: Certain prior period amounts have been reclassified to conform to the current period presentation. |
(1) Includes gains and losses on investment securities, private equity investments, loans and other miscellaneous items. |
Merrill Lynch & Co., Inc. |
Attachment II | |||||||||||||||||
Preliminary Segment Data (unaudited) |
||||||||||||||||||
For the Three Months Ended |
Percent Inc / (Dec) |
|||||||||||||||||
Mar. 28, | Dec. 28, | Mar. 30, | 1Q08 vs. | 1Q08 vs. | ||||||||||||||
(dollars in millions) | 2008 | 2007 | 2007 | 4Q07 | 1Q07 | |||||||||||||
Global Markets & Investment Banking | ||||||||||||||||||
Global Markets | ||||||||||||||||||
FICC | $ | (3,378 | ) | $ | (15,155 | ) | $ | 2,625 |
N/M |
% |
N/M |
% |
||||||
Equity Markets | 1,883 | 2,171 | 2,386 | (13 | ) | (21 | ) | |||||||||||
Total Global Markets net revenues | (1,495 | ) | (12,984 | ) | 5,011 | N/M | N/M | |||||||||||
Investment Banking (1) | ||||||||||||||||||
Origination: | ||||||||||||||||||
Debt | 231 | 217 | 586 | 6 | (61 | ) | ||||||||||||
Equity | 199 | 375 | 363 | (47 | ) | (45 | ) | |||||||||||
Strategic Advisory Services | 375 | 559 | 399 | (33 | ) | (6 | ) | |||||||||||
Total Investment Banking net revenues | 805 | 1,151 | 1,348 | (30 | ) | (40 | ) | |||||||||||
Total net revenues | (690 | ) | (11,833 | ) | 6,359 | N/M | N/M | |||||||||||
Pre-tax (loss) / earnings from continuing operations | (4,047 | ) | (15,877 | ) | 2,207 | N/M | N/M | |||||||||||
Pre-tax profit margin | N/M | N/M | 34.7 | % | ||||||||||||||
Global Wealth Management | ||||||||||||||||||
Global Private Client | ||||||||||||||||||
Fee-based revenues | $ | 1,625 | $ | 1,656 | $ | 1,473 | (2 | ) | 10 | |||||||||
Transactional and origination revenues | 926 | 972 | 911 | (5 | ) | 2 | ||||||||||||
Net interest profit and related hedges(2) | 638 | 565 | 592 | 13 | 8 | |||||||||||||
Other revenues | 111 | 116 | 97 | (4 | ) | 14 | ||||||||||||
Total Global Private Client net revenues | 3,300 | 3,309 | 3,073 | (0 | ) | 7 | ||||||||||||
Global Investment Management net revenues | 299 | 286 | 261 | 5 | 15 | |||||||||||||
Total net revenues | 3,599 | 3,595 | 3,334 | 0 | 8 | |||||||||||||
Pre-tax earnings from continuing operations | 720 | 914 | 784 | (21 | ) | (8 | ) | |||||||||||
Pre-tax profit margin | 20.0 | % | 25.4 | % | 23.5 | % | ||||||||||||
Corporate | ||||||||||||||||||
Total net revenues | $ | 25 | $ | 46 | $ | (90 | ) | (46 | ) | N/M | ||||||||
Pre-tax earnings / (loss) from continuing operations | 26 | 43 | (90 | ) | (40 | ) | N/M | |||||||||||
Total | ||||||||||||||||||
Total net revenues | $ | 2,934 | $ | (8,192 | ) | $ | 9,603 | N/M | (69 | ) | ||||||||
Pre-tax (loss) / earnings from continuing operations | (3,301 | ) | (14,920 | ) | 2,901 | N/M | N/M | |||||||||||
Pre-tax profit margin | N/M | N/M | 30.2 | % |
N/M = Not Meaningful |
Note: Certain prior period amounts have been reclassified to conform to the current period presentation. |
(1) A portion of Origination revenue is recorded in Global Wealth Management. |
(2) Includes interest component of non-qualifying derivatives which are included in Other Revenues in Attachment I. |
Merrill Lynch & Co., Inc. |
Attachment III | |||||||||||||||||
Consolidated Quarterly Earnings (unaudited) |
(in millions, except per share amounts) | |||||||||||||||||
1Q07 | 2Q07 | 3Q07 | 4Q07 | 1Q08 | ||||||||||||||
Revenues | ||||||||||||||||||
Principal transactions | $ | 2,734 | $ | 3,556 | $ | (5,761 | ) | $ | (12,596 | ) | $ | (2,418 | ) | |||||
Commissions | ||||||||||||||||||
Listed and over-the-counter securities | 1,134 | 1,195 | 1,279 | 1,294 | 1,319 | |||||||||||||
Mutual funds | 521 | 541 | 522 | 570 | 532 | |||||||||||||
Other | 58 | 51 | 59 | 60 | 38 | |||||||||||||
Total | 1,713 | 1,787 | 1,860 | 1,924 | 1,889 | |||||||||||||
Managed accounts and other fee-based revenues | ||||||||||||||||||
Portfolio service fees | 832 | 860 | 904 | 902 | 892 | |||||||||||||
Asset management fees | 136 | 152 | 150 | 179 | 206 | |||||||||||||
Account fees | 109 | 115 | 117 | 120 | 117 | |||||||||||||
Other fees | 207 | 222 | 221 | 239 | 240 | |||||||||||||
Total | 1,284 | 1,349 | 1,392 | 1,440 | 1,455 | |||||||||||||
Investment banking | ||||||||||||||||||
Underwriting | 1,113 | 1,130 | 895 | 717 | 543 | |||||||||||||
Strategic advisory | 397 | 398 | 382 | 550 | 374 | |||||||||||||
Total | 1,510 | 1,528 | 1,277 | 1,267 | 917 | |||||||||||||
Earnings from equity method investments | 309 | 375 | 412 | 531 | 431 | |||||||||||||
Other (1) | 841 | 387 | (1,114 | ) | (2,304 | ) | (1,449 | ) | ||||||||||
Subtotal | 8,391 | 8,982 | (1,934 | ) | (9,738 | ) | 825 | |||||||||||
Interest and dividend revenues | 12,721 | 14,447 | 15,636 | 14,170 | 11,861 | |||||||||||||
Less interest expense | 11,509 | 13,970 | 13,322 | 12,624 | 9,752 | |||||||||||||
Net interest profit | 1,212 | 477 | 2,314 | 1,546 | 2,109 | |||||||||||||
Revenues, net of interest expense | 9,603 | 9,459 | 380 | (8,192 | ) | 2,934 | ||||||||||||
Non-Interest Expenses | ||||||||||||||||||
Compensation and benefits | 4,854 | 4,731 | 1,979 | 4,339 | 4,196 | |||||||||||||
Communications and technology | 479 | 482 | 499 | 597 | 555 | |||||||||||||
Brokerage, clearing, and exchange fees | 310 | 346 | 364 | 395 | 387 | |||||||||||||
Occupancy and related depreciation | 265 | 273 | 295 | 306 | 309 | |||||||||||||
Professional fees | 226 | 245 | 245 | 311 | 242 | |||||||||||||
Advertising and market development | 155 | 200 | 181 | 249 | 176 | |||||||||||||
Office supplies and postage | 59 | 56 | 54 | 64 | 57 | |||||||||||||
Other | 354 | 300 | 401 | 467 | 313 | |||||||||||||
Total Non-Interest Expenses | 6,702 | 6,633 | 4,018 | 6,728 | 6,235 | |||||||||||||
Pre-tax earnings/(loss) from continuing operations | 2,901 | 2,826 | (3,638 | ) | (14,920 | ) | (3,301 | ) | ||||||||||
Income tax expense/(benefit) | 871 | 816 | (1,258 | ) | (4,623 | ) | (1,332 | ) | ||||||||||
Net earnings/(loss) from continuing operations | 2,030 | 2,010 | (2,380 | ) | (10,297 | ) | (1,969 | ) | ||||||||||
Discontinued operations: | ||||||||||||||||||
Pre-tax earnings/(loss) from discontinued operations | 194 | 197 | 211 | 795 | (25 | ) | ||||||||||||
Income tax expense/(benefit) | 66 | 68 | 72 | 331 | (32 | ) | ||||||||||||
Net earnings from discontinued operations | 128 | 129 | 139 | 464 | 7 | |||||||||||||
Net earnings/(loss) | $ | 2,158 | $ | 2,139 | $ | (2,241 | ) | $ | (9,833 | ) | $ | (1,962 | ) | |||||
Per Common Share Data |
1Q07 | 2Q07 | 3Q07 | 4Q07 | 1Q08 | |||||||||||||
Earnings/(loss) from continuing operations - Basic | $ | 2.35 | $ | 2.32 | $ | (2.99 | ) | $ | (12.57 | ) | $ | (2.20 | ) | |||||
Earnings/(loss) from continuing operations - Diluted | 2.12 | 2.10 | (2.99 | ) | (12.57 | ) | (2.20 | ) | ||||||||||
Dividends paid | 0.35 | 0.35 | 0.35 | 0.35 | 0.35 | |||||||||||||
Book value | 42.25 | 43.55 | 39.60 | 29.34 | 25.93 est. | |||||||||||||
Note: Certain prior period amounts have been reclassified to conform to the current period presentation. |
(1) Includes gains and losses on investment securities, private equity investments, loans and other miscellaneous items. |
Merrill Lynch & Co., Inc. |
Attachment IV | |||||||||||||||
Supplemental Data (unaudited) |
(dollars in billions) |
|||||||||||||||
|
|
|||||||||||||||
1Q07 | 2Q07 | 3Q07 | 4Q07 | 1Q08 | ||||||||||||
Client Assets | ||||||||||||||||
U.S. | $ | 1,503 | $ | 1,550 | $ | 1,601 | $ | 1,586 | $ | 1,479 | ||||||
Non - U.S. | 145 | 153 | 161 | 165 | 158 | |||||||||||
Total Client Assets | 1,648 | 1,703 | 1,762 | 1,751 | 1,637 | |||||||||||
Assets in Annuitized-Revenue Products | 627 | 662 | 691 | 655 | 607 | |||||||||||
Net New Money | ||||||||||||||||
All Client Accounts (1) | $ | 16 | $ | 9 | $ | 26 | $ | 30 | $ | 4 | ||||||
Annuitized-Revenue Products (1) (2) | 16 | 12 | 10 | - | 9 | |||||||||||
Balance Sheet Information: (3) | ||||||||||||||||
Short-term Borrowings | $ | 20.2 | $ | 20.1 | $ | 27.1 | $ | 24.9 | $ | 21.6 | ||||||
Deposits | 84.9 | 82.8 | 95.0 | 104.0 | 104.9 | |||||||||||
Long-term Borrowings | 205.4 | 226.0 | 264.9 | 261.0 | 259.5 | |||||||||||
Junior Subordinated Notes (related to trust preferred securities) | 3.5 | 4.4 | 5.2 | 5.2 | 5.2 | |||||||||||
Stockholders' Equity: (3) | ||||||||||||||||
Preferred Stockholders' Equity | 4.7 | 4.6 | 4.8 | 4.4 | 11.0 | |||||||||||
Common Stockholders' Equity | 37.0 | 37.6 | 33.8 | 27.5 | 25.5 | |||||||||||
Total Stockholders' Equity | 41.7 | 42.2 | 38.6 | 31.9 | 36.5 | |||||||||||
Full-Time Employees (4) | 60,300 | 61,900 | 64,200 | 64,200 | 63,100 | |||||||||||
Financial Advisors | 15,930 | 16,200 | 16,610 | 16,740 | 16,660 | |||||||||||
Common shares outstanding (in millions): |
||||||||||||||||
Weighted-average - basic | 841.3 | 833.8 | 821.6 | 825.0 | 974.1 | |||||||||||
Weighted-average - diluted | 930.2 | 923.3 | 821.6 | 825.0 | 974.1 | |||||||||||
Period-end | 876.9 | 862.6 | 855.4 | 939.1 | 985.1 |
Note: Certain prior period amounts have been reclassified to conform to the current period presentation. | ||
(1) |
Net new money excludes flows associated with the Institutional Advisory Division which serves certain small- and middle-market companies, as well as net inflows at BlackRock from distribution channels other than Merrill Lynch. |
|
(2) | Includes both net new client assets into annuitized-revenue products, as well as existing client assets transferred into annuitized-revenue products. | |
(3) | Balance Sheet Information and Stockholders' Equity are estimated for 1Q08. | |
(4) |
Excludes 200 full-time employees on salary continuation severance at the end of 1Q07, 300 at the end of 2Q07, 400 at the end of 3Q07, 700 at the end of 4Q07, and 900 at the end of 1Q08. |
Merrill Lynch & Co., Inc. |
Attachment V |
|||||||||||||
(Unaudited) |
(dollars in millions) |
|||||||||||||
|
||||||||||||||
Net
exposures as of Dec. 28, 2007 |
Net gains (losses) |
Other net |
Net
exposures as of Mar. 28, 2008 |
|||||||||||
U.S. ABS CDO net exposures and losses: | ||||||||||||||
U.S. super senior ABS CDO net exposures and losses: | ||||||||||||||
High-grade | $ | 4,380 | $ | (1,731 | ) | $ | 1,472 | $ | 4,121 | |||||
Mezzanine | 2,184 | 38 | 27 | 2,249 | ||||||||||
CDO-squared | 271 | (89 | ) | 5 | 187 | |||||||||
Total super senior ABS CDO net exposures and losses | 6,835 | (1,782 | ) | 1,504 | 6,557 | |||||||||
Secondary trading | (1,721 | ) | 310 | 1,525 | 114 | |||||||||
Total (3)(4) | $ | 5,114 | $ | (1,472 | ) | $ | 3,029 | $ | 6,671 |
(1) |
Primarily represents unrealized losses on net exposures. Amounts exclude credit valuation adjustments of negative $2.2 billion for the 2008 first quarter ($4.8 billion life-to-date) related to financial guarantor exposures on U.S. super senior ABS CDOs. See table regarding financial guarantor exposures. |
|
(2) | Primarily consists of the impact of hedge ineffectiveness and other hedging activity, transactions executed, and amortization during the period. | |
(3) |
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, the creditworthiness of the counterparty, limited recourse to counterparties and other basis risks. |
|
(4) |
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 $26.3 billion and $30.4 billion at March 28, 2008 and December 28, 2007, respectively. Short exposures (including associated gains and losses reported in income and other net changes in net exposures) were $19.8 billion and $23.6 billion at March 28, 2008 and December 28, 2007, respectively. Short exposures primarily consist of purchases of credit default swap protection from various third parties, including monoline financial guarantors, insurers and other market participants. |
|
Financial Guarantor Exposure on U.S. Super Senior ABS CDOs as of March 28, 2008 | |||||||||||||||||||
Notional of CDS (1) |
Notional of CDS, net of gains prior to credit valuation adjustment (2) |
Mark-to-market gains prior to credit valuation adjustments (3) |
Credit valuation adjustments (4) |
Mark-to-market value of CDS | |||||||||||||||
Credit default swaps with financial guarantors: | |||||||||||||||||||
By counterparty credit quality (5): | |||||||||||||||||||
AAA | $ | (6,756 | ) | $ | (5,065 | ) | $ | 1,691 | $ | (438 | ) | $ | 1,253 | ||||||
AA | - | - | - | - | - | ||||||||||||||
A | (5,347 | ) | (1,907 | ) | 3,440 | (1,646 | ) | 1,794 | |||||||||||
BBB | - | - | - | - | - | ||||||||||||||
Non-investment grade or unrated | (6,649 | ) | (3,945 | ) | 2,704 | (2,704 | ) | - | |||||||||||
Total | $ | (18,752 | ) | $ | (10,917 | ) | $ | 7,835 | $ | (4,788 | ) | $ | 3,047 |
(1) |
The gross notional amount of credit default swaps ("CDS") purchased as protection for U.S. super senior ABS CDOs was $19.9 billion and $18.8 billion at December 28, 2007 and March 28, 2008, respectively. This decline primarily resulted from the firm's decision to consider $1.1 billion notional amount of certain hedges with a highly rated financial guarantor as ineffective, resulting in a write-off of $45 million. Amounts do not include counterparty exposure with financial guarantors for other asset classes. |
|
(2) |
The notional of the total CDS, net of gains prior to credit valuation adjustments, was $13.8 billion and $10.9 billion at December 28, 2007 and March 28, 2008, respectively. |
|
(3) | Represents life-to-date mark-to-market gains prior to credit valuation adjustments. Amount was $1.8 billion for the quarter ended March 28, 2008. | |
(4) | Represents life-to-date credit valuation adjustments. Amount was $2.2 billion for the quarter ended March 28, 2008. | |
(5) | Represents rating agency credit ratings as of March 28, 2008. | |
Merrill Lynch & Co., Inc. |
Attachment VI |
|||||||||||||
(Unaudited) |
(dollars in millions) |
|||||||||||||
Net
exposures as of Dec. 28, 2007 (1) |
Gain/(Loss) |
Other net changes in net
exposures (3) |
Net
exposures as of Mar. 28, 2008 |
|||||||||||
Residential mortgage-related net exposures and losses
(excluding U.S. Banks investment securities portfolio): |
||||||||||||||
U.S. Sub-prime: | ||||||||||||||
Warehouse lending | $ | 137 | $ | (1 | ) | $ | (24 | ) | $ | 112 | ||||
Whole loans | 994 | 17 | (405 | ) | 606 | |||||||||
Residuals | 855 | (363 | ) | (38 | ) | 454 | ||||||||
Residential mortgage-backed securities | 723 | 41 | (501 | ) | 263 | |||||||||
Total U.S. sub-prime | 2,709 | (306 | ) | (968 | ) | 1,435 | ||||||||
U.S. Alt-A (4) | 2,687 | (402 | ) | 887 | 3,172 | |||||||||
U.S. Prime (4)(5) | 27,789 | 31 | 2,930 | 30,750 | ||||||||||
Non-U.S. (4) | 9,379 | (105 | ) | (505 | ) | 8,769 | ||||||||
Total | $ | 42,564 | $ | (782 | ) | $ | 2,344 | $ | 44,126 |
(1) |
The previously reported net exposures of $43,556 million as of December 28, 2007 have been adjusted primarily to exclude mortgage servicing rights and certain First Republic loans, which have been reclassified as commercial real estate exposures. |
|
(2) | Primarily represents unrealized losses on net exposures. | |
(3) | Represents purchases, sales, hedges, paydowns, changes in loan commitments and related funding. | |
(4) | Includes warehouse lending, whole loans, residuals and residential mortgage-backed securities. | |
(5) |
As of March 28, 2008, net exposures include $10.4 billion of prime loans originated by First Republic and approximately $15 billion of prime loans originated with GPC clients. |
|
Net
exposures as of Dec. 28, 2007 |
Gain/(Loss) |
Unrealized Gain/(Loss) included in OCI (pre-tax) (2) |
Other net |
Net
exposures as of Mar. 28, 2008 |
||||||||||||||
U.S. Banks Investment Securities Portfolio | ||||||||||||||||||
Sub-prime residential mortgage-related net exposures: | ||||||||||||||||||
Sub-prime residential mortgage-backed securities | $ | 3,910 | $ | (5 | ) | $ | (599 | ) | $ | (101 | ) | $ | 3,205 | |||||
ABS CDOs | 251 | (121 | ) | 5 | (13 | ) | 122 | |||||||||||
Total sub-prime residential mortgage-related securities | 4,161 | (126 | ) | (594 | ) | (114 | ) | 3,327 | ||||||||||
Other net exposures: | ||||||||||||||||||
Alt-A residential mortgage-backed securities | 7,120 | (182 | ) | (1,436 | ) | (172 | ) | 5,330 | ||||||||||
Commercial mortgage-backed securities | 5,791 | (37 | ) | (679 | ) | 13 | 5,088 | |||||||||||
Prime residential mortgage-backed securities | 4,174 | (8 | ) | (303 | ) | (283 | ) | 3,580 | ||||||||||
Non-residential asset-backed securities | 1,214 | (10 | ) | (48 | ) | (168 | ) | 988 | ||||||||||
Non-residential CDOs | 903 | (65 | ) | (61 | ) | (7 | ) | 770 | ||||||||||
Agency residential asset-backed securities | - | 9 | - | 523 | 532 | |||||||||||||
Other | 240 | (2 | ) | (17 | ) | 8 | 229 | |||||||||||
Total | $ | 23,603 | $ | (421 | ) | $ | (3,138 | ) | $ | (200 | ) | $ | 19,844 |
(1) |
Primarily represents unrealized losses on net exposures. |
|
(2) |
Represents write-downs on SFAS 115 investment securities, which are reported net of taxes in other comprehensive (loss)/income ("OCI"). |
|
The cumulative, pre-tax balance in OCI related to this portfolio was approximately negative $5.4 billion as of March 28, 2008. |
||
(3) |
Primarily represents principal paydowns, purchases and sales. |
|
CONTACT:
Merrill Lynch
Media Relations:
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Oppenheim, 212-449-2107
jessica_oppenheim@ml.com
Or
Investor
Relations:
Sara Furber, 866-607-1234
investor_relations@ml.com
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