Merrill Lynch & Co., Inc.    Exhibit 99.1
Preliminary Unaudited Earnings Summary    Attachment I

 

(In millions, except per share amounts)

 

     For the Three Months Ended    Percent Inc / (Dec)  
     Dec. 26
2008		    Sept. 26,
2008		    Dec. 28
2007		    4Q08 vs.
3Q08		     4Q08 vs.
4Q07		  

Revenues

              

Principal transactions

    $(13,109)    $(6,573)    $(12,596)    N/M   %   N/M   %

Commissions

    1,450     1,745     1,924     (17)     (25)  

Managed accounts and other fee-based revenues

    1,295     1,395     1,440     (7)     (10)  

Investment banking

    813     845     1,267     (4)     (36)  

Earnings from equity method investments

    (430)    4,401     531     N/M      N/M   

Other (1)

    (3,390)    (2,986)    (2,304)    N/M      N/M   
                   

Subtotal

    (13,371)    (1,173)    (9,738)    N/M      N/M   

Interest and dividend revenues

    4,624     9,019     14,170     (49)     (67)  

Less interest expense

    3,804     7,830     12,624     (51)     (70)  
                   

Net interest profit

    820     1,189     1,546     (31)     (47)  
                   

Revenues, net of interest expense

    (12,551)    16     (8,192)    N/M      N/M   
                   

Non-interest expenses

              

Compensation and benefits

    3,830     3,483     4,339     10      (12)  

Communications and technology

    534     546     597     (2)     (11)  

Occupancy and related depreciation

    316     314     306     1      3   

Professional fees

    311     242     311     29      0   

Brokerage, clearing, and exchange fees

    289     348     395     (17)     (27)  

Advertising and market development

    151     159     249     (5)     (39)  

Office supplies and postage

    55     48     64     15      (14)  

Other (2)

    3,493     588     467     N/M      N/M   

Payment related to price reset on common stock offering

    —       2,500     —       N/M      N/M   

Restructuring charge

    2     39     —       N/M      N/M   
                   

Total non-interest expenses

    8,981     8,267     6,728     9      33   
                   

Pre-tax loss from continuing operations

    (21,532)    (8,251)    (14,920)    N/M      N/M   

Income tax benefit

    (6,237)    (3,131)    (4,623)    N/M      N/M   
                   

Net loss from continuing operations

    (15,295)    (5,120)    (10,297)    N/M      N/M   
                   

Discontinued operations:

              

Pre-tax (loss)/earnings from discontinued operations

    (31)    (53)    795     N/M      N/M   

Income tax (benefit)/expense

    (15)    (21)    331     N/M      N/M   
                   

Net (loss)/earnings from discontinued operations

    (16)    (32)    464     N/M      N/M   
                   

Net loss

    $(15,311)    $(5,152)    $  (9,833)    N/M      N/M   
                   

Preferred stock dividends

    $       139     $  2,319     $         73     N/M      90   
                   

Net loss applicable to common stockholders

    $(15,450)    $(7,471)    $  (9,906)    N/M      N/M   
                   

Basic loss per common share from continuing operations

    (9.61)    (5.56)    (12.57)    N/M      N/M   

Basic (loss)/earnings per common share from discontinued operations

    (0.01)    (0.02)    0.56     N/M      N/M   
                   

Basic loss per common share

    $    (9.62)    $  (5.58)    $  (12.01)    N/M      N/M   

Diluted loss per common share from continuing operations

    (9.61)    (5.56)    (12.57)    N/M      N/M   

Diluted (loss)/earnings per common share from discontinued operations

    (0.01)    (0.02)    0.56     N/M      N/M   
                   

Diluted loss per common share

    $    (9.62)    $  (5.58)    $  (12.01)    N/M      N/M   

Average shares used in computing earnings per common share

              

Basic

    1,606.6     1,339.0     825.0     20      95   

Diluted

    1,606.6     1,339.0     825.0     20      95   

 

 

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.
(2) Includes $2.3 billion related to goodwill impairment and approximately $0.9 billion of litigation accruals recorded in 4Q08.

Merrill Lynch & Co., Inc.

Preliminary Unaudited Earnings Summary

   Attachment II

 

(In millions, except per share amounts)  

 

     For the Year Ended     Percent
Inc / (Dec)		      
     Dec. 26
2008		     Dec. 28
2007		      

Revenues

         

Principal transactions

    $ (26,183 )   $(12,067 )   N/M     %

Commissions

      6,895     7,284     (5 )  

Managed accounts and other fee-based revenues

      5,544     5,465     1    

Investment banking

      3,733     5,582     (33 )  

Earnings from equity method investments

      4,513     1,627     177    

Other (1)

      (9,700 )   (2,190 )   N/M    
                  

Subtotal

      (15,198 )   5,701     (367 )  

Interest and dividend revenues

      33,039     56,974     (42 )  

Less interest expense

      29,558     51,425     (43 )  
                  

Net interest profit

      3,481     5,549     (37 )  
                  

Revenues, net of interest expense

      (11,717 )   11,250     N/M    
                  

Non-interest expenses

         

Compensation and benefits

      15,000     15,903     (6 )  

Communications and technology

      2,201     2,057     7    

Occupancy and related depreciation

      1,267     1,139     11    

Professional fees

      1,058     1,027     3    

Brokerage, clearing, and exchange fees

      1,394     1,415     (1 )  

Advertising and market development

      652     785     (17 )  

Office supplies and postage

      215     233     (8 )  

Other (2)

      4,705     1,522     209    

Payment related to price reset on common stock offering

      2,500     —       N/M    

Restructuring charge

      486     —       N/M    
                  

Total non-interest expenses

      29,478     24,081     22    
                  

Pre-tax loss from continuing operations

      (41,195 )   (12,831 )   N/M    

Income tax benefit

      (14,177 )   (4,194 )   N/M    
                  

Net loss from continuing operations

      (27,018 )   (8,637 )   N/M    
                  

Discontinued operations:

         

Pre-tax (loss)/earnings from discontinued operations

      (141 )   1,397     N/M    

Income (benefit)/tax expense

      (80 )   537     N/M    
                  

Net (loss)/earnings from discontinued operations

      (61 )   860     N/M    
                  

Net loss

    $ (27,079 )   $ (7,777 )   N/M    
                  

Preferred stock dividends

    $ 2,869     $     270     N/M    
                  

Net loss applicable to common stockholders

    $ (29,948 )   $ (8,047 )   N/M    
                  

Basic loss per common share from continuing operations

      (24.39 )   (10.73 )   N/M    

Basic (loss)/earnings per common share from discontinued operations

      (0.05 )   1.04     N/M    
                  

Basic loss per common share

    $ (24.44 )   $   (9.69 )   N/M    

Diluted loss per common share from continuing operations

      (24.39 )   (10.73 )   N/M    

Diluted (loss)/earnings per common share from discontinued operations

      (0.05 )   1.04     N/M    
                  

Diluted loss per common share

    $ (24.44 )   $   (9.69 )   N/M    

Average shares used in computing earnings per common share

         

Basic

      1,225.6     830.4     48    

Diluted

      1,225.6     830.4     48    

 

 

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.
(2) Includes $2.3 billion related to goodwill impairment recorded in 4Q08, approximately $1.1 billion of litigation accruals and $0.5 billion associated with the auction rate securities repurchase program.

Merrill Lynch & Co., Inc.

Preliminary Segment Data (unaudited)

   Attachment III

 

(Dollars in millions)

 

     For the Three Months Ended    Percent Inc / (Dec)    For the Year Ended    Percent
Inc / (Dec)
      Dec. 26,
2008		    Sept. 26,
2008		    Dec. 28,
2007		    4Q08 vs.
3Q08		    4Q08 vs.
4Q07		    Dec. 26,
2008		    Dec. 28,
2007		   

Global Markets & Investment Banking

                                        

Global Markets

                                        

FICC

    $(14,573 )      $(9,943 )      $(15,155 )      N/M     %    N/M     %    $(35,962 )      $(15,873 )      N/M     %

Equity Markets

    (1,774 )      6,030        2,171        N/M        N/M        7,866        8,286        (5 )  
                                                           

Total Global Markets net revenues

    (16,347 )      (3,913 )      (12,984 )      N/M        N/M        (28,096 )      (7,587 )      N/M    

Investment Banking (1)

                                        

Origination:

                                        

Debt

    151        182        217        (17 )      (30 )      931        1,550        (40 )  

Equity

    296        214        375        38        (21 )      1,047        1,629        (36 )  

Strategic Advisory Services

    271        354        559        (23 )      (52 )      1,317        1,740        (24 )  
                                                           

Total Investment Banking net revenues

    718        750        1,151        (4 )      (38 )      3,295        4,919        (33 )  
                                                           

Total net revenues

    (15,629 )      (3,163 )      (11,833 )      N/M        N/M        (24,801 )      (2,668 )      N/M    
                                                           

Non-interest expenses before restructuring charge

    5,793        2,833        4,044        104        43        14,912        13,677        9    

Restructuring charge

    2        18        —          N/M        N/M        331        —          N/M    

Pre-tax (loss) / earnings from continuing operations

    (21,424 )      (6,014 )      (15,877 )      N/M        N/M        (40,044 )      (16,345 )      N/M    

Pre-tax (loss) / earnings from continuing operations, before restructuring charge

    (21,422 )      (5,996 )      (15,877 )      N/M        N/M        (39,713 )      (16,345 )      N/M    

Pre-tax profit margin

    N/M        N/M        N/M                  N/M        N/M         

Pre-tax profit margin, before restructuring charge

    N/M          N/M          N/M                                N/M          N/M                 

Global Wealth Management

                                        

Global Private Client

                                        

Fee-based revenues

    $   1,387        $ 1,568        $   1,656        (12 )      (16 )      $   6,171        $   6,278        (2 )  

Transactional and origination revenues

    761        729        972        4        (22 )      3,313        3,887        (15 )  

Net interest profit and related hedges(2)

    558        587        565        (5 )      (1 )      2,387        2,318        3    

Other revenues

    (7 )      110        116        N/M        N/M        288        416        (31 )  
                                                           

Total Global Private Client net revenues

    2,699        2,994        3,309        (10 )      (18 )      12,159        12,899        (6 )  
                                                           

Global Investment Management net revenues

    (64 )      241        286        N/M        N/M        669        1,122        (40 )  
                                                           

Total net revenues

    2,635        3,235        3,595        (19 )      (27 )      12,828        14,021        (9 )  
                                                           

Non-interest expenses before restructuring charge

    2,396        2,461        2,681        (3 )      (11 )      10,357        10,391        (0 )  

Restructuring charge

    —          21        —          N/M        N/M        155        —          N/M    

Pre-tax (loss) / earnings from continuing operations

    239        753        914        (68 )      (74 )      2,316        3,630        (36 )  

Pre-tax (loss) / earnings from continuing operations, before restructuring charge

    239        774        914        (69 )      (74 )      2,471        3,630        (32 )  

Pre-tax profit margin

    9.1     %    23.3     %    25.4     %              18.1     %    25.9     %     

Pre-tax profit margin, before restructuring charge

    9.1     %    23.9     %    25.4     %                          19.3     %    25.9     %           

Corporate

                                        

Total net revenues

    $      443        $     (56 )      $        46        N/M        N/M        $      256        $     (103 )      N/M    

Non-interest expenses before restructuring charge (3)

    790        2,934        3        (73 )      N/M        3,723        13        N/M    

Restructuring charge

    —          —          —          N/M        N/M        —          —          N/M    

Pre-tax (loss) / earnings from continuing operations

    (347 )        (2,990 )        43          N/M          N/M          (3,467 )        (116 )        N/M      

Total

                                        

Total net revenues

    $(12,551 )      $      16        $  (8,192 )      N/M        N/M        $(11,717 )      $ 11,250        N/M    

Non-interest expenses before restructuring charge

    8,979        8,228        6,728        9        33        28,992        24,081        20    

Restructuring charge

    2        39        —          N/M        N/M        486        —          N/M    

Pre-tax (loss) / earnings from continuing operations

    (21,532 )      (8,251 )      (14,920 )      N/M        N/M        (41,195 )      (12,831 )      N/M    

Pre-tax profit margin

    N/M        N/M        N/M                  N/M        N/M         

 

 

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 and II.
(3) For the year ended 2008 amounts include expenses of $2.5 billion related to the Temasek reset payment in 3Q08, $0.9 billion of litigation accruals recorded in 4Q08 and $0.5 billion associated with the auction rate securities repurchase program.

Merrill Lynch & Co., Inc.

Consolidated Quarterly Earnings (unaudited)

   Attachment IV

 

(In millions)

 

     4Q07     1Q08     2Q08     3Q08     4Q08  

Revenues

           

Principal transactions

    $(12,596 )   $(2,418 )   $(4,083 )   $(6,573 )   $(13,109 )

Commissions

           

Listed and over-the-counter securities

    1,294     1,319     1,221     1,220     1,066  

Mutual funds

    570     532     539     459     342  

Other

    60     38     51     66     42  
                              

Total

    1,924     1,889     1,811     1,745     1,450  

Managed accounts and other fee-based revenues

           

Portfolio service fees

    902     892     852     857     764  

Asset management fees

    179     206     198     196     185  

Account fees

    120     117     116     115     108  

Other fees

    239     240     233     227     238  
                              

Total

    1,440     1,455     1,399     1,395     1,295  

Investment banking

           

Underwriting

    717     543     841     490     546  

Strategic advisory

    550     374     317     355     267  
                              

Total

    1,267     917     1,158     845     813  

Earnings from equity method investments

    531     431     111     4,401     (430 )

Other (1)

    (2,304 )   (1,449 )   (1,875 )   (2,986 )   (3,390 )
                              

Subtotal

    (9,738 )   825     (1,479 )   (1,173 )   (13,371 )

Interest and dividend revenues

    14,170     11,861     7,535     9,019     4,624  

Less interest expense

    12,624     9,752     8,172     7,830     3,804  
                              

Net interest profit

    1,546     2,109     (637 )   1,189     820  
                              

Revenues, net of interest expense

    (8,192 )   2,934     (2,116 )   16     (12,551 )
                              

Non-Interest Expenses

           

Compensation and benefits

    4,339     4,196     3,491     3,483     3,830  

Communications and technology

    597     555     566     546     534  

Brokerage, clearing, and exchange fees

    395     387     370     348     289  

Occupancy and related depreciation

    306     309     328     314     316  

Professional fees

    311     242     263     242     311  

Advertising and market development

    249     176     166     159     151  

Office supplies and postage

    64     57     55     48     55  

Other

    467     313     311     588     3,493  

Payment related to common stock offering

    —       —       —       2,500     —    

Restructuring charge

    —       —       445     39     2  
                              

Total Non-Interest Expenses

    6,728     6,235     5,995     8,267     8,981  
                              

Pre-tax loss from continuing operations

    (14,920 )   (3,301 )   (8,111 )   (8,251 )   (21,532 )

Income tax benefit

    (4,623 )   (1,332 )   (3,477 )   (3,131 )   (6,237 )
                              

Net loss from continuing operations

    (10,297 )   (1,969 )   (4,634 )   (5,120 )   (15,295 )

Discontinued operations:

           

Pre-tax earnings/(loss) from discontinued operations

    795     (25 )   (32 )   (53 )   (31 )

Income tax expense/(benefit)

    331     (32 )   (12 )   (21 )   (15 )
                              

Net earnings/(loss) from discontinued operations

    464     7     (20 )   (32 )   (16 )
                              

Net loss

    $  (9,833 )   $(1,962 )   $(4,654 )   $(5,152 )   $(15,311 )

Per Common Share Data

           
     4Q07     1Q08     2Q08     3Q08     4Q08  

Loss from continuing operations - Basic

    $  (12.57 )   $  (2.20 )   $  (4.95 )   $  (5.56 )   $   (9.61 )

Loss from continuing operations - Diluted

    (12.57 )   (2.20 )   (4.95 )   (5.56 )   (9.61 )

Dividends paid

    0.35     0.35     0.35     0.35     0.35  

Book value

    29.34     25.93     21.43     18.59     7.57  

Adjusted book value (2)

    N/M     28.93     24.94     18.90     8.24  

 

 

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.
(2) Adjusted book value per common share is calculated by dividing: common stockholders’ equity after giving effect for conversion of convertible preferred on an “if-converted” basis by common shares outstanding adjusted for such conversion.

Merrill Lynch & Co., Inc.

Supplemental Data (unaudited)

   Attachment V

 

(Dollars in billions)

 

     4Q07    1Q08    2Q08     3Q08     4Q08  

Client Assets

             

U.S.

    $  1,586    $  1,479    $  1,447     $   1,333     $   1,108  

Non - U.S.

    165    158    158     142     139  
                            

Total Client Assets

    1,751    1,637    1,605     1,475     1,247  

Assets in Annuitized-Revenue Products

    655    607    630     580     466  

Net New Money (1) (2)

             

All Client Accounts

    $30    $6    $(5 )   $(3 )   $(10 )

Annuitized-Revenue Products (3)

    —      11    8     2     (10 )

Balance Sheet Information: (4)

            

Short-term Borrowings

    $    24.9    $    21.6    $    19.1     $     25.7     $     31.2  

Deposits

    104.0    104.8    100.5     90.0     96.1  

Long-term Borrowings

    261.0    259.5    270.4     227.3     206.6  

Junior Subordinated Notes (related to trust preferred securities)

    5.2    5.2    5.2     5.2     5.3  

Stockholders’ Equity: (4)

            

Preferred Stockholders’ Equity

    4.4    11.0    13.7     8.6     8.6  

Common Stockholders’ Equity

    27.5    25.5    21.1     29.8     12.1  
                            

Total Stockholders’ Equity

    31.9    36.5    34.8     38.4     20.7  

Full-Time Employees (5)

    64,200    63,100    60,000     60,900     58,500  

Financial Advisors

    16,740    16,660    16,690     16,850     16,090  

Common shares outstanding (in millions):

             

Weighted-average - basic

    825.0    974.1    984.1     1,339.0     1,606.6  

Weighted-average - diluted

    825.0    974.1    984.1     1,339.0     1,606.6  

Period-end

    939.1    985.1    985.4     1,600.1     1,600.1  

 

 

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) Net new money has been restated to include net inflows of assets which are not held in custody but generate fee revenue.
(3) Includes both net new client assets into annuitized-revenue products, as well as existing client assets transferred into annuitized-revenue products.
(4) Balance Sheet Information and Stockholders’ Equity are estimated for 4Q08.
(5) Excludes full-time employees on salary continuation severance.

Merrill Lynch & Co., Inc.

(Unaudited)

   Attachment VI

 

(Dollars in millions)

 

U.S. Super Senior ABS CDO Exposure

    Long     Short(1)     Net  

September 26, 2008

    $ 6,381     $(5,295 )   $1,086  

4Q Exposure Changes:

       

Sale of CDO’s and terminations of hedges

    (3,228 )   3,228     —    

Gains / (Losses)

    (1,191 )   822     (369 )

Liquidations / Amortization

    (158 )   149     (9 )
                  

December 26, 2008

    $ 1,804     $(1,096 )   $   708  
                  

 

 

 

(1) 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, limited recourse to counterparties and other basis risks. As of December 26, 2008, Merrill Lynch’s secondary trading exposure was ($281) million compared to ($273) million at September 26, 2008.

 

Credit Default Swaps with Financial Guarantors on U.S. Super Senior
ABS CDOs

    Notional of
CDS		     Potential Exposure     Mark-to-Market
Prior
to Credit
Valuation
Adjustments		    Life-to-Date
Credit Valuation
Adjustments		     Carrying
Value

September 26, 2008

    $(2,851 )   $(810 )   $2,041    $(613 )   $1,428

4Q Activity

    20     332     312    (282 )   30
                           

December 26, 2008

    $(2,831 )   $(478 )   $2,353    $(895 )   $1,458
                           

 

Credit Default Swaps with Financial Guarantors

(Excluding U.S. Super Senior ABS CDO)

    Notional of
CDS (1)		     Potential Exposure (2)     Mark-to-Market
Prior
to Credit
Valuation
Adjustments (3)		    Life-to-Date
Credit Valuation
Adjustments (4)		     Carrying
Value

By counterparty credit quality (5)

            

AAA

    $(17,293 )   $(13,718 )   $  3,575    $   (804 )   $2,771

AA

    (16,672 )   (11,851 )   4,821    (1,832 )   2,989

A

    (1,197 )   (879 )   318    (118 )   200

BBB

    (5,570 )   (4,522 )   1,048    (440 )   608

Non-investment grade or unrated

    (9,581 )   (6,570 )   3,011    (1,809 )   1,202
                           

Total financial guarantor exposures for ABS CDOs

    $(50,313 )   $(37,540 )   $12,773    $(5,003 )   $7,770
                           

 

 

 

(1) The gross notional amount of CDS purchased as protection to hedge predominantly Corporate CDO, CLO, RMBS and CMBS exposure was $50.3 billion and $58.0 billion at December 26, 2008, and September 26, 2008, respectively. This decline was due to terminations, foreign exchange revaluations and amortization of the underlying reference entities on the CDS. Amounts do not include exposure with financial guarantors on U.S. Super Senior ABS CDO’s which are reported separately above.
(2) The notional of the total CDS, net of gains prior to credit valuation adjustments, was $37.5 billion and $51.4 billion at December 26, 2008 and September 26, 2008, respectively.
(3) Represents life-to-date mark-to-market gains prior to credit valuation adjustments. Balance was $12.8 billion and $6.6 billion as of December 26, 2008 and September 26, 2008, respectively. This increase was largely driven by further deterioration of U.S. CMBS and CLO underlying assets.
(4) Represents life-to-date credit valuation adjustments. Balance was $5.0 billion and $2.1 billion as of December 26, 2008 and September 26, 2008, respectively.
(5) Represents S&P rating band as of December 26, 2008.

Merrill Lynch & Co., Inc.

(Unaudited)

   Attachment VII

 

 

     Net
exposures as
of Sep. 26,
2008		    Net
gains/(losses)
reported in
income		     Other net
changes in net
exposures (1)		     Net
exposures as
of Dec. 26,
2008		    Percent
Inc/(Dec)

Residential Mortgage-Related

(excluding U.S. Banks investment securities portfolio):

               

U.S. Prime (2)

    $34,637    $ 101     $      61     $34,799    0     %
                          

Other Residential:

               

U.S. Sub-prime

    295    (113 )   13     195    (34 )   %

U.S. Alt-A

    25    (18 )   20     27    8     %

Non-U.S.

    4,644    (250 )   (1,014 )   3,380    (27 )   %
                          

Total Other Residential (3)

    $  4,964    $(381 )   $   (981 )   $  3,602    (27 )   %
                          

 

 

 

(1) Represents U.S. Prime originations, foreign exchange revaluations, hedges, paydowns, changes in loan commitments and related funding.
(2) As of December 26, 2008, net exposures include approximately $31.1 billion of prime loans originated with GWM clients (of which $15.0 billion were originated by First Republic Bank).
(3) Includes warehouse lending, whole loans and residential mortgage-backed securities.

 

     Net
exposures as
of Sep. 26,
2008		    Net
gains/(losses)
reported in
income (2)		     Unrealized
gains/(losses)
included in OCI
(pre-tax) (3)		     Other net
changes in net
exposures (4)		     Net
exposures as
of Dec. 26,
2008		    Percent
Inc/(Dec)

U.S. Banks Investment Securities Portfolio:

                 

Sub-prime residential mortgage-backed securities

    $  2,702    $   (152 )   $   (418 )   $(119 )   $  2,013    (25 )   %

Alt-A residential mortgage-backed securities

    3,498    (846 )   (209 )   (148 )   2,295    (34 )   %

Commercial mortgage-backed securities

    5,040    (99 )   (2,407 )   591     3,125    (38 )   %

Prime residential mortgage-backed securities

    2,509    (48 )   (464 )   (152 )   1,845    (26 )   %

Non-residential asset-backed securities

    723    (2 )   (92 )   (3 )   626    (13 )   %

Non-residential CDOs

    486    (5 )   (145 )   (7 )   329    (32 )   %

Agency residential asset-backed securities

    492    (10 )   —       (476 )   6    (99 )   %

Other

    207    —       (13 )   (2 )   192    (7 )   %
                                

Total (1)

    $15,657    $(1,162 )   $(3,748 )   $(316 )   $10,431    (33 )   %
                                

 

 

 

(1) The December 26, 2008 net exposures include investment securities of approximately $6.0 billion recorded in a non-U.S. Banks legal entity.
(2) Primarily represents losses on certain securities deemed to be other-than-temporarily impaired.
(3) The cumulative, pre-tax balance in OCI related to this portfolio was approximately negative $9.3 billion as of December 26, 2008.
(4) Primarily represents principal paydowns, sales and hedges.

 

     Net
exposures as
of Sep. 26,
2008		    Net
gains/(losses)
reported in
income		     Other net
changes in net
exposures (1)		     Net
exposures as
of Dec. 26,
2008		    Percent
Inc/(Dec)

Commercial Real Estate:

               

Whole Loans/Conduits

    $  6,128    $   (475 )   $(1,808 )   $3,845    (37 )   %

Securities and Derivatives

    555    (187 )   (194 )   174    (69 )   %

Real Estate Investments (2)

    6,136    (469 )   18     5,685    (7 )   %
                          

Total Commercial Real Estate, excluding First Republic Bank

    $12,819    $(1,131 )   $(1,984 )   $9,704    (24 )   %
                          

First Republic Bank

    $  2,933    $      12     $    174     $3,119    6     %
                          

 

 

 

(1) Primarily represents sales, paydowns and foreign exchange revaluations.
(2) The Company makes equity and debt investments in entities whose underlying assets are real estate. The Company consolidates those entities in which we are the primary beneficiary in accordance with FIN No. 46-R, Consolidation of Variable Interest Entities (revised December 2003)—an interpretation of ARB No. 51. The Company does not consider itself to have economic exposure to the total underlying assets in those entities. The amounts presented are the Company’s net investment and therefore exclude the amounts that have been consolidated but for which the Company does not consider itself to have economic exposure.