Fair Value Disclosures (Tables)

v2.4.0.6

Fair Value Disclosures (Tables)	6 Months Ended
	Jun. 30, 2012
Fair Value Disclosures [Abstract]
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis	(dollars in millions)   Fair Value Measurements on a Recurring Basis   as of December 31, 2011   Level 1   Level 2   Level 3   Netting Adj(1)   Total Assets:                   Securities segregated for regulatory purposes or deposited with clearing organizations:                   Corporate debt $ —   $ 295   $ —   $ —   $ 295 Non-U.S. governments and agencies —   1,757   —   —   1,757 U.S. Government and agencies 1,796   740   —   —   2,536 Total securities segregated for regulatory purposes or deposited with clearing organizations 1,796   2,792   —   —   4,588 Receivables under resale agreements —   85,652   —   —   85,652 Receivables under securities borrowed transactions —   259   —   —   259 Trading assets, excluding derivative contracts:                   Equities 14,962   5,860   179   —   21,001 Convertible debentures —   4,519   99   —   4,618 Non-U.S. governments and agencies 28,026   1,871   342   —   30,239 Corporate debt —   13,027   3,962   —   16,989 Preferred stock —   89   227   —   316 Mortgages, mortgage-backed and asset-backed —   5,055   3,199   —   8,254 U.S. Government and agencies 22,183   20,820   —   —   43,003 Municipals and money markets 1,067   9,755   2,047   —   12,869 Physical commodities and other —   175   —   —   175  Total trading assets, excluding derivative contracts 66,238   61,171   10,055   —   137,464   Derivative contracts(2) 1,810   722,108   10,110   (699,015 )   35,013 Investment securities available-for-sale:                   U.S. treasury securities and agency debentures 398   —   —   —   398 Securities, mortgage-backed and asset backed                        Non-agency MBS —   249   —   —   249      Corporate ABS —   —   47   —   47 Total investment securities available-for-sale 398   249   47   —   694 Investment securities non-qualifying 2,624   328   574   —   3,526 Total investment securities 3,022   577   621   —   4,220 Securities received as collateral 13,058   658   —   —   13,716 Loans, notes and mortgages —   596   1,726   —   2,322 Other assets —   —   1,349   —   1,349 Liabilities:                   Payables under repurchase agreements —   34,235   —   —   34,235 Short-term borrowings —   5,908   —   —   5,908 Trading liabilities, excluding derivative contracts:                   Equities 10,868   1,230   —   —   12,098 Convertible debentures —   125   —   —   125 Non-U.S. governments and agencies 15,911   643   —   —   16,554 Corporate debt —   6,927   52   —   6,979 Preferred stock —   89   16   —   105 U.S. Government and agencies 15,603   1,373   —   —   16,976 Municipals, money markets and other 549   51   45   —   645 Total trading liabilities, excluding derivative contracts 42,931   10,438   113   —   53,482 Derivative contracts(2) 1,419   724,713   5,615   (705,508 )   26,239 Obligation to return securities received as collateral 13,058   658   —   —   13,716 Other payables — interest and other —   163   10   —   173 Long-term borrowings —   28,139   2,186   —   30,325                     (1) Represents counterparty and cash collateral netting. (2) Refer to Note 6 for product level detail. The following tables present Merrill Lynch’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of June 30, 2012 and December 31, 2011, respectively. (dollars in millions)   Fair Value Measurements on a Recurring Basis   as of June 30, 2012   Level 1   Level 2   Level 3   Netting Adj(1)   Total Assets:                   Securities segregated for regulatory purposes or deposited with clearing organizations:                   Corporate debt $ —   $ 88   $ —   $ —   $ 88 Non-U.S. governments and agencies 143   1,723   —   —   1,866 U.S. Government and agencies 3,658   250   —   —   3,908 Total securities segregated for regulatory purposes or deposited with clearing organizations 3,801   2,061   —   —   5,862 Receivables under resale agreements —   90,533   —   —   90,533 Receivables under securities borrowed transactions —   500   —   —   500 Trading assets, excluding derivative contracts:                   Equities 15,700   8,546   185   —   24,431 Convertible debentures —   4,109   34   —   4,143 Non-U.S. governments and agencies 32,731   3,445   389   —   36,565 Corporate debt —   11,686   2,106   —   13,792 Preferred stock —   89   228   —   317 Mortgages, mortgage-backed and asset-backed —   4,917   4,578   —   9,495 U.S. Government and agencies 30,094   23,816   —   —   53,910 Municipals and money markets 1,077   8,567   1,730   —   11,374 Physical commodities and other —   174   —   —   174 Total trading assets, excluding derivative contracts 79,602   65,349   9,250   —   154,201 Derivative contracts(2) 1,997   675,105   8,001   (657,031 )   28,072 Investment securities available-for-sale:                   U.S. treasury securities and agency debentures 404   —   —   —   404 Securities, mortgage-backed and asset backed                        Non-agency MBS —   57   —   —   57      Corporate ABS —   230   8   —   238 Total investment securities available-for-sale 404   287   8   —   699 Investment securities non-qualifying 2,489   780   333   —   3,602 Total investment securities 2,893   1,067   341   —   4,301 Securities received as collateral 15,972   563   —   —   16,535 Loans, notes and mortgages —   1,046   1,776   —   2,822    Other assets —   —   1,263   —   1,263 Liabilities:                   Payables under repurchase agreements —   48,663   —   —   48,663 Short-term borrowings —   3,816   —   —   3,816 Trading liabilities, excluding derivative contracts:                   Equities 20,285   2,038   —   —   22,323 Convertible debentures —   214   —   —   214 Non-U.S. governments and agencies 17,012   1,307   —   —   18,319 Corporate debt —   8,094   9   —   8,103 Preferred stock —   120   9   —   129 U.S. Government and agencies 17,285   1,335   —   —   18,620 Municipals, money markets and other 446   72   44   —   562 Total trading liabilities, excluding derivative contracts 55,028   13,180   62   —   68,270  Derivative contracts(2) 1,727   680,654   4,587   (662,709 )   24,259 Obligation to return securities received as collateral 15,972   563   —   —   16,535 Other payables — interest and other —   131   2   —   133 Long-term borrowings —   29,334   1,469   —   30,803                     D
Fair Value, Assets and Liabilities Measured on Recurring Basis, Gain (Loss) Included in Earnings	(dollars in millions)                                                     Level 3 Financial Assets and Liabilities Three Months Ended June 30, 2011       Total Realized and Unrealized Gains or (Losses) included in Income   Total Realized and Unrealized Gains or (Losses) included in Income   Unrealized Gains or (Losses) to OCI   Sales   Purchases   Issuances   Settlements               Beginning Balance   Principal Transactions   Other Revenue   Interest               Transfers In   Transfers Out   Ending Balance Assets:                                                   Trading assets, excluding derivative contracts:                                                   Equities $ 215   $ 1   $ —   $ —   $ 1   $ —   (38 )   48   $ —   $ (63 )   $ —   $ —   $ 163 Convertible debentures 119   7   —   —   7   —   (84 )   110   —   —   —   —   152 Non-U.S. governments and agencies 252   80   —   —   80   —   (11 )   74   —   (3 )   3   (4 )   391 Corporate debt 3,998   42   —   —   42   —   (1,027 )   777   —   (69 )   151   (26 )   3,846 Preferred stock 325   19   —   —   19   —   (93 )   27   —   (52 )   81   —   307 Mortgages, mortgage-backed and asset-backed 5,433   55   —   —   55   —   (1,572 )   952   —   (20 )   —   —   4,848 Municipals and money markets 2,350   12   —   —   12   —   (743 )   948   —   (149 )   68   —   2,486 Total trading assets, excluding derivative contracts 12,692   216   —   —   216   —   (3,568 )   2,936   —   (356 )   303   (30 )   12,193 Derivative contracts, net 5,554   284   —   —   284   —   (250 )   296   —   (424 )   —   (359 )   5,101 Investment securities available-for-sale :                                                   Mortgage-backed securities — agency CMOs 56   —   —   —   —   —   —   —   —   (1 )   —   —   55 Mortgage-backed securities — non-agency MBSs 103   —   (6 )   —   (6 )   (3 )   —   2   —   —   —   —   96 Corporate ABS —   —   —   —   —   —   —   86   —   —   —   —   86 Total investment securities available-for-sale 159   —   (6 )   —   (6 )   (3 )   —   88   —   (1 )   —   —   237 Investment securities non-qualifying 1,095   —   125   —   125   —   (48 )   24   —   —   375   —   1,571 Total investment securities 1,254   —   119   —   119   (3 )   (48 )   112   —   (1 )   375   —   1,808 Loans, notes and mortgages 1,993   —   54   9   63   —   (327 )   113   215   (113 )   22   (26 )   1,940 Liabilities:                                                   Trading liabilities, excluding derivative contracts:                                                   Corporate debt 52   (1 )   —   —   (1 )   —   20   (45 )   —   —   —   —   28 Preferred stock 23   —   —   —   —   —   —   —   —   —   —   —   23 Municipals, money markets and other 22   —   —   —   —   —   —   (19 )   —   —   —   —   3 Total trading liabilities, excluding derivative contracts 97   (1 )   —   —   (1 )   —   20   (64 )   —   —   —   —   54 Other payables - interest and other 100   —   1   —   1   —   —   —   9   —   —   —   108 Long-term borrowings 2,364   (10 )   20   —   10   —   55   (50 )   205   (95 )   229   (166 )   2,532                                                     Sales of mortgages, mortgage-backed and asset-backed securities primarily relates to the sale of CDO positions in conjunction with the liquidation of a VIE and sales of collateralized loan obligation (“CLO”) positions due to the unwind of the proprietary trading business. Sales and purchases of municipal securities is primarily due to dealer activity in student loan ARS. Transfers in for corporate debt are primarily due to corporate bond private placements with limited market activity. Transfers out for net derivative contracts primarily relates to increased price observability for certain equity derivative positions. Transfers in for investment securities non-qualifying are due to a change in the valuation methodology for a private equity fund. Transfers in and out related to long-term borrowings are primarily due to changes in the impact of unobservable inputs on the value of certain equity-linked structured notes. (dollars in millions)   Level 3 Financial Assets and Liabilities Six Months Ended June 30, 2011       Total Realized and Unrealized Gains or (Losses) included in Income   Total Realized and Unrealized Gains or (Losses) included in Income   Unrealized Gains to OCI   Sales   Purchases   Issuances   Settlements               Beginning Balance   Principal Transactions   Other Revenue   Interest               Transfers In   Transfers Out   Ending Balance Assets:                                                   Trading assets, excluding derivative contracts:                                                   Equities $ 170   $ 35   $ —   $ —   $ 35   $ —   $ (86 )   $ 108   $ —   $ (63 )   $ —   $ (1 )   $ 163 Convertible debentures —   7   —   —   7   —   (84 )   229   —   —   —   —   152 Non-U.S. governments and agencies 243   85   —   —   85   —   (15 )   122   —   (3 )   3   (44 )   391 Corporate debt 4,605   327   —   —   327   —   (2,096 )   1,118   —   (108 )   247   (247 )   3,846 Preferred stock 287   28   —   —   28   —   (106 )   30   —   (52 )   120   —   307 Mortgages, mortgage-backed and asset-backed 5,747   384   —   —   384   —   (2,408 )   1,513   —   (39 )   1   (350 )   4,848 Municipals and money markets 2,327   31   —   —   31   —   (1,652 )   1,884   —   (172 )   72   (4 )   2,486 Total trading assets, excluding derivative contracts 13,379   897   —   —   897   —   (6,447 )   5,004   —   (437 )   443   (646 )   12,193 Derivative contracts, net 6,368   27   —   —   27   —   (682 )   633   —   (862 )   299   (682 )   5,101 Investment securities available-for-sale :                                                   Mortgage-backed securities — agency CMOs —   —   —   —   —   —   —   56   —   (1 )   —   —   55 Mortgage-backed securities — non-agency MBSs 213   —   (15 )   —   (15 )   (22 )   (82 )   2   —   —   —   —   96 Corporate ABS —   —   —   —   —   —   —   86   —   —   —   —   86 Total investment securities available-for-sale 213   —   (15 )   —   (15 )   (22 )   (82 )   144   —   (1 )   —   —   237 Investment securities non-qualifying 3,394   —   345   —   345   —   (852 )   46   —   (189 )   375   (1,548 )   1,571 Total investment securities 3,607   —   330   —   330   (22 )   (934 )   190   —   (190 )   375   (1,548 )   1,808 Loans, notes and mortgages 1,891   —   229   17   246   —   (496 )   144   215   (155 )   135   (40 )   1,940 Liabilities:                                                   Trading liabilities, excluding derivative contracts:                                                   Corporate debt —   (1 )   —   —   (1 )   —   72   (45 )   —   —   —   —   28 Preferred stock —   —   —   —   —   —   23   —   —   —   —   —   23 Municipals, money markets and other —   —   —   —   —   —   22   (19 )   —   —   —   —   3 Total trading liabilities, excluding derivative contracts —   (1 )   —   —   (1 )   —   117   (64 )   —   —   —   —   54 Other payables - interest and other 126   —   25   —   25   —   4   (6 )   9   —   —   —   108 Long-term borrowings 2,396   (102 )   (15 )   —   (117 )   —   55   (112 )   248   (326 )   529   (375 )   2,532                                                     The following tables provide a summary of changes in Merrill Lynch’s Level 3 financial assets and liabilities for the three and six months ended June 30, 2012 and June 30, 2011. (dollars in millions)                                                     Level 3 Financial Assets and Liabilities Three Months Ended June 30, 2012       Total Realized and Unrealized Gains or (Losses) included in Income   Total Realized and Unrealized Gains or (Losses) included in Income   Unrealized Gains or (Losses) to OCI   Sales   Purchases   Issuances   Settlements               Beginning Balance   Principal Transactions   Other Revenue   Interest               Transfers In   Transfers Out   Ending Balance Assets:                                                   Trading assets, excluding derivative contracts:                                                   Equities $ 178   $ (6 )   $ —   $ —   $ (6 )   $ —   (13 )   1   $ —   —   $ 25   $ —   $ 185 Convertible debentures 43   (2 )   —   —   (2 )   —   —   —   —   —   —   (7 )   34 Non-U.S. governments and agencies 546   (26 )   —   —   (26 )   —   (164 )   35   —   (1 )   —   (1 )   389 Corporate debt(1) 3,418   6   —   —   6   —   (1,232 )   189   —   (285 )   92   (82 )   2,106 Preferred stock 207   (1 )   —   —   (1 )   —   (22 )   44   —   —   —   —   228 Mortgages, mortgage-backed and asset-backed(1) 3,768   (38 )   —   —   (38 )   —   (163 )   1,164   —   (153 )   —   —   4,578 Municipals and money markets 2,009   15   —   —   15   —   (187 )   73   —   (180 )   —   —   1,730 Total trading assets, excluding derivative contracts 10,169   (52 )   —   —   (52 )   —   (1,781 )   1,506   —   (619 )   117   (90 )   9,250 Derivative contracts, net 3,207   159   —   —   159   —   (121 )   207   —   29   (38 )   (29 )   3,414 Investment securities available-for-sale :                                                   Corporate ABS 45   —   —   —   —   —   —   —   —   (37 )   —   —   8 Total investment securities available-for-sale 45   —   —   —   —   —   —   —   —   (37 )   —   —   8 Investment securities non-qualifying 421   —   1   —   1   —   (77 )   —   —   (12 )   —   —   333 Total investment securities 466   —   1   —   1   —   (77 )   —   —   (49 )   —   —   341 Loans, notes and mortgages 1,809   —   19   8   27   —   (16 )   3   —   (47 )   —   —   1,776 Other assets 1,302   —   (39 )   —   (39 )   —   —   —   —   —   —   —   1,263 Liabilities:                                                   Trading liabilities, excluding derivative contracts:                                                   Corporate debt —   —   —   —   —   —   16   (6 )   —   1   1   (3 )   9 Preferred stock 14   —   —   —   —   —   9   (1 )   —   —   —   (13 )   9 Municipals, money markets and other 45   4   —   —   4   —   3   —   —   —   —   —   44 Total trading liabilities, excluding derivative contracts 59   4   —   —   4   —   28   (7 )   —   1   1   (16 )   62 Other payables - interest and other 3   —   1   —   1   —   —   —   —   —   —   —   2 Long-term borrowings 1,743   80   9   —   89   —   —   (30 )   53   (252 )   219   (175 )   1,469                                                     (1) During the second quarter of 2012, approximately $900 million was reclassified from Corporate debt to Mortgages, mortgage-backed and asset-backed.  In the table above, this reclassification is presented as a sale of Corporate debt and as a purchase of Mortgages, mortgage-backed and asset-backed trading assets. Transfers in and out for corporate debt primarily relate to changes in market liquidity for certain corporate loans. Transfers in and out related to long-term borrowings are primarily due to changes in the impact of unobservable inputs on the value of certain equity-linked structured notes. (dollars in millions)                                                     Level 3 Financial Assets and Liabilities Six Months Ended June 30, 2012       Total Realized and Unrealized Gains or (Losses) included in Income   Total Realized and Unrealized Gains or (Losses) included in Income   Unrealized Gains or (Losses) to OCI   Sales   Purchases   Issuances   Settlements               Beginning Balance   Principal Transactions   Other Revenue   Interest               Transfers In   Transfers Out   Ending Balance Assets:                                                   Trading assets, excluding derivative contracts:                                                   Equities $ 179   $ (5 )   $ —   $ —   $ (5 )   $ —   (52 )   42   $ —   (9 )   $ 32   $ (2 )   $ 185 Convertible debentures 99   —   —   —   —   —   (53 )   —   —   —   5   (17 )   34 Non-U.S. governments and agencies 342   (2 )   —   —   (2 )   —   (245 )   308   —   (1 )   —   (13 )   389 Corporate debt(1) 3,962   91   —   —   91   —   (1,755 )   557   —   (439 )   148   (458 )   2,106 Preferred stock 227   11   —   —   11   —   (92 )   82   —   (1 )   1   —   228 Mortgages, mortgage-backed and asset-backed(1) 3,199   52   —   —   52   —   (393 )   1,330   —   (233 )   736   (113 )   4,578 Municipals and money markets 2,047   9   —   —   9   —   (319 )   207   —   (191 )   —   (23 )   1,730 Total trading assets, excluding derivative contracts 10,055   156   —   —   156   —   (2,909 )   2,526   —   (874 )   922   (626 )   9,250 Derivative contracts, net 4,495   (542 )   —   —   (542 )   —   (379 )   560   —   (346 )   21   (395 )   3,414 Investment securities available-for-sale :                                                   Corporate ABS 47   —   (2 )   —   (2 )   —   —   —   —   (37 )   —   —   8 Total investment securities available-for-sale 47   —   (2 )   —   (2 )   —   —   —   —   (37 )   —   —   8 Investment securities non-qualifying 574   —   (6 )   —   (6 )   —   (90 )   9   —   (154 )   —   —   333 Total investment securities 621   —   (8 )   —   (8 )   —   (90 )   9   —   (191 )   —   —   341 Loans, notes and mortgages 1,726   —   114   15   129   —   (16 )   7   —   (70 )   —   —   1,776 Other assets 1,349   —   (86 )   —   (86 )   —   —   —   —   —   —   —   1,263 Liabilities:                                                   Trading liabilities, excluding derivative contracts:                                                   Corporate debt 52   —   —   —   —   —   35   (44 )   —   1   2   (37 )   9 Preferred stock 16   (2 )   —   —   (2 )   —   9   (5 )   —   —   —   (13 )   9 Municipals, money markets and other 45   5   —   —   5   —   9   (6 )   1   —   —   —   44 Total trading liabilities, excluding derivative contracts 113   3   —   —   3   —   53   (55 )   1   1   2   (50 )   62 Other payables - interest and other 10   —   4   —   4   —   —   (1 )   —   —   —   (3 )   2 Long-term borrowings 2,186   (59 )   (35 )   —   (94 )   —   33   (98 )   81   (629 )   441   (639 )   1,469                                                     (1) During the six months ended June 30, 2012, approximately $900 million was reclassified from Corporate debt to Mortgages, mortgage-backed and asset-backed.  In the table above, this reclassification is presented as a sale of Corporate debt and as a purchase of Mortgages, mortgage-backed and asset-backed trading assets.
Fair Value, Measured on Recurring Basis, Unrecognized Gain (Loss) Included in Earnings on Assets and Liabilities related to Level 3 Still Held	The following tables provide the portion of gains or losses included in income for the three and six months ended June 30, 2012 and June 30, 2011 attributable to unrealized gains or losses relating to those Level 3 assets and liabilities held at June 30, 2012 and June 30, 2011, respectively. (dollars in millions)   Unrealized Gains or (Losses) for Level 3 Assets and Liabilities Still Held   Three Months ended June 30, 2012   Six Months ended June 30, 2012   Principal Transactions   Other Revenue   Interest   Total   Principal Transactions   Other Revenue   Interest   Total Assets:                               Trading assets, excluding derivative contracts:                               Equities $ (6 )   $ —   $ —   $ (6 )   $ 1   $ —   $ —   $ 1 Convertible debentures (2 )   —   —   (2 )   —   —   —   — Non-U.S. governments and agencies (25 )   —   —   (25 )   —   —   —   — Corporate debt (35 )   —   —   (35 )   3   —   —   3 Preferred stock (1 )   —   —   (1 )   2   —   —   2 Mortgages, mortgage-backed and asset-backed (45 )   —   —   (45 )   (7 )   —   —   (7 ) Municipals and money markets 6   —   —   6   (3 )   —   —   (3 ) Total trading assets, excluding derivative contracts (108 )   —   —   (108 )   (4 )   —   —   (4 ) Derivative contracts, net 173   —   —   173   (429 )   —   —   (429 ) Investment securities non-qualifying —   1   —   1   —   (10 )   —   (10 ) Loans, notes and mortgages —   13   —   13   —   110   —   110 Other assets —   (39 )   —   (39 )   —   (86 )   —   (86 ) Liabilities:                               Trading liabilities, excluding derivative contracts:                               Preferred stock —   —   —   —   (2 )   —   —   (2 ) Municipals, money markets and other 3   —   —   3   3   —   —   3 Total trading liabilities, excluding derivative contracts 3   —   —   3   1   —   —   1 Other payables — interest and other —   1   —   1   —   —   —   — Long-term borrowings 82   9   —   91   (12 )   —   —   (12 ) (dollars in millions)   Unrealized Gains or (Losses) for Level 3 Assets and Liabilities Still Held   Three Months ended June 30, 2011   Six Months ended June 30, 2011   Principal Transactions   Other Revenue   Interest   Total   Principal Transactions   Other Revenue   Interest   Total Assets:                               Trading assets, excluding derivative contracts:                               Equities $ (61 )   $ —   $ —   $ (61 )   $ (46 )   $ —   $ —   $ (46 ) Convertible debentures 3   —   —   3   3   —   —   3 Non-U.S. governments and agencies 67   —   —   67   70   —   —   70 Corporate debt (44 )   —   —   (44 )   154   —   —   154 Preferred stock 17   —   —   17   23   —   —   23 Mortgages, mortgage-backed and asset-backed (42 )   —   —   (42 )   201   —   —   201 Municipals and money markets (3 )   —   —   (3 )   16   —   —   16 Total trading assets, excluding derivative contracts (63 )   —   —   (63 )   421   —   —   421 Derivative contracts, net 344   —   —   344   269   —   —   269 Investment securities available-for-sale:                               Mortgage-backed securities - non-agency MBSs —   (6 )   —   (6 )   —   (25 )   —   (25 ) Total investment securities available-for-sale —   (6 )   —   (6 )   —   (25 )   —   (25 ) Investment securities non-qualifying —   122   —   122   —   92   —   92 Total investment securities —   116   —   116   —   67   —   67 Loans, notes and mortgages —   17   —   17   —   185   —   185                                 Liabilities:                               Trading liabilities, excluding derivative contracts:                               Corporate debt (1 )   —   —   (1 )   (1 )   —   —   (1 ) Total trading liabilities, excluding derivative contracts (1 )   —   —   (1 )   (1 )   —   —   (1 ) Other payables — interest and other —   (20 )   —   (20 )   —   2   —   2 Long-term borrowings (10 )   8   —   (2 )   (102 )   (27 )   —   (129 )
Fair Value Inputs, Assets and Liabilities, Quantitative Information	The following tables present information about significant unobservable inputs related to material components of Merrill Lynch's Level 3 financial assets and liabilities as of June 30, 2012: Quantitative Information about Level 3 Fair Value Measurements (Dollars in millions)   Inputs Financial Instrument Fair Value Valuation Techniques Unobservable Inputs Ranges of Inputs Loans and Securities   Instruments backed by residential real estate assets $ 1,585 Discounted Cash Flow Yield 1% to 25% Loans, notes and mortgages 958 Prepayment Speeds 3% to 10% CPR Trading assets - Mortgages, mortgage-backed and asset-backed 627 Default Rates 1% to 3% CDR   Loss Severities 35% to 45% Instruments backed by commercial real estate assets $ 1,930 Discounted Cash Flow Yield 1% to 10% Loans, notes and mortgages 368 Loss Severities 33% to 97% Other assets 1,263 Trading assets - Mortgages, mortgage-backed and asset-backed 299 Commercial loans, debt securities and other $ 6,208 Discounted Cash Flow, Market Comparables Yield 0% to 20% Loans, notes and mortgages 450 Enterprise Value/EBITDA multiple 3x to 7x Trading assets - Mortgages, mortgage-backed and asset-backed 3,652 Prepayment Speed 5% to 25% Trading assets - Corporate debt 2,106 Default Rates 1% to 5%   Loss Severity 25% to 40% Auction Rate Securities Discounted Cash Flow, Market Comparables Projected tender price / re-financing level 50% to 100% Trading assets - Municipals and money markets $ 1,730 Long-term borrowings (structured notes)         Long-term borrowings $ 1,469 Industry Standard Derivative Pricing (1) Equity Correlation 30% to 97%   Long-Dated Volatilities 20% to 70% (1) Includes models such as Monte Carlo simulation and Black-Scholes. CPR = Constant Prepayment Rate CDR = Constant Default Rate Quantitative Information about Level 3 Fair Value Measurements (Dollars in millions)   Inputs Financial Instrument Fair Value Valuation Techniques Unobservable Inputs Ranges of Inputs Net Derivative Contracts      Credit derivatives $ 3,116 Discounted Cash Flow, Hazard Rate Model (1), Stochastic Recovery Correlation Model Yield 0% to 25%   Credit spreads 100bps to 500bps   Upfront points 53 to 99   Spread to index -2,000bps to 2,000bps   Credit correlation 30% to 80%   Prepayment speed 0% to 25% CPR   Default rates 0% to 5% CDR   Loss severity 0% to 70%    Equity derivatives $ (351 ) Industry Standard Derivative Pricing (2) Equity Correlation 30% to 97%   Long-Dated Volatilities 20% to 70%    Commodity derivatives $ (1 ) Discounted Cash Flow Long term Natural Gas basis curve  -$0.530 to $0.302    Interest rate derivatives $ 650 Industry Standard Derivative Pricing (2) Correlation (IR/IR) 15% to 100%   Correlation (FX/IR) -65% to 50%   Long Dated Inflation Rates 1.5% to 2.6%   Long Dated Inflation Volatilities 0.3% to 0.9%   Long Dated Volatilities (FX) 7% to 38%   Long Dated Swap Rates 9.5% to 10.3% Total net derivative contracts $ 3,414       (1)  The hazard rate model is an industry standard model for valuing CDS for single names or indices. (2)  Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. IR = Interest Rate FX = Foreign Exchange CPR = Constant Prepayment Rate CDR = Constant Default Rate
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis	The following tables show the fair value hierarchy for those assets and liabilities measured at fair value on a non-recurring basis as of June 30, 2012 and December 31, 2011, and related gains (losses) for the three and six month periods ended June 30, 2012 and June 30, 2011. (dollars in millions)               Non-Recurring Basis   Gains/(Losses)   Gains/(Losses)   Gains/(Losses)   Gains/(Losses)   as of June 30, 2012   Three Months Ended   Six Months Ended   Three Months Ended   Six Months Ended     Level 2   Level 3   Total   June 30, 2012   June 30, 2012   June 30, 2011   June 30, 2011 Assets:                             Investment securities non-qualifying   $ —   $ —   $ —   $ —   $ —   $ (1 )   $ (5 ) Loans, notes and mortgages   60   286   346   (53 )   (40 )   9   44 Other assets   1   1   2   —   —   (7 )   (7 ) Liabilities:                             Other payables — interest and other   $ —   $ 1   $ 1   $ 4   $ 3   $ —   $ (1 ) (dollars in millions)   Non-Recurring Basis   as of December 31, 2011     Level 2   Level 3   Total Assets:             Investment securities non-qualifying   $ —   $ 5   $ 5 Loans, notes and mortgages   298   245   543 Other assets   —   19   19
Fair Value Option	The following tables provide information about the line items in the Consolidated Statements of Earnings (Loss) where changes in fair values of assets and liabilities, for which the fair value option election has been made, are included for the three and six months ended June 30, 2012 and June 30, 2011. (dollars in millions)   Changes in Fair Value For the Three Months Ended June 30, 2012, for Items Measured at Fair Value Pursuant to the Fair Value Option Election     Changes in Fair Value For the Six Months Ended June 30, 2012, for Items Measured at Fair Value Pursuant to the Fair Value Option Election   Gains (Losses) Principal Transactions   Gains (Losses) Other Revenues   Total Changes in Fair Value     Gains (Losses) Principal Transactions   Gains (Losses) Other Revenues   Total Changes in Fair Value Assets:                         Receivables under resale agreements $ 5   $ —   $ 5     $ (29 )   $ —   $ (29 ) Investment securities —   (3 )   (3 )     —   2   2 Loans 3   (15 )   (12 )     29   77   106 Liabilities:                         Payables under repurchase agreements 9   —   9     (25 )   —   (25 ) Short-term borrowings 12   —   12     19   —   19 Other payables — interest and other —   (18 )   (18 )     —   31   31 Long-term borrowings 592   (21 )   571     (1,841 )   (21 )   (1,862 ) (dollars in millions)   Changes in Fair Value For the Three Months Ended June 30, 2011, for Items Measured at Fair Value Pursuant to the Fair Value Option Election     Changes in Fair Value For the Six Months Ended June 30, 2011, for Items Measured at Fair Value Pursuant to the Fair Value Option Election   Gains (Losses) Principal Transactions   Gains (Losses) Other Revenues   Total Changes in Fair Value     Gains (Losses) Principal Transactions   Gains (Losses) Other Revenues   Total Changes in Fair Value Assets:                         Receivables under resale agreements $ 87   $ —   $ 87     $ 28   $ —   $ 28 Investment securities —   1   1     —   30   30 Loans —   1   1     —   139   139 Liabilities:                         Payables under repurchase agreements (8 )   —   (8 )     3   —   3 Short-term borrowings 37   —   37     93   —   93 Other payables — interest and other —   3   3     —   16   16 Long-term borrowings (145 )   —   (145 )     (506 )   —   (506 )
Schedule Of Fair Value Option Elections	The following tables present the difference between fair values and the aggregate contractual principal amounts of receivables under resale agreements, receivables under securities borrowed transactions, loans and long-term borrowings for which the fair value option election has been made as of June 30, 2012 and December 31, 2011. (dollars in millions)             Fair Value at   Principal Amount Due Upon Maturity       June 30, 2012     Difference Assets:           Receivables under resale agreements $ 90,533   $ 90,107   $ 426 Receivables under securities borrowed transactions 500   514   (14 ) Loans (1) 3,223   3,995   (772 ) Liabilities:           Long-term borrowings (2) 30,803   33,133   (2,330 ) (1) Includes trading loans with a fair value of $401 million. (2) The majority of the difference between the fair value and principal amount due upon maturity at June 30, 2012 relates to the impact of changes in Merrill Lynch's credit spreads, as well as the fair value of the embedded derivative, where applicable. (dollars in millions)             Fair Value at   Principal Amount Due Upon Maturity       December 31, 2011     Difference Assets:           Receivables under resale agreements $ 85,652   $ 85,197   $ 455 Receivables under securities borrowed transactions 259   287   (28 ) Loans (1) 2,742   4,023   (1,281 ) Liabilities:           Long-term borrowings(2) 30,325   36,537   (6,212 ) (1) Includes loans held for sale with a fair value of $420 million, accounted for under the fair value option, which were reclassified to trading assets because they are risk managed on that basis. (2) The majority of the difference between the fair value and principal amount due upon maturity at December 31, 2011 relates to the impact of changes in Merrill Lynch's credit spreads, as well as the fair value of the embedded derivative, where applicable.