Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v2.4.0.6
Securitizations and Other Variable Interest Entities (Tables)
9 Months Ended
Sep. 30, 2012
Loan Variable Interest Entities [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities [Table Text Block]
The following table summarizes certain information related to Loan VIEs in which Merrill Lynch is either the transferor, servicer or sponsor and holds a variable interest as of September 30, 2012 and December 31, 2011.

(dollars in millions)
 
 
Non-Agency
 
 
Prime
 
Subprime
 
Commercial Mortgage
 
 
September 30,
2012
 
December 31,
2011
 
September 30,
2012
 
December 31,
2011
 
September 30,
2012
 
December 31,
2011
Unconsolidated VIEs:
 
 

 
 

 
 

 
 

 
 

 
 

Maximum loss exposure(1)
 
$
12

 
$
16

 
$
48

 
$
52

 
$
121

 
$
130

Senior securities held
 
 

 
 

 
 

 
 

 
 

 
 

Trading assets
 
$
3

 
$
1

 
$
1

 
$
2

 
$
9

 
$
19

Subordinated securities held
 
 

 
 

 
 

 
 

 
 

 
 

Trading assets
 

 

 
2

 
8

 
9

 
1

Residual interests held
 
3

 
8

 

 

 
40

 
42

Total retained securities(2)
 
$
6

 
$
9

 
$
3

 
$
10

 
$
58

 
$
62

Principal balance outstanding(3)
 
$
254

 
$
191

 
$
5,981

 
$
6,192

 
$
17,907

 
$
24,545

 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Maximum loss exposure excludes liabilities for representations and warranties.
(2)
Substantially all of the securities were in Level 2 in the fair value hierarchy.
(3)
Principal balance outstanding includes those loans that Merrill Lynch transferred and with which it has continuing involvement.

Municipal Bond Trusts [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities [Table Text Block]
The following table summarizes certain information related to municipal bond trusts in which Merrill Lynch holds a variable interest as of September 30, 2012 and December 31, 2011.

(dollars in millions)
 
September 30, 2012
 
December 31, 2011
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum Loss Exposure
$
2,839

 
$
802

 
$
3,641

 
$
3,713

 
$
920

 
$
4,633

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading assets
$
2,839

 
$
38

 
$
2,877

 
$
3,713

 
$
178

 
$
3,891

Total
$
2,839

 
$
38

 
$
2,877

 
$
3,713

 
$
178

 
$
3,891

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Short-term borrowings
$
2,732

 
$

 
$
2,732

 
$
4,939

 
$

 
$
4,939

Payables to Bank of America
1,184

 

 
1,184

 

 

 

Total
$
3,916

 
$

 
$
3,916

 
$
4,939

 
$

 
$
4,939

Total assets of VIEs
$
2,839

 
$
973

 
$
3,812

 
$
3,713

 
$
1,154

 
$
4,867

 
 
 
 
 
 
 
 
 
 
 
 
Collateralized Debt Obligations [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities [Table Text Block]
The following table summarizes certain information related to CDO vehicles in which Merrill Lynch holds a variable interest as of September 30, 2012 and December 31, 2011.

(dollars in millions)
 
September 30, 2012
 
December 31, 2011
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum Loss Exposure
$
2,212

 
$
1,489

 
$
3,701

 
$
1,695

 
$
2,185

 
$
3,880

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading assets
$
2,212

 
$
262

 
$
2,474

 
$
1,844

 
$
397

 
$
2,241

Derivative contracts

 
380

 
380

 

 
678

 
678

Other assets

 
56

 
56

 

 
72

 
72

Total
$
2,212

 
$
698

 
$
2,910

 
$
1,844

 
$
1,147

 
$
2,991

On-balance sheet liabilities
 

 
 

 
 

 
 

 


 


Derivative contracts
$

 
$
7

 
$
7

 
$

 
$
11

 
$
11

Long-term borrowings
2,839

 

 
2,839

 
2,712

 

 
2,712

Total
$
2,839

 
$
7

 
$
2,846

 
$
2,712

 
$
11

 
$
2,723

Total assets of VIEs
$
2,212

 
$
27,630

 
$
29,842

 
$
1,844

 
$
32,847

 
$
34,691

 
 
 
 
 
 
 
 
 
 
 
 
Customer Vehicles [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities [Table Text Block]
The following table summarizes certain information related to customer vehicles in which Merrill Lynch holds a variable interest as of September 30, 2012 and December 31, 2011.

(dollars in millions)
 
September 30, 2012
 
December 31, 2011
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum Loss Exposure
$
1,633

 
$
1,952

 
$
3,585

 
$
2,333

 
$
2,106

 
$
4,439

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading assets
$
3,599

 
$
283

 
$
3,882

 
$
3,243

 
$
211

 
$
3,454

Derivative contracts

 
651

 
651

 

 
896

 
896

Other assets
758

 

 
758

 
1,446

 

 
1,446

Total
$
4,357

 
$
934

 
$
5,291

 
$
4,689

 
$
1,107

 
$
5,796

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Derivative contracts
$
15

 
$
52

 
$
67

 
$
4

 
$
42

 
$
46

Short-term borrowings
142

 

 
142

 

 

 

Long-term borrowings
3,732

 

 
3,732

 
3,873

 

 
3,873

Other liabilities
1

 
431

 
432

 
1

 
448

 
449

Total
$
3,890

 
$
483

 
$
4,373

 
$
3,878

 
$
490

 
$
4,368

Total assets of VIEs
$
4,357

 
$
4,562

 
$
8,919

 
$
4,689

 
$
5,265

 
$
9,954

 
 
 
 
 
 
 
 
 
 
 
 
Real Estate and Other Variable Risk Entities [Member]
 
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities [Table Text Block]
The following table summarizes certain information related to Real Estate and other VIEs in which Merrill Lynch holds a variable interest as of September 30, 2012 and December 31, 2011.

(dollars in millions)
 
September 30, 2012
 
December 31, 2011
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum Loss Exposure
$
639

 
$
3,042

 
$
3,681

 
$
1,821

 
$
4,631

 
$
6,452

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading assets
$
1,401

 
$
1,812

 
$
3,213

 
$

 
$
2,980

 
$
2,980

Derivative contracts

 
432

 
432

 

 
440

 
440

Investment securities
41

 
43

 
84

 
162

 
62

 
224

Loans, notes, and mortgages
21

 
468

 
489

 
94

 
804

 
898

Other assets
27

 
288

 
315

 
1,575

 
344

 
1,919

Total
$
1,490

 
$
3,043

 
$
4,533

 
$
1,831

 
$
4,630

 
$
6,461

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Long-term borrowings
$
852

 
$

 
$
852

 
$
10

 
$

 
$
10

Other liabilities
171

 
2

 
173

 
185

 
265

 
450

Total
$
1,023

 
$
2

 
$
1,025

 
$
195

 
$
265

 
$
460

Total assets of VIEs
$
1,490

 
$
21,493

 
$
22,983

 
$
1,831

 
$
26,731

 
$
28,562