Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
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 December 31, 2012 and December 31, 2011, respectively.
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(dollars in millions) |
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Fair Value Measurements on a Recurring Basis |
|
as of December 31, 2012 |
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Netting Adj(1)
|
|
Total |
Assets: |
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|
|
|
|
|
|
|
|
Securities segregated for regulatory purposes or deposited with clearing organizations: |
|
|
|
|
|
|
|
|
|
Non-U.S. governments and agencies |
$ |
— |
|
|
$ |
1,833 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,833 |
|
U.S. Government and agencies |
3,558 |
|
|
250 |
|
|
— |
|
|
— |
|
|
3,808 |
|
Total securities segregated for regulatory purposes or deposited with clearing organizations |
3,558 |
|
|
2,083 |
|
|
— |
|
|
— |
|
|
5,641 |
|
Receivables under resale agreements |
— |
|
|
93,715 |
|
|
— |
|
|
— |
|
|
93,715 |
|
Receivables under securities borrowed transactions |
— |
|
|
961 |
|
|
— |
|
|
— |
|
|
961 |
|
Trading assets, excluding derivative contracts: |
|
|
|
|
|
|
|
|
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Equities |
23,813 |
|
|
12,340 |
|
|
178 |
|
|
— |
|
|
36,331 |
|
Convertible debentures |
— |
|
|
4,272 |
|
|
15 |
|
|
— |
|
|
4,287 |
|
Non-U.S. governments and agencies |
34,256 |
|
|
3,236 |
|
|
353 |
|
|
— |
|
|
37,845 |
|
Corporate debt |
— |
|
|
16,068 |
|
|
1,900 |
|
|
— |
|
|
17,968 |
|
Preferred stock |
— |
|
|
116 |
|
|
253 |
|
|
— |
|
|
369 |
|
Mortgages, mortgage-backed and asset-backed |
— |
|
|
5,799 |
|
|
4,814 |
|
|
— |
|
|
10,613 |
|
U.S. Government and agencies |
26,201 |
|
|
28,363 |
|
|
— |
|
|
— |
|
|
54,564 |
|
Municipals and money markets |
1,292 |
|
|
9,201 |
|
|
1,295 |
|
|
— |
|
|
11,788 |
|
Physical commodities and other |
— |
|
|
692 |
|
|
— |
|
|
— |
|
|
692 |
|
Total trading assets, excluding derivative contracts |
85,562 |
|
|
80,087 |
|
|
8,808 |
|
|
— |
|
|
174,457 |
|
Derivative contracts(2)
|
2,691 |
|
|
657,621 |
|
|
5,677 |
|
|
(641,138 |
) |
|
24,851 |
|
Investment securities available-for-sale: |
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|
|
|
|
|
|
|
|
U.S. Government and agencies |
390 |
|
|
— |
|
|
— |
|
|
— |
|
|
390 |
|
Securities, mortgage-backed and asset backed |
|
|
|
|
|
|
|
|
|
Non-agency MBS |
— |
|
|
40 |
|
|
— |
|
|
— |
|
|
40 |
|
Corporate ABS |
— |
|
|
218 |
|
|
8 |
|
|
— |
|
|
226 |
|
Total investment securities available-for-sale |
390 |
|
|
258 |
|
|
8 |
|
|
— |
|
|
656 |
|
Investment securities non-qualifying |
2,254 |
|
|
1,056 |
|
|
287 |
|
|
— |
|
|
3,597 |
|
Total investment securities |
2,644 |
|
|
1,314 |
|
|
295 |
|
|
— |
|
|
4,253 |
|
Securities received as collateral |
15,426 |
|
|
587 |
|
|
— |
|
|
— |
|
|
16,013 |
|
Loans, notes and mortgages |
— |
|
|
1,396 |
|
|
1,681 |
|
|
— |
|
|
3,077 |
|
Other |
— |
|
|
12 |
|
|
1,534 |
|
|
— |
|
|
1,546 |
|
Liabilities: |
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|
|
|
|
|
|
|
|
Payables under repurchase agreements |
— |
|
|
42,639 |
|
|
— |
|
|
— |
|
|
42,639 |
|
Short-term borrowings |
— |
|
|
3,283 |
|
|
— |
|
|
— |
|
|
3,283 |
|
Trading liabilities, excluding derivative contracts: |
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Equities |
16,225 |
|
|
2,557 |
|
|
— |
|
|
— |
|
|
18,782 |
|
Convertible debentures |
— |
|
|
175 |
|
|
— |
|
|
— |
|
|
175 |
|
Non-U.S. governments and agencies |
18,382 |
|
|
1,325 |
|
|
— |
|
|
— |
|
|
19,707 |
|
Corporate debt |
— |
|
|
7,912 |
|
|
31 |
|
|
— |
|
|
7,943 |
|
Preferred stock |
— |
|
|
83 |
|
|
— |
|
|
— |
|
|
83 |
|
U.S. Government and agencies |
19,276 |
|
|
910 |
|
|
— |
|
|
— |
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|
20,186 |
|
Municipals, money markets and other |
487 |
|
|
43 |
|
|
32 |
|
|
— |
|
|
562 |
|
Total trading liabilities, excluding derivative contracts |
54,370 |
|
|
13,005 |
|
|
63 |
|
|
— |
|
|
67,438 |
|
Derivative contracts(2)
|
2,449 |
|
|
659,271 |
|
|
4,133 |
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|
(645,285 |
) |
|
20,568 |
|
Obligation to return securities received as collateral |
15,426 |
|
|
587 |
|
|
— |
|
|
— |
|
|
16,013 |
|
Other payables — interest and other |
— |
|
|
50 |
|
|
7 |
|
|
— |
|
|
57 |
|
Long-term borrowings |
— |
|
|
29,559 |
|
|
1,316 |
|
|
— |
|
|
30,875 |
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|
|
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|
|
|
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(1) |
Represents counterparty and cash collateral netting. |
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|
(2) |
Refer to Note 6 for product level detail. |
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|
(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: |
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|
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|
|
|
|
|
|
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|
|
|
|
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 |
|
|
722,186 |
|
|
10,110 |
|
|
(699,015 |
) |
|
35,091 |
|
Investment securities available-for-sale: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government and agencies |
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. |
|
Fair Value, Assets and Liabilities Measured on Recurring Basis, Gain (Loss) Included in Earnings |
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(dollars in millions) |
|
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|
|
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|
|
|
|
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|
|
|
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|
Level 3 Financial Assets and Liabilities Year Ended December 31, 2010 |
|
|
|
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 |
|
Purchases, Issuances and Settlements |
|
Transfers In |
|
|
|
|
|
Beginning Balance |
|
Principal Transactions |
|
Other Revenue |
|
Interest |
|
|
|
|
|
Transfers Out |
|
Ending Balance |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading assets, excluding derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equities |
$ |
351 |
|
|
$ |
(17 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(17 |
) |
|
$ |
— |
|
|
$ |
(167 |
) |
|
$ |
130 |
|
|
$ |
(127 |
) |
|
$ |
170 |
|
Non-U.S. governments and agencies |
1,142 |
|
|
(143 |
) |
|
— |
|
|
— |
|
|
(143 |
) |
|
— |
|
|
(144 |
) |
|
103 |
|
|
(715 |
) |
|
243 |
|
Corporate debt |
6,790 |
|
|
398 |
|
|
— |
|
|
— |
|
|
398 |
|
|
— |
|
|
(2,271 |
) |
|
965 |
|
|
(1,277 |
) |
|
4,605 |
|
Preferred stock |
562 |
|
|
(34 |
) |
|
— |
|
|
— |
|
|
(34 |
) |
|
— |
|
|
(204 |
) |
|
— |
|
|
(37 |
) |
|
287 |
|
Mortgages, mortgage-backed and asset-backed |
7,294 |
|
|
253 |
|
|
— |
|
|
— |
|
|
253 |
|
|
— |
|
|
(1,793 |
) |
|
390 |
|
|
(397 |
) |
|
5,747 |
|
Municipals and money markets |
2,148 |
|
|
112 |
|
|
— |
|
|
— |
|
|
112 |
|
|
— |
|
|
(1,054 |
) |
|
1,234 |
|
|
(113 |
) |
|
2,327 |
|
Total trading assets, excluding derivative contracts |
18,287 |
|
|
569 |
|
|
— |
|
|
— |
|
|
569 |
|
|
— |
|
|
(5,633 |
) |
|
2,822 |
|
|
(2,666 |
) |
|
13,379 |
|
Derivative contracts, net |
6,866 |
|
|
(1,173 |
) |
|
— |
|
|
— |
|
|
(1,173 |
) |
|
— |
|
|
648 |
|
|
691 |
|
|
(664 |
) |
|
6,368 |
|
Investment securities available-for-sale : |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities — non-agency MBSs |
473 |
|
|
— |
|
|
(96 |
) |
|
31 |
|
|
(65 |
) |
|
(36 |
) |
|
(224 |
) |
|
77 |
|
|
(12 |
) |
|
213 |
|
Total investment securities available-for-sale |
473 |
|
|
— |
|
|
(96 |
) |
|
31 |
|
|
(65 |
) |
|
(36 |
) |
|
(224 |
) |
|
77 |
|
|
(12 |
) |
|
213 |
|
Investment securities non-qualifying |
3,696 |
|
|
— |
|
|
1,437 |
|
|
— |
|
|
1,437 |
|
|
— |
|
|
(1,540 |
) |
|
— |
|
|
(199 |
) |
|
3,394 |
|
Total investment securities |
4,169 |
|
|
— |
|
|
1,341 |
|
|
31 |
|
|
1,372 |
|
|
(36 |
) |
|
(1,764 |
) |
|
77 |
|
|
(211 |
) |
|
3,607 |
|
Loans, notes and mortgages |
4,115 |
|
|
— |
|
|
133 |
|
|
144 |
|
|
277 |
|
|
— |
|
|
(2,420 |
) |
|
28 |
|
|
(109 |
) |
|
1,891 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading liabilities, excluding derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. governments and agencies |
386 |
|
|
23 |
|
|
— |
|
|
— |
|
|
23 |
|
|
— |
|
|
17 |
|
|
— |
|
|
(380 |
) |
|
— |
|
Total trading liabilities, excluding derivative contracts |
386 |
|
|
23 |
|
|
— |
|
|
— |
|
|
23 |
|
|
— |
|
|
17 |
|
|
— |
|
|
(380 |
) |
|
— |
|
Other payables - interest and other |
186 |
|
|
— |
|
|
44 |
|
|
— |
|
|
44 |
|
|
— |
|
|
(16 |
) |
|
— |
|
|
— |
|
|
126 |
|
Long-term borrowings |
4,683 |
|
|
676 |
|
|
41 |
|
|
— |
|
|
717 |
|
|
— |
|
|
(1,254 |
) |
|
1,353 |
|
|
(1,669 |
) |
|
2,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following tables provide a summary of changes in Merrill Lynch’s Level 3 financial assets and liabilities for the years ended December 31, 2012, December 31, 2011 and December 31, 2010.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Financial Assets and Liabilities Year Ended December 31, 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 |
|
|
$ |
(12 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(12 |
) |
|
$ |
— |
|
|
$ |
(77 |
) |
|
$ |
90 |
|
|
$ |
— |
|
|
$ |
(18 |
) |
|
$ |
85 |
|
|
$ |
(69 |
) |
|
$ |
178 |
|
Convertible debentures |
99 |
|
|
(1 |
) |
|
— |
|
|
— |
|
|
(1 |
) |
|
— |
|
|
(56 |
) |
|
2 |
|
|
— |
|
|
(20 |
) |
|
10 |
|
|
(19 |
) |
|
15 |
|
Non-U.S. governments and agencies |
342 |
|
|
8 |
|
|
— |
|
|
— |
|
|
8 |
|
|
— |
|
|
(357 |
) |
|
387 |
|
|
— |
|
|
(6 |
) |
|
1 |
|
|
(22 |
) |
|
353 |
|
Corporate debt(1)
|
3,962 |
|
|
104 |
|
|
— |
|
|
— |
|
|
104 |
|
|
— |
|
|
(2,232 |
) |
|
1,145 |
|
|
— |
|
|
(634 |
) |
|
357 |
|
|
(802 |
) |
|
1,900 |
|
Preferred stock |
227 |
|
|
39 |
|
|
— |
|
|
— |
|
|
39 |
|
|
— |
|
|
(120 |
) |
|
111 |
|
|
— |
|
|
(1 |
) |
|
5 |
|
|
(8 |
) |
|
253 |
|
Mortgages, mortgage-backed and asset-backed(1)
|
3,199 |
|
|
171 |
|
|
— |
|
|
— |
|
|
171 |
|
|
— |
|
|
(1,230 |
) |
|
2,535 |
|
|
— |
|
|
(579 |
) |
|
833 |
|
|
(115 |
) |
|
4,814 |
|
Municipals and money markets |
2,047 |
|
|
32 |
|
|
— |
|
|
— |
|
|
32 |
|
|
— |
|
|
(1,013 |
) |
|
466 |
|
|
— |
|
|
(209 |
) |
|
— |
|
|
(28 |
) |
|
1,295 |
|
Total trading assets, excluding derivative contracts |
10,055 |
|
|
341 |
|
|
— |
|
|
— |
|
|
341 |
|
|
— |
|
|
(5,085 |
) |
|
4,736 |
|
|
— |
|
|
(1,467 |
) |
|
1,291 |
|
|
(1,063 |
) |
|
8,808 |
|
Derivative contracts, net |
4,495 |
|
|
(1,902 |
) |
|
— |
|
|
— |
|
|
(1,902 |
) |
|
— |
|
|
(495 |
) |
|
680 |
|
|
— |
|
|
(709 |
) |
|
(177 |
) |
|
(348 |
) |
|
1,544 |
|
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 |
|
|
— |
|
|
(9 |
) |
|
— |
|
|
(9 |
) |
|
2 |
|
|
(146 |
) |
|
61 |
|
|
— |
|
|
(195 |
) |
|
— |
|
|
— |
|
|
287 |
|
Total investment securities |
621 |
|
|
— |
|
|
(11 |
) |
|
— |
|
|
(11 |
) |
|
2 |
|
|
(146 |
) |
|
61 |
|
|
— |
|
|
(232 |
) |
|
— |
|
|
— |
|
|
295 |
|
Loans, notes and mortgages |
1,726 |
|
|
— |
|
|
205 |
|
|
30 |
|
|
235 |
|
|
— |
|
|
(382 |
) |
|
195 |
|
|
— |
|
|
(104 |
) |
|
11 |
|
|
— |
|
|
1,681 |
|
Other |
1,349 |
|
|
— |
|
|
(85 |
) |
|
— |
|
|
(85 |
) |
|
— |
|
|
— |
|
|
— |
|
|
270 |
|
|
— |
|
|
— |
|
|
— |
|
|
1,534 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading liabilities, excluding derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate debt |
52 |
|
|
2 |
|
|
— |
|
|
— |
|
|
2 |
|
|
— |
|
|
76 |
|
|
(61 |
) |
|
— |
|
|
1 |
|
|
6 |
|
|
(41 |
) |
|
31 |
|
Preferred stock |
16 |
|
|
(2 |
) |
|
— |
|
|
— |
|
|
(2 |
) |
|
— |
|
|
9 |
|
|
(14 |
) |
|
— |
|
|
— |
|
|
— |
|
|
(13 |
) |
|
— |
|
Municipals, money markets and other |
45 |
|
|
7 |
|
|
— |
|
|
— |
|
|
7 |
|
|
— |
|
|
21 |
|
|
(28 |
) |
|
1 |
|
|
— |
|
|
— |
|
|
— |
|
|
32 |
|
Total trading liabilities, excluding derivative contracts |
113 |
|
|
7 |
|
|
— |
|
|
— |
|
|
7 |
|
|
— |
|
|
106 |
|
|
(103 |
) |
|
1 |
|
|
1 |
|
|
6 |
|
|
(54 |
) |
|
63 |
|
Other payables - interest and other |
10 |
|
|
— |
|
|
3 |
|
|
— |
|
|
3 |
|
|
— |
|
|
— |
|
|
(4 |
) |
|
6 |
|
|
— |
|
|
2 |
|
|
(4 |
) |
|
7 |
|
Long-term borrowings |
2,186 |
|
|
(133 |
) |
|
(54 |
) |
|
— |
|
|
(187 |
) |
|
— |
|
|
33 |
|
|
(188 |
) |
|
103 |
|
|
(826 |
) |
|
980 |
|
|
(1,159 |
) |
|
1,316 |
|
|
|
(1) |
During the year ended December 31, 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Financial Assets and Liabilities Year Ended December 31, 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 |
|
|
|
|
|
|
|
|
|
|
|
Beginning Balance |
|
Principal Transactions |
|
Other Revenue |
|
Interest |
|
|
|
|
|
Issuances |
|
Settlements |
|
Transfers In |
|
Transfers Out |
|
Ending Balance |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading assets, excluding derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equities |
$ |
170 |
|
|
$ |
15 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
15 |
|
|
$ |
— |
|
|
$ |
(159 |
) |
|
$ |
232 |
|
|
$ |
— |
|
|
$ |
(64 |
) |
|
$ |
11 |
|
|
$ |
(26 |
) |
|
$ |
179 |
|
Convertible debentures |
— |
|
|
3 |
|
|
— |
|
|
— |
|
|
3 |
|
|
— |
|
|
(106 |
) |
|
298 |
|
|
— |
|
|
(4 |
) |
|
36 |
|
|
(128 |
) |
|
99 |
|
Non-U.S. governments and agencies |
243 |
|
|
87 |
|
|
— |
|
|
— |
|
|
87 |
|
|
— |
|
|
(137 |
) |
|
188 |
|
|
— |
|
|
(3 |
) |
|
8 |
|
|
(44 |
) |
|
342 |
|
Corporate debt |
4,605 |
|
|
163 |
|
|
— |
|
|
— |
|
|
163 |
|
|
— |
|
|
(3,198 |
) |
|
2,596 |
|
|
— |
|
|
(459 |
) |
|
832 |
|
|
(577 |
) |
|
3,962 |
|
Preferred stock |
287 |
|
|
30 |
|
|
— |
|
|
— |
|
|
30 |
|
|
— |
|
|
(201 |
) |
|
66 |
|
|
— |
|
|
(76 |
) |
|
121 |
|
|
— |
|
|
227 |
|
Mortgages, mortgage-backed and asset-backed |
5,747 |
|
|
221 |
|
|
— |
|
|
— |
|
|
221 |
|
|
— |
|
|
(3,759 |
) |
|
1,820 |
|
|
— |
|
|
(196 |
) |
|
3 |
|
|
(637 |
) |
|
3,199 |
|
Municipals and money markets |
2,327 |
|
|
60 |
|
|
— |
|
|
— |
|
|
60 |
|
|
— |
|
|
(2,133 |
) |
|
2,097 |
|
|
— |
|
|
(425 |
) |
|
126 |
|
|
(5 |
) |
|
2,047 |
|
Total trading assets, excluding derivative contracts |
13,379 |
|
|
579 |
|
|
— |
|
|
— |
|
|
579 |
|
|
— |
|
|
(9,693 |
) |
|
7,297 |
|
|
— |
|
|
(1,227 |
) |
|
1,137 |
|
|
(1,417 |
) |
|
10,055 |
|
Derivative contracts, net |
6,368 |
|
|
809 |
|
|
— |
|
|
— |
|
|
809 |
|
|
— |
|
|
(884 |
) |
|
929 |
|
|
— |
|
|
(3,211 |
) |
|
1,146 |
|
|
(662 |
) |
|
4,495 |
|
Investment securities available-for-sale : |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities — agency CMOs |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(55 |
) |
|
56 |
|
|
— |
|
|
(1 |
) |
|
— |
|
|
— |
|
|
— |
|
Mortgage-backed securities — non-agency MBSs |
213 |
|
|
— |
|
|
(19 |
) |
|
— |
|
|
(19 |
) |
|
(38 |
) |
|
(167 |
) |
|
11 |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Corporate ABS |
— |
|
|
— |
|
|
(16 |
) |
|
— |
|
|
(16 |
) |
|
— |
|
|
— |
|
|
304 |
|
|
— |
|
|
— |
|
|
— |
|
|
(241 |
) |
|
47 |
|
Total investment securities available-for-sale |
213 |
|
|
— |
|
|
(35 |
) |
|
— |
|
|
(35 |
) |
|
(38 |
) |
|
(222 |
) |
|
371 |
|
|
— |
|
|
(1 |
) |
|
— |
|
|
(241 |
) |
|
47 |
|
Investment securities non-qualifying |
3,394 |
|
|
— |
|
|
476 |
|
|
— |
|
|
476 |
|
|
— |
|
|
(1,575 |
) |
|
92 |
|
|
— |
|
|
(298 |
) |
|
375 |
|
|
(1,890 |
) |
|
574 |
|
Total investment securities |
3,607 |
|
|
— |
|
|
441 |
|
|
— |
|
|
441 |
|
|
(38 |
) |
|
(1,797 |
) |
|
463 |
|
|
— |
|
|
(299 |
) |
|
375 |
|
|
(2,131 |
) |
|
621 |
|
Loans, notes and mortgages |
1,891 |
|
|
— |
|
|
155 |
|
|
34 |
|
|
189 |
|
|
— |
|
|
(669 |
) |
|
154 |
|
|
665 |
|
|
(273 |
) |
|
135 |
|
|
(366 |
) |
|
1,726 |
|
Other Assets |
— |
|
|
— |
|
|
(229 |
) |
|
— |
|
|
(229 |
) |
|
— |
|
|
— |
|
|
1,578 |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
1,349 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading liabilities, excluding derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate debt |
— |
|
|
1 |
|
|
— |
|
|
— |
|
|
1 |
|
|
— |
|
|
120 |
|
|
(94 |
) |
|
— |
|
|
— |
|
|
37 |
|
|
(10 |
) |
|
52 |
|
Preferred stock |
— |
|
|
4 |
|
|
— |
|
|
— |
|
|
4 |
|
|
— |
|
|
27 |
|
|
(7 |
) |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
16 |
|
Municipals, money markets and other |
— |
|
|
(2 |
) |
|
— |
|
|
— |
|
|
(2 |
) |
|
— |
|
|
35 |
|
|
(20 |
) |
|
— |
|
|
— |
|
|
28 |
|
|
— |
|
|
45 |
|
Total trading liabilities, excluding derivative contracts |
— |
|
|
3 |
|
|
— |
|
|
— |
|
|
3 |
|
|
— |
|
|
182 |
|
|
(121 |
) |
|
— |
| |