Annual report pursuant to Section 13 and 15(d)

Fair Value Disclosures (Tables)

v2.4.0.6
Fair Value Disclosures (Tables)
 12 Months Ended
Dec. 31, 2012
Fair Value Disclosures [Abstract]  
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.
(dollars in millions)
 
Fair Value Measurements on a Recurring Basis
 
as of December 31, 2012
 
Level 1
 
Level 2
 
Level 3
 
Netting
Adj(1)
 
Total
Assets:
 
 
 
 
 
 
 
 
 
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:
 
 
 
 
 
 
 
 
 
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:
 
 
 
 
 
 
 
 
 
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:
 
 
 
 
 
 
 
 
 
Payables under repurchase agreements
—

 
42,639

 
—

 
—

 
42,639

Short-term borrowings
—

 
3,283

 
—

 
—

 
3,283

Trading liabilities, excluding derivative contracts:
 
 
 
 
 
 
 
 
 
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

 
—

 
—

 
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

 
(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

 
 
 
 
 
 
 
 
 
 
(1)
Represents counterparty and cash collateral netting.
(2)
Refer to Note 6 for product level detail.

(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

 
722,186

 
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
(dollars in millions)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
)
 
—