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
)