|
Derivatives (Tables)
|
12 Months Ended |
|
Dec. 31, 2012
|
| Derivative [Line Items] |
|
| Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location |
Fair value hedges
The table below summarizes certain information related to fair value hedges for 2012, 2011 and 2010, including hedges of interest rate risk on long-term borrowings that were adjusted and redesignated as part of Bank of America's acquisition of Merrill Lynch. At redesignation, the fair value of the derivatives was negative. As the derivatives mature, their fair value will approach zero. As a result, ineffectiveness may occur and the fair value changes in the derivatives and the long-term borrowings being hedged may be directionally the same in certain scenarios. Based on a regression analysis, the derivatives continue to be highly effective at offsetting changes in the fair value of the long-term borrowings attributable to interest rate risk.
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
|
|
|
|
|
|
2012 |
2011 |
|
Derivative (1)
|
Hedged Item (1)(2)
|
Hedge Ineffectiveness (1)
|
Derivative (1)
|
Hedged Item (1)(2)
|
Hedge Ineffectiveness (1)
|
For the year ended December 31: |
|
|
|
|
|
|
Interest rate risk on USD denominated long-term borrowings |
$ |
(260 |
) |
$ |
(355 |
) |
$ |
(615 |
) |
$ |
1,696 |
|
$ |
(2,203 |
) |
$ |
(507 |
) |
Interest rate risk on foreign currency denominated long-term borrowings |
(523 |
) |
326 |
|
(197 |
) |
120 |
|
(333 |
) |
(213 |
) |
Commodity price risk on commodity inventory |
(6 |
) |
6 |
|
— |
|
16 |
|
(16 |
) |
— |
|
|
|
|
|
|
|
|
|
2010 |
|
|
|
For the year ended December 31: |
|
|
|
|
|
|
Interest rate risk on USD denominated long-term borrowings |
$ |
1,208 |
|
$ |
(1,651 |
) |
$ |
(443 |
) |
|
|
|
Interest rate risk on foreign currency denominated long-term borrowings |
(413 |
) |
105 |
|
(308 |
) |
|
|
|
Commodity price risk on commodity inventory |
19 |
|
(20 |
) |
(1 |
) |
|
|
|
|
|
|
|
|
|
|
|
2012 |
|
2011 |
|
|
Trading Assets |
Trading Liabilities |
|
Trading Assets |
Trading Liabilities |
|
|
|
|
|
|
|
|
As of December 31: |
|
|
|
|
|
|
Carrying value of hedging derivatives: |
|
|
|
|
|
|
Long-term borrowings |
$ |
5,706 |
|
$ |
664 |
|
|
$ |
6,940 |
|
$ |
841 |
|
|
Commodity inventory |
48 |
|
2 |
|
|
70 |
|
5 |
|
|
Notional amount of hedging derivatives: |
|
|
|
|
|
|
Long-term borrowings |
36,932 |
|
9,676 |
|
|
44,180 |
|
11,092 |
|
|
Commodity inventory |
124 |
|
3 |
|
|
152 |
|
6 |
|
|
|
|
(1) |
Amounts are recorded in interest expense and other revenues for long-term borrowings and principal transactions for commodity inventory. |
|
|
(2) |
Excludes the impact of the accretion of purchase accounting adjustments made to certain long-term borrowings in connection with the acquisition of Merrill Lynch by Bank of America. |
|
| Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] |
Cash flow hedges
|
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|
(dollars in millions) |
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|
|
|
|
|
2011 |
2010 |
|
Gains (losses) Recognized in Accumulated OCI on derivatives
|
Gains (losses) in Income Reclassified from Accumulated OCI (1)
|
Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1)
|
Gains (losses) Recognized in Accumulated OCI on derivatives
|
Gains (losses) in Income Reclassified from Accumulated OCI (1)
|
Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1)
|
For the year ended December 31: |
|
|
|
|
|
|
Commodity price risk on forecasted purchases and sales (2)
|
$ |
(3 |
) |
$ |
6 |
|
$ |
(3 |
) |
$ |
32 |
|
$ |
25 |
|
$ |
11 |
|
|
|
|
|
|
|
|
|
|
(1) |
Amounts are recorded in principal transactions. |
|
|
(2) |
There were no carrying values of hedging derivatives as of December 31, 2012 and 2011, and there were no gains (losses) in the year ended 2012, as all cash flow hedges were de-designated during the year ended December 31, 2011. |
|
| Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location |
Net investment hedges of foreign operations
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
(dollars in millions) |
|
|
|
|
|
|
|
|
|
2012 |
|
|
|
|
2011 |
|
|
Gains (losses) Recognized in Accumulated OCI |
Gains (losses) in Income Reclassified from Accumulated OCI (1)
|
Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1)
|
|
Gains (losses) Recognized in Accumulated OCI |
Gains (losses) in Income Reclassified from Accumulated OCI (1)
|
Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1)
|
For the year ended December 31: |
|
|
|
|
|
|
|
|
|
Foreign exchange risk |
$ |
(150 |
) |
$ |
(49 |
) |
$ |
(133 |
) |
|
$ |
447 |
|
$ |
(43 |
) |
$ |
(378 |
) |
|
|
|
|
|
|
|
|
|
|
2010 |
|
|
|
|
|
For the year ended December 31: |
|
|
|
|
|
|
|
|
Foreign exchange risk |
$ |
(672 |
) |
$ |
(35 |
) |
$ |
(211 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012 |
|
|
|
2011 |
|
As of December 31: |
|
|
|
|
|
|
|
Carrying value of hedging derivatives |
|
|
|
|
|
|
|
Trading assets |
|
$ |
425 |
|
|
|
|
$ |
690 |
|
|
Trading liabilities |
|
618 |
|
|
|
|
492 |
|
|
Carrying value of non-derivative hedges |
|
|
|
|
|
|
|
Long-term borrowings |
|
— |
|
|
|
|
61 |
|
|
Notional amount of hedging derivatives |
|
|
|
|
|
|
|
in an asset position |
|
5,140 |
|
|
|
|
20,068 |
|
|
in a liability position |
|
19,391 |
|
|
|
|
7,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Amounts are recorded in other revenues. |
|
| Schedule of Economic Hedges |
Net gains (losses) on other risk management derivatives
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
|
|
|
|
|
|
2012(1)
|
|
2011(1)
|
2010(1)
|
For the year ended December 31: |
|
|
|
|
|
|
|
Interest rate risk |
|
$ |
15 |
|
|
$ |
185 |
|
$ |
314 |
|
Foreign currency risk |
|
(273 |
) |
|
(550 |
) |
(1,583 |
) |
Credit risk |
|
(72 |
) |
|
47 |
|
(35 |
) |
|
|
(1) |
Amounts are recorded in other revenues and interest expense. |
|
| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The following tables identify the primary risk for derivative instruments, which includes trading, non-trading and bifurcated embedded derivatives, at December 31, 2012 and December 31, 2011. The primary risk is provided on a gross basis, prior to the application of counterparty and cash collateral netting.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
As of December 31, 2012 |
|
Contract/
Notional
|
|
Trading Assets-
Derivative Contracts
|
|
Contract/
Notional
|
|
Trading Liabilities-
Derivative Contracts
|
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
|
Swaps |
$ |
7,887,346 |
|
|
$ |
519,123 |
|
|
$ |
7,963,410 |
|
|
$ |
514,689 |
|
Futures and forwards |
2,245,535 |
|
|
1,661 |
|
|
2,257,693 |
|
|
1,423 |
|
Written options |
— |
|
|
— |
|
|
1,333,460 |
|
|
64,295 |
|
Purchased options |
1,271,613 |
|
|
67,251 |
|
|
— |
|
|
— |
|
Foreign exchange contracts |
|
|
|
|
|
|
|
Swaps |
752,596 |
|
|
26,797 |
|
|
793,944 |
|
|
32,918 |
|
Spot, futures and forwards |
124,702 |
|
|
2,740 |
|
|
131,334 |
|
|
3,272 |
|
Written options |
— |
|
|
— |
|
|
211,069 |
|
|
5,154 |
|
Purchased options |
194,435 |
|
|
4,770 |
|
|
— |
|
|
— |
|
Equity contracts |
|
|
|
|
|
|
|
Swaps |
29,719 |
|
|
1,077 |
|
|
25,139 |
|
|
1,274 |
|
Futures and forwards |
24,113 |
|
|
966 |
|
|
33,532 |
|
|
1,015 |
|
Written options |
— |
|
|
— |
|
|
257,345 |
|
|
15,402 |
|
Purchased options |
246,517 |
|
|
14,216 |
|
|
— |
|
|
— |
|
Commodity contracts |
|
|
|
|
|
|
|
Swaps |
28,057 |
|
|
2,477 |
|
|
26,140 |
|
|
3,990 |
|
Futures and forwards |
258,703 |
|
|
4,759 |
|
|
240,179 |
|
|
2,663 |
|
Written options |
— |
|
|
— |
|
|
163,516 |
|
|
7,256 |
|
Purchased options |
164,633 |
|
|
7,042 |
|
|
— |
|
|
— |
|
Credit derivatives |
|
|
|
|
|
|
|
Purchased protection: |
|
|
|
|
|
|
|
Credit default swaps |
103,042 |
|
|
9,644 |
|
|
103,839 |
|
|
2,120 |
|
Total return swaps |
7,807 |
|
|
691 |
|
|
5,003 |
|
|
1,226 |
|
Other credit derivatives |
215 |
|
|
1 |
|
|
13 |
|
|
— |
|
Written protection: |
|
|
|
|
|
|
|
Credit default swaps |
102,888 |
|
|
2,640 |
|
|
103,988 |
|
|
8,947 |
|
Total return swaps |
7,204 |
|
|
133 |
|
|
13,761 |
|
|
207 |
|
Other credit derivatives |
— |
|
|
1 |
|
|
212 |
|
|
2 |
|
Gross derivative assets/liabilities |
$ |
13,449,125 |
|
|
665,989 |
|
|
$ |
13,663,577 |
|
|
665,853 |
|
Less: Legally enforceable master netting |
|
|
|
(613,145 |
) |
|
|
|
|
(613,145 |
) |
Less: Cash collateral applied |
|
|
|
(27,993 |
) |
|
|
|
|
(32,140 |
) |
Total derivative assets and liabilities |
|
|
|
$ |
24,851 |
|
|
|
|
|
$ |
20,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
As of December 31, 2011 |
|
Contract/
Notional
|
|
Trading Assets-
Derivative Contracts
|
|
Contract/
Notional
|
|
Trading Liabilities-
Derivative Contracts
|
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
|
Swaps |
$ |
8,196,809 |
|
|
$ |
564,774 |
|
|
$ |
7,978,404 |
|
|
$ |
560,638 |
|
Futures and forwards |
2,117,971 |
|
|
1,510 |
|
|
2,003,741 |
|
|
1,339 |
|
Written options |
— |
|
|
— |
|
|
1,419,278 |
|
|
66,733 |
|
Purchased options |
1,336,149 |
|
|
69,812 |
|
|
— |
|
|
— |
|
Foreign exchange contracts |
|
|
|
|
|
|
|
|
|
Swaps |
766,899 |
|
|
27,312 |
|
|
798,173 |
|
|
35,299 |
|
Spot, futures and forwards |
104,356 |
|
|
3,887 |
|
|
98,411 |
|
|
3,791 |
|
Written options |
— |
|
|
— |
|
|
249,575 |
|
|
7,437 |
|
Purchased options |
236,465 |
|
|
7,220 |
|
|
— |
|
|
— |
|
Equity contracts |
|
|
|
|
|
|
|
|
|
|
|
Swaps |
23,233 |
|
|
1,028 |
|
|
22,887 |
|
|
1,141 |
|
Futures and forwards |
30,791 |
|
|
1,747 |
|
|
20,988 |
|
|
1,450 |
|
Written options |
— |
|
|
— |
|
|
345,947 |
|
|
14,596 |
|
Purchased options |
341,731 |
|
|
14,816 |
|
|
— |
|
|
— |
|
Commodity contracts |
|
|
|
|
|
|
|
|
|
|
|
Swaps |
35,681 |
|
|
4,823 |
|
|
36,391 |
|
|
5,799 |
|
Futures and forwards |
233,567 |
|
|
5,254 |
|
|
236,919 |
|
|
3,183 |
|
Written options |
— |
|
|
— |
|
|
140,600 |
|
|
9,443 |
|
Purchased options |
139,312 |
|
|
9,426 |
|
|
— |
|
|
— |
|
Credit derivatives |
|
|
|
|
|
|
|
|
|
|
|
Purchased protection: |
|
|
|
|
|
|
|
|
|
|
|
Credit default swaps |
174,857 |
|
|
20,124 |
|
|
67,664 |
|
|
1,416 |
|
Total return swaps |
2,771 |
|
|
407 |
|
|
3,493 |
|
|
291 |
|
Other credit derivatives |
274 |
|
|
3 |
|
|
25 |
|
|
— |
|
Written protection: |
|
|
|
|
|
|
|
|
|
|
Credit default swaps |
66,841 |
|
|
1,737 |
|
|
179,907 |
|
|
19,061 |
|
Total return swaps |
4,350 |
|
|
226 |
|
|
1,239 |
|
|
129 |
|
Other credit derivatives |
— |
|
|
— |
|
|
25 |
|
|
1 |
|
Gross derivative assets/liabilities |
$ |
13,812,057 |
|
|
734,106 |
|
|
$ |
13,603,667 |
|
|
731,747 |
|
Less: Legally enforceable master netting |
|
|
|
(672,524 |
) |
|
|
|
|
(672,524 |
) |
Less: Cash collateral applied |
|
|
|
(26,491 |
) |
|
|
|
|
(32,984 |
) |
Total derivative assets and liabilities |
|
|
|
$ |
35,091 |
|
|
|
|
|
$ |
26,239 |
|
|
|
|
|
|
|
|
|
|
| Schedule of Derivative Instruments Included in Trading Activities |
The following tables identify the amounts in the income statement line items attributable to trading and non-trading activities, including both derivatives and non-derivative cash instruments categorized by primary risk for the years ended December 31, 2012, December 31, 2011 and December 31, 2010.
Non-trading related amounts include activities in connection with principal investment, wealth management, and certain lending activities; economic hedging activity discussed in the Non-trading derivatives section above; and the impact of changes in Merrill Lynch's own creditworthiness on borrowings accounted for at fair value.
For The Year Ended December 31, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
Principal
Transactions
|
|
Commissions |
|
Other Revenues(1)
|
|
Net Interest
Income (Expense)
|
|
Total |
Interest rate risk |
$ |
695 |
|
|
$ |
71 |
|
|
$ |
9 |
|
|
$ |
734 |
|
|
$ |
1,509 |
|
Foreign exchange risk |
78 |
|
|
— |
|
|
4 |
|
|
1 |
|
|
83 |
|
Equity risk |
2,129 |
|
|
2,555 |
|
|
77 |
|
|
(799 |
) |
|
3,962 |
|
Commodity risk |
591 |
|
|
— |
|
|
1 |
|
|
(120 |
) |
|
472 |
|
Credit risk |
2,052 |
|
|
1 |
|
|
201 |
|
|
2,096 |
|
|
4,350 |
|
Total trading related |
5,545 |
|
|
2,627 |
|
|
292 |
|
|
1,912 |
|
|
10,376 |
|
Non-trading related |
(3,239 |
) |
|
2,452 |
|
|
1,631 |
|
|
(2,615 |
) |
|
(1,771 |
) |
Total |
$ |
2,306 |
|
|
$ |
5,079 |
|
|
$ |
1,923 |
|
|
$ |
(703 |
) |
|
$ |
8,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Includes other income and other-than-temporary impairment losses on available-for-sale debt securities. |
For The Year Ended December 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
Principal
Transactions
|
|
Commissions |
|
Other Revenues(1)
|
|
Net Interest
Income (Expense)
|
|
Total |
Interest rate risk |
$ |
818 |
|
|
$ |
82 |
|
|
$ |
22 |
|
|
$ |
816 |
|
|
$ |
1,738 |
|
Foreign exchange risk |
98 |
|
|
— |
|
|
— |
|
|
6 |
|
|
104 |
|
Equity risk |
2,297 |
|
|
3,078 |
|
|
122 |
|
|
(791 |
) |
|
4,706 |
|
Commodity risk |
615 |
|
|
— |
|
|
— |
|
|
(113 |
) |
|
502 |
|
Credit risk |
(57 |
) |
|
60 |
|
|
248 |
|
|
2,597 |
|
|
2,848 |
|
Total trading related |
3,771 |
|
|
3,220 |
|
|
392 |
|
|
2,515 |
|
|
9,898 |
|
Non-trading related |
2,105 |
|
|
2,478 |
|
|
1,357 |
|
|
(3,114 |
) |
|
2,826 |
|
Total |
$ |
5,876 |
|
|
$ |
5,698 |
|
|
$ |
1,749 |
|
|
$ |
(599 |
) |
|
$ |
12,724 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Includes other income and other-than-temporary impairment losses on available-for-sale debt securities. |
For The Year Ended December 31, 2010
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
Principal
Transactions
|
|
Commissions |
|
Other Revenues(1)
|
|
Net Interest
Income (Expense)
|
|
Total |
Interest rate risk |
$ |
1,046 |
|
|
$ |
76 |
|
|
$ |
59 |
|
|
$ |
756 |
|
|
$ |
1,937 |
|
Foreign exchange risk |
55 |
|
|
— |
|
|
— |
|
|
(1 |
) |
|
54 |
|
Equity risk |
1,940 |
|
|
3,093 |
|
|
262 |
|
|
(490 |
) |
|
4,805 |
|
Commodity risk |
284 |
|
|
— |
|
|
7 |
|
|
(123 |
) |
|
168 |
|
Credit risk |
3,789 |
|
|
41 |
|
|
701 |
|
|
3,337 |
|
|
7,868 |
|
Total trading related |
7,114 |
|
|
3,210 |
|
|
1,029 |
|
|
3,479 |
|
|
14,832 |
|
Non-trading related |
(22 |
) |
|
2,550 |
|
|
3,272 |
|
|
(3,737 |
) |
|
2,063 |
|
Total |
$ |
7,092 |
|
|
$ |
5,760 |
|
|
$ |
4,301 |
|
|
$ |
(258 |
) |
|
$ |
16,895 |
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Includes other income and other-than-temporary impairment losses on available-for-sale debt securities. |
The table below presents CVA gains (losses) and DVA gains (losses) for Merrill Lynch on a gross and net of hedges basis, which are recorded in principal transactions revenues.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Adjustments on Derivatives |
|
Year Ended December 31 |
|
2012 |
|
2011 |
(dollars in millions) |
Gross |
Net |
|
Gross |
Net |
Derivative assets (CVA) (1)
|
$ |
626 |
|
$ |
393 |
|
|
$ |
(1,331 |
) |
$ |
(969 |
) |
Derivative liabilities (DVA) (2)
|
(1,003 |
) |
(1,098 |
) |
|
613 |
|
493 |
|
|
|
(1) |
At December 31, 2012 and December 31, 2011, the cumulative counterparty credit risk valuation adjustment reduced the derivative assets balance by $1.1 billion and $1.5 billion.
|
|
|
(2) |
At December 31, 2012 and December 31, 2011, Merrill Lynch's cumulative DVA reduced the derivative liabilities balance by $0.4 billion and $1.1 billion.
|
|
|
Guarantees
|
|
| Derivative [Line Items] |
|
| Disclosure of Credit Derivatives |
Credit derivatives where Merrill Lynch is the seller of credit protection are summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
Maximum
Payout/
Notional
|
|
Less than
1 year
|
|
1 − 3 years |
|
3 − 5 years |
|
Over 5 years |
|
Carrying
Value(1)
|
At December 31, 2012: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivatives: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade(2)
|
$ |
160,390 |
|
|
$ |
34,454 |
|
|
$ |
42,871 |
|
|
$ |
70,645 |
|
|
$ |
12,420 |
|
|
$ |
1,855 |
|
Non-investment grade(2)
|
67,663 |
|
|
10,753 |
|
|
19,962 |
|
|
17,911 |
|
|
19,037 |
|
|
7,301 |
|
Total credit derivatives |
228,053 |
|
|
45,207 |
|
|
62,833 |
|
|
88,556 |
|
|
31,457 |
|
|
9,156 |
|
Credit related notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade(2)
|
3,201 |
|
|
4 |
|
|
7 |
|
|
163 |
|
|
3,027 |
|
|
3,201 |
|
Non-investment grade(2)
|
1,445 |
|
|
115 |
|
|
141 |
|
|
271 |
|
|
918 |
|
— |
|
1,445 |
|
Total credit related notes |
4,646 |
|
|
119 |
|
|
148 |
|
|
434 |
|
|
3,945 |
|
|
4,646 |
|
Total derivative contracts |
$ |
232,699 |
|
|
$ |
45,326 |
|
|
$ |
62,981 |
|
|
$ |
88,990 |
|
|
$ |
35,402 |
|
|
$ |
13,802 |
|
At December 31, 2011: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivatives: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade(2)
|
$ |
130,770 |
|
|
$ |
22,021 |
|
|
$ |
47,593 |
|
|
$ |
46,918 |
|
|
$ |
14,238 |
|
|
$ |
4,189 |
|
Non-investment grade(2)
|
121,592 |
|
|
13,263 |
|
|
26,428 |
|
|
38,301 |
|
|
43,600 |
|
|
15,002 |
|
Total credit derivatives |
252,362 |
|
|
35,284 |
|
|
74,021 |
|
|
85,219 |
|
|
57,838 |
|
|
19,191 |
|
Credit related notes: |
|
|
|
|
|
|
|
|
|
|
|
Investment grade(2)
|
2,956 |
|
|
— |
|
|
7 |
|
|
203 |
|
|
2,746 |
|
|
2,956 |
|
Non-investment grade(2)
|
1,511 |
|
|
127 |
|
|
77 |
|
|
82 |
|
|
1,225 |
|
|
1,511 |
|
Total credit related notes |
4,467 |
|
|
127 |
|
|
84 |
|
|
285 |
|
|
3,971 |
|
|
4,467 |
|
Total derivative contracts |
$ |
256,829 |
|
|
$ |
35,411 |
|
|
$ |
74,105 |
|
|
$ |
85,504 |
|
|
$ |
61,809 |
|
|
$ |
23,658 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Derivative contracts are shown on a gross basis prior to counterparty or cash collateral netting. |
|
|
(2) |
Refers to the creditworthiness of the underlying reference obligations. |
|
|
Credit Protection
|
|
| Derivative [Line Items] |
|
| Disclosure of Credit Derivatives |
At December 31, 2012 and December 31, 2011, the notional value and carrying value of credit protection purchased and credit protection sold by Merrill Lynch with identical underlying referenced names was:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(dollars in millions) |
|
Maximum
Payout/
Notional
|
|
Less than
1 year
|
|
1 − 3 years |
|
3 − 5 years |
|
Over 5 years |
|
Carrying
Value(1)
|
At December 31, 2012: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivatives purchased |
$ |
131,643 |
|
|
$ |
31,576 |
|
|
$ |
38,844 |
|
|
$ |
41,800 |
|
|
$ |
19,423 |
|
|
$ |
4,208 |
|
Credit derivatives sold |
138,479 |
|
|
29,881 |
|
|
41,986 |
|
|
43,399 |
|
|
23,213 |
|
|
5,235 |
|
At December 31, 2011: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit derivatives purchased |
219,358 |
|
|
31,335 |
|
|
63,284 |
|
|
77,485 |
|
|
47,254 |
|
|
15,563 |
|
Credit derivatives sold |
219,669 |
|
|
33,852 |
|
|
61,797 |
|
|
77,527 |
|
|
46,493 |
|
|
15,502 |
|
|
|
(1) |
Derivative contracts are shown on a gross basis prior to counterparty or cash collateral netting. |
|