Annual report pursuant to Section 13 and 15(d)

Securitizations and Other Variable Interest Entities (Tables)

v2.4.0.6
Securitizations and Other Variable Interest Entities (Tables)
 12 Months Ended
Dec. 31, 2012
Loan Variable Interest Entities [Member]
  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities
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 December 31, 2012 and December 31, 2011.

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

 
 

 
 

 
 

 
 

 
 

Maximum loss exposure(1)
 
$
20

 
$
16

 
$
55

 
$
52

 
$
102

 
$
130

Senior securities held
 
 

 
 

 
 

 
 

 
 

 
 

Trading assets
 
$
11

 
$
1

 
$
4

 
$
2

 
$
5

 
$
19

Investment securities
 
1

 
—

 
—

 
—

 
—

 
—

Subordinated securities held
 
 

 
 

 
 

 
 

 
 

 
 

Trading assets
 
—

 
—

 
3

 
8

 
2

 
1

Residual interests held
 
8

 
8

 
4

 
—

 
38

 
42

Total retained securities(2)
 
$
20

 
$
9

 
$
11

 
$
10

 
$
45

 
$
62

Principal balance outstanding(3)
 
$
457

 
$
191

 
$
6,455

 
$
6,192

 
$
17,258

 
$
24,545

Consolidated VIEs:
 
 

 
 

 
 

 
 

 
 

 
 

Maximum loss exposure(1)
 
$
—

 
$
1

 
$
9

 
$
—

 
$
—

 
$
—

Loans, notes and mortgages
 
—

 
—

 
185

 
—

 
—

 
—

Other assets
 
—

 
1

 
12

 
—

 
—

 
—

Total assets
 
$
—

 
$
1

 
$
197

 
$
—

 
$
—

 
$
—

Long-term borrowings
 
$
—

 
$
—

 
$
188

 
$
—

 
$
—

 
$
—

Total liabilities
 
$
—

 
$
—

 
$
188

 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
(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
The following table summarizes certain information related to municipal bond trusts in which Merrill Lynch holds a variable interest as of December 31, 2012 and December 31, 2011.

(dollars in millions)
 
December 31, 2012
 
December 31, 2011
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum Loss Exposure
$
1,348

 
$
106

 
$
1,454

 
$
3,713

 
$
920

 
$
4,633

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading assets
$
2,505

 
$
—

 
$
2,505

 
$
3,713

 
$
178

 
$
3,891

Total
$
2,505

 
$
—

 
$
2,505

 
$
3,713

 
$
178

 
$
3,891

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Short-term borrowings
$
2,859

 
$
—

 
$
2,859

 
$
4,939

 
$
—

 
$
4,939

Payables to Bank of America
1,157

 
—

 
1,157

 
—

 
—

 
—

Total
$
4,016

 
$
—

 
$
4,016

 
$
4,939

 
$
—

 
$
4,939

Total assets of VIEs
$
2,505

 
$
133

 
$
2,638

 
$
3,713

 
$
1,154

 
$
4,867

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

(dollars in millions)
 
December 31, 2012
 
December 31, 2011
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum Loss Exposure
$
2,200

 
$
1,321

 
$
3,521

 
$
1,695

 
$
2,185

 
$
3,880

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading assets
$
2,200

 
$
227

 
$
2,427

 
$
1,844

 
$
397

 
$
2,241

Derivative contracts
—

 
301

 
301

 
—

 
678

 
678

Other assets
—

 
52

 
52

 
—

 
72

 
72

Total
$
2,200

 
$
580

 
$
2,780

 
$
1,844

 
$
1,147

 
$
2,991

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 
 
 
Derivative contracts
$
—

 
$
9

 
$
9

 
$
—

 
$
11

 
$
11

Long-term borrowings
2,805

 
—

 
2,805

 
2,712

 
—

 
2,712

Total
$
2,805

 
$
9

 
$
2,814

 
$
2,712

 
$
11

 
$
2,723

Total assets of VIEs
$
2,200

 
$
26,968

 
$
29,168

 
$
1,844

 
$
32,847

 
$
34,691

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

(dollars in millions)
 
December 31, 2012
 
December 31, 2011
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum Loss Exposure
$
1,512

 
$
1,395

 
$
2,907

 
$
2,333

 
$
2,106

 
$
4,439

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading assets
$
2,814

 
$
97

 
$
2,911

 
$
3,243

 
$
211

 
$
3,454

Derivative contracts
—

 
509

 
509

 
—

 
896

 
896

Other assets
725

 
—

 
725

 
1,446

 
—

 
1,446

Total
$
3,539

 
$
606

 
$
4,145

 
$
4,689

 
$
1,107

 
$
5,796

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Derivative contracts
$
19

 
$
7

 
$
26

 
$
4

 
$
42

 
$
46

Short-term borrowings
81

 
—

 
81

 
—

 
—

 
—

Long-term borrowings
3,096

 
—

 
3,096

 
3,873

 
—

 
3,873

Other liabilities
3

 
382

 
385

 
1

 
448

 
449

Total
$
3,199

 
$
389

 
$
3,588

 
$
3,878

 
$
490

 
$
4,368

Total assets of VIEs
$
3,539

 
$
4,046

 
$
7,585

 
$
4,689

 
$
5,265

 
$
9,954

 
 
 
 
 
 
 
 
 
 
 
 
Real Estate and Other Variable Risk Entities [Member]
  
Variable Interest Entity [Line Items]  
Schedule of Variable Interest Entities

The following table summarizes certain information related to Real Estate and other VIEs in which Merrill Lynch holds a variable interest as of December 31, 2012 and December 31, 2011.

(dollars in millions)
 
December 31, 2012
 
December 31, 2011
 
Consolidated
 
Unconsolidated
 
Total
 
Consolidated
 
Unconsolidated
 
Total
Maximum Loss Exposure
$
215

 
$
2,258

 
$
2,473

 
$
1,821

 
$
4,631

 
$
6,452

On-balance sheet assets
 

 
 

 
 

 
 

 
 

 
 

Trading assets
$
328

 
$
1,297

 
$
1,625

 
$
—

 
$
2,980

 
$
2,980

Derivative contracts
—

 
460

 
460

 
—

 
440

 
440

Investment securities
41

 
39

 
80

 
162

 
62

 
224

Loans, notes, and mortgages
21

 
189

 
210

 
94

 
804

 
898

Other assets
27

 
276

 
303

 
1,575

 
344

 
1,919

Total
$
417

 
$
2,261

 
$
2,678

 
$
1,831

 
$
4,630

 
$
6,461

On-balance sheet liabilities
 

 
 

 
 

 
 

 
 

 
 

Long-term borrowings
$
203

 
$
—

 
$
203

 
$
10

 
$
—

 
$
10

Other liabilities
11

 
1

 
12

 
185

 
265

 
450

Total
$
214

 
$
1

 
$
215

 
$
195

 
$
265

 
$
460

Total assets of VIEs
$
417

 
$
18,060

 
$
18,477

 
$
1,831

 
$
26,731

 
$
28,562