Quarterly report pursuant to Section 13 or 15(d)

Fair Value Disclosures (Tables)

v2.4.0.8
Fair Value Disclosures (Tables)
6 Months Ended
Jun. 30, 2013
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
(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
26,834

 
2,936

 
353

 

 
30,123

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
78,140

 
79,787

 
8,808

 

 
166,735

  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

Other debt securities carried at fair value (3)
 
 
 
 
 
 
 
 
 
    Non-U.S. governments and agencies
7,422

 
300

 

 

 
7,722

Total other debt securities carried at fair value
7,422

 
300

 

 

 
7,722

Investment securities non-qualifying
2,254

 
1,056

 
287

 

 
3,597

Total investment securities
10,066

 
1,614

 
295

 

 
11,975

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) 
See Note 6 for product level detail.
(3) 
Certain assets that are used for liquidity management purposes were reclassified from Trading assets to Other debt securities carried at fair value during the six months ended June 30, 2013. Prior period amounts have been reclassified to conform with the current period presentation.

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 June 30, 2013 and December 31, 2012, respectively.

(dollars in millions)
 
Fair Value Measurements on a Recurring Basis
 
as of June 30, 2013
 
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
$
24

 
$
2,492

 
$

 
$

 
$
2,516

U.S. Government and agencies
4,976

 
573

 

 

 
5,549

Total securities segregated for regulatory purposes or deposited with clearing organizations
5,000

 
3,065

 

 

 
8,065

Receivables under resale agreements

 
99,001

 

 

 
99,001

Receivables under securities borrowed transactions

 
1,954

 

 

 
1,954

Trading assets, excluding derivative contracts:
 
 
 
 
 
 
 
 
 
Equities
22,323

 
11,081

 
216

 

 
33,620

Convertible debentures

 
3,569

 
17

 

 
3,586

Non-U.S. governments and agencies
28,574

 
2,805

 
401

 

 
31,780

Corporate debt

 
15,193

 
1,764

 

 
16,957

Preferred stock

 
269

 
137

 

 
406

Mortgages, mortgage-backed and asset-backed

 
5,302

 
4,586

 

 
9,888

U.S. Government and agencies
23,942

 
12,098

 

 

 
36,040

Municipals and money markets
1,333

 
6,595

 
204

 

 
8,132

Physical commodities and other

 
744

 

 

 
744

Total trading assets, excluding derivative contracts
76,172

 
57,656

 
7,325

 

 
141,153

Derivative contracts(2)
4,730

 
484,350

 
5,592

 
(467,039
)
 
27,633

Investment securities available-for-sale:
 
 
 
 
 
 
 
 
 
U.S. Government and agencies
402

 

 

 

 
402

Securities, mortgage-backed and asset backed
 
 
 
 
 
 
 
 
 
     Non-agency MBS

 
1

 

 

 
1

     Corporate ABS

 
201

 
8

 

 
209

Total investment securities available-for-sale
402

 
202

 
8

 

 
612

Other debt securities carried at fair value (3)
 
 
 
 
 
 
 
 
 
    Non-U.S. governments and agencies
8,288

 
460

 

 

 
8,748

Total other debt securities carried at fair value
8,288

 
460

 

 

 
8,748

Investment securities non-qualifying
1,880

 
1,115

 
288

 

 
3,283

Total investment securities
10,570

 
1,777

 
296

 

 
12,643

Securities received as collateral
11,311

 
1,271

 

 

 
12,582

Loans, notes and mortgages

 
486

 
815

 

 
1,301

   Other

 

 
267

 

 
267

Liabilities:
 
 
 
 
 
 
 
 
 
Payables under repurchase agreements

 
59,926

 

 

 
59,926

Short-term borrowings

 
1,389

 

 

 
1,389

Trading liabilities, excluding derivative contracts:
 
 
 
 
 
 
 
 
 
Equities
19,783

 
3,112

 

 

 
22,895

Convertible debentures

 
223

 

 

 
223

Non-U.S. governments and agencies
22,620

 
1,670

 

 

 
24,290

Corporate debt

 
8,483

 
9

 

 
8,492

Preferred stock

 
85

 

 

 
85

U.S. Government and agencies
18,794

 
411

 

 

 
19,205

Municipals, money markets and other
482

 
105

 
46

 

 
633

Total trading liabilities, excluding derivative contracts
61,679

 
14,089

 
55

 

 
75,823

 Derivative contracts(2)
4,644

 
483,697

 
3,917

 
(467,085
)
 
25,173

Obligation to return securities received as collateral
11,311

 
1,271

 

 

 
12,582

Other payables — interest and other

 
47

 
5

 

 
52

Long-term borrowings

 
26,882

 
1,082

 

 
27,964

 
 
 
 
 
 
 
 
 
 
(1) 
Represents counterparty and cash collateral netting.
(2) 
See Note 6 for product level detail.
(3) 
Certain assets that are used for liquidity management purposes were reclassified from Trading assets to Other debt securities carried at fair value during the six months ended June 30, 2013. Prior period amounts have been reclassified to conform with the current period presentation.
Fair Value, Assets and Liabilities Measured on Recurring Basis, Gain (Loss) Included in Earnings
The following tables provide a summary of changes in Merrill Lynch’s Level 3 financial assets and liabilities for the three and six months ended June 30, 2013 and June 30, 2012.

(dollars in millions)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 Financial Assets and Liabilities
Three Months Ended June 30, 2013
 
 
 
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
$
175

 
$
14

 
$

 
$

 
$
14

 
$

 
(20
)
 
27

 
$

 

 
$
29

 
$
(9
)
 
$
216

Convertible debentures
14

 
(1
)
 

 

 
(1
)
 

 

 
6

 

 

 

 
(2
)
 
17

Non-U.S. governments and agencies
417

 
(6
)
 

 

 
(6
)
 

 

 
11

 

 
(22
)
 
1

 

 
401

Corporate debt
1,840

 
10

 

 

 
10

 

 
(250
)
 
176

 

 
(88
)
 
202

 
(126
)
 
1,764

Preferred stock
208

 
(3
)
 

 

 
(3
)
 

 
(15
)
 
1

 

 

 

 
(54
)
 
137

Mortgages, mortgage-backed and asset-backed
4,368

 
11

 

 

 
11

 

 
(676
)
 
972

 

 
(69
)
 

 
(20
)
 
4,586

Municipals and money markets
1,079

 
3

 

 

 
3

 

 
(429
)
 
76

 

 

 
2

 
(527
)
 
204

Total trading assets, excluding derivative contracts
8,101

 
28

 

 

 
28

 

 
(1,390
)
 
1,269

 

 
(179
)
 
234

 
(738
)
 
7,325

Derivative contracts, net
1,182

 
264

 

 

 
264

 

 
(143
)
 
179

 

 
4

 
(117
)
 
306

 
1,675

Investment securities available-for-sale :
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate ABS
8

 

 

 

 

 

 

 

 

 

 

 

 
8

Total investment securities available-for-sale
8

 

 

 

 

 

 

 

 

 

 

 

 
8

Investment securities non-qualifying
288

 

 
(3
)
 

 
(3
)
 

 

 
21

 

 
(18
)
 

 

 
288

Total investment securities
296

 

 
(3
)
 

 
(3
)
 

 

 
21

 

 
(18
)
 

 

 
296

Loans, notes and mortgages
1,436

 

 
12

 
7

 
19

 

 
(180
)
 
8

 

 
(465
)
 

 
(3
)
 
815

Other
1,086

 

 
(6
)
 

 
(6
)
 

 

 

 

 
(813
)
 

 

 
267

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading liabilities, excluding derivative contracts:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
16

 
2

 

 

 
2

 

 
4

 
(1
)
 

 

 
1

 
(9
)
 
9

Municipals, money markets and other
42

 
4

 

 

 
4

 

 
13

 
(10
)
 
5

 

 

 

 
46

Total trading liabilities, excluding derivative contracts
58

 
6

 

 

 
6

 

 
17

 
(11
)
 
5

 

 
1

 
(9
)
 
55

Other payables - interest and other
4

 

 

 

 

 

 

 

 

 

 
1

 

 
5

Long-term borrowings
1,285

 
58

 
(5
)
 

 
53

 

 

 
(154
)
 
52

 
(44
)
 
94

 
(98
)
 
1,082

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


Transfers in and out related to corporate debt reflected changes in third party prices available for certain corporate loans. Transfers out for municipals and money markets reflected increased trading activity for certain ARS.  Transfers in for derivative contracts, net were primarily due to additional information related to certain total return swaps ("TRS").  Transfers out for derivative contracts, net related to additional market comparables on certain option contracts.  Transfers in and out related to long-term borrowings were primarily due to changes in the impact of unobservable inputs on the value of certain equity-linked structured notes.

 


 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(dollars in millions)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 Financial Assets and Liabilities
Six Months Ended June 30, 2013
 
 
 
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
$
178

 
$
34

 
$

 
$

 
$
34

 
$

 
(70
)
 
50

 
$

 

 
$
36

 
$
(12
)
 
$
216

Convertible debentures
15

 
(1
)
 

 

 
(1
)
 

 
(2
)
 
6

 

 

 
2

 
(3
)
 
17

Non-U.S. governments and agencies
353

 
45

 

 

 
45

 

 
(1
)
 
26

 

 
(22
)
 
1

 
(1
)
 
401

Corporate debt
1,900

 
64

 

 

 
64

 

 
(485
)
 
363

 

 
(209
)
 
360

 
(229
)
 
1,764

Preferred stock
253

 
19

 

 

 
19

 

 
(74
)
 
7

 

 

 
1

 
(69
)
 
137

Mortgages, mortgage-backed and asset-backed
4,814

 
173

 

 

 
173

 

 
(1,311
)
 
1,625

 

 
(698
)
 
3

 
(20
)
 
4,586

Municipals and money markets
1,295

 
28

 

 

 
28

 

 
(1,080
)
 
431

 

 
(1
)
 
58

 
(527
)
 
204

Total trading assets, excluding derivative contracts
8,808

 
362

 

 

 
362

 

 
(3,023
)
 
2,508

 

 
(930
)
 
461

 
(861
)
 
7,325

Derivative contracts, net
1,544

 
78

 

 

 
78

 

 
(369
)
 
271

 

 
(87
)
 
(41
)
 
279

 
1,675

Investment securities available-for-sale :
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate ABS
8

 

 

 

 

 

 

 

 

 

 

 

 
8

Total investment securities available-for-sale
8

 

 

 

 

 

 

 

 

 

 

 

 
8

Investment securities non-qualifying
287

 

 
(6
)
 

 
(6
)
 

 
(7
)
 
32

 

 
(18
)
 

 

 
288

Total investment securities
295

 

 
(6
)
 

 
(6
)
 

 
(7
)
 
32

 

 
(18
)
 

 

 
296

Loans, notes and mortgages
1,681

 

 
(40
)
 
14

 
(26
)
 

 
(366
)
 
8

 


 
(479
)
 

 
(3
)
 
815

Other
1,534

 

 
(454
)
 

 
(454
)
 

 

 

 

 
(813
)
 

 

 
267

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading liabilities, excluding derivative contracts:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt
31

 
2

 

 

 
2

 

 
6

 
(6
)
 

 

 
9

 
(29
)
 
9

Municipals, money markets and other
32

 
4

 

 

 
4

 

 
24

 
(12
)
 
6

 

 

 

 
46

Total trading liabilities, excluding derivative contracts
63

 
6

 

 

 
6

 

 
30

 
(18
)
 
6

 

 
9

 
(29
)
 
55

Other payables - interest and other
7

 

 

 

 

 

 

 

 

 
(2
)
 
1

 
(1
)
 
5

Long-term borrowings
1,316

 
80

 
(9
)
 

 
71

 

 
4

 
(223
)
 
88

 
(91
)
 
279

 
(220
)
 
1,082

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(dollars in millions)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 Financial Assets and Liabilities
Three Months Ended June 30, 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
$
178

 
$
(6
)
 
$

 
$

 
$
(6
)
 
$

 
$
(13
)
 
$
1

 
$

 
$

 
$
25

 
$

 
$
185

Convertible debentures
43

 
(2
)
 

 

 
(2
)
 

 

 

 

 

 

 
(7
)
 
34

Non-U.S. governments and agencies
546

 
(26
)
 

 

 
(26
)
 

 
(164
)
 
35

 

 
(1
)
 

 
(1
)
 
389

Corporate debt (1)
3,418

 
6

 

 

 
6

 

 
(1,232
)
 
189

 

 
(285
)
 
92

 
(82
)
 
2,106

Preferred stock
207

 
(1
)
 

 

 
(1
)
 

 
(22
)
 
44

 

 

 

 

 
228

Mortgages, mortgage-backed and asset-backed (1)
3,768

 
(38
)
 

 

 
(38
)
 

 
(163
)
 
1,164

 

 
(153
)
 

 

 
4,578

Municipals and money markets
2,009

 
15

 

 

 
15

 

 
(187
)
 
73

 

 
(180
)
 

 

 
1,730

Total trading assets, excluding derivative contracts
10,169

 
(52
)
 

 

 
(52
)
 

 
(1,781
)
 
1,506

 

 
(619
)
 
117

 
(90
)
 
9,250

Derivative contracts, net
3,207

 
159

 

 

 
159

 

 
(121
)
 
207

 

 
29

 
(38
)
 
(29
)
 
3,414

Investment securities available-for-sale :
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate ABS
45

 

 

 

 

 

 

 

 

 
(37
)
 

 

 
8

Total investment securities available-for-sale
45

 

 

 

 

 

 

 

 

 
(37
)
 

 

 
8

Investment securities non-qualifying
421

 

 
1

 

 
1

 

 
(77
)
 

 

 
(12
)
 

 

 
333

Total investment securities
466

 

 
1

 

 
1

 

 
(77
)
 

 

 
(49
)
 

 

 
341

Loans, notes and mortgages
1,809

 

 
19

 
8

 
27

 

 
(16
)
 
3

 

 
(47