Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
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|
|
|
(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.
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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.
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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 |
| |