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