Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

Securitizations and Other Variable Interest Entities (Tables)

9 Months Ended

Sep. 30, 2012

Loan Variable Interest Entities [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities [Table Text Block]

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 September 30, 2012 and December 31, 2011.



(dollars in millions)
	Non-Agency
	Prime				Subprime				Commercial Mortgage
	September 30, 2012		December 31, 2011		September 30, 2012		December 31, 2011		September 30, 2012		December 31, 2011
Unconsolidated VIEs:
Maximum loss exposure⁽¹⁾	$	12	$	16	$	48	$	52	$	121	$	130
Senior securities held
Trading assets	$	3	$	1	$	1	$	2	$	9	$	19
Subordinated securities held
Trading assets	—		—		2		8		9		1
Residual interests held	3		8		—		—		40		42
Total retained securities⁽²⁾	$	6	$	9	$	3	$	10	$	58	$	62
Principal balance outstanding⁽³⁾	$	254	$	191	$	5,981	$	6,192	$	17,907	$	24,545


(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 [Table Text Block]

The following table summarizes certain information related to municipal bond trusts in which Merrill Lynch holds a variable interest as of September 30, 2012 and December 31, 2011.



(dollars in millions)
	September 30, 2012						December 31, 2011
	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum Loss Exposure	$	2,839	$	802	$	3,641	$	3,713	$	920	$	4,633
On-balance sheet assets
Trading assets	$	2,839	$	38	$	2,877	$	3,713	$	178	$	3,891
Total	$	2,839	$	38	$	2,877	$	3,713	$	178	$	3,891
On-balance sheet liabilities
Short-term borrowings	$	2,732	$	—	$	2,732	$	4,939	$	—	$	4,939
Payables to Bank of America	1,184		—		1,184		—		—		—
Total	$	3,916	$	—	$	3,916	$	4,939	$	—	$	4,939
Total assets of VIEs	$	2,839	$	973	$	3,812	$	3,713	$	1,154	$	4,867

Collateralized Debt Obligations [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities [Table Text Block]

The following table summarizes certain information related to CDO vehicles in which Merrill Lynch holds a variable interest as of September 30, 2012 and December 31, 2011.



(dollars in millions)
	September 30, 2012						December 31, 2011
	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum Loss Exposure	$	2,212	$	1,489	$	3,701	$	1,695	$	2,185	$	3,880
On-balance sheet assets
Trading assets	$	2,212	$	262	$	2,474	$	1,844	$	397	$	2,241
Derivative contracts	—		380		380		—		678		678
Other assets	—		56		56		—		72		72
Total	$	2,212	$	698	$	2,910	$	1,844	$	1,147	$	2,991
On-balance sheet liabilities
Derivative contracts	$	—	$	7	$	7	$	—	$	11	$	11
Long-term borrowings	2,839		—		2,839		2,712		—		2,712
Total	$	2,839	$	7	$	2,846	$	2,712	$	11	$	2,723
Total assets of VIEs	$	2,212	$	27,630	$	29,842	$	1,844	$	32,847	$	34,691

Customer Vehicles [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities [Table Text Block]

The following table summarizes certain information related to customer vehicles in which Merrill Lynch holds a variable interest as of September 30, 2012 and December 31, 2011.



(dollars in millions)
	September 30, 2012						December 31, 2011
	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum Loss Exposure	$	1,633	$	1,952	$	3,585	$	2,333	$	2,106	$	4,439
On-balance sheet assets
Trading assets	$	3,599	$	283	$	3,882	$	3,243	$	211	$	3,454
Derivative contracts	—		651		651		—		896		896
Other assets	758		—		758		1,446		—		1,446
Total	$	4,357	$	934	$	5,291	$	4,689	$	1,107	$	5,796
On-balance sheet liabilities
Derivative contracts	$	15	$	52	$	67	$	4	$	42	$	46
Short-term borrowings	142		—		142		—		—		—
Long-term borrowings	3,732		—		3,732		3,873		—		3,873
Other liabilities	1		431		432		1		448		449
Total	$	3,890	$	483	$	4,373	$	3,878	$	490	$	4,368
Total assets of VIEs	$	4,357	$	4,562	$	8,919	$	4,689	$	5,265	$	9,954

Real Estate and Other Variable Risk Entities [Member]

Variable Interest Entity [Line Items]

Schedule of Variable Interest Entities [Table Text Block]

The following table summarizes certain information related to Real Estate and other VIEs in which Merrill Lynch holds a variable interest as of September 30, 2012 and December 31, 2011.



(dollars in millions)
	September 30, 2012						December 31, 2011
	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum Loss Exposure	$	639	$	3,042	$	3,681	$	1,821	$	4,631	$	6,452
On-balance sheet assets
Trading assets	$	1,401	$	1,812	$	3,213	$	—	$	2,980	$	2,980
Derivative contracts	—		432		432		—		440		440
Investment securities	41		43		84		162		62		224
Loans, notes, and mortgages	21		468		489		94		804		898
Other assets	27		288		315		1,575		344		1,919
Total	$	1,490	$	3,043	$	4,533	$	1,831	$	4,630	$	6,461
On-balance sheet liabilities
Long-term borrowings	$	852	$	—	$	852	$	10	$	—	$	10
Other liabilities	171		2		173		185		265		450
Total	$	1,023	$	2	$	1,025	$	195	$	265	$	460
Total assets of VIEs	$	1,490	$	21,493	$	22,983	$	1,831	$	26,731	$	28,562

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

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Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

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Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

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+ Details