Quarterly report pursuant to Section 13 or 15(d)

Securitizations and Other Variable Interest Entities (Tables)

Securitizations and Other Variable Interest Entities (Tables)

3 Months Ended

Mar. 31, 2013

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 March 31, 2013 and December 31, 2012.



(dollars in millions)
	Non-Agency
	Prime				Subprime				Commercial Mortgage
	March 31, 2013		December 31, 2012		March 31, 2013		December 31, 2012		March 31, 2013		December 31, 2012
Unconsolidated VIEs:
Maximum loss exposure⁽¹⁾	$	18	$	20	$	84	$	55	$	91	$	102
Senior securities held
Trading assets	$	12	$	11	$	32	$	4	$	4	$	5
Investment securities	—		1		—		—		—		—
Subordinated securities held
Trading assets	—		—		9		3		2		2
Residual interests held	6		8		—		4		37		38
Total retained securities⁽²⁾	$	18	$	20	$	41	$	11	$	43	$	45
Principal balance outstanding⁽³⁾	$	651	$	457	$	5,815	$	6,455	$	16,888	$	17,258
Consolidated VIEs:
Maximum loss exposure⁽¹⁾	$	—	$	—	$	—	$	9	$	—	$	—
Loans, notes and mortgages	—		—		—		185		—		—
Other assets	—		—		—		12		—		—
Total assets	$	—	$	—	$	—	$	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 [Table Text Block]

The following table summarizes certain information related to municipal bond trusts in which Merrill Lynch holds a variable interest as of March 31, 2013 and December 31, 2012.



(dollars in millions)
	March 31, 2013						December 31, 2012
	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum Loss Exposure	$	778	$	187	$	965	$	1,348	$	106	$	1,454
On-balance sheet assets
Trading assets	$	1,881	$	95	$	1,976	$	2,505	$	—	$	2,505
Total	$	1,881	$	95	$	1,976	$	2,505	$	—	$	2,505
On-balance sheet liabilities
Short-term borrowings	$	1,755	$	—	$	1,755	$	2,859	$	—	$	2,859
Payables to Bank of America	1,103		—		1,103		1,157		—		1,157
Total	$	2,858	$	—	$	2,858	$	4,016	$	—	$	4,016
Total assets of VIEs	$	1,881	$	331	$	2,212	$	2,505	$	133	$	2,638

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 March 31, 2013 and December 31, 2012.



(dollars in millions)
	March 31, 2013						December 31, 2012
	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum Loss Exposure	$	2,325	$	1,249	$	3,574	$	2,200	$	1,321	$	3,521
On-balance sheet assets
Trading assets	$	2,325	$	277	$	2,602	$	2,200	$	227	$	2,427
Derivative contracts	—		233		233		—		301		301
Other assets	—		47		47		—		52		52
Total	$	2,325	$	557	$	2,882	$	2,200	$	580	$	2,780
On-balance sheet liabilities
Derivative contracts	$	—	$	6	$	6	$	—	$	9	$	9
Long-term borrowings	2,861		—		2,861		2,805		—		2,805
Total	$	2,861	$	6	$	2,867	$	2,805	$	9	$	2,814
Total assets of VIEs	$	2,325	$	26,092	$	28,417	$	2,200	$	26,968	$	29,168

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 March 31, 2013 and December 31, 2012.



(dollars in millions)
	March 31, 2013						December 31, 2012
	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum Loss Exposure	$	1,446	$	1,289	$	2,735	$	1,512	$	1,395	$	2,907
On-balance sheet assets
Trading assets	$	2,300	$	58	$	2,358	$	2,814	$	97	$	2,911
Derivative contracts	—		419		419		—		509		509
Other assets	673		—		673		725		—		725
Total	$	2,973	$	477	$	3,450	$	3,539	$	606	$	4,145
On-balance sheet liabilities
Derivative contracts	$	20	$	7	$	27	$	19	$	7	$	26
Short-term borrowings	17		—		17		81		—		81
Long-term borrowings	2,644		—		2,644		3,096		—		3,096
Other liabilities	2		382		384		3		382		385
Total	$	2,683	$	389	$	3,072	$	3,199	$	389	$	3,588
Total assets of VIEs	$	2,973	$	4,025	$	6,998	$	3,539	$	4,046	$	7,585

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 March 31, 2013 and December 31, 2012.



(dollars in millions)
	March 31, 2013						December 31, 2012
	Consolidated		Unconsolidated		Total		Consolidated		Unconsolidated		Total
Maximum Loss Exposure	$	1,331	$	2,093	$	3,424	$	215	$	2,258	$	2,473
On-balance sheet assets
Trading assets	$	2,387	$	1,203	$	3,590	$	328	$	1,297	$	1,625
Derivative contracts	—		507		507		—		460		460
Investment securities	38		36		74		41		39		80
Loans, notes, and mortgages	20		102		122		21		189		210
Other assets	14		245		259		27		276		303
Total	$	2,459	$	2,093	$	4,552	$	417	$	2,261	$	2,678
On-balance sheet liabilities
Long-term borrowings	$	1,128	$	—	$	1,128	$	203	$	—	$	203
Other liabilities	9		1		10		11		1		12
Total	$	1,137	$	1	$	1,138	$	214	$	1	$	215
Total assets of VIEs	$	2,459	$	16,120	$	18,579	$	417	$	18,060	$	18,477

- 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

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+ Details