Speaking at the UBS Global Financial Services Conference this morning, Merrill Lynch (MER) Chief Financial Officer Nelson Chai outlined the firm's $44 billion of equity capital and stressed that the firm is "very comfortable" with the balance sheet and the credit quality of what's on the balance sheet.

Behind the headlines, however, are still more questions.

Among the headline bullet points coming across Bloomberg this morning were at least three that are worth noting, according to Minyanville Professor Bennet Sedacca, President of Atlantic Advisors, writing on Minyanville.com's Buzz and Banter:
 

• MERRILL LEVEL 3 ASSETS CAME ON BALANCE SHEET
• MERRILL CFO SAYS LEVEL 3 INCREASE DIDN'T RAISE RISK LEVEL
• MERRILL CFO SAYS 20% RETURN ON EQUITY (ROE) IS ACHIEVABLE

This is disturbing, Sedacca writes. Merrill has now written down $37 billion in capital and has raised $17.9 billion. "This is otherwise known as balance sheet destruction," Sedacca points out, noting too that the last round of preferred financing cost Merrill 8 5/8% and that the firm also sold 30-year debt at an initial 320 basis points over Treasuries, which quickly moved to 350 basis points.

"So tell me, how do you make 20% return on equity on that model?" Sedacca asks.  "You don't."