##### Table of Contents





UNITED STATES
    SECURITIES AND EXCHANGE COMMISSIONWashington, D.C. 20549
  Form 10-Q
  X

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
    THE
    SECURITIES EXCHANGE ACT OF 1934For the quarterly period ended
    September 30,
    2010ORTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934For the transition period from
    
    to   Commission file number: 1-7182
  MERRILL LYNCH & CO., INC.
    Delaware

13-2740599(State or other jurisdiction of

(I.R.S. Employer Identification No.)incorporation or organization)Bank of America Corporate Center
    100 N. Tryon Street
    Charlotte, North Carolina

28255(Address of principal executive offices)

(Zip Code)(704) 386-5681Registrants telephone number, including area code:      X YES           NO
  Regulation S-T
  YES           NO
  Rule 12b-2
  Large
    accelerated filer
    Accelerated filer
    Non-accelerated filer X
    Smaller reporting company (Do not check if a smaller
    reporting company)
  Rule 12b-2
  YES      X     NO
  1 3
  The registrant is a wholly-owned subsidiary of Bank of
    America Corporation and meets the conditions set forth in
    General Instructions H(1)(a) and (b) of
    Form 10-Q
    and is therefore filing this Form with the reduced disclosure
    format as permitted by Instruction H(2).




---



##### 





QUARTERLY
    REPORT ON
    FORM 10-Q
    FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2010
    TABLE OF CONTENTS
   
  Part I. Financial
    InformationItem 1. Financial Statements
    (Unaudited)Condensed Consolidated Statements of
    Earnings/(Loss)


2Condensed Consolidated Balance Sheets


4Condensed Consolidated Statements of Cash
    Flows


6Condensed Consolidated Statements of
    Comprehensive Income/(Loss)


7Notes to Condensed Consolidated Financial
    StatementsNote 1. Summary of Significant Accounting
    Policies


8Note 2. Transactions with Bank of America


19Note 3. Segment and Geographic
    Information


21Note 4. Fair Value Disclosures


22Note 5. Fair Value of Financial
    Instruments


40Note 6. Derivatives


41Note 7. Securities Financing Transactions


54Note 8. Investment Securities


56Note 9. Securitizations and Other Variable
    Interest Entities (VIEs)


59Note 10. Loans, Notes, and Mortgages and
    Related Commitments to Extend Credit


67Note 11. Goodwill and Intangible Assets


69Note 12. Borrowings and Deposits


70Note 13. Stockholders Equity and
    Earnings Per Share


73Note 14. Commitments, Contingencies and
    Guarantees


74Note 15. Employee Benefit Plans


78Note 16. Regulatory Requirements


79Note 17. Subsequent Events


80Item 2. Managements Discussion and
    Analysis of Financial Condition and Results of OperationsIntroduction


82Executive Overview


84Results of Operations


87Off-Balance Sheet Exposures


90Funding and Liquidity


93Item 3. Quantitative and Qualitative
    Disclosures About Market Risk


96Item 4. Controls and Procedures


96Part II. Other InformationItem 1. Legal Proceedings


97Item 1A. Risk Factors


99Item 6. Exhibits


99Signatures


100Exhibit Index


101EXHIBIT 12EXHIBIT 31.1EXHIBIT 31.2EXHIBIT 32.1EXHIBIT 32.2   1




---



##### Table of Contents



PART I 
    Financial Information  Item 1.
    Financial
    Statements (Unaudited)  Merrill
    Lynch & Co., Inc. and Subsidiaries
 Condensed
    Consolidated Statements of Earnings/(Loss) (Unaudited)  Three Months Ended

Three Months Ended(dollars in millions)

September 30, 2010

September 30, 2009RevenuesPrincipal transactions

$
1,119


$
200Commissions


1,331



1,426Managed accounts and other fee-based revenues


1,114



1,047Investment banking


727



732Earnings from equity method investments


280



212Other


419



1,670Other-than-temporary
    impairment losses on
    available-for-sale
    debt securities:Total
    other-than-temporary
    impairment losses


(45
)


(306
)Less: Portion of
    other-than-temporary
    impairment losses recognized in other comprehensive income


3



1Subtotal


4,948



4,982Interest and dividend revenues


1,218



2,689Less interest expense


1,813



2,407Net interest (expense)/profit


(595
)


282Revenues, net of interest expense


4,353



5,264Non-interest expensesCompensation and benefits


3,146



2,887Communications and technology


470



503Occupancy and related depreciation


316



330Brokerage, clearing, and exchange fees


220



259Advertising and market development


104



91Professional fees


222



153Office supplies and postage


36



39Other


675



517Total non-interest expenses


5,189



4,779Pre-tax (loss)/earnings


(836
)


485Income tax expense/(benefit)


24



(215
)Net (loss)/earnings

$
(860
)

$
700Preferred stock dividends


38



38Net (loss)/earnings applicable to common stockholder

$
(898
)

$
662    See Notes to Condensed
    Consolidated Financial Statements.
 2




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesCondensed Consolidated Statements of Earnings
    (Unaudited)
  Nine Months Ended

Nine Months Ended(dollars in millions)

September 30, 2010

September 30, 2009RevenuesPrincipal transactions

$
6,437


$
4,286Commissions


4,258



4,432Managed accounts and other fee-based revenues


3,326



3,267Investment banking


2,110



2,200Earnings from equity method investments


657



306Other


2,845



3,032Other-than-temporary
    impairment losses on
    available-for-sale
    debt securities:Total
    other-than-temporary
    impairment losses


(168
)


(603
)Less: Portion of
    other-than-temporary
    impairment losses recognized in other comprehensive income


3



4Subtotal


19,468



16,924Interest and dividend revenues


4,035



9,515Less interest expense


5,906



8,831Net interest (expense)/profit


(1,871
)


684Revenues, net of interest expense


17,597



17,608Non-interest expensesCompensation and benefits


10,466



9,576Communications and technology


1,392



1,400Occupancy and related depreciation


939



915Brokerage, clearing, and exchange fees


762



791Advertising and market development


283



252Professional fees


543



408Office supplies and postage


113



119Other


1,777



1,474Total non-interest expenses


16,275



14,935Pre-tax earnings


1,322



2,673Income tax expense


553



264Net earnings

$
769


$
2,409Preferred stock dividends


114



91Net earnings applicable to common stockholder

$
655


$
2,318    See Notes to Condensed
    Consolidated Financial Statements.
 3




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesCondensed Consolidated Balance
    Sheets (Unaudited)
  (dollars in millions, except per share amounts)

September 30, 2010

December 31, 2009ASSETSCash and cash equivalents

$
13,980


$
15,005Cash and securities segregated for regulatory purposes or
    deposited with clearing organizations


12,722



20,430Securities financing transactionsReceivables under resale agreements (includes $56,702 in 2010
    and $41,740 in 2009 measured at fair value in accordance with
    the fair value option election)


100,255



69,738Receivables under securities borrowed transactions (includes
    $1,230 in 2010 and $2,888 in 2009 measured at fair value in
    accordance with the fair value option election)


56,115



45,422156,370



115,160Trading assets, at fair value (includes securities pledged as
    collateral that can be sold orrepledged of $30,418 in 2010 and $25,901 in 2009):Derivative contracts


47,602



49,582Equities and convertible debentures


30,183



34,501Non-U.S.
    governments and agencies


28,863



21,256Corporate debt and preferred stock


17,557



16,779Mortgages, mortgage-backed, and asset-backed


7,058



7,971U.S. Government and agencies


1,505



1,458Municipals, money markets, physical commodities and other


12,694



8,778145,462



140,325Investment securities (includes $250 in 2010 and $253 in 2009
    measured at fair value in accordance with the fair value option
    election)


23,429



32,840Securities received as collateral, at fair value


19,455



16,346Receivables from Bank of America


37,233



20,619Other receivablesCustomers (net of allowance for doubtful accounts of $8 in 2010
    and $10 in 2009)


21,170



31,818Brokers and dealers


4,797



5,998Interest and other


9,500



14,25135,467



52,067Loans, notes, and mortgages (net of allowances for loan losses
    of $189 in 2010 and $33 in 2009) (includes $3,812 in 2010 and
    $4,649 in 2009 measured at fair value in accordance with the
    fair value option election)


30,970



37,663Equipment and facilities (net of accumulated depreciation and
    amortization of $1,184 in 2010 and $726 in 2009)


1,755



2,324Goodwill and other intangible assets


8,703



8,883Other assets


17,369



17,533Total Assets

$
502,915


$
479,195Assets of Consolidated VIEs Included in Total Assets Above
    (pledged as collateral)Trading assets, excluding derivative contracts

$
9,776Derivative contracts


288Investment securities


1,636Loans, notes, and mortgages (net)


1,689Other assets


2,125Total Assets of Consolidated VIEs

$
15,514  4




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
    Condensed Consolidated Balance Sheets (Unaudited)
  (dollars in millions, except per share amounts)

September 30, 2010

December 31, 2009LIABILITIESSecurities financing transactionsPayables under repurchase agreements (includes $48,251 in 2010
    and $37,325 in 2009 measured at fair value in accordance with
    the fair value option election)

$
85,302


$
66,260Payables under securities loaned transactions


16,734



24,915102,036



91,175Short-term borrowings (includes $4,924 in 2010 and $813 in 2009
    measured at fair value in accordance with the fair value option
    election)


4,929



853Deposits


13,892



15,187Trading liabilities, at fair valueDerivative contracts


39,030



35,120Equities and convertible debentures


16,620



13,654Non-U.S.
    governments and agencies


24,099



12,844Corporate debt and preferred stock


3,757



1,903U.S. Government and agencies


1,174



1,296Municipals, money markets and other


550



64385,230



65,460Obligation to return securities received as collateral, at fair
    value


19,455



16,346Payables to Bank of America


24,678



23,550Other payablesCustomers


39,634



39,307Brokers and dealers


12,765



14,148Interest and other (includes $146 in 2010 and $240 in 2009
    measured at fair value in accordance with the fair value option
    election)


19,048



17,08071,447



70,535Long-term borrowings (includes $41,317 in 2010 and $47,040 in
    2009 measured at fair value in accordance with the fair value
    option election)


134,199



151,399Junior subordinated notes (related to trust preferred securities)


3,570



3,552Total Liabilities


459,436



438,057COMMITMENTS AND CONTINGENCIESSTOCKHOLDERS EQUITYPreferred Stockholders Equity; authorized
    25,000,000 shares;(liquidation preference of $100,000 per share; issued:
    17,000 shares)


1,541



1,541Common Stockholders EquityCommon stock (par value
    $1.331/3
    per share; authorized: 3,000,000,000 shares; issued:
    1,000 shares)


-



-Paid-in capital


37,013



35,126Accumulated other comprehensive loss (net of tax)


(168
)


(112
)Retained earnings


5,093



4,583Total Common Stockholders Equity


41,938



39,597Total Stockholders Equity


43,479



41,138Total Liabilities and Stockholders Equity

$
502,915


$
479,195Liabilities of Consolidated VIEs Included in Total
    Liabilities AboveShort-term borrowings

$
4,538Derivative contracts


16Payables to Bank of America


18Other payables


934Long-term borrowings


6,738Total Liabilities of Consolidated VIEs

$
12,244    See Notes to Condensed
    Consolidated Financial Statements.
 5




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesCondensed Consolidated Statements
    of Cash Flows (Unaudited)
   Nine Months Ended

Nine Months Ended(dollars in millions)

September 30, 2010

September 30, 2009Cash flows from operating activities:Net earnings

$
769


$
2,409Adjustments to reconcile net earnings to cash provided by
    operating activitiesDepreciation and amortization


688



896Share-based compensation expense


1,039



579Deferred taxes


696



613Earnings from equity method investments


(306
)


(306
)Other


1,744



(673
)Changes in operating assets and liabilities:Trading assets


(1,333
)


21,313Cash and securities segregated for regulatory purposes or
    deposited with clearing organizations


2,183



6,018Receivables from Bank of America


(16,614
)


(51,279
)Receivables under resale agreements


(30,517
)


33,799Receivables under securities borrowed transactions


(10,693
)


(17,421
)Customer receivables


10,651



6,673Brokers and dealers receivables


1,204



2,000Proceeds from loans, notes, and mortgages held for sale


4,989



7,923Other changes in loans, notes, and mortgages held for sale


(2,559
)


(6,100
)Trading liabilities


20,084



(11,437
)Payables under repurchase agreements


19,042



(21,188
)Payables under securities loaned transactions


(8,181
)


(3,057
)Payables to Bank of America


1,128



26,864Customer payables


327



(6,385
)Brokers and dealers payables


(1,383
)


3,891Other, net


11,124



11,545Cash provided by operating activities


4,082



6,677Cash flows from investing activities:Proceeds from (payments for):Maturities of
    available-for-sale
    securities


1,201



5,692Sales of
    available-for-sale
    securities


14,966



9,613Purchases of
    available-for-sale
    securities


(771
)


(556
)Equipment and facilities, net


(293
)


(109
)Loans, notes, and mortgages held for investment


2,656



3,559Other investments


2,459



3,354Cash provided by investing activities


20,218



21,553Cash flows from financing activities:Proceeds from (payments for):Commercial paper and short-term borrowings


(937
)


(36,798
)Issuance and resale of long-term borrowings


6,440



7,102Settlement and repurchases of long-term borrowings


(29,419
)


(46,471
)Capital contributions from Bank of America


-



6,850Deposits


(1,295
)


7,514Dividends


(114
)


(91
)Cash used for financing activities


(25,325
)


(61,894
)Decrease in cash and cash equivalents


(1,025
)


(33,664
)Cash and cash equivalents, beginning of period


15,005



52,603Cash and cash equivalents, end of period

$
13,980


$
18,939Supplemental Disclosure of Cash Flow Information:Income taxes paid (net of refunds)

$
77


$
269Interest paid


4,600



9,594  Non-cash investing and financing activities:
  For the nine months ended September 30, 2010, Merrill
    Lynch received a non-cash capital contribution of approximately
    $1 billion from Bank of America associated with certain
    employee stock awards. In addition, as of January 1, 2010,
    Merrill Lynch assumed assets and liabilities in connection with
    the consolidation of certain VIEs. See Note 9.
  In connection with the acquisition of Merrill Lynch by Bank
    of America, Merrill Lynch recorded purchase accounting
    adjustments in the nine months ended September 30, 2009,
    which were recorded as non-cash capital contributions.
   See Notes to Condensed
    Consolidated Financial Statements.
 6




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesCondensed Consolidated Statements
    of Comprehensive Income/(Loss) (Unaudited)
  Three Months Ended

Nine Months Ended

Three Months Ended

Nine Months Ended(dollars in millions)

September 30, 2010

September 30, 2010

September 30, 2009

September 30, 2009Net (loss)/earnings

$
(860
)

$
769


$
700


$
2,409Other comprehensive income/(loss), net of tax:Foreign currency translation adjustment


28



(30
)


193



74Net unrealized gain/(loss) on investment securities
    available-for-sale


68



(49
)


(680
)


(147
)Net deferred gain on cash flow hedges


10



18



28



34Defined benefit pension and postretirement plans


2



5



-



-Total other comprehensive income/(loss), net of tax


108



(56
)


(459
)


(39
)Comprehensive (loss)/income

$
(752
)

$
713


$
241


$
2,370    See Notes to Condensed
    Consolidated Financial Statements.
 7




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesNotes to Condensed Consolidated Financial
    Statements
 September 30, 2010
   Note 1.  Summary of Significant
    Accounting Policies
  Description
    of Business
    Bank of
    America Acquisition
    Basis of
    Presentation
    Form 10-K
   8




---



##### Table of Contents



Consolidation
    Accounting
      Consolidation , Investments  Equity Method and Joint Ventures
     9




---



##### Table of Contents



Securitization
    Activities
  Transfers and Servicing
  Revenue
    Recognition
            other-than-temporary-impairment available-for-sale
   10




---



##### Table of Contents



Use of
    Estimates
    
    Valuations of assets and liabilities requiring fair value
    estimates;
    The allowance for credit losses;
    Determination of
    other-than-temporary
    impairments for
    available-for-sale
    investment securities;
    The outcome of litigation;
    The realization of deferred taxes and the recognition and
    measurement of uncertain tax positions;
    The carrying amount of goodwill and intangible assets;
    The amortization period of intangible assets with definite lives;
    Incentive-based compensation accruals and valuation of
    share-based payment compensation arrangements; and
    Other matters that affect the reported amounts and disclosure of
    contingencies in the financial statements.    Fair
    Value Measurement
  Investments 
    Debt and Equity Securities Derivatives and Hedging ASC 825-10-25, Financial Instruments  Recognition Financial
    Services  Brokers and Dealers Financial Services  Investment Companies
  Fair Value Measurements and Disclosures
  over-the-counter
 11




---



##### Table of Contents



and/or and/or
    Liquidity
    Counterparty
    Credit Risk
      Legal
    Reserves
   12




---



##### Table of Contents



Income
    Taxes
  Income Taxes
     13




---



##### Table of Contents



Securities
    Financing Transactions
  repo-to-maturity repo-to-maturity Repo-to-maturity
    and/or
      Rule 15c3-3
  and/or
 14




---



##### Table of Contents



Trading
    Assets and Liabilities
      Investment
    Securities
    Marketable
    Investment Securities
  held-to-maturity Held-to-maturity other-than-temporary, available-for-sale
    held-to-maturity available-for-sale
 15




---



##### Table of Contents



other-than-temporary. other-than-temporary other-than-temporary, other-than-temporary
    
    Identifying securities with indicators of possible impairment;
    Analyzing individual securities with fair value less than
    amortized cost for specific factors including:  
    The estimated length of time to recover from fair value to
    amortized cost;
    The severity and duration of the fair value decline from
    amortized cost;
    Deterioration in the financial condition of the issuer;  
    Discussing evidential matter, including an evaluation of the
    factors that could cause individual securities to have an
    other-than-temporary
    impairment;
    Determining whether Merrill Lynch intends to sell the security
    or if it is more likely than not that Merrill Lynch will be
    required to sell the security before recovery of its amortized
    cost; and
    Documenting the analysis and conclusions.  Non-Qualifying
    Investments
    and/or
     16




---



##### Table of Contents



other-than-temporary.
  other-than-temporary.
  Loans,
    Notes and Mortgages, Net
  ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit
    Quality
  held-for-investment
       17




---



##### Table of Contents



New
    Accounting Pronouncements
  Form 10-K
     18




---



##### Table of Contents



Note 2.  Transactions with Bank
    of America
    Sale of
    U.S. Banks to Bank of America
      Acquisition
    of BAI from Bank of America
  ASC 805-10, Business Combinations
  Asset and
    Liability Transfers
   19




---



##### Table of Contents



available-for-sale
  Other
    Related Party Transactions
      (dollars in millions)

September 30, 2010

December 31, 2009Cash and cash equivalents

$
17,065


$
8,265Cash and securities segregated for regulatory purposes


5,897



3,000Receivables under resale agreements and securities borrowed
    transactions


5,115



77Trading assets


513



700Net intercompany funding receivable


6,480



5,778Other receivables


2,163



2,682Other assets


-



117Total

$
37,233


$
20,619     (dollars in millions)

September 30, 2010

December 31, 2009Payables under repurchase agreements

$
10,754


$
8,307Payables under securities loaned transactions


8,730



10,326Short term borrowings


18



-Deposits


33



35Trading liabilities


719



718Other payables


4,424



4,164Total

$
24,678


$
23,550   available-for-sale
   20




---



##### Table of Contents



Note 3.  Segment and Geographic
    Information
  Segment
    Information
  Segment Reporting
    Geographic
    Information
    
    United States;
    Europe, Middle East, and Africa (EMEA);
    Pacific Rim;
    Latin America; and
    Canada.    
    Revenues are generally recorded based on the location of the
    employee generating the revenue; and
    Intercompany transfers are based primarily on service agreements. 21




---



##### Table of Contents



Three Months Ended

Nine Months Ended

Three Months Ended

Nine Months Ended(dollars in millions)

September 30, 2010

September 30, 2010

September 30, 2009

September 30, 2009Revenues, net of interest expenseEurope, Middle East, and Africa

$
1,079


$
3,811


$
1,577


$
4,642Pacific Rim


421



1,521



378



1,772Latin America


203



783



207



605Canada


49



177



71



185Total
    Non-U.S.


1,752



6,292



2,233



7,204United
    States(1)(2)


2,601



11,305



3,031



10,404Total revenues, net of interest expense

$
4,353


$
17,597


$
5,264


$
17,608   (1)
    
    U.S. results for the three and
    nine months ended September 30, 2010 included losses of
    $0.3 billion and gains of $1.1 billion, respectively,
    due to the impact of the changes in Merrill Lynchs credit
    spreads on the carrying values of certain long-term borrowings,
    primarily structured notes. U.S. results for the three and nine
    months ended September 30, 2009 included net losses of
    $2.1 billion and $3.5 billion, respectively, due to
    the impact of the narrowing of Merrill Lynchs credit
    spreads on the carrying values of certain long-term borrowings,
    primarily structured notes.(2)
    
    Corporate net revenues and
    adjustments are reflected in the U.S. region.   Note 4.  Fair
    Value Disclosures
  Fair
    Value Accounting
  Fair
    Value Hierarchy
        Level 1.
    Financial assets and liabilities whose values are based on
    unadjusted quoted prices for identical assets or liabilities in
    an active market that Merrill Lynch has the ability to access
    (examples include active exchange-traded equity securities,
    exchange-traded derivatives, U.S. Government securities,
    and certain other sovereign government obligations).Level 2.
    Financial assets and liabilities whose values are based on
    quoted prices in markets that are not active or model inputs
    that are observable either directly or indirectly for
    substantially the full term of the asset or liability.
    Level 2 inputs include the following:  a)
    Quoted prices for similar assets or liabilities in active
    markets (examples include restricted stock and U.S. agency
    securities);  b)
    Quoted prices for identical or similar assets or liabilities in
    non-active markets (examples include corporate and municipal
    bonds, which can trade infrequently); 22




---



##### Table of Contents



c)
    Pricing models whose inputs are observable for substantially the
    full term of the asset or liability (examples include most
    over-the-counter
    derivatives, including interest rate and currency
    swaps); and  d)
    Pricing models whose inputs are derived principally from or
    corroborated by observable market data through correlation or
    other means for substantially the full term of the asset or
    liability (examples include certain residential and commercial
    mortgage-related assets, including loans, securities and
    derivatives).  Level 3.
    Financial assets and liabilities whose values are based on
    prices or valuation techniques that require inputs that are both
    unobservable and significant to the overall fair value
    measurement. These inputs reflect managements view about
    the assumptions a market participant would use in pricing the
    asset or liability (examples include certain private equity
    investments, certain residential and commercial mortgage-related
    assets and long-dated or complex derivatives).        Valuation
    Techniques
    U.S.
    Government and agencies
  U.S. treasury securities
  U.S. agency securities
 23




---



##### Table of Contents



Non-U.S.
    governments and agencies
    Municipal
    debt
  Municipal bonds
  Auction Rate Securities (ARS)
  Corporate
    and other debt
  Corporate bonds and/or cash-to-synthetic and/or
  Corporate loans and commitments cash-to-synthetic
 24




---



##### Table of Contents



Mortgages,
    mortgage-backed and asset-backed
  Residential Mortgage-Backed Securities (RMBS),
    Commercial Mortgage-Backed Securities (CMBS), and
    other Asset-Backed Securities (ABS)
      Equities
  Exchange-Traded Equity Securities
  Derivative
    contracts
  Listed Derivative Contracts
  OTC Derivative Contracts
     25




---



##### Table of Contents



CDOs
  Investment
    securities non-qualifying
  Investments in Private Equity, Real Estate and Hedge
    Funds
  and/or
  Resale
    and repurchase agreements
    Long-term
    and short-term borrowings
   26




---



##### Table of Contents



Recurring
    Fair Value
    Fair Value Measurements on a Recurring Basisas of September 30, 2010Netting(dollars in millions)

Level 1

Level 2

Level 3

Adj(1)

TotalAssets:Securities segregated for regulatory purposes or deposited with
    clearing organizations:Equities

$
-


$
-


$
-


$
-


$
-Corporate debt


-



488



-



-



488Non-U.S.
    governments and agencies


858



1,406



-



-



2,264U.S. Government and agencies


850



1,803



-



-



2,653Total securities segregated for regulatory purposes or deposited
    with clearing organizations


1,708



3,697



-



-



5,405Receivables under resale agreements


-



56,702



-



-



56,702Receivables under securities borrowed transactions


-



1,230



-



-



1,230Trading assets, excluding derivative contracts:Equities


15,783



8,635



217



-



24,635Convertible debentures


-



5,548



-



-



5,548Non-U.S.
    governments and agencies


24,622



3,983



258



-



28,863Corporate debt


-



12,245



4,815







17,060Preferred stock


-



292



205



-



497Mortgages, mortgage-backed and asset-backed


-



1,197



5,861



-



7,058U.S. Government and agencies


1,494



11



-



-



1,505Municipals and money markets


847



8,125



2,923



-



11,895Physical commodities and other


-



799



-



-



799Total trading assets, excluding derivative contracts


42,746



40,835



14,279



-



97,860Derivative
    contracts(2)


1,903



805,549



14,862



(774,712
)


47,602Investment securities
    available-for-sale:Mortgage-backed securities  agency collateralized
    mortgage obligations


-



701



-



-



701Mortgage-backed securities  non-agency MBSs


-



548



336



-



884Total investment securities
    available-for-sale


-



1,249



336



-



1,585Investment securities non-qualifying


2,374



336



3,775



-



6,485Total investment securities


2,374



1,585



4,111



-



8,070Securities received as collateral


18,845



610



-



-



19,455Loans, notes and mortgages


-



682



3,222



-



3,904 27




---



##### Table of Contents



Fair Value Measurements on a Recurring Basisas of September 30, 2010Netting(dollars in millions)

Level 1

Level 2

Level 3

Adj(1)

TotalLiabilities:Payables under repurchase agreements


-



48,251



-



-



48,251Short-term borrowings


-



4,924



-



-



4,924Trading liabilities, excluding derivative contracts:Equities


14,132



1,220



-



-



15,352Convertible debentures


-



1,268



-



-



1,268Non-U.S.
    governments and agencies


21,991



2,108



-



-



24,099Corporate debt


-



3,757



-



-



3,757U.S. Government and agencies


1,174



-



-



-



1,174Municipals, money markets and other


357



193



-



-



550Total trading liabilities, excluding derivative contracts


37,654



8,546



-



-



46,200Derivative
    contracts(2)


1,194



803,623



8,069



(773,856
)


39,030Obligation to return securities received as collateral


18,845



610



-



-



19,455Other payables  interest and other


-



8



138



-



146Long-term borrowings


-



37,394



3,923



-



41,317   (1)
    
    Represents counterparty and
    cash collateral netting.(2)
    
    Refer to Note 6 for
    product level detail.  and/or
      and/or
  and/or
  28




---



##### Table of Contents



Fair Value Measurements on a Recurring Basisas of December 31, 2009Netting(dollars in millions)

Level 1

Level 2

Level 3

Adj(1)

TotalAssets:Securities segregated for regulatory purposes or deposited with
    clearing organizations:Mortgages, mortgage-backed and asset-backed

$
-


$
5,525


$
-


$
-


$
5,525Corporate debt


-



579



-



-



579Non-U.S.
    governments and agencies


946



893



-



-



1,839U.S. Government and agencies


1,046



1,541



-



-



2,587Total securities segregated for regulatory purposes or deposited
    with clearing organizations


1,992



8,538



-



-



10,530Receivables under resale agreements


-



41,740



-



-



41,740Receivables under securities borrowed transactions


-



2,888



-



-



2,888Trading assets, excluding derivative contracts:Equities


23,083



6,297



259



-



29,639Convertible debentures


-



4,862



-



-



4,862Non-U.S.
    governments and agencies


17,407



2,718



1,131



-



21,256Corporate debt


-



9,241



6,540



-



15,781Preferred stock


-



436



562



-



998Mortgages, mortgage-backed and asset-backed


-



1,680



6,291



-



7,971U.S. Government and agencies


979



479



-



-



1,458Municipals and money markets


798



5,181



2,148



-



8,127Physical commodities and other


-



651



-



-



651Total trading assets, excluding derivative contracts


42,267



31,545



16,931



-



90,743Derivative contracts


2,218



658,264



17,939



(628,839
)


49,582Investment securities
    available-for-sale:Mortgage-backed securities  agency collateralizedmortgage obligations


-



9,688



-



-



9,688Mortgage-backed securities  non-agency MBSs


-



1,132



473



-



1,605Total investment securities
    available-for-sale


-



10,820



473



-



11,293Investment securities non-qualifying


2,027



451



3,696



-



6,174Total investment securities


2,027



11,271



4,169



-



17,467Securities received as collateral


15,780



566



-



-



16,346Loans, notes and mortgages


-



654



4,115



-



4,769Liabilities:Payables under repurchase agreements


-



37,325



-



-



37,325Short-term borrowings


-



813



-



-



813Trading liabilities, excluding derivative contracts:Equities


12,051



1,069



-



-



13,120Convertible debentures


-



534



-



-



534Non-U.S.
    governments and agencies


12,028



430



386



-



12,844Corporate debt


-



1,903



-



-



1,903U.S. Government and agencies


1,296



-



-



-



1,296Municipals, money markets and other


273



370



-



-



643Total trading liabilities, excluding derivative contracts


25,648



4,306



386



-



30,340Derivative contracts


1,727



662,629



11,073



(640,309
)


35,120Obligation to return securities received as collateral


15,780



566



-



-



16,346Other payables  interest and other


-



54



186



-



240Long-term borrowings


-



42,357



4,683



-



47,040   (1)
    
    Represents counterparty and
    cash collateral netting. 29




---



##### Table of Contents



and/or
      and/or
  and/or
    (dollars in millions)Level 3 Financial Assets and LiabilitiesThree Months Ended September 30, 2010Total Realized and UnrealizedGains or (Losses)

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Gains to

and

Transfers

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

in

out

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
251


$
8


$
-


$
-


$
8


$
-


$
(40
)

$
2


$
(4
)

$
217Non-U.S.
    governments and agencies


930



22



-



-



22



-



(52
)


11



(653
)


258Corporate debt


5,402



101



-



-



101



-



(373
)


240



(555
)


4,815Preferred stock


188



2



-



-



2



-



15



-



-



205Mortgages, mortgage-backed and asset-backed


5,860



91



-



-



91



-



(97
)


7



-



5,861Municipals and money markets


3,116



28



-



-



28



-



(221
)


-



-



2,923Total trading assets, excluding derivative contracts


15,747



252



-



-



252



-



(768
)


260



(1,212
)


14,279Derivative contracts, net


6,590



(246
)


-



-



(246
)


-



818



182



(551
)


6,793Investment securities
    available-for-sale:Mortgage-backed securities  residential non-agency
    MBSs


352



-



(27
)


-



(27
)


23



(33
)


21



-



336Total investment securities
    available-for-sale


352



-



(27
)


-



(27
)


23



(33
)


21



-



336Investment securities non-qualifying


4,128



-



(249
)


-



(249
)


-



(104
)


-



-



3,775Total investment securities


4,480



-



(276
)


-



(276
)


23



(137
)


21



-



4,111Loans, notes and mortgages


3,152



-



289



32



321



-



(196
)


11



(66
)


3,222Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


7



-



-



-



-



-



(7
)


-



-



-Total trading liabilities, excluding derivative contracts


7



-



-



-



-



-



(7
)


-



-



-Other liabilities  interest and other


154



-



16



-



16



-



-



-



-



138Long-term borrowings


4,006



(120
)


(102
)


-



(222
)


-



(254
)


390



(441
)


3,923  30




---



##### Table of Contents



non-U.S. governments
      (dollars in millions)Level 3 Financial Assets and LiabilitiesNine Months Ended September 30, 2010Total Realized and UnrealizedGains or (Losses)

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Losses to

and

Transfers

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

in

out

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
259


$
(2
)

$
-


$
-


$
(2
)

$
-


$
(67
)

$
71


$
(44
)

$
217Non-U.S.
    governments and agencies


1,131



(137
)


-



-



(137
)


-



(131
)


102



(707
)


258Corporate debt


6,540



237



-



-



237



-



(1,637
)


827



(1,152
)


4,815Preferred stock


562



(23
)


-



-



(23
)


-



(333
)


-



(1
)


205Mortgages, mortgage-backed and asset-backed


6,291



87



-



-



87



-



(510
)


390



(397
)


5,861Municipals and money markets


2,148



44



-



-



44



-



(390
)


1,234



(113
)


2,923Total trading assets, excluding derivative contracts


16,931



206



-



-



206



-



(3,068
)


2,624



(2,414
)


14,279Derivative contracts, net


6,866



(882
)


-



-



(882
)


-



665



691



(547
)


6,793Investment securities
    available-for-sale:Mortgage-backed securities  residential non-agency
    MBSs


473



-



(94
)


24



(70
)


(29
)


(102
)


76



(12
)


336Total investment securities
    available-for-sale


473



-



(94
)


24



(70
)


(29
)


(102
)


76



(12
)


336Investment securities non-qualifying


3,696



-



962



-



962



-



(748
)


-



(135
)


3,775Total investment securities


4,169



-



868



24



892



(29
)


(850
)


76



(147
)


4,111Loans, notes and mortgages


4,115



-



148



123



271



-



(1,109
)


11



(66
)


3,222Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


386



21



2



-



23



-



17



-



(380
)


-Total trading liabilities, excluding derivative contracts


386



21



2



-



23



-



17



-



(380
)


-Other liabilities  interest and other


186



-



27



-



27



-



(21
)


-



-



138Long-term borrowings


4,683



475



90



-



565



-



(51
)


1,206



(1,350
)


3,923         31




---



##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesThree Months Ended September 30, 2009Total Realized and UnrealizedGains or (Losses)

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Losses to

and

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

in (out)

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
330


$
(36
)

$
-


$
-


$
(36
)

$
-


$
3


$
2


$
299Mortgages, mortgage-backed and asset-backed


7,176



17



-



-



17



-



(3,177
)


8



4,024Corporate debt


4,004



542



-



-



542



-



3,696



554



8,796Preferred stock


6,591



37



-



-



37



-



(553
)


-



6,075Non-U.S.
    governments and agencies


691



61



-



-



61



-



-



13



765Municipals and money markets


931



6



-



-



6



-



29



-



966Total trading assets, excluding derivative contracts


19,723



627



-



-



627



-



(2
)


577



20,925Derivative contracts, net


6,248



(1,356
)


-



-



(1,356
)


-



(136
)


1,047



5,803Investment securities trading:


































-Mortgages, mortgage-backed and asset-backed


38



3



-



-



3



-



(18
)


-



23Corporate debt


-



-



-



-



-



-



-



40



40Non-U.S.
    governments and agencies


174



-



-



-



-



-



-



73



247Total investment securities trading


212



3



-



-



3



-



(18
)


113



310Investment securities
    available-for-sale:Mortgage-backed securities  non- agency MBSs


3,227



-



(158
)


-



(158
)


(602
)


(1,691
)


20



796Total investment securities
    available-for-sale


3,227



-



(158
)


-



(158
)


(602
)


(1,691
)


20



796Investment securities non-qualifying


2,832



-



420



-



420



-



(37
)


47



3,262Total investment securities


6,271



3



262



-



265



(602
)


(1,746
)


180



4,368Loans, notes and mortgages


6,085



-



(59
)


53



(6
)


-



(2,052
)


47



4,074Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


352



(39
)


-



-



(39
)


-



-



-



391Total trading liabilities, excluding derivative contracts


352



(39
)


-



-



(39
)


-



-



-



391Other payables  interest and other


628



-



47



-



47



-



(340
)


-



241Long-term borrowings


5,289



(468
)


(93
)


-



(561
)


-



(371
)


(401
)


5,078     available-for-sale
    32




---



##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesNine Months Ended September 30, 2009Total Realized and UnrealizedGains or (Losses)

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Gains to

and

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

in (out)

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
231


$
(58
)

$
-


$
-


$
(58
)

$
-


$
175


$
(49
)

$
299Mortgages, mortgage-backed and asset-backed


7,568



(315
)


-



-



(315
)


-



(809
)


(2,420
)


4,024Corporate debt


10,149



312



-



-



312



-



2,209



(3,874
)


8,796Preferred stock


3,344



(153
)


-



-



(153
)


-



2,779



105



6,075Non-U.S.
    governments and agencies


30



125



-



-



125



-



10



600



765Municipals and money markets


798



6



-



-



6



-



175



(13
)


966Total trading assets, excluding derivative contracts


22,120



(83
)


-



-



(83
)


-



4,539



(5,651
)


20,925Derivative contracts, net


2,307



(1,263
)


-



-



(1,263
)


-



(56
)


4,815



5,803Investment securities trading:


































-Mortgages, mortgage-backed and asset-backed


22



(7
)


-



-



(7
)


-



(22
)


30



23Corporate debt


146



(9
)


-



-



(9
)


-



-



(97
)


40Non-U.S.
    governments and agencies


-



-



-



-



-



-



-



247



247Total investment securities trading


168



(16
)


-



-



(16
)


-



(22
)


180



310Investment securities
    available-for-sale:Mortgage-backed securities  non- agency MBSs


350



-



(432
)


178



(254
)


709



(2,201
)


2,192



796Total investment securities
    available-for-sale


350



-



(432
)


178



(254
)


709



(2,201
)


2,192



796Investment securities non-qualifying


2,761



-



568



-



568



-



(60
)


(7
)


3,262Total investment securities


3,279



(16
)


136



178



298



709



(2,283
)


2,365



4,368Loans, notes and mortgages


359



-



450



53



503



-



(2,646
)


5,858



4,074Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


-



(43
)


-



-



(43
)


-



-



348



391Total trading liabilities, excluding derivative contracts


-



(43
)


-



-



(43
)


-



-



348



391Other payables  interest and other


-



-



717



-



717



-



(340
)


1,298



241Long-term borrowings


7,480



(2,032
)


(133
)


-



(2,165
)


-



(338
)


(4,229
)


5,078     available-for-sale
 33




---



##### Table of Contents



available-for-sale
    (dollars in millions)Unrealized Gains or (Losses) for Level 3 Assets and
    Liabilities Still HeldThree Months Ended September 30, 2010

Nine Months Ended September 30, 2010Principal

Other





Principal

OtherTransactions

Revenue

Interest

Total

Transactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
(3
)

$
-


$
-


$
(3
)

$
(19
)

$
-


$
-


$
(19
)Non-U.S.
    governments and agencies


22



-



-



22



(137
)


-



-



(137
)Corporate debt


34



-



-



34



53



-



-



53Preferred stock


2



-



-



2



(23
)


-



-



(23
)Mortgages, mortgage-backed and asset-backed


79



-



-



79



56



-



-



56Municipals and money markets


28



-



-



28



44



-



-



44Total trading assets, excluding derivative contracts


162



-



-



162



(26
)


-



-



(26
)Derivative contracts, net


(189
)


-



-



(189
)


(779
)


-



-



(779
)Investment securities
    available-for-sale:Mortgage-backed securities - non-agency MBSs


-



(20
)


-



(20
)


-



(42
)


24



(18
)Total investment securities
    available-for-sale


-



(20
)


-



(20
)


-



(42
)


24



(18
)Investment securities non-qualifying


-



(249
)


-



(249
)


-



233



-



233Total investment securities


-



(269
)


-



(269
)


-



191



24



215Loans, notes and mortgages


-



287



-



287



-



248



-



248Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


29



-



-



29



52



-



-



52Total trading liabilities, excluding derivative contracts


29



-



-



29



52



-



-



52Other liabilities  interest and other


-



16



-



16



-



27



-



27Long-term borrowings


(113
)


(103
)


-



(216
)


381



88



-



469   34




---



##### Table of Contents



(dollars in millions)Unrealized Gains or (Losses) for Level 3 Assets and
    Liabilities Still HeldThree Months Ended September 30, 2009

Nine Months Ended September 30, 2009Principal

Other





Principal

OtherTransactions

Revenue

Interest

Total

Transactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
(36
)

$
-


$
-


$
(36
)

$
(58
)

$
-


$
-


$
(58
)Mortgages, mortgage-backed and asset-backed


99



-



-



99



(238
)


-



-



(238
)Corporate debt


409



-



-



409



162



-



-



162Preferred stock


37



-



-



37



(153
)


-



-



(153
)Non-U.S.
    governments and agencies


61



-



-



61



125



-



-



125Municipals and money markets


6



-



-



6



7



-



-



7Total trading assets, excluding derivative contracts


576



-



-



576



(155
)


-



-



(155
)Derivative contracts, net


(1,365
)


-



-



(1,365
)


(1,281
)


-



-



(1,281
)Investment securities trading:Mortgages, mortgage-backed and asset-backed


2



-



-



2



(9
)


-



-



(9
)Corporate debt


-



-



-



-



(9
)


-



-



(9
)Non-U.S.
    governments and agencies


-



-



-



-



-



-



-



-Total investment securities trading


2



-



-



2



(18
)


-



-



(18
)Investment securities
    available-for-sale:Mortgage-backed securities - non-agency MBSs


-



(177
)


-



(177
)


-



(241
)


178



(63
)Total investment securities
    available-for-sale


-



(177
)


-



(177
)


-



(241
)


178



(63
)Investment securities non-qualifying


-



438



-



438



-



586



-



586Total investment securities


2



261



-



263



(18
)


345



178



505Loans, notes and mortgages


-



46



-



46



-



555



-



555Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


(39
)


-



-



(39
)


(43
)


-



-



(43
)Total trading liabilities, excluding derivative contracts


(39
)


-



-



(39
)


(43
)


-



-



(43
)Other liabilities  interest and other


-



47



-



47



-



717



-



717Long-term borrowings


(484
)


(93
)


-



(577
)


(2,266
)


(133
)


-



(2,399
)    35




---



##### Table of Contents



Non-recurring
    Fair Value
    (dollars in millions)Gains/(Losses)

Gains/(Losses)Three Months

Nine MonthsNon-Recurring Basis

Ended

Endedas of September 30, 2010

September 30,

September 30,Level 1

Level 2

Level 3

Total

2010

2010Assets:Investment securities non-qualifying

$
-


$
-


$
80


$
80


$
-


$
(13
)Loans, notes and mortgages


-



28



2,105



2,133



113



(79
)Other assets


-



10



174



184



(20
)


(25
)Liabilities:Other payables  interest and other


-



-



32



32



-



7   (dollars in millions)Non-Recurring Basisas of December 31, 2009Level 1

Level 2

Level 3

TotalAssets:Investment securities non-qualifying

$
-


$
-


$
182


$
182Loans, notes and mortgages


-



524



2,671



3,195Other assets


-



-



210



210Liabilities:Other payables  interest and other


-



-



39



39      36




---



##### Table of Contents



Fair
    Value Option Election
      (dollars in millions)Changes in Fair Value For the Three

Changes in Fair Value For the NineMonths Ended September 30, 2010, for

Months Ended September 30, 2010, forItems

ItemsMeasured at Fair Value Pursuant to the

Measured at Fair Value Pursuant to theFair Value Option Election

Fair Value Option ElectionGains/

Gains/

Total

Gains/

Gains/

Total(losses)

(losses)

Changes

(losses)

(losses)

ChangesPrincipal

Other

in Fair

Principal

Other

in FairTransactions

Revenues

Value

Transactions

Revenues

ValueAssets:Receivables under resale agreements

$
49


$
-


$
49


$
50


$
-


$
50Investment securities


-



16



16



-



62



62Loans, notes and mortgages


-



302



302



-



396



396Liabilities:Payables under repurchase agreements


(2
)


-



(2
)


18



-



18Short-term borrowings


5



-



5



112



-



112Other payables  interest and other


-



2



2



-



4



4Long-term
    borrowings(1)


(1,243
)


(82
)


(1,325
)


1,238



(102
)


1,136  (1)
    
    Other revenues primarily
    represent fair value changes on non-recourse long-term
    borrowings issued by consolidated VIEs.  37




---



##### Table of Contents



(dollars in millions)Changes in Fair Value For the NineChanges in Fair Value For the Three

Months Ended September 30, 2009, forMonths Ended September 30, 2009, for Items

ItemsMeasured at Fair Value Pursuant to the

Measured at Fair Value PursuantFair Value Option Election

to the Fair Value Option ElectionGains/

Gains/

Total

Gains/

Gains/

Total(losses)

(losses)

Changes

(losses)

(losses)

ChangesPrincipal

Other

in Fair

Principal

Other

in FairTransactions

Revenues

Value

Transactions

Revenues

ValueAssets:Receivables under resale agreements

$
(9
)

$
-


$
(9
)

$
(330
)

$
-


$
(330
)Investment securities


-



(13
)


(13
)


379



(148
)


231Loans, notes and mortgages


-



(37
)


(37
)


-



601



601Liabilities:Payables under repurchase agreements


2



-



2



186



-



186Short-term borrowings


20



-



20



(226
)


6



(220
)Other payables  interest and other


-



48



48



-



729



729Long-term
    borrowings(1)


(3,438
)


11



(3,427
)


(7,195
)


(29
)


(7,224
)  (1)
    
    Other revenues primarily
    represent fair value changes on non-recourse long-term
    borrowings issued by consolidated VIEs.    Resale
    and repurchase agreements
    Loans,
    notes and mortgages and loan commitments
     38




---



##### Table of Contents



and/or
  Short-term
    and long-term borrowings
        (dollars in millions)PrincipalFair Value

Amountat

Due UponSeptember 30,
    2010

Maturity

DifferenceAssets:Receivables under resale agreements

$
56,702


$
56,320


$
382Receivables under securities borrowed transactions


1,230



1,230



-Loans, notes and mortgages


3,812



5,947



(2,135
)Liabilities:Long-term
    borrowings(1)


41,317



47,601



(6,284
)  (1)
    
    The majority of the difference
    relates to the impact of the widening of Merrill Lynchs
    credit spreads and the change in fair value of non-recourse debt
    issued by consolidated VIEs.   39




---



##### Table of Contents



(dollars in millions)PrincipalFair Value

Amountat

Due UponDecember 31,
    2009

Maturity

DifferenceAssets:Receivables under resale agreements

$
41,740


$
41,454


$
286Receivables under securities borrowed transactions


2,888



2,888



-Loans, notes and mortgages


4,649



7,236



(2,587
)Liabilities:Long-term
    borrowings(1)


47,040



50,543



(3,503
)  (1)
    
    The majority of the difference
    relates to the impact of the widening of Merrill Lynchs
    credit spreads, the change in fair value of non-recourse debt,
    and zero coupon notes issued at a substantial discount from the
    principal amount. Note 5.  Fair
    Value of Financial Instruments      Short-term
    Financial Instruments
    Loans,
    Notes and Mortgages
   40




---



##### Table of Contents



Deposits
    Long-term
    Borrowings
      (dollars in millions)September 30, 2010

December 31, 2009Book Value

Fair Value

Book Value

Fair ValueFinancial assetsLoans, notes and
    mortgages(1)

$
30,970


$
29,185


$
37,663


$
37,715Financial liabilitiesDeposits


13,892



13,892



15,187



15,187Long-term
    borrowings(2)


137,769



140,914



154,951



162,645  (1)
    
    Loans are presented net of
    allowance for loan losses. The fair value is determined based on
    the present value of future cash flows using credit spreads or
    risk adjusted rates of return that a buyer of the portfolio
    would require. Merrill Lynch expects to collect the principal
    cash flows underlying the book values as well as the related
    interest cash flows.(2)
    
    Includes junior subordinated
    notes (related to trust preferred securities). Note 6.  Derivatives    net-by-counterparty
 41




---



##### Table of Contents



Trading
    derivatives
    Derivatives
    that contain a significant financing element
    Non-trading
    derivatives
    1.
    Merrill Lynchs debt was issued in a variety of maturities
    and currencies to achieve the lowest cost financing possible.
    Merrill Lynch enters into derivative transactions to hedge these
    liabilities. Derivatives used most frequently include swap
    agreements that:  
    Convert fixed-rate interest payments into variable-rate interest
    payments;
    Change the underlying interest rate basis or reset
    frequency; and
    Change the settlement currency of a debt instrument.    2.
    Merrill Lynch uses foreign-exchange forward contracts,
    foreign-exchange options, and currency swaps to hedge its net
    investments in foreign operations, as well as other foreign
    currency exposures (e.g.,
    non-U.S. dollar
    denominated debt and expenses). These derivatives are used to
    mitigate the impact of changes in exchange rates. Changes in the
    fair value of these derivatives are reported in other revenue,
    unless net investment hedge accounting is applied.3.
    Merrill Lynch enters into futures, swaps, options and forward
    contracts to manage the price risk of certain commodity
    inventory and forecasted commodity purchases and sales. Changes
    in fair value of these derivatives are reported in principal
    transaction revenues, unless cash flow hedge accounting is
    applied. 42




---



##### Table of Contents



4.
    Merrill Lynch enters into credit default swaps to manage the
    credit risk on certain loans that are not part of trading
    activities. Changes in the fair value of these derivatives are
    reported in other revenue.    1.
    A hedge of the fair value of a recognized asset or liability
    (fair value hedge). Changes in the fair value of
    derivatives that are designated and qualify as fair value hedges
    of interest rate risk, along with the gain or loss on the hedged
    liability that is attributable to the hedged risk, are recorded
    in current period earnings as interest expense. Changes in the
    fair value of derivatives that are designated and qualify as
    fair value hedges of commodity price risk, along with the gain
    or loss on the hedged asset that is attributable to the hedged
    risk, are recorded in current period earnings in principal
    transactions.2.
    A hedge of the variability of cash flows to be received or paid
    related to a recognized asset or liability (cash flow
    hedge). Changes in the fair value of derivatives that are
    designated and qualify as cash flow hedges are recorded in OCI
    until earnings are affected by the variability of cash flows of
    the hedged asset or liability. For cash flow hedges of commodity
    contracts, the amount is reclassified out of OCI and recorded in
    principal transactions when the forecasted purchase or sale of
    the commodity occurs.3.
    A hedge of a net investment in a foreign operation (net
    investment hedge). Changes in the fair value of
    derivatives that are designated and qualify as hedges of a net
    investment in a foreign operation are recorded in the foreign
    currency translation adjustment account within OCI. Changes in
    the fair value of the hedging instruments that are associated
    with the difference between the spot rate and the contracted
    forward rate are recorded in current period earnings in interest
    expense for the three and nine months ended September 30,
    2010 and other revenues for the three and nine months ended
    September 30, 2009.   43




---



##### Table of Contents



Fair
    value hedges of interest rate risk on long-term
    borrowings
  (dollars in millions)Account location

2010

2009For the three months ended September 30:Gain/(loss) recognized in income on the derivative

Interest expense

$
2,154


$
944Gain/(loss) recognized in income on the long-term
    borrowing(1)

Interest expense


(2,283
)


(1,156
)Gain/(loss) recognized in income due to hedge ineffectiveness

Interest expense


(129
)


(212
)For the nine months ended September 30:Gain/(loss) recognized in income on the derivative

Interest expense


2,589



(1,581
)Gain/(loss) recognized in income on the long-term
    borrowing(1)

Interest expense


(3,197
)


981Gain/(loss) recognized in income due to hedge ineffectiveness

Interest expense


(608
)


(600
)As of September 30, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


5,883



3,362Trading liabilities


163



101Notional amount of hedging derivativesin an asset position




45,574



54,954in a liability position




12,152



4,770   (1)
    
    Excludes the impact of the
    accretion of purchase accounting adjustments made to certain
    long-term borrowings in connection with the acquisition of
    Merrill Lynch by Bank of America.  Fair
    value hedges of commodity price risk on commodity
    inventory
  (dollars in millions)Account location

2010

2009For the three months ended September 30:Gain/(loss) recognized in income on the derivative

Principal transactions

$
25


$
3Gain/(loss) recognized in income on the commodity inventory

Principal transactions


(23
)


(2
)Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions


2



1For the nine months ended September 30:Gain/(loss) recognized in income on the derivative

Principal transactions


66



63Gain/(loss) recognized in income on the commodity inventory

Principal transactions


(69
)


(59
)Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions


(3
)


4As of September 30, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


132



78Trading liabilities


5



4Notional amount of hedging derivativesin an asset position




294



286in a liability position




10



34  44




---



##### Table of Contents



Cash
    flow hedges of commodity price risk on forecasted purchases and
    sales
  (dollars in millions)Account location

2010

2009For the three months ended September 30:Gain/(loss) on the derivative deferred in equity

Accumulated other
    comprehensive income

$
20


$
(4
)Gain/(loss) reclassified into earnings in the current period

Principal transactions


3



53Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions


4



(1
)Amount that is expected to be reclassified into earnings in the
    next 12 months

Principal transactions


22



5For the nine months ended September 30:Gain/(loss) on the derivative deferred in equity

Accumulated othercomprehensive income


47



64Gain/(loss) reclassified into earnings in the current period

Principal transactions


16



59Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions


6



(1
)Amount that is expected to be reclassified into earnings in the
    next 12 months

Principal transactions


22



5As of September 30, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


132



10Trading liabilities


3



5Notional amount of hedging derivativesin an asset position




293



92in a liability position




31



67  45




---



##### Table of Contents



Net
    investment hedges of foreign operations
  (dollars in millions)Account location

2010

2009For the three months ended September 30:Gain/(loss) on the derivative and non-derivative hedges deferred
    in equity

Accumulated other

$
(1,356
)

$
(421
)comprehensive incomeGain/(loss) recognized in income due to hedge ineffectiveness

Other revenue


-



-Gain/(loss) recognized in income from the unused portion (time
    value) of the hedging derivative

Other revenue


-



(6
)Interest expense


(49
)


-For the nine months ended September 30:Gain/(loss) on the derivative and non-derivative hedges deferred
    in equity

Accumulated other


(509
)


(1,682
)comprehensive incomeGain/(loss) recognized in income due to hedge ineffectiveness

Other revenue


-



-Gain/(loss) recognized in income from the unused portion (time
    value) of the hedging derivative

Other revenue


-



(98
)Interest expense


(138
)


-As of September 30, 2010 and December 31, 2009:Carrying value of hedging derivatives

Trading assets


141



353Trading liabilities


861



277Carrying value of non-derivative hedges

Long-term borrowings


569



598Notional amount of hedging derivativesin an asset position




827



16,531in a liability position




24,484



6,098   Net
    gains/(losses) on economic hedges
  (dollars in millions)Account location

2010

2009For the three months ended September 30:Interest rate risk

Interest expense

$
239


$
124Foreign currency risk

Other revenue


4,507



1,944Credit risk

Other revenue


(29
)


(218
)For the nine months ended September 30:Interest rate risk

Interest expense


708



(594
)Foreign currency risk

Other revenue


(1,223
)


484Credit risk

Other revenue


(23
)


(370
)   ASC 830-20, Foreign Currency Transactions
 46




---



##### Table of Contents



Derivative
    balances by primary risk
      (dollars in millions)As of September 30, 2010Contract/

Trading Assets-

Contract/

Trading Liabilities-Notional(1)

Derivative Contracts

Notional(1)

Derivative ContractsInterest rate contractsSwaps

$
8,917,030


$
637,447


$
8,732,424


$
633,313Futures and forwards


1,860,777



2,228



1,843,803



2,355Written options


-



-



1,558,928



61,883Purchased options


1,404,567



65,206



-



-Foreign exchange contractsSwaps


98,392



11,248



106,205



13,614Spot, futures and forwards


121,487



5,763



129,853



6,702Written options


-



-



300,527



10,230Purchased options


307,504



9,970



-



-Equity contractsSwaps


16,190



1,125



18,946



1,666Futures and forwards


52,381



3,681



54,454



2,702Written options


-



-



261,570



20,576Purchased options


223,637



18,789



-



-Commodity contractsSwaps


55,400



8,452



51,196



9,349Futures and forwards


233,589



5,752



218,663



3,684Written options


-



-



86,300



5,571Purchased options


83,531



5,364



-



-Credit derivativesPurchased protection:Credit default swaps


457,333



37,088



302,413



9,621Total return swaps


1,886



287



1,616



218Other Credit Derivatives


1,669



13



37



-Written protection:Credit default swaps


301,292



9,350



469,035



31,135Total return swaps


484



551



963



263Other Credit Derivatives


-



-



469



4Gross derivative assets/liabilities

$
14,137,149


$
822,314


$
14,137,402


$
812,886Less: Legally enforceable master netting






(742,077
)






(742,077
)Less: Cash collateral applied






(32,635
)






(31,779
)Total derivative assets and liabilities





$
47,602






$
39,030   (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives.  47




---



##### Table of Contents



(dollars in millions)As of December 31, 2009Contract/

Trading Assets-

Contract/

Trading Liabilities-Notional(1)

Derivative Contracts

Notional(1)

Derivative ContractsInterest rate contractsSwaps

$
10,059,442


$
472,860


$
9,748,704


$
471,423Futures and forwards


2,606,064



3,531



2,534,823



3,123Written options


-



-



1,461,830



46,521Purchased options


1,313,226



46,643



-



-Foreign exchange contractsSwaps


115,591



11,739



107,953



13,074Spot, futures and forwards


208,226



8,470



223,151



8,832Written options


-



-



264,836



10,859Purchased options


266,026



10,375



-



-Equity contractsSwaps


17,637



1,186



16,123



1,354Futures and forwards


41,821



2,999



33,844



2,165Written options


-



-



250,233



18,761Purchased options


240,650



15,596



-



-Commodity contractsSwaps


30,449



6,591



34,180



6,391Futures and forwards


202,571



10,369



185,109



9,612Written options


-



-



53,438



4,955Purchased options


50,372



4,750



-



-Credit derivativesPurchased protection:Credit default swaps


908,594



59,491



622,853



22,685Total return swaps


2,921



366



1,644



358Other Credit Derivatives


14,517



59



-



-Written protection:Credit default swaps


614,066



21,833



949,107



54,265Total return swaps


5,173



1,563



7,336



925Other Credit Derivatives


-



-



14,703



126Gross derivative assets/liabilities

$
16,697,346


$
678,421


$
16,509,867


$
675,429Less: Legally enforceable master netting






(602,157
)






(602,157
)Less: Cash collateral applied






(26,682
)






(38,152
)Total derivative assets and liabilities





$
49,582






$
35,120   (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives.  Trading
    revenues
   48




---



##### Table of Contents



Non-trading derivatives
  (dollars in millions)For the Three Months

Principal



Other

Net InterestEnded September 30, 2010

Transactions

Commissions

Revenues(1)

Profit/(Expense)

TotalInterest Rate Risk

$
133


$
19


$
(2
)

$
76


$
226Foreign Exchange Risk


(28
)


-



-



-



(28
)Equity Risk


384



713



38



4



1,139Commodity Risk


138



-



5



(30
)


113Credit Risk


784



12



269



334



1,399Total trading related


1,411



744



310



384



2,849Non-trading related


(292
)


587



67



(979
)


(617
)Total

$
1,119


$
1,331


$
377


$
(595
)

$
2,232   (dollars in millions)For the Nine Months

Principal



Other

Net InterestEnded September 30, 2010

Transactions

Commissions

Revenues(1)

Profit/(Expense)

TotalInterest Rate Risk

$
1,022


$
60


$
25


$
259


$
1,366Foreign Exchange Risk


44



-



-



(1
)


43Equity Risk


1,660



2,313



206



(461
)


3,718Commodity Risk


200



-



6



(93
)


113Credit Risk


2,666



32



576



1,076



4,350Total trading related


5,592



2,405



813



780



9,590Non-trading related


845



1,853



1,867



(2,651
)


1,914Total

$
6,437


$
4,258


$
2,680


$
(1,871
)

$
11,504   (dollars in millions)For the Three Months

Principal



Other

Net InterestEnded September 30, 2009

Transactions

Commissions

Revenues(1)

Profit/(Expense)

TotalInterest Rate Risk

$
321


$
16


$
5


$
109


$
451Foreign Exchange Risk


8



-



-



18



26Equity Risk


567



781



34



188



1,570Commodity Risk


146



-



-



(36
)


110Credit Risk


1,494



15



218



326



2,053Total trading related


2,536



812



257



605



4,210Non-trading related


(2,336
)


614



1,108



(323
)


(937
)Total

$
200


$
1,426


$
1,365


$
282


$
3,273   49




---



##### Table of Contents



(dollars in millions)For the Nine Months

Principal



Other

Net InterestEnded September 30, 2009

Transactions

Commissions

Revenues(1)

Profit/(Expense)

TotalInterest Rate Risk

$
1,435


$
47


$
17


$
445


$
1,944Foreign Exchange Risk


271



-



1



12



284Equity Risk


2,248



2,522



63



(378
)


4,455Commodity Risk


762



-



-



(132
)


630Credit Risk


3,445



45



441



1,071



5,002Total trading related


8,161



2,614



522



1,018



12,315Non-trading related


(3,875
)


1,818



1,911



(334
)


(480
)Total

$
4,286


$
4,432


$
2,433


$
684


$
11,835  (1)
    
    Includes other income and
    other-than-temporary
    impairment losses on
    available-for-sale
    debt securities.  Derivatives
    as guarantees
  Guarantees
 50




---



##### Table of Contents



(dollars in millions)MaximumPayout/

Less than







CarryingNotional

1 year

1 - 3 years

3 - 5 years

Over 5 years

Value(1)At September 30, 2010:Derivative contracts:Credit derivatives:Investment
    grade(2)

$
318,405


$
25,266


$
107,042


$
110,636


$
75,461


$
12,606Non-investment
    grade(2)


453,838



41,036



145,712



139,154



127,936



18,796Total credit derivatives


772,243



66,302



252,754



249,790



203,397



31,402Credit related notes:Investment
    grade(2)


1,155,696



-



137,628



-



1,018,068



1,155,696Non-investment
    grade(2)


1,336,671



3,881



27,036



104,007



1,201,747



1,336,671Total credit related notes


2,492,367



3,881



164,664



104,007



2,219,815



2,492,367Other derivatives


1,666,983



563,951



409,931



241,986



451,115



75,730Total derivative contracts

$
4,931,593


$
634,134


$
827,349


$
595,783


$
2,874,327


$
2,599,499At December 31, 2009:Derivative contracts:Credit derivatives:Investment
    grade(2)

$
520,782


$
44,552


$
133,089


$
216,562


$
126,579


$
17,255Non-investment
    grade(2)


1,054,900



93,582



331,306



325,167



304,845



37,935Total credit derivatives


1,575,682



138,134



464,395



541,729



431,424



55,190Other derivatives


1,574,432



488,146



405,223



245,565



435,498



59,811Total derivative contracts

$
3,150,114


$
626,280


$
869,618


$
787,294


$
866,922


$
115,001  (1)
    
    Derivative contracts are shown
    on a gross basis prior to cash collateral or counterparty
    netting.(2)
    
    Refers to the creditworthiness
    of the underlying reference obligations.  Credit
    derivatives
  and/or
   51




---



##### Table of Contents



(dollars in millions)MaximumPayout/

Less than







CarryingNotional

1 year

1 - 3 years

3 - 5 years

Over 5 years

Value(1)At September 30, 2010:Credit derivatives purchased

$
739,694


$
67,548


$
228,681


$
230,756


$
212,709


$
26,846Credit derivatives sold


765,326



66,075



251,961



249,313



197,977



29,401At December 31, 2009:Credit derivatives purchased

$
1,506,782


$
130,297


$
432,550


$
511,298


$
432,637


$
49,225Credit derivatives sold


1,555,077



135,686



463,129



540,713



415,549



50,609  (1)
    
    Derivative contracts are shown
    on a gross basis prior to cash collateral or counterparty
    netting.  Credit
    related notes
      Other
    derivative contracts
     52




---



##### Table of Contents



Credit
    risk management of derivatives
      ASC 210-20, Balance Sheet-Offsetting
   53




---



##### Table of Contents



Mark-to-market mark-to-market
    Credit-risk
    related contingent features
    and/or
 Note 7.  Securities Financing Transactions    non-U.S. government
 54




---



##### Table of Contents



Rule 15c3-3
      (dollars in millions)September 30,
    2010


December 31,
    2009Trading asset categoryEquities and convertible debentures

$
7,639



$
7,647Corporate debt and preferred stock


7,623




10,398U.S. Government and agencies


1,505




1,455Non-U.S.
    governments and agencies


1,890




1,786Mortgages, mortgage-backed, and asset-backed securities


775




4,236Municipals and money markets


-




8Total

$
19,432



$
25,530      55




---



##### Table of Contents



Note 8.  Investment
    Securities
    
    Investments within the scope of Investment Accounting that are
    held by ML & Co. and certain of its non-broker-dealer
    subsidiaries consist of:  
    Debt securities, including debt
    held-for-investment
    and liquidity and collateral management purposes that are
    classified as
    available-for-sale,
    and debt securities that Merrill Lynch intends to hold until
    maturity;
    Marketable equity securities, which are generally classified as
    available-for-sale.  
    Non-qualifying investments are those that are not within the
    scope of Investment Accounting and consist principally of equity
    investments, including investments in partnerships and joint
    ventures. Included in non-qualifying investments are investments
    accounted for under the equity method of accounting, which
    consist of investments in (i) partnerships and certain
    limited liability corporations where Merrill Lynch has more than
    a minor influence (generally defined as three to five percent
    interest) and (ii) corporate entities where Merrill Lynch
    has the ability to exercise significant influence over the
    investee (generally defined as ownership and voting interest of
    20% to 50%). Also included in non-qualifying investments are
    private equity investments and investments in real estate VIEs
    held by consolidated investment companies that Merrill Lynch
    holds for capital appreciation
    and/or
    current income and which are accounted for at fair value in
    accordance with the Investment Company Guide, as well as private
    equity investments accounted for at fair value under the fair
    value option election. The carrying value of such private equity
    investments reflects expected exit values based upon market
    prices or other valuation methodologies, including market
    comparables of similar companies and discounted expected cash
    flows.  available-for-sale
  (dollars in millions)September 30,
    2010


December 31,
    2009Investment securitiesAvailable-for-sale(1)

$
1,585



$
16,818Held-to-maturity


257




246Non-qualifying(2)


21,587




21,301Total

$
23,429



$
38,365  (1)
    
    The amount at December 31,
    2009 includes $5.5 billion of investment securities
    reported in cash and securities segregated for regulatory
    purposes or deposited with clearing organizations.(2)
    
    Investments that are
    non-qualifying for Investment Accounting purposes, primarily
    equity investments, which includes Merrill Lynchs
    investment in BlackRock, Inc.  other-than-temporary-impairment other-than-temporary available-for-sale Other-than-temporary available-for-sale
 56




---



##### Table of Contents



other-than-temporary year-to-date
    (dollars in millions)September 30, 2010Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

ValueAvailable-for-SaleMortgage-backed securities:Agency collateralized mortgage obligations

$
674


$
27


$
-


$
701Non-agency


879



93



(88
)


884Total Available-for-Sale Securities


1,553



120



(88
)


1,585Held-to-MaturityCorporate debt and municipal


257



-



-



257Total

$
1,810


$
120


$
(88
)

$
1,842   (dollars in millions)December 31, 2009Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

ValueAvailable-for-SaleMortgage-backed securities:Agency collateralized mortgage obligations

$
14,775


$
449


$
(11
)

$
15,213Non-agency


1,952



154



(501
)


1,605Total
    Available-for-Sale
    Securities


16,727



603



(512
)


16,818Held-to-MaturityCorporate debt and municipal


246



-



-



246Total

$
16,973


$
603


$
(512
)

$
17,064  57




---



##### Table of Contents



available-for-sale available-for-sale
  (dollars in millions)Less Than 1 Year

More than 1 Year

TotalUnrealized



Unrealized



UnrealizedAsset Category

Fair Value

Losses

Fair Value

Losses

Fair Value

LossesNon-agency collateralized mortgage obligations

$
66


$
(6
)

$
245


$
(82
)

$
311


$
(88
)   available-for-sale
  (dollars in millions)Available-for-Sale

Held-to-MaturityAmortized

Fair

Amortized

FairCost

Value

Cost

ValueDue in one year or less

$
547


$
575


$
-


$
-Due after one year through five years


698



721



257



257Due after five years through ten years


126



112



-



-Due after ten years


182



177



-



-Total(1)

$
1,553


$
1,585


$
257


$
257  (1)
    
    Actual maturities may differ
    from contractual maturities because borrowers may have the right
    to call or prepay their obligations with or without prepayment
    penalties.  available-for-sale
  (dollars in millions)Three Months Ended

Nine Months EndedSeptember 30,
    2010

September 30,
    2010Proceeds

$
139


$
14,966Gross realized gains


6



412Gross realized losses


(15
)


(270
)  58




---



##### Table of Contents



Equity
    Method Investments
    (dollars in millions)Three Months Ended

Nine Months EndedSeptember 30,
    2010

September 30,
    2010Revenues

$
2,092


$
6,119Operating income


707



2,058Earnings before income taxes


785



2,063Net earnings


551



1,406  Note 9.  Securitizations and Other Variable
    Interest Entities (VIEs)     59




---



##### Table of Contents



(dollars in millions)Opening BalanceEnding Balance Sheet

Net Increase /

SheetDecember 31,
    2009

(Decrease)

January 1, 2010AssetsTrading assets, at fair value

$
90,743


$
6,217


$
96,960Derivative assets


49,582



(2,413
)


47,169Investment securities


32,840



1,093



33,933Loans, notes, and mortgages (net)


37,663



(333
)


37,330All other assets


268,367



3,287



271,654Total Assets

$
479,195


$
7,851


$
487,046LiabilitiesShort-term borrowings

$
853


$
5,013


$
5,866Trading liabilities, at fair value


30,340



-



30,340Derivative liabilities


35,120



(313
)


34,807Long-term borrowings


151,399



3,067



154,466All other liabilities


220,345



228



220,573Total Liabilities


438,057



7,995



446,052Retained earnings


4,583



(144
)


4,439All other stockholders equity


36,555



-



36,555Total Stockholders Equity


41,138



(144
)


40,994Total Liabilities and Stockholders Equity

$
479,195


$
7,851


$
487,046        60




---



##### Table of Contents



Loan
    VIEs
        (dollars in millions)Non-AgencyPrime

Subprime

Commercial MortgageSeptember 30,

December 31,

September 30,

December 31,

September 30,

December 31,2010

2009

2010

2009

2010

2009Unconsolidated VIEs:Maximum loss
    exposure(1)(2)

$
24


$
99


$
77


$
1,143


$
116


$
101Senior securities held
    (3)Trading assets

$
2


$
3


$
27


$
10


$
-


$
-Investment securities


7



-



33



-



-



-Subordinated securities
    held(3)Trading assets


-



-



17



-



-



-Residual interests held


5



9



-



2



35



39Total retained securities

$
14


$
12


$
77


$
12


$
35


$
39Principal balance
    outstanding(4)

$
394


$
923


$
25,038


$
33,296


$
7,303


$
7,915Consolidated VIEs:Maximum loss
    exposure(1)

$
50


$
472


$
647


$
1,234


$
-


$
-Derivative contracts

$
46


$
72


$
138


$
163


$
-


$
-Loans, notes, and mortgages


-



436



1,416



1,746



-



-Other assets


4



14



75



108



-



-Total assets

$
50


$
522


$
1,629


$
2,017


$
-


$
-Long-term borrowings

$
-


$
48


$
1,024


$
1,030


$
-


$
-Derivative contracts


-



-



-



3



-



-Other liabilities


8



3



19



-



-



-Total liabilities

$
8


$
51


$
1,043


$
1,033


$
-


$
-  (1)
    
    Maximum loss exposure excludes
    liabilities for representations and warranties.(2)
    
    Maximum loss exposure at
    December 31, 2009 included servicing assets that were
    transferred to a subsidiary of Bank of America in the first
    quarter of 2010.(3)
    
    Substantially all of the
    securities were in Level 2 in the fair value
    hierarchy.(4)
    
    Principal balance outstanding
    includes those loans that Merrill Lynch transferred and with
    which it has continuing involvement.   61




---



##### Table of Contents



Municipal
    Bond Securitizations
  and/or
  and/or
   62




---



##### Table of Contents



(dollars in millions)September 30, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
4,395


$
1,443


$
5,838


$
138


$
4,971


$
5,109On-balance sheet assetsTrading assets

$
4,395


$
140


$
4,535


$
138


$
97


$
235Total

$
4,395


$
140


$
4,535


$
138


$
97


$
235On-balance sheet liabilitiesDerivative contracts

$
-


$
-


$
-


$
2


$
287


$
289Short-term borrowings


4,538



-



4,538



-



-



-Payables to Bank of America


18



-



18



-



-



-Total

$
4,556


$
-


$
4,556


$
2


$
287


$
289Total assets of VIEs

$
4,395


$
1,702


$
6,097


$
138


$
5,264


$
5,402          63




---



##### Table of Contents



Collateralized
    Debt Obligations (CDOs)
      (dollars in millions)September 30, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
2,212


$
3,177


$
5,389


$
2,449


$
5,942


$
8,391On-balance sheet assetsTrading assets

$
2,725


$
498


$
3,223


$
2,785


$
700


$
3,485Derivative contracts


-



989



989



-



2,085



2,085Other assets


3



135



138



-



166



166Total

$
2,728


$
1,622


$
4,350


$
2,785


$
2,951


$
5,736On-balance sheet liabilitiesDerivative contracts

$
16


$
8


$
24


$
-


$
801


$
801Long-term borrowings


3,174



-



3,174



2,753



-



2,753Total

$
3,190


$
8


$
3,198


$
2,753


$
801


$
3,554Total assets of VIEs

$
2,728


$
44,300


$
47,028


$
2,785


$
51,017


$
53,802      64




---



##### Table of Contents



Customer
    Vehicles
      (dollars in millions)September 30, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
3,121


$
2,386


$
5,507


$
277


$
7,681


$
7,958On-balance sheet assetsTrading assets

$
2,472


$
365


$
2,837


$
183


$
243


$
426Derivative contracts


104



907



1,011



78



3,354



3,432Loans, notes, and mortgages


-



-



-



-



65



65Other assets


1,626



16



1,642



16



-



16Total

$
4,202


$
1,288


$
5,490


$
277


$
3,662


$
3,939On-balance sheet liabilitiesDerivative contracts

$
-


$
36


$
36


$
-


$
205


$
205Short-term borrowings


-



-



-



22



-



22Long-term borrowings


2,513



-



2,513



50



74



124Other liabilities


-



150



150



-



681



681Total

$
2,513


$
186


$
2,699


$
72


$
960


$
1,032Total assets of VIEs

$
4,202


$
5,178


$
9,380


$
277


$
10,387


$
10,664  65




---



##### Table of Contents



Real
    Estate and other VIEs
      (dollars in millions)September 30, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
1,719


$
1,978


$
3,697


$
1,342


$
278


$
1,620On-balance sheet
    assets(1)Trading assets

$
184


$
-


$
184


$
86


$
-


$
86Derivative contracts


-



316



316



-



21



21Investment securities


1,636



76



1,712



-



-



-Loans, notes, and mortgages


273



1,627



1,900



313



257



570Other assets


417



20



437



1,093



-



1,093Total

$
2,510


$
2,039


$
4,549


$
1,492


$
278


$
1,770On-balance sheet liabilitiesDerivative contracts

$
-


$
-


$
-


$
-


$
127


$
127Long-term borrowings


27



74



101



32



-



32Other liabilities


907



-



907



78



-



78Total

$
934


$
74


$
1,008


$
110


$
127


$
237Total assets of
    VIEs(1)

$
2,510


$
5,453


$
7,963


$
1,492


$
776


$
2,268  (1)
    
    In prior periods,
    unconsolidated real estate vehicles were generally considered
    VREs because they had sufficient equity to finance their
    operations when they were initially established. As such, most
    of these entities were not included in the December 31,
    2009 unconsolidated information.   66




---



##### Table of Contents



Other
    Transactions
   Note 10.  Loans, Notes, Mortgages and Related
    Commitments to Extend Credit    
    Consumer loans, which are substantially secured, including
    residential mortgages, home equity loans, and other loans to
    individuals for household, family, or other personal
    expenditures; and
    Commercial loans including corporate and institutional loans
    (including corporate and financial sponsor, non-investment grade
    lending commitments), commercial mortgages, asset-backed loans,
    small- and middle-market business loans, and other loans to
    businesses. 67




---



##### Table of Contents



(dollars in millions)Loans

Commitments(1)September 30,

December 31,

September 30,

December 31,2010

2009

2010(2)(3)

2009Consumer:Mortgages

$
3,285


$
4,700


$
151


$
167Other


8,612



8,969



22



20Commercial and small- and middle-market business:Investment grade


10,347



11,105



4,555



6,187Non-investment grade


8,915



12,922



3,571



4,17031,159



37,696



8,299



10,544Allowance for loan losses


(189
)


(33
)


-



-Reserve for lending-related
    commitments(4)


-



-



(513
)


(825
)Total, net

$
30,970


$
37,663


$
7,786


$
9,719  (1)
    
    Commitments are outstanding as
    of the date the commitment letter is issued and are comprised of
    closed and contingent commitments. Closed commitments represent
    the unfunded portion of existing commitments available for draw
    down. Contingent commitments are contingent on the borrower
    fulfilling certain conditions or upon a particular event, such
    as an acquisition. A portion of these contingent commitments may
    be syndicated among other lenders or the counterparty may
    replace the commitment with capital markets funding.(2)
    
    See Note 14 for a maturity
    profile of these commitments.(3)
    
    In addition to the loan
    origination commitments included in the table above, Merrill
    Lynch had agreements to purchase $685 million of loans
    that, upon settlement of the commitment, will be classified in
    loans held for investment or loans held for sale. See
    Note 14 for additional information.(4)
    
    Amounts are included within
    other payables on the Condensed Consolidated Balance
    Sheets.    (dollars in millions)Nine Months Ended

Nine Months EndedSeptember 30,
    2010

September 30,
    2009(1)Allowance for loan losses, at beginning of period

$
33


$
-Provision for loan losses


227



312Charge-offs


(73
)


(104
)Recoveries


-



5Net charge-offs


(73
)


(99
)Other


2



(99
)Allowance for loan losses, at end of period

$
189


$
114  (1)
    
    The allowance for loan losses
    as of December 26, 2008 was eliminated as of
    January 1, 2009 as a result of purchase accounting
    adjustments.   68




---



##### Table of Contents



Net Credit Default Protection by Maturity ProfileSeptember 30,2010Less than or equal to one year


22
%Greater than one year and less than or equal to five years


67Greater than five years


11Total net credit default protection


100
%   Net Credit Default Protection by Credit Exposure Debt
    Rating(dollars in millions)September 30,2010NetRatings(1)

Notional

PercentAA

$
(465
)


15.0
%A


(1,121
)


36.3BBB


(643
)


20.8BB


(366
)


11.8B


(253
)


8.2CCC and below


(208
)


6.7NR


(37
)


1.2Total net credit default protection

$
(3,093
)


100.0
%  (1)
    
    Merrill Lynch considers ratings
    of BBB- or higher to meet the definition of investment
    grade. Note 11. Goodwill and
    Intangible Assets  Goodwill
  Intangibles 
    Goodwill and Other
 69




---



##### Table of Contents



Intangible
    Assets
  Property, Plant and Equipment
     Note 12. Borrowings and Deposits  and/or
   70




---



##### Table of Contents




    As a result of the acquisition by Bank of America, all debt
    instruments were adjusted to fair value on January 1, 2009;
    Certain debt issuances are accounted for at fair value and
    incorporate changes in Merrill Lynchs creditworthiness as
    well as other underlying risks (see Note 4);
    Certain structured notes whose coupon or repayment terms are
    linked to the performance of debt and equity securities,
    indices, currencies or commodities reflect the fair value of
    those risks; and
    Certain debt issuances are adjusted for the impact of fair value
    hedge accounting (see Note 6).    (dollars in millions)September 30,


December 31,2010


2009Senior debt

$
74,439



$
87,046Senior structured notes


40,888




49,187Subordinated debt


11,791




11,115Junior subordinated notes (related to trust preferred securities)


3,570




3,552Other subsidiary financing


734




969Debt issued by consolidated VIEs


11,276




3,935Total

$
142,698



$
155,804  71




---



##### Table of Contents



(dollars in millions)September 30,


December 31,2010


2009Short-term borrowingsOther unsecured short-term borrowings

$
391



$
831Short-term debt issued by consolidated
    VIEs(1)


4,538




22Total

$
4,929



$
853Long-term
    borrowings(2)Fixed-rate
    obligations(3)

$
68,307



$
74,119Variable-rate
    obligations(4)(5)


59,154




73,351Other obligations and Zero-coupon contingent convertible debt
    (LYONs®)


-




16Long-term debt issued by consolidated
    VIEs(1)


6,738




3,913Total

$
134,199



$
151,399DepositsNon-U.S.

$
13,892



$
15,187  (1)
    
    See Note 9 for additional
    information on debt issued by consolidated VIEs.(2)
    
    Excludes junior subordinated
    notes (related to trust preferred securities).(3)
    
    Fixed-rate obligations are
    generally swapped to variable rates.(4)
    
    Variable interest rates are
    generally based on rates such as LIBOR, the U.S. Treasury Bill
    Rate, or the Federal Funds Rate.(5)
    
    Includes structured
    notes.      September 30,


December 31,2010


2009Short-term borrowings


0.3
%



2.0
%Long-term borrowings


3.8




3.7Junior subordinated notes (related to trust preferred securities)


6.9




6.9    72




---



##### Table of Contents



Long-Term
    Borrowings
    (dollars in millions)Amount


Percentage of TotalLess than 1 year

$
18,976




14
%1  2 years


24,972




192  3 years


18,287




143  4 years


21,692




164  5 years


6,789




5Greater than 5 years


43,483




32Total

$
134,199




100
%          Note 13. Stockholders Equity and Earnings Per
    Share  Preferred
    Equity
   73




---



##### Table of Contents



Common
    Stock
    Earnings
    Per Share
   Note 14. Commitments, Contingencies and Guarantees  Litigation
    and/or and/or
     74




---



##### Table of Contents



Form 10-Q, Form 10-Q Form 10-Q, Form 10-Q
  Commitments
    (dollars in millions)Commitment expirationLess than

1 - 3

3 - 5

Over 5Total

1 year

years

years

yearsLending commitments

$
8,299


$
1,880


$
5,267


$
1,077


$
75Purchasing and other commitments


6,572



4,020



1,059



610



883Operating leases


3,168



752



1,218



563



635Commitments to enter into forward dated resale and securities
    borrowing agreements


59,482



59,482



-



-



-Commitments to enter into forward dated repurchase and
    securities lending agreements


54,075



54,075



-



-



-Total

$
131,596


$
120,209


$
7,544


$
2,250


$
1,593   Lending
    Commitments
     75




---



##### Table of Contents



Purchasing
    and Other Commitments
        Operating
    Leases
    Guarantees
    (dollars in millions)ExpirationMaximum

Less than 1







CarryingPayout

year

1 - 3 years

3 - 5 years

Over 5 years

ValueStandby liquidity facilities

$
1,326


$
699


$
-


$
604


$
23


$
-Residual value guarantees


415



-



301



114



-



-Standby letters of credit and other guarantees


23,388



792



229



19



22,348



135  76




---



##### Table of Contents



Standby
    Liquidity Facilities
  and/or
  Auction
    Rate Security (ARS) Guarantees
  not-for-profit,
  Residual
    Value Guarantees
    Standby
    Letters of Credit and Other Guarantees
     77




---



##### Table of Contents



Note 15. Employee Benefit Plans   78




---



##### Table of Contents



Defined
    Benefit Pension Plans
      (dollars in millions)Three Months Ended September 30, 2010

Nine Months Ended September 30, 2010U.S. Plans

Non-U.S. Plans

Total

U.S. Plans

Non-U.S. Plans

TotalService cost

$
-


$
7


$
7


$
-


$
21


$
21Interest cost


26



20



46



79



60



139Expected return on plan assets


(34
)


(22
)


(56
)


(103
)


(66
)


(169
)Amortization of net actuarial (gains)/losses


1



-



1



2



-



2Total defined benefit pension cost

$
(7
)

$
5


$
(2
)

$
(22
)

$
15


$
(7
)   (dollars in millions)Three Months Ended September 30, 2009

Nine Months Ended September 30, 2009U.S. Plans

Non-U.S. Plans

Total

U.S. Plans

Non-U.S. Plans

TotalService cost

$
-


$
6


$
6


$
-


$
19


$
19Interest cost


25



17



42



74



52



126Expected return on plan assets


(37
)


(17
)


(54
)


(111
)


(52
)


(163
)Total defined benefit pension cost

$
(12
)

$
6


$
(6
)

$
(37
)

$
19


$
(18
)   non-U.S. defined
  Postretirement
    Benefits Other Than Pensions
   Note 16. Regulatory Requirements    non-U.S. subsidiaries
 79




---



##### Table of Contents



Securities
    Regulation
  Rule 15c3-1, Rule 15c3-1. Rule 15c3-1
        Banking
    Regulation
   Note 17. Subsequent Events  Merger
    with Banc of America Securities Holdings Corporation
   80




---



##### Table of Contents



Form 8-K
  U.K. Bank
    Levy
    Preferred
    Stock Conversion
    BlackRock
    Investment
  30-day
 81




---



##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations  Forward-Looking
    Statements and Non-GAAP Financial Measures
  Form 10-Q Form 10-K Form 10-K, Form 10-Q Form 8-K.
  period-to-period
 Introduction    Bank of
    America Acquisition and Basis of Presentation
   82




---



##### Table of Contents



Segment Reporting
    Form 10-Q Form 10-Q.
 83




---



##### Table of Contents



Executive
    Overview  Company
    Results
        Transactions
    with Bank of America
  Asset and
    Liability Transfers
   84




---



##### Table of Contents



available-for-sale
    Sale of
    U.S. Banks to Bank of America
      Acquisition
    of BAI from Bank of America
  ASC 805-10, Business Combinations
  Subsequent
    Events
  Merger
    with Banc of America Securities Holdings Corporation
   85




---



##### Table of Contents



,
  U.K. Bank
    Levy
    Preferred
    Stock Conversion
    BlackRock
    Investment
  30-day
  86




---



##### Table of Contents



Results of Operations  (dollars in millions)% Change between the


% Change between theThree Months Ended


Nine Months EndedThree Months


Nine Months


Three Months


Nine Months


September 30, 2010 and


September 30, 2010 andEnded


Ended


Ended


Ended


the Three Months


the Nine MonthsSeptember 30,


September 30,


September 30,


September 30,


Ended September 30,


Ended September 30,2010


2010


2009


2009


2009


2009RevenuesPrincipal transactions


$
1,119



$
6,437



$
200



$
4,286




N/M




50
%Commissions



1,331




4,258




1,426




4,432




(7
)%



(4
)Managed account and other fee-based revenues



1,114




3,326




1,047




3,267




6




2Investment banking



727




2,110




732




2,200




(1
)



(4
)Earnings from equity method investments



280




657




212




306




32




115Other(1)



377




2,680




1,365




2,433




(72
)



10Subtotal



4,948




19,468




4,982




16,924




(1
)



15Interest and dividend revenues



1,218




4,035




2,689




9,515




(55
)



(58
)Less interest expense



1,813




5,906




2,407




8,831




(25
)



(33
)Net interest (expense)/profit



(595
)



(1,871
)



282




684




N/M




N/MRevenues, net of interest expense



4,353




17,597




5,264




17,608




(17
)



-Non-interest expenses:Compensation and benefits



3,146




10,466




2,887




9,576




9




9Communications and technology



470




1,392




503




1,400




(7
)



(1
)Occupancy and related depreciation



316




939




330




915




(4
)



3Brokerage, clearing, and exchange fees



220




762




259




791




(15
)



(4
)Advertising and market development



104




283




91




252




14




12Professional fees



222




543




153




408




45




33Office supplies and postage



36




113




39




119




(8
)



(5
)Other



675




1,777




517




1,474




31




21Total non-interest expenses



5,189




16,275




4,779




14,935




9




9Pre-tax (loss)/earnings



(836
)



1,322




485




2,673




N/M




(51
)Income tax expense/(benefit)



24




553




(215
)



264




N/M




109Net (loss)/earnings


$
(860
)


$
769



$
700



$
2,409




N/M




(68
)Preferred stock dividends



38




114




38




91




-




25Net (loss)/earnings applicable to common stockholder


$
(898
)


$
655



$
662



$
2,318




N/M




(72
)   (1)
    
    Amounts include other income
    and
    other-than-temporary
    impairment losses on
    available-for-sale
    debt securities. The
    other-than-temporary
    impairment losses were $42 million and $165 million
    for the three and nine months ended September 30, 2010, and
    were $305 million and $599 million for the three and
    nine months ended September 30, 2009,
    respectively. N/M = Not meaningful.
  Quarterly
    Consolidated Results of Operations
     87




---



##### Table of Contents



88




---



##### Table of Contents



available-for-sale
          Year-to-Date
    Consolidated Results of Operations
   89




---



##### Table of Contents



Off-Balance
    Sheet Exposures
    ExpirationLess than

1-3

3-5

Over 5(dollars in millions)

Total

1 Year

Years

Years

YearsStandby liquidity facilities

$
1,326


$
699


$
-


$
604


$
23Residual value guarantees


415



-



301



114



-Standby letters of credit and other guarantees


23,388



792



229



19



22,348  90




---



##### Table of Contents



Standby
    Liquidity Facilities
  and/or
  Auction
    Rate Security (ARS) Guarantees
  not-for-profit,
  Residual
    Value Guarantees
    Standby
    Letters of Credit and Other Guarantees
    Mortgage-Backed
 91




---



##### Table of Contents



Derivatives
    Involvement
    with VIEs
   92




---



##### Table of Contents




    Municipal bond securitization VIEs:  VIEs that
    issue medium-term paper, purchase municipal bonds as collateral
    and purchase a guarantee to enhance the creditworthiness of the
    collateral.
    Asset-backed securities VIEs:  VIEs that issue
    different classes of debt, from super senior to subordinated,
    and equity and purchase assets as collateral, including
    residential mortgages, commercial mortgages, auto leases and
    credit card receivables.
    CDOs:  VIEs that issue different classes of
    debt, from super senior to subordinated, and equity and purchase
    securities, including asset-backed securities collateralized by
    residential mortgages, commercial mortgages, auto leases and
    credit card receivables as well as corporate bonds.
    Synthetic CDOs:  VIEs that issue different
    classes of debt, from super senior to subordinated, and equity,
    purchase high-grade assets as collateral and enter into a
    portfolio of credit default swaps to synthetically create the
    credit risk of the issued debt.
    Credit-linked note VIEs:  VIEs that issue
    notes linked to the credit risk of a company, purchase
    high-grade assets as collateral and enter into credit default
    swaps to synthetically create the credit risk to pay the return
    on the notes.
    Trust preferred security VIEs:  These VIEs hold
    junior subordinated debt issued by ML & Co. or our
    subsidiaries, and issue preferred stock on substantially the
    same terms as the junior subordinated debt to third party
    investors. We also provide a parent guarantee, on a junior
    subordinated basis, of the distributions and other payments on
    the preferred stock to the extent that the VIEs have funds
    legally available. The debt we issue into the VIE is classified
    as long-term borrowings on our Condensed Consolidated Balance
    Sheets. The ML & Co. parent guarantees of its own
    subsidiaries are not required to be recorded in the Condensed
    Consolidated Financial Statements.
    Conduits:  Generally, entities that issue
    commercial paper and subordinated capital, purchase assets, and
    enter into total return swaps or repurchase agreements with
    higher-rated counterparties, particularly banks. Conduits
    generally have a liquidity
    and/or
    credit facility to further enhance the credit quality of the
    commercial paper issuance. A single seller conduit will execute
    total return swaps, repurchase agreements, and liquidity and
    credit facilities with one financial institution. A multi-seller
    conduit will execute total return swaps, repurchase agreements,
    and liquidity and credit facilities with numerous financial
    institutions. Funding and
    Liquidity  Funding
   93




---



##### Table of Contents



Credit
    Ratings
        and/or
 94




---



##### Table of Contents



and/or
  Liquidity
    Risk
   95




---



##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures About Market Risk    Item 4.
    Controls
    and Procedures  Rule 13a-15(e)
  Rule 13a-15(f)
 96




---



##### Table of Contents



PART II 
    Other Information  Item 1.
    Legal
    Proceedings  Adelphia
    Litigation
    Bank of
    America Merger Matters
  In
    re Bank of America Securities, Derivative and Employment
    Retirement Income Security Act (ERISA) Litigation
     97




---



##### Table of Contents



Benistar
  Cahaly
  Illinois
    Funeral Directors Association Matters
  David Tipsword as
    Trustee of Mildred E. Tipsword Trust, individually and on behalf
    of all others similarly situated v. I.F.D.A. Services Inc.,
    et al.
  Clancy-Gernon Funeral Home, Inc., et al. v.
    MLPF&S, et al. , Tipsword Clancy-Gernon Tipsword Clancy-Gernon
  Charles F. Kurrus, II,
    P.C. v. Merrill Lynch, Pierce, Fenner & Smith Inc.
    et al.
  MBIA
    Insurance Corporation CDO Litigation
    Subprime
    Mortgage-Related Litigation
  In re
    Merrill Lynch & Co., Inc. Securities, Derivative, and
    ERISA Litigation
  In re Merrill Lynch & Co., Inc. Securities,
    Derivative, and ERISA Litigation N.A.
    Lambrecht v. ONeal, et al. In re Merrill Lynch & Co., Inc. Securities,
    Derivative, and ERISA Litigation
 98




---



##### Table of Contents



Connecticut
    Carpenters Pension Fund, et al. v. Merrill
    Lynch & Co., Inc., et al.; Iron Workers Local
    No. 25 Pension Fund v. Credit-Based Asset Servicing
    and Securitization LLC, et al.; Public Employees Ret.
    System of Mississippi v. Merrill Lynch & Co.
    Inc.; Wyoming State Treasurer v. Merrill Lynch &
    Co. Inc.
    Cambridge
    Place Investment Management
  Cambridge
    Place Investment Management Inc. v. Morgan
    Stanley & Co., Inc., et al. loan-to-value
  BAS
    Matters
  Form 8-K
  Item 1A.
    Risk
    Factors  Form 10-K Form 10-Q
  Item 6.
    Exhibits   99




---



##### Table of Contents



SIGNATURES    Merrill Lynch &
    Co., Inc.
  By:
    /s/  ROBERT
    QUTUB     By:
    /s/  PETER
    D. TAUBE     Date: November 5, 2010
 100




---



##### Table of Contents



EXHIBIT INDEX  Exhibit

Description1.01



Agreement and Plan of Merger dated November 1, 2010 between
    ML & Co. and Banc of America Securities Holdings
    Corporation, incorporated herein by reference to
    Exhibit 1.01 of the Current Report on
    Form 8-K
    of ML & Co. filed on November 1, 2010.12

*

Statement re: Computation of Ratios.31
.1
*

Rule 13a-14(a)
    Certification of the Chief Executive Officer.31
.2
*

Rule 13a-14(a)
    Certification of the Chief Financial Officer.32
.1
**

Certification of the Chief Executive Officer Pursuant to
    18 U.S.C. Section 1350, as Adopted Pursuant to
    Section 906 of the Sarbanes-Oxley Act of 2002.32
.2
**

Certification of the Chief Financial Officer Pursuant to
    18 U.S.C. Section 1350, as Adopted Pursuant to
    Section 906 of the Sarbanes-Oxley Act of 2002    *
    
    Filed herewith**
    
    Furnished herewith 101