##### Table of Contents





UNITED STATES
 SECURITIES AND EXCHANGE COMMISSION
 Washington, 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
    March 31, 2009ORTRANSITION 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
    incorporation or organization)

(I.R.S. Employer Identification No.)4 World Financial Center,
    New York, New York

10080(Address of principal executive offices)

(Zip Code)(212) 449-1000Registrants telephone number, including area code:      X YES           NO
  Regulation S-T
  YES           NO
  Rule 12b-2
 Large
    Accelerated Filer  X
    Accelerated
    Filer
    Non-Accelerated Filer
    Smaller
    Reporting Company  Rule 12b-2
  YES      X     NO
  APPLICABLE ONLY TO CORPORATE
    ISSUERS:
      The registrant is a wholly owned subsidiary of Bank of
    America Corporation and meets the conditions set forth in
    General Instruction H(1)(a) and (b) of
    Form 10-Q
    and is therefore filing this Form with a reduced disclosure
    format as permitted by Instruction H(2).




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##### 





QUARTERLY
    REPORT ON
    FORM 10-Q
    FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2009
    TABLE OF CONTENTS
  Part I. Financial InformationItem 1. Financial Statements
    (Unaudited)Condensed Consolidated Statements of
    Earnings/(Loss)


2Condensed Consolidated Balance Sheets


3Condensed Consolidated Statements of Cash
    Flows


5Condensed Consolidated Statements of
    Comprehensive Income/(Loss)


6Notes to Condensed Consolidated Financial
    StatementsNote 1. Summary of Significant Accounting
    Policies


7Note 2. Acquisition and Subsequent
    Transactions with Bank of America Corporation


20Note 3. Segment and Geographic
    Information


21Note 4. Fair Value


22Note 5. Derivatives


35Note 6. Securities Financing Transactions


43Note 7. Investment Securities


44Note 8. Securitization Transactions and
    Transactions with Variable Interest Entities
    (VIEs)


47Note 9. Loans, Notes, and Mortgages and
    Related Commitments to Extend Credit


55Note 10. Goodwill and Intangible Assets


58Note 11. Borrowings and Deposits


59Note 12. Stockholders Equity and
    Earnings Per Share


62Note 13. Commitments, Contingencies and
    Guarantees


64Note 14. Employee Benefit Plans


68Note 15. Income Taxes


69Note 16. Regulatory Requirements


70Note 17. Discontinued Operations


72Note 18. Restructuring Charge


72Note 19. Related Party Transactions


72Item 2. Managements Discussion and
    Analysis of Financial Condition and Results of OperationsIntroduction


73Executive Overview


75Results of Operations


76Off Balance Sheet Exposures


84Funding and Liquidity


88Item 3. Quantitative and Qualitative
    Disclosures About Market Risk


91Item 4. Controls and Procedures


91Part II. Other InformationItem 1. Legal Proceedings


92Item 1A. Risk Factors


94Item 6. Exhibits


94Signatures


95Index to Exhibits


96EX-12EX-31.1EX-31.2EX-32.1EX-32.2   1




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##### Table of Contents



Item 1.
    Financial
    Statements  Merrill
    Lynch & Co., Inc. and Subsidiaries
    Condensed Consolidated Statements of Earnings/(Loss)
    (Unaudited)  Predecessor CompanySuccessor Company


For the Period fromThree Months Ended


December 27, 2008

Three Months Ended(dollars in millions, except per share amounts)

March 31, 2009


to December 31, 2008

March 28, 2008RevenuesPrincipal transactions

$
5,778



$
(280
)

$
(2,418
)Commissions


1,243




22



1,889Managed accounts and other fee-based revenues


1,103




22



1,455Investment banking


606




12



917Earnings from equity method investments


40




-



431Other


260




19



(1,449
)Subtotal


9,030




(205
)


825Interest and dividend revenues


4,379




34



11,861Less interest expense


3,455




-



9,752Net interest profit


924




34



2,109Revenues, net of interest expense


9,954




(171
)


2,934Non-interest expensesCompensation and benefits


3,142




64



4,196Communications and technology


397




-



555Occupancy and related depreciation


255




-



309Brokerage, clearing, and exchange fees


252




10



387Advertising and market development


105




-



176Professional fees


99




-



242Office supplies and postage


40




-



57Other


419




-



313Total non-interest expenses


4,709




74



6,235Pre-tax earnings/(loss) from continuing operations


5,245




(245
)


(3,301
)Income tax expense/(benefit)


1,585




(92
)


(1,332
)Net earnings/(loss) from continuing operations


3,660




(153
)


(1,969
)Discontinued operations:Pre-tax (loss) from discontinued operations


-




-



(25
)Income tax (benefit)


-




-



(32
)Net earnings from discontinued operations


-




-



7Net earnings/(loss)


3,660




(153
)


(1,962
)Preferred stock dividends


15




-



174Net earnings/(loss) applicable to common stockholders

$
3,645



$
(153
)

$
(2,136
)Basic (loss) per common share from continuing operations


N/A



$
(0.10
)

$
(2.20
)Basic earnings per common share from discontinued operations


N/A




-



0.01Basic (loss) per common share


N/A



$
(0.10
)

$
(2.19
)Diluted (loss) per common share from continuing operations


N/A



$
(0.10
)

$
(2.20
)Diluted earnings per common share from discontinued operations


N/A




-



0.01Diluted (loss) per common share


N/A



$
(0.10
)

$
(2.19
)Dividend paid per common share


-



$
-


$
0.35Average shares used in computing (losses)/earnings per common
    shareBasic


N/A




1,600.3



974.1Diluted


N/A




1,600.3



974.1    See Notes to Condensed
    Consolidated Financial Statements.
 2




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
    Condensed Consolidated Balance Sheets (Unaudited)  Successor Company


Predecessor Company(dollars in millions, except per
    share amounts)

March 31, 2009


December 26, 2008ASSETSCash and cash equivalents

$
35,837



$
68,403Cash and securities segregated for regulatory purposes or
    deposited with clearing organizations


28,798




32,923Securities financing transactionsReceivables under resale agreements (includes $41,462 in 2009
    and $62,146 in 2008 measured at fair value in accordance with
    SFAS No. 159)


55,628




93,247Receivables under securities borrowed transactions (includes
    $799 in 2009 and $853 in 2008 measured at fair value in
    accordance with SFAS No. 159)


40,337




35,07795,965




128,324Trading assets, at fair value (includes securities pledged as
    collateral that can be sold or repledged of $16,277 in 2009 and
    $18,663 in 2008):Derivative contracts


83,330




89,477Corporate debt and preferred stock


25,437




30,829Equities and convertible debentures


20,808




26,160Non-U.S.
    governments and agencies


9,782




6,107Mortgages, mortgage-backed, and asset-backed


9,386




13,786U.S. Government and agencies


3,500




5,253Municipals, money markets and physical commodities


5,908




3,993158,151




175,605Investment securities (includes $2,418 in 2009 and $2,770 in
    2008 measured at fair value in accordance with
    SFAS No. 159) (includes securities pledged as
    collateral that can be sold or repledged of $0 in 2009 and
    $2,557 in 2008)


47,048




57,007Securities received as collateral, at fair value


7,792




11,658Receivables from Bank of America


17,507




-Other receivablesCustomers (net of allowance for doubtful accounts of $0 in 2009
    and $143 in 2008)


23,454




51,131Brokers and dealers


5,075




12,410Interest and other


29,115




26,33157,644




89,872Loans, notes, and mortgages (net of allowances for loan losses
    of $10 in 2009 and $2,072 in 2008) (includes $6,570 in 2009 and
    $979 in 2008 measured at fair value in accordance with
    SFAS No. 159)


88,197




69,190Equipment and facilities (net of accumulated depreciation and
    amortization of $190 in 2009 and $5,856 in 2008)


2,751




2,928Goodwill and other intangible assets


10,631




2,616Other assets


19,502




29,017Total Assets

$
569,823



$
667,543  3




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
    Condensed Consolidated Balance Sheets (Unaudited)
  Successor Company


Predecessor Company(dollars in millions, except per
    share amounts)

March 31, 2009


December 26, 2008LIABILITIESSecurities financing transactionsPayables under repurchase agreements (includes $27,905 in 2009
    and $32,910 in 2008 measured at fair value in accordance with
    SFAS No. 159)

$
54,531



$
92,654Payables under securities loaned transactions


16,287




24,42670,818




117,080Short-term borrowings (includes $946 in 2009 and $3,387 in 2008
    measured at fair value in accordance with SFAS No. 159)


4,680




37,895Deposits


97,288




96,107Trading liabilities, at fair valueDerivative contracts


55,757




71,363Equities and convertible debentures


9,467




7,871Non-U.S.
    governments and agencies


5,687




4,345Corporate debt and preferred stock


963




1,318U.S. Government and agencies


538




3,463Municipals, money markets and other


962




1,11173,374




89,471Obligation to return securities received as collateral, at fair
    value


7,792




11,658Payables to Bank of America


25,213




-Other payablesCustomers


37,103




44,924Brokers and dealers


10,283




12,553Interest and other (includes $999 in 2009 measured at fair value
    in accordance with SFAS No. 159)


36,673




32,91884,059




90,395Long-term borrowings (includes $36,132 in 2009 and $49,479 in
    2008 measured at fair value in accordance with
    SFAS No. 159)


162,869




199,678Junior subordinated notes (related to trust preferred securities)


3,536




5,256Total Liabilities


529,629




647,540COMMITMENTS AND CONTINGENCIESSTOCKHOLDERS EQUITYPreferred Stockholders Equity (liquidation preference of
    $100,000 per share; issued: 2009  17,000 shares;
    issued: 2008  115,000 shares)


1,541




8,605Common Stockholders EquityCommon stock (par value
    $1.331/3
    per share; authorized: 3,000,000,000 shares; issued:
    2009  1,000 shares; issued: 2008 
    2,031,995,436 shares)


-




2,709Paid-in capital


34,632




47,232Accumulated other comprehensive income/(loss) (net of tax)


376




(6,318
)Retained earnings/(Accumulated deficit)


3,645




(8,603
)38,653




35,020Less: Treasury stock, at cost (2009  None;
    2008  431,742,565 shares)


-




23,622Total Common Stockholders Equity


38,653




11,398Total Stockholders Equity


40,194




20,003Total Liabilities and Stockholders Equity

$
569,823



$
667,543    See Notes to Condensed
    Consolidated Financial Statements.
 4




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
    Condensed Consolidated Statements of Cash Flows
    (Unaudited)  Successor Company


Predecessor CompanyThree Months Ended


Three Months Ended(dollars in millions)

March 31, 2009


March 28, 2008Cash flows from operating activities:Net earnings/(loss)

$
3,660



$
(1,962
)Adjustments to reconcile net earnings/(loss) to cash provided by
    operating activitiesDepreciation and amortization


303




217Share-based compensation expense


248




799Deferred taxes


1,268




608Earnings from equity method investments


(40
)



(226
)Other


2,815




1,429Changes in operating assets and liabilities:Trading assets


11,320




2,586Cash and securities segregated for regulatory purposes or
    deposited with clearing organizations


3,499




(2,834
)Receivables from Bank of America


(17,507
)



-Receivables under resale agreements


48,119




9,298Receivables under securities borrowed transactions


(5,260
)



(2,198
)Customer receivables


11,371




(14,145
)Brokers and dealers receivables


7,329




(2,966
)Proceeds from loans, notes, and mortgages held for sale


3,015




6,923Other changes in loans, notes, and mortgages held for sale


(1,573
)



(2,127
)Trading liabilities


(15,935
)



1,285Payables under repurchase agreements


(32,623
)



(3,228
)Payables under securities loaned transactions


(8,139
)



(12
)Payables to Bank of America


25,213




-Customer payables


(7,821
)



15,974Brokers and dealers payables


(2,270
)



3,530Trading investment securities


298




(1,933
)Other, net


(2,520
)



3,572Cash provided by operating activities


24,770




14,590Cash flows from investing activities:Proceeds from (payments for):Maturities of
    available-for-sale
    securities


2,095




2,012Sales of
    available-for-sale
    securities


2,329




11,633Purchases of
    available-for-sale
    securities


(279
)



(13,773
)Proceeds from the sale of discontinued operations


-




12,581Equipment and facilities, net


(13
)



(280
)Loans, notes, and mortgages held for investment


(2,418
)



(1,977
)Other investments


2,218




(528
)Cash provided by investing activities


3,932




9,668Cash flows from financing activities:Proceeds from (payments for):Commercial paper and short-term borrowings


(33,215
)



(3,945
)Issuance and resale of long-term borrowings


1,602




23,754Settlement and repurchases of long-term borrowings


(19,887
)



(33,010
)Capital contributions from Bank of America


6,850




-Deposits


(819
)



832Derivative financing transactions


16




750Issuance of common stock


-




2,486Issuance of preferred stock, net


-




6,610Other common stock transactions


-




(866
)Excess tax benefits related to share-based compensation


-




35Dividends


(15
)



(538
)Cash (used for) financing activities


(45,468
)



(3,892
)(Decrease) increase in cash and cash equivalents


(16,766
)



20,366Cash and cash equivalents, beginning of
    period(1)


52,603




41,346Cash and cash equivalents, end of period

$
35,837



$
61,712Supplemental Disclosure of Cash Flow Information:Income taxes paid

$
193



$
372Interest paid


4,273




10,371  Non-cash investing and financing activities:
  In connection with the acquisition of Merrill Lynch by Bank
    of America, Merrill Lynch recorded purchase accounting
    adjustments in the quarter ended March 31, 2009, which were
    recorded as non-cash capital contributions. See Note 2.
    (1)
    
    Amount for Successor Company is
    as of January 1, 2009.   See
    Notes to Condensed Consolidated Financial Statements.
 5




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
    Condensed Consolidated Statements of Comprehensive Income/(Loss)
    (Unaudited)  Successor Company


Predecessor CompanyThree Months Ended


Three Months Ended(dollars in millions)

March 31, 2009


March 28, 2008Net earnings/(loss)

$
3,660



$
(1,962
)Other comprehensive income/(loss), net of tax:Foreign currency translation adjustment


229




(8
)Net unrealized gain/(loss) on investment securities
    available-for-sale


106




(2,276
)Net deferred gain on cash flow hedges


39




49Defined benefit pension and postretirement plans


2




5Total other comprehensive income/(loss), net of tax


376




(2,230
)Comprehensive income/(loss)

$
4,036



$
(4,192
)    See Notes to Condensed
    Consolidated Financial Statements.
 6




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
    Notes to Condensed Consolidated Financial Statements
    March 31, 2009 Note 1.  Summary
    of Significant Accounting Policies  Description
    of Business
  Form 10-K
  Bank of
    America Acquisition
    paid-in-capital
    Basis of
    Presentation
   7




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##### Table of Contents




    The reclassification of bifurcated embedded derivatives from the
    balance sheet classification of the host instrument (e.g.,
    long-term borrowings for structured notes) to derivative
    contracts within trading assets and liabilities;
    The reclassification of derivatives that had been used for asset
    and liability management hedging from other assets and other
    payables-interest and other to derivative contracts within
    trading assets and trading liabilities;
    The reclassification of certain loans designated as held for
    trading, held for sale or held for investment to either held for
    sale or held for investment; and
    The reclassification of the financing provided to Bloomberg,
    Inc. in connection with the sale of Merrill Lynchs
    interest in Bloomberg, L.P. from investment securities to loans,
    notes and mortgages.    Consolidation
    Accounting Policies
      Consolidation of All Majority-Owned Subsidiaries, Accounting
    for Limited Partnership Investments The
    Equity Method of Accounting for Investments in Common Stock
 8




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##### Table of Contents



and/or Consolidation of Variable Interest Entities and/or
  Accounting for Transfers and Servicing of Financial Assets
    and Extinguishment of Liabilities
  Securitization
    Activities
    
    The transferred assets have been legally isolated from the
    transferor even in bankruptcy or other receivership;
    The transferee has the right to pledge or exchange the assets it
    received, or if the entity is a QSPE the beneficial interest
    holders have the right to pledge or exchange their beneficial
    interests; and
    The transferor does not maintain effective control over the
    transferred assets (e.g. the ability to unilaterally cause the
    holder to return specific transferred assets).  Revenue
    Recognition
     9




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##### 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;
    Assumptions and cash flow projections used in determining
    whether VIEs should be consolidated and the determination of the
    qualifying status of QSPEs;
    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. 10




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##### Table of Contents



Fair
    Value Measurement
  Accounting for
    Certain Investments in Debt and Equity Securities Accounting for Derivative Instruments
    and Hedging Activities Fair Value Option for Certain
    Financial Assets and Liabilities
  Fair Value Measurements
    and/or and/or
   11




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##### Table of Contents



Liquidity
    Counterparty
    Credit Risk
      Legal
    Reserves
    Income
    Taxes
  Accounting for Income Taxes
 12




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##### Table of Contents



Accounting for Uncertainty in Income Taxes
    Securities
    Financing Transactions
      and/or
   13




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##### Table of Contents



Rule 15c3-3
  and/or
      Trading
    Assets and Liabilities
     14




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##### Table of Contents



Investment
    Securities
    Marketable
    Investments
          
    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. 15




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##### Table of Contents



Non-Qualifying
    Investments
    and/or Investment Companies
    The Equity Method of Accounting for Investments
    in Common Stock
  SFAS 115-2 SFAS 124-2, The Meaning of Other-Than-Temporary Impairment and Its
    Application to Certain Investments
  Loans,
    Notes, and Mortgages, Net
  No. 03-3, Accounting for Certain Loans or Debt Securities Acquired in a
    Transfer (SOP 03-3).
   16




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##### Table of Contents



New
    Accounting Pronouncements
  No. FAS 157-4, Determining Fair Value When the Volume and Level of Activity
    for the Asset or Liability Have Significantly Decreased and
    Identifying Transactions That Are Not Orderly FAS 157-4). FAS 157-4 FAS 157-4
 17




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##### Table of Contents



No. FAS 115-2 FAS 124-2, Recognition and Presentation of Other-Than-Temporary
    Impairments FAS 115-2 FAS 124-2). FAS 115-2 FAS 124-2 FAS 115-2 FAS 124-2 FAS 115-2 FAS 124-2
  No. FAS 107-1 28-1, Interim Disclosures about Fair Value of Financial Instruments FAS 107-1). FAS 107-1 Disclosures about Fair
    Value of Financial Instruments FAS 107-1 FAS 107-1
  Accounting for Assets Acquired and Liabilities Assumed in a
    Business Combination That Arise from Contingencies FAS 141(R)-1)
    Disclosure about Derivative Instruments and Hedging
    Activities, an Amendment of FASB Statement No. 133
 18




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##### Table of Contents



FAS 140-3, Accounting for Transfers of Financial Assets and Repurchase
    Financing Transactions FAS 140-3). FAS 140-3, FAS 140-3 FAS 140-3
  Noncontrolling Interests in Consolidated Financial
    Statements-an amendment of ARB No. 51
  Business Combinations
 19




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##### Table of Contents



Note 2.  Acquisition
    and Subsequent Transactions with Bank of America Corporation    (dollars in billions)Purchase PriceMerrill Lynch common shares exchanged (in millions)


1,600Exchange ratio


0.8595Bank of Americas common stock issued


1,375Purchase price per share of Bank of Americas common
    stock(1)

$
14.08Total value of Bank of Americas common stock and cash
    exchanged for fractional shares

$
19.4Merrill Lynch preferred
    stock(2)


8.6Fair value of outstanding employee stock awards


1.1Total purchase price

$
29.1Preliminary allocation of the purchase priceMerrill Lynch stockholders equity

$
19.9Merrill Lynch goodwill and intangible assets


(2.6
)Pre-tax adjustments to reflect acquired assets and liabilities
    at fair value:Securities and derivatives


(1.1
)Loans


(6.4
)Intangible
    assets(3)


5.7Other assets


(1.4
)Long-term borrowings


15.5Pre-tax total adjustments


12.3Deferred income taxes


(5.5
)After-tax total adjustments


6.8Fair value of net assets acquired

$
24.1Preliminary goodwill resulting from the acquisition by Bank
    of America

$
5.0  (1)
    
    The value of the shares of
    common stock exchanged with Merrill Lynch shareholders was based
    upon the closing price of Bank of Americas common stock at
    December 31, 2008, the last trading day prior to the date
    of acquisition.(2)
    
    Represents Merrill Lynchs
    preferred stock exchanged for Bank of America preferred stock
    having substantially identical terms and also includes
    $1.5 billion of convertible preferred stock.(3)
    
    Consists of trade name of
    $1.2 billion and customer relationship and core deposit
    intangibles of $4.5 billion. The amortization life is
    10 years for the customer relationship and core deposit
    intangibles, which will be primarily amortized on a
    straight-line basis.   20




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##### Table of Contents



Note 3.  Segment
    and Geographic Information  Segment
    Information
  Disclosure about Segments of an
    Enterprise and Related Information
    Geographic
    Information
    
    United States;
    Europe, Middle East, and Africa (EMEA);
    Pacific Rim;
    Latin America; and
    Canada.    
    Revenues and expenses are generally recorded based on the
    location of the employee generating the revenue or incurring the
    expense without regard to legal entity;
    Pre-tax earnings or loss from continuing operations include the
    allocation of certain shared expenses among regions; and
    Intercompany transfers are based primarily on service agreements. 21




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##### Table of Contents



Successor Company


Predecessor CompanyThree Months Ended


Three Months Ended(dollars in millions)

March 31, 2009


March 28, 2008Net revenuesEurope, Middle East, and Africa

$
1,935



$
1,006Pacific Rim


806




839Latin America


235




459Canada


52




72Total
    Non-U.S.


3,028




2,376United
    States(1)


6,926




558Total net revenues

$
9,954



$
2,934Pre-tax earnings from continuing
    operations(2)Europe, Middle East, and Africa

$
1,257



$
(340
)Pacific Rim


319




202Latin America


85




159Canada


26




13Total
    Non-U.S.


1,687




34United
    States(1)


3,558




(3,335
)Total pre-tax earnings/(loss) from continuing
    operations(2)

$
5,245



$
(3,301
)  (1)
    
    U.S. results for the three
    months ended March 31, 2009 included gains of
    $2.2 billion, which resulted from the widening of Merrill
    Lynchs credit spreads on the carrying values of certain
    long-term liabilities. The U.S. results for the three months
    ended March 28, 2008 include write-downs of
    $6.4 billion related to U.S. ABS CDOs, U.S.
    sub-prime
    and Alt-A residential mortgage positions, leveraged finance
    commitments, and credit valuation adjustments related to hedges
    with financial guarantors. These losses were partially offset by
    gains of $2.1 billion that resulted from the widening of
    Merrill Lynchs credit spreads on the carrying values of
    certain long-term debt liabilities.(2)
    
    See Note 17 for further
    information on discontinued operations. Note 4.  Fair
    Value  Fair
    Value Measurements
  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). 22




---



##### Table of Contents



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 trade infrequently);  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 own
    assumptions 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 (including loans, securities and
    derivatives), and long-dated or complex derivatives (including
    certain equity and currency derivatives and long-dated options
    on gas and power)).     23




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##### Table of Contents



Recurring
    Fair Value
    Fair Value Measurements on a Recurring BasisSuccessor Company as of March 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

$
-


$
8,528


$
-


$
-


$
8,528Corporate debt


-



127



-



-



127Non-U.S.
    governments and agencies


-



715



-



-



715U.S. government and agencies


-



1,687



-



-



1,687Municipals and money markets


53



-



-



-



53Total securities segregated for regulatory purposes or deposited
    with clearing organizations


53



11,057



-



-



11,110Receivables under resale agreements


-



41,462



-



-



41,462Receivables under securities borrowed transactions


-



799



-



-



799Trading assets, excluding derivative contracts:Equities


12,525



4,757



379



-



17,661Convertible debentures


-



3,147



-



-



3,147Mortgages, mortgage-backed and asset-backed


-



1,987



7,399



-



9,386Corporate debt


-



13,012



5,499



-



18,511Preferred stock


160



7



6,759



-



6,926Non-U.S.
    governments and agencies


7,734



1,447



601



-



9,782U.S. government and agencies


3,062



438



-



-



3,500Municipals and money markets


316



4,162



1,046



-



5,524Commodities and related contracts


-



384



-



-



384Total trading assets, excluding derivative contracts


23,797



29,341



21,683



-



74,821Derivative contracts


8,702



1,208,490



31,733



(1,165,595
)


83,330Investment securities trading:Equities


-



15



-



-



15Mortgages, mortgage-backed and asset-backed


-



27



38



-



65Corporate debt


-



225



146



-



371Non-U.S.
    governments and agencies


410



89



-



-



499Municipals and money markets


92



403



-



-



495Total investment securities trading


502



759



184



-



1,445Investment securities available-for-sale:Mortgage-backed securities  agency collateralized
    mortgage obligations


-



12,628



-



-



12,628Mortgage-backed securities  non-agency MBSs


-



6,209



3,193



-



9,402Corporate/agency bonds


-



151



-



-



151Other taxable securities


-



55



-



-



55Total investment securities available-for-sale


-



19,043



3,193



-



22,236Investment securities non-qualifying


1,138



2,907



2,494



-



6,539Total investment securities


1,640



22,709



5,871



-



30,220Securities received as collateral


7,587



205



-



-



7,792Loans, notes and mortgages


-



523



6,144



-



6,667 24




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##### Table of Contents



Fair Value Measurements on a Recurring BasisSuccessor Company as of March 31, 2009Netting(dollars in millions)

Level 1

Level 2

Level 3

Adj(1)

TotalLiabilities:Payables under repurchase agreements

$
-


$
27,905


$
-


$
-


$
27,905Short-term borrowings


-



946



-



-



946Trading liabilities, excluding derivative contracts:Equities


8,345



1,091



-



-



9,436Convertible debentures






31



-



-



31Mortgages, mortgage-backed and asset-backed


-



142



-



-



142Corporate debt


-



963



-



-



963Non-U.S.
    governments and agencies


5,048



313



326



-



5,687U.S. government and agencies


493



45



-



-



538Municipals and money markets


223



597



-



-



820Total trading liabilities, excluding derivative contracts


14,109



3,182



326



-



17,617Derivative contracts


9,879



1,202,192



27,865



(1,184,179
)


55,757Obligation to return securities received as collateral


7,587



205



-



-



7,792Other payables - interest and other


-



-



999



-



999Long-term borrowings


-



28,083



8,049



-



36,132  (1)
    
    Represents counterparty and
    cash collateral netting.  and/or
      and/or
    and/or
  25




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##### Table of Contents



(dollars in millions)Fair Value Measurements on a Recurring BasisPredecessor Company as of December 26, 2008NettingLevel 1

Level 2

Level 3

Adj(1)

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

$
1,421


$
10,156


$
-


$
-


$
11,577Receivables under resale agreements


-



62,146



-



-



62,146Receivables under securities borrowed transactions


-



853



-



-



853Trading assets, excluding derivative contracts


30,106



33,902



22,120



-



86,128Derivative contracts


8,538



1,239,225



37,325



(1,195,611
)


89,477Investment securities


2,280



29,254



3,279



-



34,813Securities received as collateral


9,430



2,228



-



-



11,658Loans, notes and mortgages


-



690



359



-



1,049Other
    assets(2)


-



8,046



-



-



8,046Liabilities:Payables under repurchase agreements


-



32,910



-



-



32,910Short-term borrowings


-



3,387



-



-



3,387Trading liabilities, excluding derivative contracts


14,098



4,010



-



-



18,108Derivative contracts


8,438



1,254,158



35,018



(1,226,251
)


71,363Obligation to return securities received as collateral


9,430



2,228



-



-



11,658Long-term
    borrowings(3)


-



41,575



7,480



-



49,055Other payables - interest and
    other(2)


10



741



-



(79
)


672  (1)
    
    Represents counterparty and
    cash collateral netting.(2)
    
    Primarily represents certain
    derivatives used for non-trading purposes.(3)
    
    Includes bifurcated embedded
    derivatives carried at fair value.    and/or
    and/or
  and/or
  26




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##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesSuccessor CompanyThree Months Ended March 31, 2009Total Realized and Unrealized Gains 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


$
(18
)

$
-


$
-


$
(18
)

$
-


$
184


$
(18
)

$
379Mortgages, mortgage-backed and asset-backed


7,568



(250
)


-



-



(250
)


-



(589
)


670



7,399Corporate debt


10,149



(475
)


-



-



(475
)


-



(394
)


(3,781
)


5,499Preferred stock


3,344



(109
)


-



-



(109
)


-



3,419



105



6,759Non-U.S.
    governments and agencies


30



(15
)


-



-



(15
)


-



(1
)


587



601Municipals and money markets


798



64



-



-



64



-



197



(13
)


1,046Total trading assets, excluding derivative contracts


22,120



(803
)


-



-



(803
)


-



2,816



(2,450
)


21,683Derivative contracts, net


2,307



913



-



-



913



-



441



207



3,868Investment securities trading:


































-Mortgages, mortgage-backed and asset-backed


22



(11
)


-



-



(11
)


-



(2
)


29



38Corporate debt


146



(9
)


-



-



(9
)


-



-



9



146Total investment securities trading


168



(20
)


-



-



(20
)


-



(2
)


38



184Investment securities available-for-sale:Mortgage-backed securities - non- agency MBSs


350



-



-



178



178



649



(92
)


2,108



3,193Total investment securities available-for-sale


350



-



-



178



178



649



(92
)


2,108



3,193Investment securities non-qualifying


2,761



-



(179
)


-



(179
)


-



(23
)


(65
)


2,494Total investment securities


3,279



(20
)


(179
)


178



(21
)


649



(117
)


2,081



5,871Loans, notes and mortgages


359



-



(466
)


-



(466
)


-



266



5,985



6,144Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


-



22



-



-



22



-



-



348



326Total trading liabilities, excluding derivative contracts


-



22



-



-



22



-



-



348



326Other payables - interest and other


-



-



392



-



392



-



54



1,337



999Long-term borrowings


7,480



(499
)


7



-



(492
)


-



403



(326
)


8,049         27




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##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesPredecessor CompanyThree Months Ended March 28, 2008Total Realized and Unrealized Gains

Total Realized and

Purchases,or (Losses) included in Income

Unrealized Gains

IssuancesBeginning

Principal

Other



or (Losses)

and

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

Settlements

in (out)

BalanceAssets:Securities segregated for regulatory purposes or deposited with
    clearing organizations

$
84


$
-


$
-


$
1


$
1


$
1


$
(6
)

$
80Trading assets


9,773



(423
)


-



44



(379
)


8,265



566



18,225Derivative contracts, net


(9,069
)


65



-



5



70



7,994



(1,998
)


(3,003
)Investment securities


5,491



(405
)


(57
)


-



(462
)


151



(248
)


4,932Loans, notes and mortgages


63



-



2



-



2



131



9



205Liabilities:Long-term borrowings


4,765



(448
)


-



-



(448
)


1,065



1,840



8,118        28




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##### Table of Contents



(dollars in millions)Unrealized Gains or (Losses) for Level 3Assets and Liabilities Still HeldSuccessor CompanyThree Months Ended March 31, 2009Principal

OtherTransactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
(18
)

$
-


$
-


$
(18
)Mortgages, mortgage-backed and asset-backed


(267
)


-



-



(267
)Corporate debt


(478
)


-



-



(478
)Preferred stock


(109
)


-



-



(109
)Non-U.S.
    governments and agencies


(15
)


-



-



(15
)Municipals and money markets


64



-



-



64Total trading assets, excluding derivative contracts


(823
)


-



-



(823
)Derivative contracts, net


991



-



-



991Investment securities trading:Mortgages, mortgage-backed and asset-backed


(11
)


-



-



(11
)Corporate debt


(9
)


-



-



(9
)Total investment securities trading


(20
)


-



-



(20
)Investment securities available-for-sale:Mortgage-backed securities - non-agency MBSs


-



-



178



178Total investment securities available-for-sale


-



-



178



178Investment securities non-qualifying


-



(179
)


-



(179
)Total investment securities


(20
)


(179
)


178



(21
)Loans, notes and mortgages


-



(466
)


-



(466
)Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


22



-



-



22Total trading liabilities, excluding derivative contracts


22



-



-



22Other payables - interest and other


-



392



-



392Long-term borrowings


(533
)


7



-



(526
)     29




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##### Table of Contents



(dollars in millions)Unrealized Gains or (Losses) for Level 3Assets and Liabilities Still HeldPredecessor CompanyThree Months Ended March 28, 2008Principal

OtherTransactions

Revenue

Interest

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

$
-


$
-


$
1


$
1Trading assets


(424
)


-



44



(380
)Derivative contracts, net


94



-



5



99Investment securities


(405
)


(57
)


-



(462
)Other assets


-



-



-



-Loans, notes, and mortgages


-



6



-



6Liabilities:Trading liabilities


-



-



-



-Long-term borrowings


(448
)


-



-



(448
)     Non-recurring
    Fair Value
    (dollars in millions)Non-Recurring Basis

Gains/(Losses)

Gains/(Losses)Successor Company

Three Months

Three Monthsas of March 31, 2009

Ended

EndedLevel 1

Level 2

Level 3

Total

Mar. 31, 2009

Mar. 28, 2008Assets:Loans, notes, and mortgages

$
-



914


$
3,728


$
4,642


$
(226
)


(1,091
)Other assets


-



-



-



-



-



(15
)Liabilities:Other payables - interest and other


-



-



57



57



-



(66
)    30




---



##### Table of Contents



(dollars in millions)Predecessor Companyas of December 26, 2008Level 1

Level 2

Level 3

TotalAssets:Loans, notes, and mortgages

$
-


$
4,386


$
6,727


$
11,113Liabilities:Other payables - interest and other


-



1,258



67



1,325       Fair
    Value Option
    31




---



##### Table of Contents



(dollars in millions)Successor Company


Predecessor CompanyChanges in Fair Value for the Three Months Ended
    March 31, 2009, for Items Measured at Fair Value Pursuant
    to Fair Value Option


Changes in Fair Value for the Three Months Ended
    March 28, 2008, for Items Measured at Fair Value Pursuant
    to Fair Value OptionGains/

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

$
(168
)

$
-


$
(168
)


$
(31
)

$
-


$
(31
)Investment securities


5



(103
)


(98
)



(330
)


(38
)


(368
)Loans, notes and mortgages


-



(412
)


(412
)



(8
)


12



4Liabilities:Payables under repurchase agreements


92



-



92




(15
)


-



(15
)Short-term borrowings


(16
)


6



(10
)



(197
)


-



(197
)Other payables  interest and other


-



392



392




-



-



-Long-term
    borrowings(1)


2,104



7



2,111




3,246



499



3,745  (1)
    
    Other revenues primarily
    represent fair value changes on non-recourse long-term
    borrowings issued by consolidated SPEs.    Resale
    and repurchase agreements:
    Securities
    borrowed transactions:
    Investment
    securities:
   32




---



##### Table of Contents



Loans,
    notes and mortgages and loan commitments:
      Short-term
    and long-term borrowings:
        (dollars in millions)Successor CompanyFair Value

Principalat

AmountMarch 31,

Due Upon2009

Maturity

DifferenceAssets:Receivables under resale agreements

$
41,462


$
40,953


$
509Receivables under securities borrowed transactions


799



799



-Loans, notes and mortgages


6,570



11,291



(4,721
)Liabilities:Long-term
    borrowings(1)


36,132



50,521



(14,389
)  33




---



##### Table of Contents



(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.  (dollars in millions)Predecessor CompanyFair Value

Principalat

AmountDecember 26,

Due Upon2008

Maturity

DifferenceAssets:Receivables under resale agreements

$
62,146


$
61,466


$
680Receivables under securities borrowed transactions


853



853



-Loans, notes and mortgages


979



1,326



(347
)Liabilities:Long-term
    borrowings(1)


49,521



62,244



(12,723
)  (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.  Concentration
    of risk to the mortgage markets
    
    Net exposures of $33.0 billion in U.S. Prime
    residential mortgage-related positions and $2.4 billion in
    other residential mortgage-related positions, excluding Merrill
    Lynchs investment securities portfolio;
    Net exposure of $8.4 billion in Merrill Lynchs
    investment securities portfolio; and
    Net exposure of $7.0 billion in commercial real estate
    related positions, excluding First Republic, and
    $4.9 billion in First Republic commercial real estate
    related positions     34




---



##### Table of Contents



Concentration
    of risk to financial guarantors
  U.S. sub-prime
   Note 5.  Derivatives    net-by-counterparty
    Trading
    derivatives
   35




---



##### Table of Contents



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 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.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 effective cash flow hedges are
    recorded in accumulated other comprehensive income/(loss) until
    earnings are affected by the variability of cash flows of the
    hedged asset or liability. For commodity hedges, the amount is
    reclassified out of accumulated other comprehensive
    income/(loss) and recorded in principal transactions when the
    forecasted purchase or sale of the commodity occurs or when
    Merrill Lynch believes the forecasted transaction is not
    probable of occurring, in which case it is released over the
    life of the forecasted transaction. 36




---



##### Table of Contents



3.
    A hedge of a net investment in a foreign operation. 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
    accumulated other comprehensive income/(loss). Changes in the
    fair value of the hedge instruments that are associated with the
    difference between the spot translation rate and the forward
    translation rate are recorded in current period earnings in
    other revenues.      Fair
    value hedges of interest rate risk on long-term
    borrowings
  (dollars in millions)Account location

AmountGain/(loss) recognized in income on the derivative

Interest expense

$
(370
)Gain/(loss) recognized in income on the long-term borrowing

Interest expense

$
245Hedge ineffectiveness

Interest expense

$
(125
)Carrying value of hedging derivativesTrading assets

$
6,290Trading liabilities

$
-Notional amount of hedging derivativesin an asset position



$
47,687in a liability position



$
15   Fair
    value hedges of commodity price risk on commodity
    inventory
  (dollars in millions)Account location

AmountGain/(loss) recognized in income on the derivative

Principal transactions

$
55Gain/(loss) recognized in income on the commodity inventory

Principal transactions

$
(57
)Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions

$
(2
)Carrying value of hedging derivativesTrading assets

$
95Trading liabilities

$
1Notional amount of hedging derivativesin an asset position



$
206in a liability position



$
3  37




---



##### Table of Contents



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

AmountGain/(loss) on the derivative deferred in equity

Accumulated othercomprehensive income

$
48Gain/(loss) reclassified into earnings in the current period

Principal transactions

$
3Amount that is expected to be reclassified into earnings in the
    next 12 months

Principal transactions

$
15Amount recognized in income due to hedge ineffectiveness

Principal transactions

$
-Carrying value of hedging derivativesTrading assets

$
132Trading liabilities

$
113Notional amount of hedging derivativesin an asset position



$
515in a liability position



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

AmountGain/(loss) on the derivative and non-derivative hedges deferred
    in equity

Accumulated othercomprehensive income

$
718Gain/(loss) recognized in income due to hedge ineffectiveness

Other revenue

$
(10
)Gain/(loss) recognized in income from the unused portion (time
    value) of the hedging derivative

Other revenue

$
(55
)Carrying value of hedging derivatives

Trading assets

$
372Trading liabilities

$
202Carrying value of non-derivative hedges

Long-term borrowings

$
532Notional amount of hedging derivativesin an asset position



$
10,914in a liability position



$
9,330   Gains
    and (losses) on non-trading derivatives not in
    SFAS No. 133 hedge relationships
  (dollars in millions)Account location

AmountInterest rate risk

Interest expense

$
(460
)Foreign currency risk

Other revenue

$
784Credit risk

Other revenue

$
69   Foreign Currency Translation
 38




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##### Table of Contents



Derivative
    balances by primary risk
      (dollars in millions)Contract/

Trading Assets-

Contract/

Trading Liabilities-Notional(1)

Derivative Contracts

Notional(1)

Derivative ContractsInterest rate contractsSwaps

$
12,835,755


$
760,727


$
11,682,252


$
737,625Futures and forwards


1,883,670



7,067



1,649,009



5,857Written options


-



-



1,399,704



58,280Purchased options


1,361,349



64,117



-



-Foreign exchange contractsSwaps


118,126



17,677



127,653



21,928Spot, futures and forwards


428,765



21,737



408,847



21,677Written options


-



-



474,567



25,519Purchased options


481,680



26,342



-



-Equity contractsSwaps


24,233



3,263



18,044



1,974Futures and forwards


970,648



6,200



87,588



5,016Written options


-



-



431,967



43,069Purchased options


210,084



29,899



-



-Commodity contractsSwaps


66,665



36,017



57,471



32,932Futures and forwards


719,428



12,139



781,882



11,447Written options


-



-



66,957



12,924Purchased options


139,285



13,275



-



-Credit derivativesPurchased protection:Credit default swaps


1,806,048



243,788



143,515



4,761Total return swaps


4,934



524



-



-Other Credit Derivatives


12,411



138



287



8Written protection:Credit default swaps


124,268



6,015



1,795,229



245,744Total return swaps


-



-



24,439



11,088Other Credit Derivatives


-



-



12,310



87Gross derivative assets/liabilities

$
21,187,349


$
1,248,925


$
19,161,721


$
1,239,936Less: Legally enforceable master netting






(1,123,693
)






(1,123,693
)Less: Cash collateral applied






(41,902
)






(60,486
)Total derivative assets and liabilities





$
83,330






$
55,757  (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives, and exclude derivative contracts with Merrill Lynch
    affiliate entities within Bank of America. 39




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##### Table of Contents



Trading
    revenues
    (dollars in millions)Principal





Net InterestFor The Quarter Ended
    March 31, 2009

Transactions

Commissions

Other Revenues

Profit/(Loss)

TotalInterest Rate Risk

$
1,362


$
13


$
(2
)

$
203


$
1,576Foreign Exchange Risk


190



-



1



(12
)


179Equity Risk


826



753



24



92



1,695Commodity Risk


598



-



1



(51
)


548Credit Risk


558



16



(110
)


311



775Total trading  related

$
3,534


$
782


$
(86
)

$
543


$
4,773Non-trading related


2,244



461



346



381



3,432Total

$
5,778


$
1,243


$
260


$
924


$
8,205   Non-trading derivatives
  Derivatives
    as guarantees
  Guarantors Accounting and Disclosure
    Requirements for Guarantees, Including Indirect Guarantees of
    Indebtedness of Others
 40




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##### Table of Contents



(dollars in millions)MaximumPayout /









CarryingNotional

Less than 1 year

1+

    - 3 years

3+

    - 5 years

Over 5 years

Value(1)Derivative contracts:Credit derivatives:Investment
    grade(2)

$
1,113,846


$
56,038


$
172,359


$
511,748


$
373,701


$
108,206Non-investment
    grade(2)


705,822



55,711



172,583



233,554



243,974



148,626Total credit derivatives


1,819,668



111,749



344,942



745,302



617,675



256,832Other derivatives


1,589,334



550,221



469,946



190,026



379,141



67,595Total derivative contracts

$
3,409,002


$
661,970


$
814,888


$
935,328


$
996,816


$
324,427  (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
      (dollars in millions)MaximumPayout /









CarryingNotional

Less than 1 year

1+

    - 3 years

3+

    - 5 years

Over 5 years

Value(1)Credit derivatives purchased

$
1,777,922


$
110,803


$
304,841


$
774,968


$
587,310


$
237,813Credit derivatives sold


1,783,509



110,315



337,253



745,152



590,789



235,549  (1)
    
    Derivative contracts are shown
    on a gross basis prior to cash collateral or counterparty
    netting. 41




---



##### Table of Contents



Other
    derivative contracts
      Credit
    risk management of derivatives
      Offsetting Amounts Related to Certain
    Contracts
   42




---



##### Table of Contents



Credit-risk
    related contingent features
     Note 6.  Securities
    Financing Transactions    non-U.S. government Rule 15c3-3
   43




---



##### Table of Contents



(dollars in millions)Successor Company

Predecessor CompanyMarch 31,

December 26,2009

2008Trading asset categoryCorporate debt and preferred stock

$
9,190


$
15,024Equities and convertible debentures


6,614



10,995Mortgages, mortgage-backed, and asset-backed securities


5,859



12,462U.S. Government and agencies


2,318



4,982Non-U.S.
    governments and agencies


1,843



587Municipals and money markets


-



1,320Total

$
25,824


$
45,370      Note 7.  Investment
    Securities    
    SFAS No. 115 investments held by ML & Co.
    and certain of its non-broker-dealer entities, including Merrill
    Lynch banks, and consist of:  
    Debt securities, including debt held-for-investment and
    liquidity and collateral management purposes that are classified
    as
    available-for-sale,
    debt securities held for trading purposes, and debt securities
    that Merrill Lynch intends to hold until maturity;
    Marketable equity securities, which are generally classified as
    available-for-sale. 44




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##### Table of Contents




    Non-qualifying investments are those that are not within the
    scope of SFAS No. 115 and consist principally of
    equity investments, including investments in partnerships and
    joint ventures. Included in equity 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 greater than a three
    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 equity investments are private
    equity investments 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 in SFAS No. 159. The carrying
    value of such private equity investments reflects expected exit
    values based upon market prices or other valuation
    methodologies, including discounted expected cash flows and
    market comparables of similar companies.    (dollars in millions)Successor Company

Predecessor CompanyMarch 31,

December 26,2009

2008Investment securitiesAvailable-for-sale(1)

$
30,764


$
34,103Trading


1,445



1,745Held-to-maturity(2)


260



4,576Non-qualifying(3)Equity
    investments(4)


21,741



24,306Investments in trust preferred securities and other investments


1,366



1,432Total

$
55,576


$
66,162  (1)
    
    At March 31, 2009 and
    December 26, 2008, includes $8.5 billion and
    $9.2 billion, respectively, of investment securities
    reported in cash and securities segregated for regulatory
    purposes or deposited with clearing organizations.(2)
    
    The 2008 balance primarily
    relates to notes issued by Bloomberg, Inc. in connection with
    the sale of Merrill Lynchs 20% stake in Bloomberg L.P.,
    which was reclassified to loans held for investment in 2009
    pursuant to the acquisition by Bank of America.(3)
    
    Non-qualifying for
    SFAS No. 115 purposes.(4)
    
    Includes Merrill Lynchs
    investment in BlackRock, Inc.  other-than-temporary available-for-sale other-than-temporary other-than-temporary-impairment
 45




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##### Table of Contents



(dollars in millions)Successor CompanyMarch 31, 2009Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

ValueAvailable-for-sale
    SecuritiesMortgage-backed securities:Agency collateralized mortgage obligations

$
20,842


$
365


$
(51
)

$
21,156Non-agency


9,559



1,015



(1,172
)


9,402Corporate/Agency bonds


181



2



(32
)


151Other taxable securities


58



-



(3
)


55Total Available-for-sale Securities

$
30,640


$
1,382


$
(1,258
)

$
30,764   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

LossesPredecessor CompanyDecember 26, 2008Mortgage- and asset-backed

$
8,449


$
(4,132
)

$
22,291


$
(5,910
)

$
30,740


$
(10,042
)U.S. Government and agencies


3



-



-



-



3



-Corporate debt


2



(2
)


192



(78
)


194



(80
)Total debt securities


8,454



(4,134
)


22,483



(5,988
)


30,937



(10,122
)Equity securities


1



(2
)


55



(20
)


56



(22
)Total temporarily impaired securities

$
8,455


$
(4,136
)

$
22,538


$
(6,008
)

$
30,993


$
(10,144
)     (dollars in millions)Available-for-SaleAmortized

FairCost

ValueDue in one year or less

$
526


$
493Due after one year through five years


13,842



13,810Due after five years through ten years


14,575



14,732Due after ten years


1,697



1,729Total(1)

$
30,640


$
30,764  (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. 46




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##### Table of Contents



available-for-sale
  (dollars in millions)Proceeds

$
2,329Gross realized gains


15Gross realized losses


(40
)  Note 8.  Securitization
    Transactions and Transactions with Variable Interest Entities
    (VIEs)  FAS 140-4 FAS 140-4
  and/or
    
    Retaining or holding an interest in the VIE,
    Providing liquidity or other support to the VIE or directly to
    the investors in the VIE. This includes liquidity facilities,
    guarantees, and derivatives that absorb the risk of the assets
    in the VIE, including total return swaps and written credit
    default swaps,
    Servicing the assets in the VIE, and
    Acting as counterparty to derivatives that do not absorb the
    risk of the assets in the VIE. These include derivatives that
    introduce risk into the VIE such as credit default swaps where
    the VIE takes credit risk (generally found in credit-linked note
    structures) or equity derivatives where the VIE takes equity
    risk (generally found in equity-linked note structures);
    however, Merrill Lynch excludes transactions where it only acts
    as counterparty to interest rate or foreign exchange derivatives.      Primary Beneficiary
 47




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##### Table of Contents



Sponsor/Significant VIH most
  Securitization transactions ,
    Loan and
    Real Estate VIEs
  
    Merrill Lynch has involvement with VIEs that hold mortgage
    related loans or real estate. These VIEs include entities that
    are primarily designed to obtain exposure to mortgage related
    assets or invest in real estate for both clients and Merrill
    Lynch. Loan and real estate VIEs include failed securitization
    transactions where residential and commercial mortgages are
    transferred to VIEs that do not meet QSPE conditions (typically
    as a result of derivatives entered into by the VIE that pertain
    to interests held by Merrill Lynch) and loan VIEs that hold
    mortgage loans where Merrill Lynch holds most or all of the
    issued financing but does not have voting control. Loan and real
    estate VIEs are reported in the Consolidated VIEs table and the
    Sponsor/Significant VIH table. In addition, many loan VIEs,
    specifically those related to residential and commercial
    mortgages, are securitization VIEs that meet the QSPE criteria
    in SFAS No. 140. Transactions where Merrill Lynch is
    the transferor of loans to a VIE or QSPE and accounts for the
    transaction as a sale are reflected in the Securitization table
    of this Note.
    Merrill Lynch generally consolidates failed securitization VIEs
    where it retains the residual interests in the VIE and therefore
    absorbs the majority of the VIEs expected losses, gains or
    both. As a result of the illiquidity in the securitization
    markets, Merrill Lynch has been unable to sell certain
    securities, which has prohibited these VIEs from being
    considered QSPEs. Depending upon the liquidity in the
    securitization market, these transactions and future
    transactions could continue to fail QSPE status and may require
    consolidation and related disclosures. Given that these VIEs
    have been designed to meet the QSPE requirements, Merrill Lynch
    has no control over the assets held by these VIEs. These assets
    have been pledged to the noteholders in the VIEs, and these
    assets are included in the firm-owned assets pledged balance
    reported in Note 6. In most instances, the beneficial
    interest holders in these VIEs have no recourse to the general
    credit of Merrill Lynch; rather their investments are paid
    exclusively from the assets in the VIE. Securitization VIEs that
    hold loan assets are typically financed through the issuance of
    several classes of debt (i.e., tranches) with ratings that range
    from AAA to unrated residuals.
    Loan VIEs that hold mortgage loans and are not securitization
    VIEs are typically wholly owned or have a small amount of
    financing provided by investors (which may include the
    investment manager) through different classes of loans or
    securities. Where Merrill Lynch consolidates these VIEs, Merrill
    Lynch has the ability to use the assets to fund operations. 48




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##### Table of Contents




    Real estate VIEs that hold property are typically financed
    through the issuance of one or more classes of loans or
    securities (e.g. senior, junior, and mezzanine) and an equity
    tranche. The investors have recourse only to the real estate
    assets held by these VIEs. In most real estate entities, the
    equity tranche is considered sufficient to finance the
    activities of the entity, and the entity would meet the
    conditions to be considered a VRE. The real estate entities
    included in this disclosure are VIEs because generally they do
    not have sufficient equity to finance their activities.  Equity
    Funds
      Credit-Linked
    Note and Other VIEs
  and/or
  U.S. sub-prime
   49




---



##### Table of Contents



Collateralized
    Debt Obligations/Collateralized Loan Obligations
    (CDO/CLOs)
    Municipal
    Bond Securitizations
      and/or
  Variable
    Interest Entities
   50




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##### Table of Contents



FAS 140-4
  (dollars in millions)Assets after intercompany

Liabilities afterConsolidated VIEs



eliminations

intercompany

Recourse toType of VIE

Total Assets

Unrestricted

Restricted(1)

eliminations

Merrill
    Lynch(2)Successor CompanyMarch 31, 2009Loan and real estate
    VIEs(3)

$
7,908


$
1,061


$
2,949


$
5,009


$
3,471Equity
    funds(4)


324



45



61



151



120CLNs and other
    VIEs(5)


1,754



376



772



165



165CDOs/CLOs(6)


570



-



346



449



223Predecessor CompanyDecember 26, 2008Loan and real estate
    VIEs(3)

$
9,080


$
2,475


$
2,680


$
4,769


$
3,479Equity
    funds(4)


473



3



119



230



116CLNs and other
    VIEs(5)


1,643



1,221



-



45



45CDOs/CLOs(6)


693



-



360



489



237  (1)
    
    Assets are considered
    restricted when they cannot be freely pledged or sold by Merrill
    Lynch.(2)
    
    This column reflects the extent
    to which investors have recourse to Merrill Lynch beyond the
    assets held by the VIE and assumes a total loss of the assets
    held by the VIE.(3)
    
    For Loan and real estate VIEs,
    assets are primarily recorded in loans, notes and mortgages.
    Assets related to VIEs that hold real estate investments are
    included in other assets. Liabilities are primarily recorded in
    short-term borrowings. Recourse relates to derivative contracts
    entered into with the VIEs that provide the liability holders of
    the VIEs general recourse to Merrill Lynch.(4)
    
    For Equity funds, assets are
    reflected in trading assets and liabilities are reflected in
    long-term borrowings. Recourse relates to Merrill Lynchs
    maximum exposure to loss associated with derivative contracts
    that provide a minimum return to investors.(5)
    
    For CLNs and other VIEs, assets
    are reflected in trading assets and investment securities and
    liabilities are recorded in long-term borrowings.(6)
    
    For CDOs/CLOs, assets are
    primarily recorded in loans, notes and mortgages and liabilities
    are recorded in long-term borrowings. Certain consolidated CDOs
    are established to provide full recourse secured financing to
    Merrill Lynch. The recourse associated with CDOs/CLOs relates to
    these consolidated transactions.   51




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##### Table of Contents



(dollars in millions)MaximumSponsor/Significant VIH



Assets on

Liabilities on

ExposureType of VIE

Size of
    VIE(1)

Balance
    Sheet(2)

Balance
    Sheet(2)

to
    Loss(3)Successor CompanyMarch 31, 2009Loan and real estate
    VIEs(4)

$
1,717


$
559


$
89


$
559Equity
    funds(5)


2,688



371



448



371CLNs and other
    VIEs(6)


12,627



6,853



1,004



10,416CDOs/CLOs(7)


53,223



2,916



419



6,729Predecessor CompanyDecember 26, 2008Loan and real estate
    VIEs(4)

$
1,761


$
712


$
61


$
712Equity
    funds(5)


2,898



312



537



312CLNs and other
    VIEs(6)


13,257



6,889



986



10,452CDOs/CLOs(7)


59,475



3,584



344



8,155  (1)
    
    Size generally reflects the
    estimated principal of securities issued by the VIE or the
    principal of the underlying assets held by the VIE and serves to
    provide information on the relative size of the VIE as compared
    to Merrill Lynchs involvement with the VIE.(2)
    
    Assets and Liabilities on
    Merrill Lynchs Balance Sheet reflect the effect of
    FIN 39 balance sheet netting, if applicable.(3)
    
    The maximum exposure to loss
    includes: the assets held by Merrill Lynch  including
    the value of derivatives that are in an asset position, and the
    notional amount of liquidity and other support provided to VIEs
    generally through total return swaps over the assets of the VIE.
    The maximum exposure to loss for liquidity and other support
    assumes a total loss on the referenced assets held by the
    VIE.(4)
    
    Loan and real estate VIE assets
    primarily include loans recorded in loans, notes and mortgages
    and derivatives recorded in trading assets. Liabilities include
    derivatives recorded in trading liabilities.(5)
    
    Equity fund assets include cash
    instruments and derivatives recorded in trading assets.
    Liabilities are recorded in payables under repurchase agreements
    in instances where assets were transferred but the transfer did
    not meet the sale requirements of SFAS No. 140, or
    trading liabilities for derivatives.(6)
    
    CLN and other VIE assets
    include derivatives and are recorded in trading assets.
    Liabilities are recorded in payables under repurchase agreements
    in instances where assets were transferred but the transfer did
    not meet the sale requirements of SFAS No. 140, or
    trading liabilities for derivatives. In certain transactions,
    Merrill Lynch enters into total return swaps over assets held by
    the VIEs. Maximum exposure to loss represents the sum of the
    notional amount of these derivatives and the value of any assets
    on Merrill Lynchs balance sheet.(7)
    
    CDO/CLO assets and liabilities
    are primarily derivatives recorded in trading
    assets/liabilities.  Securitizations
  and/or and/or
 52




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##### Table of Contents



(dollars in millions)Maximum

Year-to-dateSecuritization Transactions

Size/Principal

Assets on

Liabilities on

Exposure to

(Loss)

CashType of Entity

Outstanding(1)

Balance
    Sheet(2)

Balance
    Sheet(2)

Loss(3)

on Sale

FlowsSuccessor CompanyMarch 31, 2009QSPEs:Residential mortgage
    loans(4)

$
47,956


$
1,278


$
146


$
1,286


$
-


$
227Municipal
    bonds(5)


8,153



1,291



583



7,901



-



111Commercial loans and
    other(6)


9,640



271



4



307



-



5Non-QSPEs:Loan and real estate
    entities(7)


10,106



6,650



-



6,696



-



114Predecessor CompanyDecember 26, 2008QSPEs:Residential mortgage
    loans(4)

$
78,162


$
1,667


$
207


$
1,654


$
-


$
10,141Municipal
    bonds(5)


9,377



487



674



8,644



-



5,824Commercial loans and
    other(6)


18,366



288



-



288



-



1,091Non-QSPEs:Loan and real estate
    entities(7)


10,182



6,757



-



6,757



(22
)


3,035  (1)
    
    Size/Principal Outstanding
    reflects the estimated principal of the underlying assets held
    by the VIE/SPEs.(2)
    
    Assets and Liabilities on
    Merrill Lynchs Balance Sheet reflect the effect of
    FIN 39 balance sheet netting, if applicable.(3)
    
    The maximum exposure to loss
    includes the following: the assets held by Merrill
    Lynch  including the value of derivatives that are in
    an asset position and retained interests in the VIEs/SPEs; and
    the notional amount of liquidity and other support generally
    provided through total return swaps. The maximum exposure to
    loss for liquidity and other support assumes a total loss on the
    referenced assets held by the VIE.(4)
    
    Residential mortgage loan QSPE
    assets primarily include servicing advances recorded in other
    assets and derivatives recorded in trading assets. Liabilities
    include derivatives recorded in trading liabilities.(5)
    
    Municipal bond QSPE assets
    include cash instruments recorded in trading assets and
    investment securities. Liabilities include derivatives recorded
    in trading liabilities. At March 31, 2009 and
    December 26, 2008, the carrying value of the liquidity and
    other support related to these transactions was
    $583 million and $674 million, respectively.(6)
    
    Commercial loans and other
    QSPEs primarily include commercial mortgage securitizations.
    Assets include cash instruments and derivatives, primarily
    recorded in trading assets. Liabilities include derivatives
    recorded in trading liabilities.(7)
    
    Loan and real estate entity
    assets are recorded in loans, notes and mortgages and relate to
    asset-backed financing arrangements, which include the sale of
    U.S. super senior ABS CDOs in 2008 to an affiliate of Lone Star
    Funds.  and/or
 53




---



##### Table of Contents



available-for-sale,
  available-for-sale
      (dollars in millions)MunicipalBondsRetained interest amount

$
1,291Weighted average credit losses (rate per
    annum)(1)


0
%Impact on fair value of 10% favorable change


-Impact on fair value of 25% favorable change


-Impact on fair value of 10% adverse change


-Impact on fair value of 25% adverse change


-Weighted average discount rate


6.9
%Impact on fair value of 10% favorable change

$
35Impact on fair value of 25% favorable change

$
97Impact on fair value of 10% adverse change

$
(21
)Impact on fair value of 25% adverse change

$
(82
)Weighted average life (in years)


8.5Weighted average prepayment speed
    (CPR)(2)


0
%Impact on fair value of 10% favorable change

$
-Impact on fair value of 25% favorable change

$
1Impact on fair value of 10% adverse change

$
-Impact on fair value of 25% adverse change

$
(1
)  CPR=Constant Prepayment
    Rate
 (1)
    
    Credit losses are computed only
    on positions for which expected credit loss is either a key
    assumption in the determination of fair value or is not
    reflected in the discount rate.(2)
    
    Relates to select
    securitization transactions where assets are
    prepayable.   54




---



##### Table of Contents



Note 9.  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-based loans,
    small- and middle-market business loans, and other loans to
    businesses.    (dollars in millions)Loans

Commitments(1)Successor

Predecessor

Successor

PredecessorCompany

Company

Company

CompanyMarch 31,

December 26,

March 31,

December 26,2009

2008

2009(2)(3)

2008(3)Consumer:Mortgages

$
27,845


$
29,397


$
9,477


$
8,269Other


16,922



1,360



235



2,582Commercial and small- and middle-market business:Investment grade


19,132



17,321



24,146



28,269Non-investment grade


24,308



23,184



13,103



9,29188,207



71,262



46,961



48,411Allowance for loan losses


(10
)


(2,072
)


-



-Reserve for lending-related
    commitments(4)


-



-



(1,896
)


(2,471
)Total, net

$
88,197


$
69,190


$
45,065


$
45,940  (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 replaced with capital
    markets funding.(2)
    
    See Note 13 for a maturity
    profile of these commitments.(3)
    
    In addition to the loan
    origination commitments included in the table above, at
    March 31, 2009, Merrill Lynch entered into agreements to
    purchase $458 million of loans that, upon settlement of the
    commitment, will be classified in loans held for investment and
    loans held for sale. See Note 13 for additional
    information.(4)
    
    Amounts are included within
    other payables on the Condensed Consolidated Balance
    Sheets. 55




---



##### Table of Contents



(dollars in millions)Successor Company

Predecessor CompanyThree Months Ended

Three Months EndedMarch 31,

March 28,2009

2008Allowance for loan losses, at beginning of
    period(1)

$
-


$
533Provision for loan losses


12



106Charge-offs






(23
)Recoveries


2



3Net recoveries (charge-offs)


2



(20
)Other


(4
)


3Allowance for loan losses, at end of period

$
10


$
622  (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.      Effect of
    the Acquisition of Merrill Lynch by Bank of America
  SOP 03-3, SOP 03-3
  SOP 03-3
 56




---



##### Table of Contents



SOP 03-3,
  SOP 03-3
  SOP 03-3 LOANS(dollars in millions)

As of January 1, 2009Contractually required payments including interest

$
6,205Less: Nonaccretable difference


(1,158
)Cash flows expected to be
    collected(1)


5,047Less: Accretable yield


(627
)Fair value of loans acquired

$
4,420  (1)
    
    Represents undiscounted
    expected principal and interest cash flows at the acquisition
    date (January 1, 2009).  SOP 03-3
  (dollars in millions)Three MonthsEndedMarch 31,2009Accretable yield, January 1, 2009

$
627Accretions


(56
)Disposals


(5
)Accretable yield, March 31, 2009

$
566  57




---



##### Table of Contents



Note 10.  Goodwill
    and Intangible Assets    Goodwill
  Goodwill and Other
    Intangible Assets.
    (dollars in millions)Predecessor Company -Goodwill, December 26,
    2008(1)

$
2,221Successor Company -Goodwill, March 31,
    2009(2)

$
5,044  (1)
    
    Predecessor Company goodwill as
    of December 26, 2008 was eliminated as of January 1,
    2009 as a result of purchase accounting adjustments.(2)
    
    Refer to Note 2 for
    further information.  Intangible
    Assets
  Accounting for the Impairment or
    Disposal of Long-Lived Assets
     58




---



##### Table of Contents



Note 11.  Borrowings
    and Deposits        
    As a result of the acquisition by Bank of America, all debt
    instruments were adjusted to their 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 5).    (dollars in millions)Successor Company

Predecessor CompanyMarch 31,

December 26,2009

2008Senior debt issued by ML & Co.

$
96,524


$
140,615Senior debt issued by subsidiaries  guaranteed by
    ML & Co.


8,179



11,598Senior structured notes issued by ML & Co.


30,018



34,541Senior structured notes issued by subsidiaries 
    guaranteed by ML & Co.


16,795



24,048Subordinated debt issued by ML & Co.


10,137



13,317Junior subordinated notes (related to trust preferred securities)


3,536



5,256Other subsidiary financing 
    non-recourse(1)

    and/or not guaranteed by ML & Co.


5,896



13,454Total

$
171,085


$
242,829  (1)
    
    Other subsidiary
    financing  non-recourse is primarily attributable to
    collateralized borrowings of subsidiaries. 59




---



##### Table of Contents



(dollars in millions)Successor Company

Predecessor CompanyMarch 31,

December 26,2009

2008Short-term borrowingsCommercial
    paper(1)

$
40


$
20,104Secured short-term borrowings


3,521



14,137Other unsecured short-term borrowings


1,119



3,654Total

$
4,680


$
37,895Long-term
    borrowings(2)Fixed-rate
    obligations(3)

$
82,352


$
101,403Variable-rate
    obligations(4)(5)


80,396



96,511Zero-coupon contingent convertible debt
    (LYONs®)


2



1,599Other Zero-coupon obligations


119



165Total

$
162,869


$
199,678DepositsU.S.

$
82,408


$
79,528Non-U.S.


14,880



16,579Total

$
97,288


$
96,107  (1)
    
    The decrease in commercial
    paper reflects the repayment of borrowings under the Federal
    Reserves liquidity backstop for U.S. issuers of commercial
    paper and the FDICs Temporary Liquidity Guarantee
    Program.(2)
    
    Excludes junior subordinated
    notes (related to trust preferred securities).(3)
    
    Fixed-rate obligations are
    generally swapped to floating 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.    Successor Company

Predecessor CompanyMarch 31,

December 26,2009

2008Short-term borrowings


2.50
%


2.95
%Long-term borrowings


4.09



4.65Junior subordinated notes (related to trust preferred securities)


6.93



6.83    60




---



##### Table of Contents



Long-Term
    Borrowings
    (dollars in millions)Less than 1 year

$
41,538



25
%1  2 years


17,381



112+ 

    3 years


19,266



123+ 

    4 years


15,318



94+ 

    5 years


17,696



11Greater than 5 years


51,670



32Total

$
162,869



100
%       ®
  Floating
    Rate LYONs
    Committed
    Credit Facilities
     61




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##### Table of Contents



Note 12.  Stockholders
    Equity and Earnings Per Share  Preferred
    Equity
    Mandatory
    Convertible
    Common
    Stock
   62




---



##### Table of Contents



Earnings
    Per Share
    dollars in millions, except per share amounts)Successor Company

Predecessor CompanyThree Months

Three MonthsEnded March 31,

Ended March 28,2009

2008Net earnings/(loss) from continuing operations

$
3,660


$
(1,969
)Net earnings from discontinued operations


-



7Preferred stock dividends


(15
)


(174
)Net (loss)/earnings applicable to common
    shareholders  for basic EPS


N/A


$
(2,136
)Net (loss)/earnings applicable to common
    shareholders  for diluted EPS


N/A


$
(2,136
)(shares in thousands)Weighted-average basic shares
    outstanding(1)


N/A



974,058Effect of dilutive instruments:Employee stock
    options(2)


N/A



-FACAAP
    shares(2)


N/A



-Restricted shares and
    units(2)


N/A



-Convertible
    LYONs®(3)


N/A



-ESPP
    shares(2)


N/A



-Dilutive potential common shares


N/A



-Diluted
    Shares(4)


N/A



974,058Basic EPS from continuing operations


N/A


$
(2.20
)Basic EPS from discontinued operations


N/A



0.01Basic EPS


N/A


$
(2.19
)Diluted EPS from continuing operations


N/A


$
(2.20
)Diluted EPS from discontinued operations


N/A



0.01Diluted EPS


N/A


$
(2.19
)Common shares outstanding at period end


1,000



985,128  N/A
    
    Earnings per share data is not
    provided for the three months ended March 31, 2009, as
    Merrill Lynch was a wholly-owned subsidiary of Bank of America
    during that period. (1)
    
    Includes shares exchangeable
    into common stock in 2008.(2)
    
    See Note 13 of the 2008
    Annual Report for a description of these items.(3)
    
    See Note 11 for additional
    information on
    LYONs®.(4)
    
    Due to the net loss for the
    three months ended March 28, 2008, the diluted EPS
    calculation excludes 300 million equity-related instruments
    as they were antidilutive.   63




---



##### Table of Contents



Note 13.  Commitments,
    Contingencies and Guarantees  Litigation
    and/or and/or
  Accounting for Contingencies
  Commitments
    (dollars in millions)Commitment expirationLess than

1+ -

    3

3+ -

    5

Over 5Total

1 year

years

years

yearsLending commitments

$
46,961


$
13,959


$
13,005


$
13,563


$
6,434Purchasing and other commitments


5,864



2,125



719



1,539



1,481Operating leases


3,574



658



1,193



861



862Commitments to enter into forward dated resale and securities
    borrowing agreements


58,286



58,286



-



-



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


58,911



58,911



-



-



-Total

$
173,596


$
133,939


$
14,917


$
15,963


$
8,777   64




---



##### Table of Contents



Lending
    Commitments
        Purchasing
    and Other Commitments
          65




---



##### Table of Contents



Operating
    Leases
    Guarantees
  FAS 133-1 FIN 45-4, Disclosures about Credit Derivatives and Certain Guarantees:
    An Amendment of FASB Statement No. 133 and FASB
    Interpretation No. 45; and Clarification of the Effective
    Date of FASB Statement No. 161 FAS 133-1 FIN 45-4),
  (dollars in millions)ExpirationMaximum

Less than 1







CarryingPayout

year

1+

    - 3 years

3+

    - 5 years

Over 5 years

ValueStandby liquidity facilities

$
6,907


$
4,069


$
-


$
2,838


$
-


$
644Auction rate security guarantees


1,022



1,022



-



-



-



74Residual value guarantees


738



322



96



320



-



8Standby letters of credit and other guarantees


36,841



2,556



1,138



627



32,520



726   Standby
    Liquidity Facilities
   66




---



##### Table of Contents



(dollars in millions)Merrill Lynch Liquidity Facilities Can Be Drawn:

Municipal Bonds toIn 7 Days with

After 7 and



Which Merrill LynchIn 7 Days with

Gross

Up to 364



Has Recourse ifNet Liquidity

Liquidity

Days(1)

Total

Facilities Are DrawnMerrill Lynch provides standby liquidity facilities

$
2,713


$
1,041


$
2,855


$
6,609


$
7,370  (1)
    
    Initial liquidity support is
    provided by third parties within seven days, to be reimbursed by
    Merrill Lynch within 364 days.    Auction
    Rate Security (ARS) Guarantees
  not-for-profit,
  Residual
    Value Guarantees
    Standby
    Letters of Credit and Other FIN 45 Guarantees
   67




---



##### Table of Contents



Note 14.  Employee
    Benefit Plans     68




---



##### Table of Contents



Defined
    Benefit Pension Plans
    (dollars in millions)Successor Company


Predecessor CompanyThree Months Ended


Three Months EndedMarch 31, 2009


March 28, 2008U.S. Plans

Non-U.S. Plans

Total


U.S. Plans

Non-U.S. Plans

TotalService cost

$
-


$
6


$
6



$
-


$
7


$
7Interest cost


25



17



42




24



21



45Expected return on plan assets


(37
)


(17
)


(54
)



(29
)


(22
)


(51
)Amortization of net (gains)/losses, prior service costs and other


-



-



-




-



4



4Total defined benefit pension cost

$
(12
)

$
6


$
(6
)


$
(5
)

$
10


$
5   non-U.S. defined
  Postretirement
    Benefits Other Than Pensions
   Note 15.  Income
    Taxes     69




---



##### Table of Contents



change-in-control
 Note 16.  Regulatory
    Requirements      non-U.S. subsidiaries
  Securities
    Regulation
  Rule 15c3-1
 70




---



##### Table of Contents



Banking
    Regulation
    (dollars in millions)Well

MLBUSA

MLBT-FSBCapitalized

Actual

Actual

Actual

ActualMinimum

Ratio

Amount

Ratio

AmountTier 1 leverage


5
%


8.72
%

$
5,554



8.78
%

$
3,050Tier 1 capital


6
%


14.58
%


5,554



12.81
%


3,050Total capital


10
%


14.59
%


5,558



12.84
%


3,057      71




---



##### Table of Contents



Note 17.  Discontinued
    Operations   Note 18.  Restructuring
    Charge     Note 19.  Related
    Party Transactions      (dollars in millions)Cash and cash equivalents

$
7,518Cash and securities segregated forregulatory purposes


1,010Receivables under securities borrrowedtransactions


28Trading assets


1,136Other receivables


54Loans, notes and mortgages


7,761Total

$
17,507     (dollars in millions)Payables under repurchase agreements

$
18,690Payables under securities loanedtransactions


5,759Trading liabilities


497Other payables


267Total

$
25,213    72




---



##### 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-K Form 10-K, Form 10-Q Form 8-K.
  period-to-period
 Introduction    Bank of
    America Acquisition
   73




---



##### Table of Contents



Form 10-Q
    Disclosures about Segments of an Enterprise and Related
    Information
  Form 10-Q Form 10-Q.
 74




---



##### Table of Contents



Executive
    Overview  Company
    Results
        Transactions
    with Bank of America
    Other
    Events
    75




---



##### Table of Contents



Results
    Of Operations  (dollars in millions, except per share amounts)Successor Company


Predecessor CompanyFor the PeriodThree Months


December 27,

Three MonthsEnded


2008

EndedMarch 31,


to December 31,

March 28,2009


2008

2008

%
    Change(1)RevenuesPrincipal transactions

$
5,778



$
(280
)

$
(2,418
)


N/M
%Commissions


1,243




22



1,889



(34
)Managed account and other fee-based revenues


1,103




22



1,455



(24
)Investment banking


606




12



917



(34
)Earnings from equity method investments


40




-



431



(91
)Other


260




19



(1,449
)


N/MSubtotal


9,030




(205
)


825



N/MInterest and dividend revenues


4,379




34



11,861



(63
)Less interest expense


3,455




-



9,752



(65
)Net interest profit


924




34



2,109



(56
)Revenues, net of interest expense


9,954




(171
)


2,934



N/MNon-interest expenses:Compensation and benefits


3,142




64



4,196



(25
)Communications and technology


397




-



555



(28
)Brokerage, clearing, and exchange fees


252




10



387



(35
)Occupancy and related depreciation


255




-



309



(17
)Professional fees


99




-



242



(59
)Advertising and market development


105




-



176



(40
)Office supplies and postage


40




-



57



(30
)Other


419




-



313



34Total non-interest expenses


4,709




74



6,235



(24
)Pre-tax earnings/(loss) from continuing operations


5,245




(245
)


(3,301
)


N/MIncome tax expense/(benefit)


1,585




(92
)


(1,332
)


N/MNet earnings/(loss) from continuing operations


3,660




(153
)


(1,969
)


N/MDiscontinued operations:Pre-tax (loss) from discontinued operations


-




-



(25
)


N/MIncome tax (benefit)


-




-



(32
)


N/MNet earnings from discontinued operations


-




-



7



N/MNet earnings/(loss)


3,660




(153
)


(1,962
)


N/MPreferred stock dividends


15




-



174



N/MNet earnings/(loss) applicable to common stockholders

$
3,645



$
(153
)

$
(2,136
)


N/MBasic (loss) per common share from continuing operations


N/A



$
(0.10
)

$
(2.20
)


N/MBasic earnings per common share from discontinued operations


N/A




-



0.01



N/MBasic (loss) per common share


N/A



$
(0.10
)

$
(2.19
)


N/MDiluted (loss) per common share from continuing operations


N/A



$
(0.10
)

$
(2.20
)


N/MDiluted earnings per common share from discontinued operations


N/A




-



0.01



N/MDiluted (loss) per common share


N/A



$
(0.10
)

$
(2.19
)


N/M  Note: Certain prior period
    amounts have been reclassified to conform to the current period
    presentation.
 N/M = Not meaningful.
 N/A = Earnings per share
    information is not applicable to the Successor Company period
    since Merrill Lynch is now a wholly-owned subsidiary of Bank of
    America.
 (1)
    
    Percentages refer to the
    changes between the three months ended March 31, 2009 and
    the three months ended March 28, 2008. 76




---



##### Table of Contents



Consolidated
    Results of Operations
  sub-prime, Non-U.S. residential
       77




---



##### Table of Contents



available-for-sale Fair Value Option for Certain
    Financial Assets and Liabilities
     78




---



##### Table of Contents



U.S. ABS
    CDO and Other Mortgage-Related Activities
    Residential Mortgage-Related Activities (excluding the
    Investment ecurities Portfolio)
  U.S. Prime
    U.S. Sub-prime U.S. Sub-prime
  Non-U.S. Non-U.S. net
  79




---



##### Table of Contents



Investment Securities Portfolio
  (dollars in millions)Predecessor Company





Successor CompanyNet



Other net

Netexposures as



changes in

exposures asof Dec. 26,

Net gains/(losses)

net

of Mar. 31,2008

reported in income

exposures(1)

2009Residential Mortgage-Related (excluding the investment
    securities portfolio):U.S.
    Prime(2)

$
34,799


$
167


$
(1,986
)

$
32,980Other Residential:U.S.
    Sub-prime

$
195


$
21


$
(720
)

$
(504
)U.S. Alt-A


27



1



1



29Non-U.S.


3,380



8



(519
)


2,869Total Other
    Residential(3)

$
3,602


$
30


$
(1,238
)

$
2,394  (1)
    
    Change in U.S. Prime
    exposure is primarily associated with a reclassification of
    approximately $2 billion of loans from
    U.S. Prime  Residential to Commercial Real
    Estate. See the Commercial Real Estate table below.(2)
    
    As of March 31, 2009, net
    exposures include approximately $30.1 billion of prime
    loans originated with clients of our global wealth management
    business (of which $13.1 billion were originated by First
    Republic Bank).(3)
    
    Includes warehouse lending,
    whole loans and residential mortgage-backed
    securities.  U.S. ABS
    CDO Activities
  U.S. sub-prime sub-prime
  sub-prime
     80




---



##### Table of Contents



mark-to-market
    U.S. Super Senior ABS CDO
    Exposure (dollars in millions)

Long

Short(1)

NetPredecessor Company  December 26, 2008

$
1,805


$
(1,097
)

$
7081Q09 Gains / (Losses)


(414
)


326



(88
)1Q09 Liquidations/Amortization


(125
)


34



(91
)1Q09 Terminations


-



33



33Successor Company  March 31, 2009

$
1,266


$
(704
)

$
562  (1)
    
    Hedges are affected by a
    variety of factors that impact the degree of their
    effectiveness. These factors may include differences in
    attachment point, timing of cash flows, control rights, limited
    recourse to counterparties and other basis risks.    Monoline
    Financial Guarantors
  and/or
  and/or
   81




---



##### Table of Contents



(dollars in millions)Mark-to-MarketPrior

Life-to-DateNotional of



to Credit Valuation

Credit Valuation

CarryingCredit Default Swaps with
    Financial Guarantors on U.S. Super Senior ABS CDOs

CDS

Net Exposure

Adjustments

Adjustments

ValuePredecessor Company  December 26, 2008

$
(2,831
)

$
(479
)

$
2,352


$
(894
)

$
1,458Q109 Activity


2



223



221



(251
)


(30
)Successor Company  March 31, 2009

$
(2,829
)

$
(256
)

$
2,573


$
(1,145
)

$
1,428       (dollars in millions)Mark-to-Market Prior

Life-to-Date CreditNotional of



to Credit Valuation

Valuation

CarryingCredit Default Swaps with
    Financial Guarantors (Excluding U.S. Super Senior ABS CDOs)

CDS(1)

Net
    Exposure(2)

Adjustments

Adjustments

Value(4)By counterparty credit
    quality(3)AAA

$
(17,340
)

$
(13,230
)

$
4,110


$
(1,217
)

$
2,893A


(1,182
)


(889
)


293



(102
)


191BBB


(22,499
)


(15,391
)


7,108



(2,974
)


4,134Non-investment grade or unrated


(8,814
)


(6,186
)


2,628



(1,569
)


1,059Total financial guarantor exposures

$
(49,835
)

$
(35,696
)

$
14,139


$
(5,862
)

$
8,277  (1)
    
    Represents the gross notional
    amount of CDS purchased as protection to hedge predominantly
    Corporate CDO, CLO, RMBS & CMBS exposure. Amounts do
    not include exposure with financial guarantors on U.S. super
    senior ABS CDOs which are reported separately above.(2)
    
    Represents the notional of the
    total CDS, net of gains prior to credit valuation
    adjustments.(3)
    
    Represents S&P rating band
    as of March 31, 2009.(4)
    
    The total carrying value as of
    December 26, 2008 was $7,770 million.  Investment
    Securities Portfolio
   82




---



##### Table of Contents



other-than-temporary.
  other-than-temporary
  
    The period of time over which it is estimated that the fair
    value will increase from the current level to at least the
    amortized cost level, or until principal and interest is
    estimated to be received;
    The period of time a securitys fair value has been below
    amortized cost;
    The amount by which the securitys fair value is below
    amortized cost;
    The financial condition of the issuer; and
    Managements intention to sell the security or if it is
    more likely than not that Merrill Lynch will be required to sell
    the security before the recovery of its amortized cost      (dollars in millions)Predecessor Company









Successor CompanyNet

Net

Net

Unrealized

Other

Netexposures

purchase

gains/(losses)

gains/(losses)

net changes

exposuresas of Dec. 26,

price

reported in

included in OCI

in net

as of Mar. 31,2008

adjustments

income

(pre-tax)

exposures(1)

2009Investment Securities Portfolio:Sub-prime
    residential mortgage-backed securities

$
2,013


$
24


$
(19
)

$
(246
)

$
(42
)

$
1,730Alt-A residential mortgage-backed securities


2,295



(91
)


-



444



(56
)


2,592Commercial mortgage-backed securities


3,125



149



-



(116
)


(1,662
)


1,496Prime residential mortgage-backed securities


1,845



(76
)


1



(12
)


(146
)


1,612Non-residential asset-backed securities


626



(12
)


-



(42
)


1



573Non-residential CDOs


329



(3
)


(7
)


(71
)


(30
)


218Agency residential asset-backed securities and other


198



14



-



(30
)


(35
)


147Total

$
10,431


$
5


$
(25
)

$
(73
)

$
(1,970
)

$
8,368  (1)
    
    Primarily represents principal
    paydowns, sales and hedges. The activity for commercial
    mortgage-backed securities was primarily associated with the
    sale of securities to Bank of America. 83




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##### Table of Contents



Commercial
    Real Estate
      (dollars in millions)Predecessor Company





Successor CompanyNet

Net



Netexposures as

gains/(losses)

Other net

exposures asof Dec. 26,

reported in

changes in net

of Mar. 31,2008

income

exposures(1)

2009Commercial Real Estate:Whole Loans/Conduits

$
3,845


$
109


$
(431
)

$
3,523Securities and Derivatives


174



74



(672
)


(424
)Real Estate
    Investments(2)


5,685



(2
)


(1,811
)


3,872Total Commercial Real Estate, excluding First Republic
    Bank

$
9,704


$
181


$
(2,914
)

$
6,971First Republic
    Bank(3)

$
3,119


$
50


$
1,775


$
4,944  (1)
    
    Includes sales, paydowns and
    foreign exchange revaluations. The changes in Real Estate
    Investments result primarily from purchase price adjustments
    recorded in connection with the acquisition of Merrill Lynch by
    Bank of America.(2)
    
    The Company makes equity and
    debt investments in entities whose underlying assets are real
    estate. The Company consolidates those entities in which we are
    the primary beneficiary in accordance with
    FIN No. 46(R), Consolidation of Variable Interest
    Entities (revised December 2003)  an interpretation
    of ARB No. 51. The Company does not consider itself to have
    economic exposure to the total underlying assets in those
    entities. The amounts presented are the Companys net
    investment and therefore exclude the amounts that have been
    consolidated but for which the Company does not consider itself
    to have economic exposure.(3)
    
    Change in First Republic
    Banks exposure is primarily associated with a
    reclassification of approximately $2 billion of loans from
    U.S. Prime - Residential to Commercial Real Estate. See the
    Residential Mortgage-related table above. Off-Balance
    Sheet Exposures    (dollars in millions)ExpirationLess than

1 - 3

3+ -

    5

Over 5Total

1 Year

Years

Years

YearsStandby liquidity facilities

$
6,907


$
4,069


$
-


$
2,838


$
-Auction rate security guarantees


1,022



1,022



-



-



-Residual value guarantees


738



322



96



320



-Standby letters of credit and other guarantees


36,841



2,556



1,138



627



32,520  84




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##### Table of Contents



Standby
    Liquidity Facilities
    Auction
    Rate Security (ARS) Guarantees
  not-for-profit,
  Residual
    Value Guarantees
    Standby
    Letters of Credit and Other FIN 45 Guarantees
     85




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##### Table of Contents



Derivatives
  Guarantors Accounting
    and Disclosure Requirements for Guarantees, Including
    Indebtedness of Others
  Involvement
    with SPEs
    
    Municipal bond securitization SPEs:  SPEs that
    issue medium-term paper, purchase municipal bonds as collateral
    and purchase a guarantee to enhance the creditworthiness of the
    collateral.
    Asset-backed securities SPEs:  SPEs 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.
    ABS CDOs:  SPEs that issue different classes of
    debt, from super senior to subordinated, and equity and purchase
    asset-backed securities collateralized by residential mortgages,
    commercial mortgages, auto leases and credit card receivables. 86




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##### Table of Contents




    Synthetic CDOs:  SPEs 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 SPEs:  SPEs 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.
    Tax planning SPEs:  SPEs are sometimes used to
    legally isolate transactions for the purpose of obtaining a
    particular tax treatment for our clients as well as ourselves.
    The assets and capital structure of these entities vary for each
    structure.
    Trust preferred security SPEs:  These SPEs 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 SPEs have funds
    legally available. The debt we issue into the SPE 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. The 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.    
    Holder of Issued Debt and Equity:  Merrill
    Lynch invests in debt of third party securitization vehicles
    that are SPEs and also invests in SPEs that we establish. In
    Merrill Lynch formed SPEs, we may be the holder of debt and
    equity of an SPE. These holdings will be classified as trading
    assets, loans, notes and mortgages or investment securities.
    Such holdings may change over time at our discretion and rarely
    are there contractual obligations that require us to purchase
    additional debt or equity interests. Significant obligations are
    disclosed in the off-balance sheet arrangements table above.
    Warehousing of Loans and Securities:  Warehouse
    loans and securities represent amounts maintained on our balance
    sheet that are intended to be sold into a trust for the purposes
    of securitization. We may retain these loans and securities on
    our balance sheet for the benefit of a CDO managed by a third
    party. Warehoused loans are carried as held for sale and
    warehoused securities are carried as trading assets.
    Securitizations:  In the normal course of
    business, we securitize: commercial and residential mortgage
    loans; municipal, government, and corporate bonds; and other
    types of financial assets. Securitizations involve the selling
    of assets to SPEs, which in turn issue debt and equity
    securities (tranches) with those assets as
    collateral. We may retain interests in the securitized financial
    assets through holding tranches of the securitization. See
    Note 8 to the Condensed Consolidated Financial Statements. 87




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##### Table of Contents



Funding
    and Liquidity  Funding
    Credit
    Ratings
      Senior



TrustDebt

Subordinated

Preferred

Commercial

Long-Term DebtRating Agency

Ratings

Debt Ratings

Ratings

Paper Ratings

Ratings OutlookDominion Bond Rating Service Ltd.

A

A (low)

A (low)

R-1 (middle)

StableFitch Ratings

A+

A

BB

F1+

StableMoodys Investors Service, Inc.

A2

A3

Baa3

P-1

StableRating & Investment Information, Inc. (Japan)

A+

A

Not rated

a-1

NegativeStandard & Poors Ratings Services

A

A-

B

A-1

Credit Watch Negative   and/or
 88




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##### Table of Contents



Liquidity
    Risk
      Unencumbered
    Loans and Securities
      Committed
    Credit Facilities
    U.S.
    Government Liquidity Facilities
     89




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##### Table of Contents



90




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##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures About Market Risk    Item 4.
    Controls
    and Procedures  Material
    Weaknesses Previously Disclosed
  Form 10-K
  Evaluation
    of Disclosure Controls and Procedures
  Rule 13a-15(b) Rule 13a-15(e)
  Changes
    in Internal Control over Financial Reporting
    91




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##### Table of Contents



PART II 
    Other Information  Item 1.
    Legal
    Proceedings  Legal and
    Regulatory Matters
  Form 10-K
  Aquedotto
    Pugliese SpA v.  Merrill Lynch International
    Auction
    Rate Litigation
  In Re Merrill Lynch Auction Rate Securities Litigation
    (previously referenced as Burton and Stanton)
  Benistar
  Gail A. Cahaly, et al. v. Benistar Property Exchange
    Trust Company, Inc, et al.
  Enron
    Litigation
  Newby v. Enron Corp. et al
  IndyMac
  IBEW Local 103 v. IndyMac MBS et al.: IBEW Local
    103 v. Indymac MBS et al.
 92




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##### Table of Contents



In re
    Initial Public Offering Securities Litigation
    MBIA
    Insurance Corporation CDO Litigation
  MBIA Insurance Corporation and LaCrosse Financial Products,
    LLC v. Merrill Lynch Pierce Fenner and Smith Inc., and
    Merrill Lynch International:
  Municipal
    Derivatives Litigation
  In re Municipal Derivatives Antitrust Litigation No. 08-2516).
  Short
    Term Interest Rate Trading (STIRT) Matter
    Subprime
    Related Matters
  In re Merrill Lynch & Co., Inc. Securities,
    Derivative, and ERISA Litigation:
 93




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##### Table of Contents



Louisiana Sheriffs Pension & Relief
    Fund v. Conway, et al.:
  Wyoming State Treasurer v. Merrill Lynch, et. al
  Item 1A.
    Risk
    Factors  Form 10-K Form 10-K and/or
  Item 6.
    Exhibits   94




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##### Table of Contents



SIGNATURES    Merrill Lynch &
    Co., Inc.
  By:
    /s/  NEIL
    A. COTTY     By:
    /s/  THOMAS
    W. PERRY     Date: May 7, 2009
 95




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##### Table of Contents



EXHIBIT INDEX  Exhibit

Description2.1

Agreement and Plan of Merger, dated as of September 15,
    2008, by and between Merrill Lynch & Co., Inc. and
    Bank of America Corporation (incorporated by reference to
    Exhibit 2.1 to Merrill Lynchs Current Report on
    Form 8-K
    dated September 19, 2008).3.1

Certificate of Merger merging MER Merger Corporation with and
    into Merrill Lynch & Co., Inc. (incorporated by
    reference to Exhibit 3.1 to
    8-K dated
    January 2, 2009).3.2

Certificate of Amendment to Certificate of Designations of 9.00%
    Non-Voting Mandatory Convertible Non-Cumulative Preferred Stock,
    Series 2 of ML & Co. (incorporated by reference
    to Exhibit 3.2 to
    8-K dated
    January 2, 2009).3.3

Certificate of Amendment to Certificate of Designations of 9.00%
    Non-Voting Mandatory Convertible Non-Cumulative Preferred Stock,
    Series 3 of Merrill Lynch & Co., Inc.
    (incorporated by reference to Exhibit 3.3 to
    8-K dated
    January 2, 2009).3.4

By-Laws of Merrill Lynch & Co., Inc. as of
    January 1, 2009 (incorporated by reference to
    Exhibit 3.4 to
    8-K dated
    January 2, 2009).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 Executive Officer Pursuant to
    18 U.S.C. Section 1350, as Adopted Pursuant to
    Section 906 of the Sarbanes-Oxley Act of 2002.    *
    
    Filed herewith 96