##### Table of Contents





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

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
    THE
    SECURITIES EXCHANGE ACT OF 1934For the quarterly period ended
    March 31,
    2011ORTRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934For the transition period from
    to   Commission file number: 1-7182
  MERRILL LYNCH & CO., INC.
    Delaware

13-2740599(State or other jurisdiction of

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

28255(Address of principal executive offices)

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




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##### 





QUARTERLY
    REPORT ON
    FORM 10-Q
    FOR THE QUARTERLY PERIOD ENDED MARCH 31, 2011
    TABLE OF CONTENTS
   Part I. Financial
    InformationItem 1. Financial Statements
    (Unaudited)Condensed Consolidated Statements of Earnings


3Condensed Consolidated Balance Sheets


4Condensed Consolidated Statements of Cash
    Flows


6Condensed Consolidated Statements of
    Comprehensive Income (Loss)


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


8Note 2. Transactions with Bank of America


18Note 3. Segment and Geographic
    Information


19Note 4. Fair Value Disclosures


20Note 5. Fair Value of Financial
    Instruments


36Note 6. Derivatives


38Note 7. Securities Financing Transactions


49Note 8. Investment Securities


50Note 9. Securitizations and Other Variable
    Interest Entities


54Note 10. Loans, Notes, and Mortgages


61Note 11. Goodwill and Intangible Assets


65Note 12. Borrowings and Deposits


66Note 13. Stockholders Equity and
    Earnings Per Share


69Note 14. Commitments, Contingencies and
    Guarantees


70Note 15. Employee Benefit Plans


78Note 16. Regulatory Requirements


79Item 2. Managements Discussion and
    Analysis of Financial Condition and Results of OperationsIntroduction


82Executive Overview


83Results of Operations


87Off-Balance Sheet Exposures


90Funding and Liquidity


96Item 3. Quantitative and Qualitative
    Disclosures About Market Risk


99Item 4. Controls and Procedures


99Part II. Other InformationItem 1. Legal Proceedings


100Item 1A. Risk Factors


100Item 6. Exhibits


100Signatures


101Exhibit Index


102EX-12EX-31.1EX-31.2EX-32.1EX-32.2   2




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##### Table of Contents



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

Three Months Ended(dollars in millions)

March 31, 2011

March 31, 2010RevenuesPrincipal transactions

$
1,171


$
4,048Commissions


1,590



1,488Managed account and other fee-based revenues


1,291



1,051Investment banking


1,532



1,209Earnings from equity method investments


138



281Other revenues


2,150



1,180Other-than-temporary
    impairment losses on
    available-for-sale
    debt securities:Total
    other-than-temporary
    impairment losses


(38
)


(105
)Less: Portion of
    other-than-temporary
    impairment losses recognized in other comprehensive income


1



19Subtotal


7,835



9,171Interest and dividend revenues


2,400



2,756Less interest expense


2,353



2,460Net interest income


47



296Revenues, net of interest expense


7,882



9,467Non-interest expensesCompensation and benefits


4,610



4,329Communications and technology


428



486Occupancy and related depreciation


336



346Brokerage, clearing, and exchange fees


300



286Advertising and market development


121



95Professional fees


227



178Office supplies and postage


32



44Other


1,207



480Total non-interest expenses


7,261



6,244Pre-tax earnings


621



3,223Income tax expense


215



1,130Net earnings

$
406


$
2,093Preferred stock dividends


-



38Net earnings applicable to common stockholder

$
406


$
2,055    See Notes to Condensed
    Consolidated Financial Statements.
 3




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##### Table of Contents



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

March 31, 2011

December 31, 2010ASSETSCash and cash equivalents

$
14,399


$
17,220Cash and securities segregated for regulatory purposes or
    deposited with clearing organizations


10,498



12,424Securities financing transactionsReceivables under resale agreements (includes $89,631 in 2011
    and $74,255 in 2010
    measured at fair value in accordance with the fair value option
    election)


155,839



138,219Receivables under securities borrowed transactions (includes
    $2,412 in 2011 and $1,672 in 2010 measured at fair value in
    accordance with the fair value option election)


64,947



60,458220,786



198,677Trading assets, at fair value (includes securities pledged as
    collateral that can be sold or
    repledged of $61,347 in 2011 and $33,933 in 2010):Derivative contracts


34,801



39,371Equities and convertible debentures


37,788



34,204Non-U.S.
    governments and agencies


28,150



22,248Corporate debt and preferred stock


27,610



27,703Mortgages, mortgage-backed, and asset-backed


14,027



10,994U.S. Government and agencies


42,094



41,378Municipals, money markets, physical commodities and other


17,321



14,759201,791



190,657Investment securities (includes $450 in 2011 and $310 in 2010
    measured at fair value in accordance with the fair value option
    election)


16,126



17,769Securities received as collateral, at fair value


21,013



20,363Receivables from Bank of America


69,396



60,655Other receivablesCustomers (net of allowance for doubtful accounts of $15 in 2011
    and $8 in 2010)


26,126



22,080Brokers and dealers


17,369



16,483Interest and other


9,418



10,63352,913



49,196Loans, notes, and mortgages (net of allowances for loan losses
    of $78 in 2011 and $170 in 2010) (includes $2,579 in 2011 and
    $3,190 in 2010 measured at fair value in accordance with the
    fair value option election)


24,240



25,803Equipment and facilities (net of accumulated depreciation and
    amortization of $1,437 in 2011
    and $1,320 in 2010)


1,643



1,712Goodwill and other intangible assets


9,637



9,714Other assets


17,878



17,436Total Assets

$
660,320


$
621,626Assets of Consolidated VIEs Included in Total Assets Above
    (pledged as collateral)Trading assets, excluding derivative contracts

$
11,412


$
10,838Derivative contracts


31



41Investment securities


281



309Loans, notes, and mortgages (net)


102



221Other assets


1,499



1,597Total Assets of Consolidated VIEs

$
13,325


$
13,006  4




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

March 31, 2011

December 31, 2010LIABILITIESSecurities financing transactionsPayables under repurchase agreements (includes $37,308 in 2011
    and $37,394 in 2010 measured at fair value in accordance with
    the fair value option election)

$
195,143


$
183,758Payables under securities loaned transactions


18,549



15,251213,692



199,009Short-term borrowings (includes $5,695 in 2011 and $6,472 in
    2010 measured at fair value in accordance with the fair value
    option election)


15,679



15,248Deposits


13,416



12,826Trading liabilities, at fair valueDerivative contracts


31,843



32,197Equities and convertible debentures


19,065



14,026Non-U.S.
    governments and agencies


20,186



15,705Corporate debt and preferred stock


10,109



9,500U.S. Government and agencies


28,535



24,747Municipals, money markets and other


353



571110,091



96,746Obligation to return securities received as collateral, at fair
    value


21,013



20,363Payables to Bank of America


37,365



23,021Other payablesCustomers


42,368



39,045Brokers and dealers


7,592



12,895Interest and other (includes $108 in 2011 and $165 in 2010
    measured at fair value in accordance with the fair value option
    election)


16,484



19,90066,444



71,840Long-term borrowings (includes $41,015 in 2011 and $39,214 in
    2010 measured at fair value in accordance with the fair value
    option election)


127,965



128,851Junior subordinated notes (related to trust preferred securities)


3,582



3,576Total Liabilities


609,247



571,480COMMITMENTS AND CONTINGENCIESSTOCKHOLDERS EQUITYCommon stock (par value
    $1.331/3
    per share; authorized: 3,000,000,000 shares; issued:
    1,000 shares)


-



-Paid-in capital


40,935



40,416Accumulated other comprehensive loss (net of tax)


(252
)


(254
)Retained earnings


10,390



9,984Total Stockholders Equity


51,073



50,146Total Liabilities and Stockholders Equity

$
660,320


$
621,626Liabilities of Consolidated VIEs Included in Total
    Liabilities AboveShort-term borrowings

$
4,868


$
4,642Derivative contracts


23



1Payables to Bank of America


5



2Other payables


228



53Long-term borrowings


7,113



6,674Total Liabilities of Consolidated VIEs

$
12,237


$
11,372    See Notes to Condensed
    Consolidated Financial Statements.
 5




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

Three Months Ended(dollars in millions)

March 31, 2011

March 31, 2010Cash flows from operating activities:Net earnings

$
406


$
2,093Adjustments to reconcile net earnings to cash provided by
    operating activitiesDepreciation and amortization


194



242Share-based compensation expense


956



594Deferred taxes


218



243Earnings from equity method investments


(138
)


(203
)Other


287



311Changes in operating assets and liabilities:Trading assets


(11,134
)


(17,626
)Cash and securities segregated for regulatory purposes or
    deposited with clearing organizations


1,926



3,666Receivables from Bank of America


(8,741
)


(18,823
)Receivables under resale agreements


(17,620
)


(18,677
)Receivables under securities borrowed transactions


(4,489
)


4,394Customer receivables


(4,053
)


9,974Brokers and dealers receivables


(886
)


3,550Proceeds from loans, notes, and mortgages held for sale


2,493



1,823Other changes in loans, notes, and mortgages held for sale


(1,420
)


(927
)Trading liabilities


13,310



24,837Payables under repurchase agreements


11,385



25,419Payables under securities loaned transactions


3,298



(9,656
)Payables to Bank of America


14,344



(7,634
)Customer payables


3,323



(565
)Brokers and dealers payables


(5,303
)


(1,668
)Other, net


(968
)


(1,270
)Cash (used for) provided by operating activities


(2,612
)


97Cash flows from investing activities:Proceeds from (payments for):Maturities of
    available-for-sale
    securities


364



770Sales of
    available-for-sale
    securities


1,587



13,427Purchases of
    available-for-sale
    securities


(150
)


(298
)Equipment and facilities, net


(48
)


(80
)Loans, notes, and mortgages held for investment


618



568Other investments


1,145



1,148Cash provided by investing activities


3,516



15,535Cash flows from financing activities:Proceeds from (payments for):Short-term borrowings


431



28Issuance and resale of long-term borrowings


3,076



2,814Settlement and repurchases of long-term borrowings


(7,857
)


(12,013
)Deposits


590



(1,714
)Derivative financing transactions


35



(1
)Dividends


-



(38
)Cash used for financing activities


(3,725
)


(10,924
)Increase (decrease) in cash and cash equivalents


(2,821
)


4,708Cash and cash equivalents, beginning of period


17,220



15,142Cash and cash equivalents, end of period

$
14,399


$
19,850Supplemental Disclosure of Cash Flow Information:Income taxes paid

$
76


$
35Income taxes refunded


-



(247
)Interest paid


1,453



1,429  Non-cash investing and financing activities:
  During the quarter ended March 31, 2010, Merrill Lynch
    received a non-cash capital contribution of approximately
    $1 billion from Bank of America associated with certain
    employee stock awards. In addition, as of January 1, 2010,
    Merrill Lynch assumed assets and liabilities in connection with
    the consolidation of certain VIEs.
   See Notes to Condensed
    Consolidated Financial Statements.
 6




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

Three Months Ended(dollars in millions)

March 31, 2011

March 31, 2010Net earnings

$
406


$
2,093Other comprehensive income (loss), net of tax:Foreign currency translation adjustment


2



(59
)Net unrealized gain (loss) on investment securities
    available-for-sale


1



(158
)Net deferred (loss) gain on cash flow hedges


(5
)


17Defined benefit pension and postretirement plans


4



1Total other comprehensive income (loss), net of tax


2



(199
)Comprehensive income

$
408


$
1,894    See Notes to Condensed
    Consolidated Financial Statements.
 7




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Merrill
    Lynch & Co., Inc. and SubsidiariesNotes to Condensed Consolidated Financial
    Statements
 March 31, 2011
   Note 1.  Summary of Significant
    Accounting Policies
    Merger
    with Banc of America Securities Holdings Corporation
    (BASH)
  805-10, Business Combinations
  Basis of
    Presentation
    Form 10-K
  Consolidation
    Accounting
     8




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Consolidation , Investments  Equity Method and Joint Ventures
    Securitization
    Activities
  Transfers and Servicing
  Revenue
    Recognition
   9




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##### Table of Contents



other-than-temporary-impairment available-for-sale
    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;
    Determining whether VIEs should be consolidated;
    The ability to realize 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 10




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
    Other matters that affect the reported amounts and disclosure of
    contingencies in the Condensed Consolidated Financial Statements.    Fair
    Value Measurement
  Investments 
    Debt and Equity Securities Derivatives and Hedging ASC 825-10-25, Financial Instruments  Recognition Financial
    Services  Broker and Dealers Financial Services 
    Investment Companies
  Fair Value Measurements and Disclosures
  over-the-counter
  and/or and/or
   11




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Liquidity
    Counterparty
    Credit Risk
      Legal
    Reserves
    Income
    Taxes
  Income Taxes
 12




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Securities
    Financing Transactions
  repo-to-maturity repo-to-maturity repo-to-maturity Repo-to-maturity
 13




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and/or
  Rule 15c3-3
  and/or
           14




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##### Table of Contents



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




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##### Table of Contents



held-to-maturity available-for-sale other-than-temporary. other-than-temporary other-than-temporary, other-than-temporary
  Non-Qualifying
    Investments
    and/or
    other-than-temporary.
  other-than-temporary.
  Loans,
    Notes and Mortgages, Net
   16




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##### Table of Contents



ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit
    Quality
  held-for-investment
       17




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##### Table of Contents



New
    Accounting Pronouncements
     Note 2.
    Transactions with Bank of America    Merger
    with BASH
    Other
    Related Party Transactions
      (dollars in millions)

March 31, 2011

December 31, 2010Cash and cash equivalents

$
17,981


$
14,471Cash and securities segregated for regulatory purposes


7,045



5,508Receivables under resale agreements


35,705



31,053Trading assets


670



643Net intercompany funding receivable


6,590



7,305Other receivables


1,358



1,460Other assets


47



215Total

$
69,396


$
60,655     (dollars in millions)

March 31, 2011

December 31, 2010Payables under repurchase agreements

$
25,745


$
12,890Payables under securities loaned transactions


2,270



2,352Short-term borrowings


1,832



1,901Deposits


34



33Trading liabilities


766



520Other payables


4,139



2,746Long-term
    borrowings(1)


2,579



2,579Total

$
37,365


$
23,021   (1)
    
    Amounts are subordinated
    borrowings from Bank of America (see Note 12). 18




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##### Table of Contents



available-for-sale
  and/or
   Note 3.
    Segment and Geographic Information  Segment
    Information
  Segment Reporting
  Geographic
    Information
    
    United States;
    Europe, Middle East, and Africa (EMEA);
    Pacific Rim;
    Latin America; and
    Canada.    
    Revenues are generally recorded based on the location of the
    employee generating the revenue; and
    Intercompany transfers are based primarily on service agreements. 19




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Three Months Ended

Three Months Ended(dollars in millions)

March 31, 2011

March 31, 2010Revenues, net of interest expenseEurope, Middle East, and Africa

$
1,318


$
2,121Pacific Rim


771



778Latin America


332



340Canada


79



73Total
    Non-U.S.


2,500



3,312United States
    (1)(2)


5,382



6,155Total revenues, net of interest expense

$
7,882


$
9,467   (1)
    
    U.S. results for the three
    months ended March 31, 2011 and March 31, 2010
    included losses of $0.3 billion and gains of
    $0.2 billion, respectively, due to the impact of changes in
    Merrill Lynchs credit spreads on the carrying values of
    certain long-term borrowings, primarily structured
    notes.(2)
    
    Corporate net revenues and
    adjustments are reflected in the U.S. region.   Note 4.
    Fair Value
    Disclosures  Fair
    Value Accounting
  Fair
    Value Hierarchy
        Level 1.
    Financial assets and liabilities whose values are based on
    unadjusted quoted prices for identical assets or liabilities in
    an active market that Merrill Lynch has the ability to access
    (examples include active exchange-traded equity securities,
    exchange-traded derivatives, U.S. Government securities,
    and certain other sovereign government obligations).Level 2.
    Financial assets and liabilities whose values are based on
    quoted prices in markets that are not active or model inputs
    that are observable either directly or indirectly for
    substantially the full term of the asset or liability.
    Level 2 inputs include the following:  a)
    Quoted prices for similar assets or liabilities in active
    markets (examples include restricted stock and U.S. agency
    securities);  b)
    Quoted prices for identical or similar assets or liabilities in
    non-active markets (examples include corporate and municipal
    bonds, which can trade infrequently);  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 20




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or liability (examples include certain residential and
    commercial mortgage-related assets, including loans, securities
    and derivatives).  Level 3.
    Financial assets and liabilities whose values are based on
    prices or valuation techniques that require inputs that are both
    unobservable and significant to the overall fair value
    measurement. These inputs reflect managements view about
    the assumptions a market participant would use in pricing the
    asset or liability (examples include certain private equity
    investments, certain residential and commercial mortgage-related
    assets and long-dated or complex derivatives).      Valuation
    Techniques
    U.S.
    Government and agencies
  U.S. treasury securities
  U.S. agency securities
 21




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##### Table of Contents



Non-U.S.
    governments and agencies
  Sovereign government obligations
  Municipal
    debt
  Municipal bonds
  Auction Rate Securities (ARS)
  Corporate
    and other debt
  Corporate bonds and/or cash-to-synthetic and/or
  Corporate loans and commitments cash-to-synthetic
  Mortgages,
    mortgage-backed and asset-backed
  Residential Mortgage-Backed Securities (RMBS),
    Commercial Mortgage-Backed Securities (CMBS), and
    other Asset-Backed Securities (ABS)
 22




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Equities
  Exchange-Traded Equity Securities
  Derivative
    contracts
  Listed Derivative Contracts
  OTC Derivative Contracts
       23




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CDOs
  Investment
    securities non-qualifying
  Investments in Private Equity, Real Estate and Hedge
    Funds
  and/or
  Resale
    and repurchase agreements
    Long-term
    and short-term borrowings
   24




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##### Table of Contents



Recurring
    Fair Value
    Fair Value Measurements on a Recurring Basisas of March 31, 2011Netting(dollars in millions)

Level 1

Level 2

Level 3

Adj(1)

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

$
-


$
277


$
-


$
-


$
277Non-U.S.
    governments and agencies


786



1,629



-



-



2,415U.S. government and agencies


1,040



615



-



-



1,655Total securities segregated for regulatory purposes or deposited
    with clearing organizations


1,826



2,521



-



-



4,347Receivables under resale agreements


-



89,631



-



-



89,631Receivables under securities borrowed transactions


-



2,412



-



-



2,412Trading assets, excluding derivative contracts:Equities


24,021



7,733



215



-



31,969Convertible debentures


-



5,700



119



-



5,819Non-U.S.
    governments and agencies


22,974



4,924



252



-



28,150Corporate debt


-



22,729



3,998



-



26,727Preferred stock


-



558



325



-



883Mortgages, mortgage-backed and asset-backed


-



8,594



5,433



-



14,027U.S. government and agencies


18,245



23,849



-



-



42,094Municipals and money markets


690



13,851



2,350



-



16,891Physical commodities and other


-



430



-



-



430Total trading assets, excluding derivative contracts


65,930



88,368



12,692



-



166,990Derivatives
    contracts(2)


2,153



523,989



12,269



(503,610
)


34,801Investment securities
    available-for-sale:U.S. Government securities and agency debentures


430



-



-



-



430Mortgage-backed securities  residential MBS


-



2,235



-



-



2,235Mortgage-backed securities  agency CMOs


-



-



56



-



56Mortgage-backed securities  non-agency MBSs


-



479



103



-



582Total investment securities
    available-for-sale


430



2,714



159



-



3,303Investment securities non-qualifying


2,539



3,297



1,095



-



6,931Total investment securities


2,969



6,011



1,254



-



10,234Securities received as collateral


19,663



1,350



-



-



21,013Loans, notes and mortgages


-



783



1,993



-



2,776 25




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##### Table of Contents



Fair Value Measurements on a Recurring Basisas of March 31, 2011Netting(dollars in millions)

Level 1

Level 2

Level 3

Adj(1)

TotalLiabilities:Payables under repurchase agreements

$
-


$
37,308


$
-


$
-


$
37,308Short-term borrowings


-



5,695



-



-



5,695Trading liabilities, excluding derivative contracts:Equities


16,705



1,813



-



-



18,518Convertible debentures


-



547



-



-



547Non-U.S.
    governments and agencies


19,004



1,182



-



-



20,186Corporate debt


-



9,943



52



-



9,995Preferred stock


-



91



23







114U.S. government and agencies


23,297



5,238



-



-



28,535Municipals, money markets and other


299



32



22



-



353Total trading liabilities, excluding derivative contracts


59,305



18,846



97



-



78,248Derivatives
    contracts(2)


1,709



526,645



6,715



(503,226
)


31,843Obligation to return securities received as collateral


19,663



1,350



-



-



21,013Other payables  interest and other


-



8



100



-



108Long-term borrowings


-



38,651



2,364



-



41,015   (1)
    
    Represents counterparty and
    cash collateral netting.(2)
    
    Refer to Note 6 for
    product level detail.    and/or
      and/or
    26




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##### Table of Contents



Fair Value Measurements on a Recurring Basisas of December 31, 2010Netting(dollars in millions)

Level 1

Level 2

Level 3

Adj(1)

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

$
-


$
306


$
-


$
-


$
306Non-U.S.
    governments and agencies


1,652



1,402



-



-



3,054U.S. government and agencies


1,419



1,413



-



-



2,832Total securities segregated for regulatory purposes or deposited
    with clearing organizations


3,071



3,121



-



-



6,192Receivables under resale
    agreements(2)


-



74,255



-



-



74,255Receivables under securities borrowed transactions


-



1,672



-



-



1,672Trading assets, excluding derivative contracts:Equities


20,458



7,673



170



-



28,301Convertible debentures


-



5,903



-



-



5,903Non-U.S.
    governments and agencies


18,393



3,612



243



-



22,248Corporate debt


-



22,300



4,605



-



26,905Preferred stock


-



511



287



-



798Mortgages, mortgage-backed and asset-backed


-



5,247



5,747



-



10,994U.S. government and
    agencies(3)


17,742



23,636



-



-



41,378Municipals and money markets


732



11,102



2,327



-



14,161Physical commodities and other


-



598



-



-



598Total trading assets, excluding derivative contracts


57,325



80,582



13,379



-



151,286Derivative
    contracts(4)


1,622



590,020



14,359



(566,630
)


39,371Investment securities
    available-for-sale:U.S. Government securities and agency debentures


430



-



-



-



430Mortgage-backed securities  residential MBS


-



3,869



-



-



3,869Mortgage-backed securities  agency CMOs


-



61



-



-



61Mortgage-backed securities  non-agency MBSs


-



518



213



-



731Total investment securities
    available-for-sale


430



4,448



213



-



5,091Investment securities non-qualifying


2,792



690



3,394







6,876Total investment securities


3,222



5,138



3,607



-



11,967Securities received as collateral


19,471



892



-



-



20,363Loans, notes and mortgages


-



1,423



1,891



-



3,314Liabilities:Payables under repurchase agreements


-



37,394



-



-



37,394Short-term borrowings


-



6,472



-



-



6,472Trading liabilities, excluding derivative contracts:Equities


11,706



914



-



-



12,620Convertible debentures


-



1,406



-



-



1,406Non-U.S.
    governments and agencies


14,748



957



-



-



15,705Corporate debt


-



9,500



-



-



9,500U.S. government and agencies


19,860



4,887



-



-



24,747Municipals, money markets and other


224



347



-



-



571Total trading liabilities, excluding derivative contracts


46,538



18,011



-



-



64,549Derivatives
    contracts(4)


1,142



590,138



7,991



(567,074
)


32,197Obligation to return securities received as collateral


19,471



892



-



-



20,363Other payables  interest and other


-



39



126



-



165Long-term borrowings


-



36,818



2,396



-



39,214   (1)
    
    Represents counterparty and
    cash collateral netting.(2)
    
    Receivables under resale
    agreements have been revised from approximately $51 billion
    (as previously reported) to approximately $74 billion. A
    similar revision has been made on the balance sheet to the 27




---



##### Table of Contents



parenthetical disclosure of
    receivables under resale agreements measured at fair value in
    accordance with the fair value option election.(3)
    
    U.S. Government and agencies
    trading asset amounts shown in Level 1 and Level 2
    have been revised from approximately $7 billion and
    $34 billion, respectively (as previously reported) to
    approximately $18 billion and $24 billion,
    respectively.(4)
    
    Refer to Note 6 for
    product level detail.  and/or
      and/or
  and/or
 28




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##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesThree Months Ended March 31, 2011Total Realized and Unrealized

Total RealizedGains or (Losses)

and Unrealizedincluded in Income

Gains or (Losses)

UnrealizedBeginning

Principal

Other



included in

Gains to









Transfers

Transfers

EndingBalance

Transactions

Revenue

Interest

Income

OCI

Sales

Purchases

Issuances

Settlements

In

Out

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
170


$
34


$
-


$
-


$
34


$
-


$
(48
)

$
60


$
-


$
-


$
-


$
(1
)

$
215Convertible debentures


-



-



-



-



-



-



-



119



-



-



-



-



119Non-U.S.
    governments and agencies


243



5



-



-



5



-



(4
)


48



-



-



-



(40
)


252Corporate debt


4,605



285



-



-



285



-



(1,069
)


341



-



(39
)


96



(221
)


3,998Preferred stock


287



9



-



-



9



-



(13
)


3



-



-



39



-



325Mortgages, mortgage-backed and asset-backed


5,747



329



-



-



329



-



(836
)


561



-



(19
)


1



(350
)


5,433Municipals and money markets


2,327



19



-



-



19



-



(909
)


936



-



(23
)


4



(4
)


2,350Total trading assets, excluding derivative contracts


13,379



681



-



-



681



-



(2,879
)


2,068



-



(81
)


140



(616
)


12,692Derivative contracts, net


6,368



(257
)


-



-



(257
)


-



(432
)


337



-



(438
)


299



(323
)


5,554Investment securities
    available-for-sale:Mortgage-backed securities  agency CMOs


-



-



-



-



-



-



-



56



-



-



-



-



56Mortgage-backed securities  non-agency MBSs


213



-



(9
)


-



(9
)


(19
)


(82
)


-



-



-



-



-



103Total investment securities
    available-for-sale


213



-



(9
)


-



(9
)


(19
)


(82
)


56



-



-



-



-



159Investment securities non-qualifying


3,394



-



220







220







(804
)


22



-



(189
)






(1,548
)


1,095Total investment securities


3,607



-



211



-



211



(19
)


(886
)


78



-



(189
)


-



(1,548
)


1,254Loans, notes and mortgages


1,891



-



175



8



183



-



(169
)


31



-



(42
)


113



(14
)


1,993Liabilities:Trading liabilities, excluding derivative contracts:Corporate debt


-



-



-



-



-



-



52



-



-



-



-



-



52Preferred stock


-



-



-



-



-



-



23



-



-



-



-



-



23Municipals, money markets and other


-



-



-



-



-



-



22



-



-



-



-



-



22Total trading liabilities, excluding derivative contracts


-



-



-



-



-



-



97



-



-



-



-



-



97Other payables  interest and other


126



-



24



-



24



-



4



(6
)


-



-



-



-



100Long-term borrowings


2,396



(92
)


(35
)


-



(127
)


-



-



(62
)


43



(231
)


300



(209
)


2,364      29




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##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesThree Months Ended March 31, 2010Total Realized and UnrealizedGains or (Losses)

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Gains to

and

Transfers

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

In

Out

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
351


$
7


$
-


$
-


$
7


$
-


$
6


$
31


$
(72
)

$
323Non-U.S.
    governments and agencies


1,142



(82
)


-



-



(82
)


-



(28
)


87



(56
)


1,063Corporate debt


6,790



306



-



-



306



-



(751
)


354



(419
)


6,280Preferred stock


562



(2
)


-



-



(2
)


-



(350
)


-



-



210Mortgages, mortgage-backed and asset-backed


7,294



(55
)


-



-



(55
)


-



249



22



(212
)


7,298Municipals and money markets


2,148



17



-



-



17



-



(420
)


1,074



-



2,819Total trading assets, excluding derivative contracts


18,287



191



-



-



191



-



(1,294
)


1,568



(759
)


17,993Derivative contracts, net


6,866



(419
)


-



-



(419
)


-



(135
)


1,030



(61
)


7,281Investment securities
    available-for-sale:Mortgage-backed securities - residential non-agency MBSs


473



-



(20
)


24



4



(27
)


83



52



-



585Total investment securities
    available-for-sale


473



-



(20
)


24



4



(27
)


83



52



-



585Investment securities non-qualifying


3,696



-



363



-



363



-



(434
)


-



(135
)


3,490Total investment securities


4,169



-



343



24



367



(27
)


(351
)


52



(135
)


4,075Loans, notes and mortgages


4,115



-



(151
)


46



(105
)


-



(478
)


-



-



3,532Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


386



21



-



-



21



-



15



-



(11
)


369Total trading liabilities, excluding derivative contracts


386



21



-



-



21



-



15



-



(11
)


369Other payables  interest and other


186



-



30



-



30



-



(8
)


-



-



148Long-term borrowings


4,683



123



79



-



202



-



452



271



(685
)


4,519    30




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##### Table of Contents



(dollars in millions)Unrealized Gains or (Losses) for Level 3 Assetsand Liabilities Still HeldThree Months Ended March 31, 2011Principal

OtherTransactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
15


$
-


$
-


$
15Non-U.S.
    governments and agencies


3



-



-



3Corporate debt


198



-



-



198Preferred stock


6



-



-



6Mortgages, mortgage-backed and asset-backed


243



-



-



243Municipals and money markets


19



-



-



19Total trading assets, excluding derivative contracts


484



-



-



484Derivative contracts, net


(75
)


-



-



(75
)Investment securities
    available-for-sale:Mortgage-backed securities  non-agency MBSs


-



(19
)


-



(19
)Total investment securities
    available-for-sale


-



(19
)


-



(19
)Investment securities non-qualifying


-



(30
)


-



(30
)Total investment securities


-



(49
)


-



(49
)Loans, notes and mortgages


-



168



-



168Liabilities:Other payables  interest and other


-



22



-



22Long-term borrowings


(92
)


(35
)


-



(127
)   31




---



##### Table of Contents



(dollars in millions)Unrealized Gains or (Losses) for Level 3 Assets and
    Liabilities Still HeldThree Months Ended March 31, 2010Principal

OtherTransactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
6


$
-


$
-


$
6Non-U.S.
    governments and agencies


(82
)


-



-



(82
)Corporate debt


209



-



-



209Preferred stock


(2
)


-



-



(2
)Mortgages, mortgage-backed and asset-backed


(82
)


-



-



(82
)Municipals and money markets


17



-



-



17Total trading assets, excluding derivative contracts


66



-



-



66Derivative contracts, net


(366
)


-



-



(366
)Investment securities
    available-for-sale:Mortgage-backed securities  non-agency MBSs


-



(20
)


24



4Total investment securities
    available-for-sale


-



(20
)


24



4Investment securities non-qualifying


-



(206
)


-



(206
)Total investment securities


-



(226
)


24



(202
)Loans, notes and mortgages


-



22



-



22Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


21



-



-



21Total trading liabilities, excluding derivative contracts


21



-



-



21Other payables  interest and other


-



30



-



30Long-term borrowings


110



78



-



188  32




---



##### Table of Contents



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

Gains/(Losses)Three Months

Three MonthsNon-Recurring Basis

Ended

Endedas of March 31, 2011

March 31,

March 31,Level 1

Level 2

Level 3

Total

2011

2010Assets:Investment securities non-qualifying

$
-


$
-


$
78


$
78


$
(4
)

$
-Loans, notes and mortgages


-



45



635



680



35



(77
)Other assets


-



-



18



18



-



(5
)Liabilities:Other payables  interest and other


-



-



20



20



(1
)


(2
)   (dollars in millions)Non-Recurring Basisas of December 31, 2010Level 1

Level 2

Level 3

TotalAssets:Investment securities non-qualifying

$
-


$
-


$
85


$
85Loans, notes and mortgages


-



25



1,280



1,305Other assets


-



10



35



45Liabilities:Other payables  interest and other


-



-



31



31      33




---



##### Table of Contents



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

Changes in Fair Value For theThree Months Ended March 31, 2011,

Three Months Ended March 31, 2010,for Items Measured

for Items Measuredat Fair Value Pursuant

at Fair Value Pursuantto the Fair Value Option Election

to the Fair Value Option ElectionGains/

Gains/

Total

Gains/

Gains/

Total(Losses)

(Losses)

Changes

(Losses)

(Losses)

ChangesPrincipal

Other

in Fair

Principal

Other

in FairTransactions

Revenues

Value

Transactions

Revenues

ValueAssets:Receivables under resale
    agreements(1)

$
(59
)

$
-


$
(59
)

$
21


$
-


$
21Investment securities


-



29



29



-



(3
)


(3
)Loans, notes and mortgages


-



138



138



-



28



28Liabilities:Payables under repurchase agreements


11



-



11



14



-



14Short-term borrowings


56



-



56



(44
)


-



(44
)Other payables  interest and other


-



13



13



-



31



31Long-term
    borrowings(2)


(361
)


-



(361
)


(101
)


(67
)


(168
)  (1)
    
    Changes in fair value for the
    three months ended March 31, 2010 were revised from
    approximately $7 million (as previously reported) to
    approximately $21 million.(2)
    
    Other revenues for the three
    months ended March 31, 2010 primarily represent fair value
    changes on non-recourse long term borrowings issued by
    consolidated VIEs.    Resale
    and repurchase agreements
   34




---



##### Table of Contents



Loans,
    notes and mortgages and loan commitments
    and/or
  Short-term
    and long-term borrowings
     35




---



##### Table of Contents



(dollars in millions)PrincipalFair Value

Amountat

Due UponMarch 31, 2011

Maturity

DifferenceAssets:Receivables under resale agreements

$
89,631


$
89,375


$
256Receivables under securities borrowed transactions


2,412



2,412



-Loans, notes and mortgages


2,579



4,003



(1,424
)Liabilities:Long-term
    borrowings(1)


41,015



44,779



(3,764
)  (1)
    
    The majority of the difference
    relates to the impact of the widening of Merrill Lynchs
    credit spreads and the change in fair value of non-recourse debt
    issued by consolidated VIEs.  (dollars in millions)PrincipalFair Value

Amountat

Due UponDecember 31,
    2010

Maturity

DifferenceAssets:Receivables under resale
    agreements(1)

$
74,255


$
73,941


$
314Receivables under securities borrowed transactions


1,672



1,672



-Loans, notes and mortgages


3,190



4,518



(1,328
)Liabilities:Long-term
    borrowings(2)


39,214



43,014



(3,800
)  (1)
    
    The fair value and principal
    amount due upon maturity of receivables under resale agreements
    have been revised from approximately $51 billion for each
    (as previously reported) to approximately
    $74 billion.(2)
    
    The majority of the difference
    relates to the impact of the widening of Merrill Lynchs
    credit spreads and the change in fair value of non-recourse debt
    issued by consolidated VIEs. Note 5.  Fair
    Value of Financial Instruments     36




---



##### Table of Contents



Short-term
    Financial Instruments
    Loans,
    Notes and Mortgages
    Deposits
    Long-term
    Borrowings
      (dollars in millions)March 31, 2011

December 31, 2010Book Value

Fair Value

Book Value

Fair ValueFinancial assetsLoans, notes and
    mortgages(1)

$
24,240


$
23,222


$
25,803


$
24,383Financial liabilitiesDeposits


13,416



13,416



12,826



12,826Long-term
    borrowings(2)


131,547



133,097



132,427



131,694  (1)
    
    Loans are presented net of the
    allowance for loan losses.(2)
    
    Includes junior subordinated
    notes (related to trust preferred securities). 37




---



##### Table of Contents



Note 6.  Derivatives    net-by-counterparty
    Trading
    derivatives
    Derivatives
    that contain a significant financing element
    Non-trading
    derivatives
    1.
    Merrill Lynchs debt was issued in a variety of maturities
    and currencies to achieve the lowest cost financing possible.
    Merrill Lynch enters into derivative transactions to hedge these
    liabilities. Derivatives used most frequently include swap
    agreements that:  
    Convert fixed-rate interest payments into variable-rate interest
    payments;
    Change the underlying interest rate basis or reset frequency; and
    Change the settlement currency of a debt instrument. 38




---



##### Table of Contents



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, foreign exchange risk and commodity price
    risk, along with the gain or loss on the hedged asset or
    liability that is attributable to the hedged risk, are recorded
    in current period earnings as interest expense or principal
    transactions.2.
    A hedge of the variability of cash flows to be received or paid
    related to a recognized asset or liability (cash flow
    hedge). Changes in the fair value of derivatives that are
    designated and qualify as cash flow hedges are recorded in OCI
    until earnings are affected by the variability of cash flows of
    the hedged asset or liability or when the forecasted purchase or
    sale occurs.3.
    A hedge of a net investment in a foreign operation (net
    investment hedge). Changes in the fair value of
    derivatives that are designated and qualify as hedges of a net
    investment in a foreign operation are recorded in the foreign
    currency translation adjustment account within OCI. Changes in
    the fair value of the hedging instruments that are associated
    with the difference between the spot rate and the contracted
    forward rate are recorded in current period earnings in interest
    expense.   39




---



##### Table of Contents



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

2011

2010For the three months ended March 31:Gain/(loss) recognized in income on the
    derivative(1)

Interest expense

$
(69
)

$
(214
)Gain/(loss) recognized in income on the long-term borrowing
    (2)(3)

Interest expense


(75
)


3Gain/(loss) recognized in income due to hedge ineffectiveness

Interest expense


(144
)


(211
)As of March 31, 2011 and December 31, 2010:Carrying value of hedging derivativesTrading assets


3,766



4,442Trading liabilities


5



484Notional amount of hedging derivativesin an asset position




48,343



43,924in a liability position




10,591



13,967   (1)
    
    The three months ended
    March 31, 2011 include losses of $342 million on
    USD-denominated derivatives and gains of $273 million on
    foreign currency denominated derivatives. The three months ended
    March 31, 2010, include gains of $346 million on
    USD-denominated derivatives and losses of $560 million on
    foreign currency denominated derivatives.(2)
    
    The three months ended
    March 31, 2011 include gains of $247 million on
    USD-denominated long-term borrowings and losses of
    $322 million on foreign currency denominated long-term
    borrowings. The three months ended March 31, 2010 include
    losses of $449 million on USD-denominated long-term
    borrowings and gains of $452 million on foreign currency
    denominated long-term borrowings.(3)
    
    Excludes the impact of purchase
    accounting adjustments made to certain long-term borrowings in
    connection with the acquisition of Merrill Lynch by Bank of
    America.  Fair
    value hedges of commodity price risk on commodity
    inventory
  (dollars in millions)Account location

2011

2010For the three months ended March 31:Gain/(loss) recognized in income on the derivative

Principal transactions

$
(4
)

$
57Gain/(loss) recognized in income on the commodity inventory

Principal transactions


4



(61
)Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions


-



(4
)As of March 31, 2011 and December 31, 2010:Carrying value of hedging derivativesTrading assets


42



80Trading liabilities


3



6Notional amount of hedging derivativesin an asset position




161



232in a liability position




13



14  40




---



##### Table of Contents



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

2011

2010For the three months ended March 31:Gain/(loss) on the derivative deferred in equity

Accumulated other

$
(8
)

$
32comprehensive incomeGain/(loss) reclassified into earnings in the current period

Principal transactions


2



3Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions


(2
)


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

Principal transactions


(1
)


31As of March 31, 2011 and December 31, 2010:Carrying value of hedging derivativesTrading assets


98



109Trading liabilities


13



5Notional amount of hedging derivativesin an asset position




265



255in a liability position




196



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

2011

2010For the three months ended March 31:Gain/(loss) on the derivative and non-derivative hedges deferred
    in equity

Accumulated other

$
(467
)

$
570comprehensive incomeGain/(loss) reclassified into earnings in the current period

Other revenue


(3
)


-Gain/(loss) recognized in income excluded from hedge
    effectiveness (such as time value)

Interest expense


(70
)


(37
)As of March 31, 2011 and December 31, 2010:Carrying value of hedging derivatives

Trading assets


299



468Trading liabilities


885



930Carrying value of non-derivative hedges

Long-term borrowings


351



536Notional amount of hedging derivativesin an asset position




5,912



6,639in a liability position




20,581



19,180   Net
    gains/(losses) on economic hedges
  (dollars in millions)Account location

2011

2010For the three months ended March 31:Interest rate risk

Other revenue

$
(81
)

$
56Foreign currency risk

Other revenue


2,091



(2,694
)Credit risk

Other revenue


(15
)


(12
)  41




---



##### Table of Contents



ASC 830-20, Foreign Currency Transactions
  Derivative
    balances by primary risk
   42




---



##### Table of Contents



(dollars in millions)As of March 31, 2011Contract/

Trading Assets-

Contract/

Trading Liabilities-Notional(1)

Derivative Contracts

Notional(1)

Derivative ContractsInterest rate contractsSwaps

$
9,457,852


$
396,962


$
9,252,688


$
397,064Futures and forwards


2,145,675



1,246



2,333,711



1,850Written options


-



-



1,762,513



43,375Purchased options


1,764,375



45,362



-



-Foreign exchange contractsSwaps


90,675



9,958



97,588



11,551Spot, futures and forwards


114,232



4,938



117,397



5,463Written options


-



-



287,103



9,005Purchased options


278,437



8,980



-



-Equity contractsSwaps


21,805



1,246



19,366



1,800Futures and forwards


44,623



2,612



42,046



2,350Written options


-



-



238,709



17,248Purchased options


189,984



16,593



-



-Commodity contractsSwaps


36,557



6,811



48,448



7,649Futures and forwards


252,423



6,893



236,293



5,142Written options


-



-



108,161



9,804Purchased options


106,609



9,449



-



-Credit derivativesPurchased protection:Credit default swaps


216,612



21,918



177,544



4,779Total return swaps


1,742



224



1,560



270Other Credit Derivatives


1,200



3



92



-Written protection:Credit default swaps


181,077



4,955



208,483



17,199Total return swaps


2,602



261



2,477



515Other Credit Derivatives


-



-



777



5Gross derivative assets/liabilities

$
14,906,480



538,411


$
14,934,956



535,069Less: Legally enforceable master netting






(477,261
)






(477,261
)Less: Cash collateral applied






(26,349
)






(25,965
)Total derivative assets and liabilities





$
34,801






$
31,843   (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives.  43




---



##### Table of Contents



(dollars in millions)As of December 31, 2010Contract/

Trading Assets-

Contract/

Trading Liabilities-Notional(1)

Derivative Contracts

Notional(1)

Derivative ContractsInterest rate contractsSwaps

$
8,492,025


$
452,115


$
8,333,391


$
452,564Futures and forwards


1,916,110



1,549



1,955,861



1,608Written options


-



-



1,708,493



46,064Purchased options


1,836,089



48,185



-



-Foreign exchange contractsSwaps


93,721



10,396



98,987



11,947Spot, futures and forwards


118,363



5,637



105,671



5,702Written options


-



-



280,290



10,673Purchased options


273,375



10,501



-



-Equity contractsSwaps


17,411



1,622



20,764



1,871Futures and forwards


35,483



2,897



43,257



2,122Written options


-



-



221,791



15,677Purchased options


174,313



15,338



-



-Commodity contractsSwaps


39,284



8,872



50,710



9,158Futures and forwards


215,588



4,122



198,130



2,817Written options


-



-



86,241



6,628Other Credit Derivatives


84,554



6,565



-



-Credit derivativesPurchased protection:Credit default swaps


322,230



29,670



251,679



8,001Total return swaps


2,127



301



3,243



208Other Credit Derivatives


440



8



47



-Written protection:Credit default swaps


248,509



7,978



326,448



23,755Total return swaps


3,802



245



1,607



475Other Credit Derivatives


-



-



214



1Gross derivative assets/liabilities

$
13,873,424



606,001


$
13,686,824



599,271Less: Legally enforceable master netting






(538,055
)






(538,055
)Less: Cash collateral applied






(28,575
)






(29,019
)Total derivative assets and liabilities





$
39,371






$
32,197   (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives.  Trading
    revenues
    Non-trading
 44




---



##### Table of Contents



derivatives
  (dollars in millions)For The Quarter

Principal



Other

Net InterestEnded March 31, 2011

Transactions

Commissions

Revenues(1)

Income (Expense)

TotalInterest Rate Risk

$
120


$
22


$
13


$
183


$
338Foreign Exchange Risk


4



-



-



1



5Equity Risk


487



901



30



86



1,504Commodity Risk


133



-



(1
)


(29
)


103Credit Risk


726



14



210



677



1,627Total trading related


1,470



937



252



918



3,577Non-trading related


(299
)


653



1,861



(871
)


1,344Total

$
1,171


$
1,590


$
2,113


$
47


$
4,921   (dollars in millions)For The Quarter

Principal



Other

Net InterestEnded March 31, 2010

Transactions

Commissions

Revenues(1)

Income (Expense)

TotalInterest Rate Risk

$
811


$
18


$
18


$
183


$
1,030Foreign Exchange Risk


87



-



-



(1
)


86Equity Risk


493



779



36



197



1,505Commodity Risk


149



-



(1
)


(32
)


116Credit Risk


2,334



10



175



858



3,377Total trading related


3,874



807



228



1,205



6,114Non-trading related


174



681



866



(909
)


812Total

$
4,048


$
1,488


$
1,094


$
296


$
6,926  (1)
    
    Includes other income and
    other-than-temporary
    impairment losses on
    available-for-sale
    debt securities.  Derivatives
    as guarantees
  Guarantees
 45




---



##### Table of Contents



(dollars in millions)MaximumPayout/

Less than







CarryingNotional

1 year

1 - 3 years

3 - 5 years

Over 5 years

Value(1)At March 31, 2011:Derivative contracts:Credit derivatives:Investment
    grade(2)

$
259,797


$
23,537


$
84,117


$
64,806


$
87,337


$
10,420Non-investment
    grade(2)


135,619



18,840



40,063



34,207



42,509



7,299Total credit derivatives


395,416



42,377



124,180



99,013



129,846



17,719Credit related notes:Investment
    grade(2)


975



-



144



17



814



975Non-investment
    grade(2)


1,527



14



35



137



1,341



1,527Total credit related notes


2,502



14



179



154



2,155



2,502Other derivatives


1,408,553



394,967



331,218



174,926



507,442



44,204Total derivative contracts

$
1,806,471


$
437,358


$
455,577


$
274,093


$
639,443


$
64,425At December 31, 2010:Derivative contracts:Credit derivatives:Investment
    grade(2)

$
394,704


$
35,231


$
138,666


$
98,617


$
122,190


$
13,742Non-investment
    grade(2)


185,876



23,272



61,365



49,556



51,683



10,489Total credit derivatives


580,580



58,503



200,031



148,173



173,873



24,231Credit related notes:Investment
    grade(2)


1,004



-



132



-



872



1,004Non-investment
    grade(2)


1,358



9



20



156



1,173



1,358Total credit related notes


2,362



9



152



156



2,045



2,362Other derivatives


1,379,874



421,080



296,885



190,062



471,847



50,505Total derivative contracts

$
1,962,816


$
479,592


$
497,068


$
338,391


$
647,765


$
77,098  (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
   46




---



##### Table of Contents



(dollars in millions)MaximumPayout/

Less than







CarryingNotional

1 year

1 - 3 years

3 - 5 years

Over 5 years

Value(1)At March 31, 2011:Credit derivatives purchased

$
377,705


$
39,851


$
111,230


$
95,403


$
131,221


$
16,860Credit derivatives sold


384,531



41,634



123,149



98,076



121,672



16,186At December 31, 2010:Credit derivatives purchased


543,233



53,741



179,809



140,764



168,919



17,875Credit derivatives sold


567,828



57,954



198,656



147,121



164,097



21,600  (1)
    
    Derivative contracts are shown
    on a gross basis prior to cash collateral or counterparty
    netting.  Credit
    related notes
      Other
    derivative contracts
   47




---



##### Table of Contents



Credit
    risk management of derivatives
      ASC 210-20, Balance Sheet-Offsetting
   48




---



##### Table of Contents



Mark-to-market mark-to-market
    Credit-risk
    related contingent features
    and/or
 Note 7.  Securities Financing Transactions    non-U.S. government
 49




---



##### Table of Contents



Rule 15c3-3
      (dollars in millions)March 31, 2011


December 31,
    2010Trading asset categoryEquities and convertible debentures

$
7,963



$
8,199Corporate debt and preferred stock


8,872




14,320U.S. Government and agencies


7,471




26,381Non-U.S.
    governments and agencies


2,109




1,424Mortgages, mortgage-backed, and asset-backed securities


3,070




3,480Municipals and money markets


824




1,980Total

$
30,309



$
55,784        Note 8.  Investment
    Securities
    
    Investments within the scope of Investment Accounting that are
    held by ML & Co. and certain of its non-broker-dealer
    subsidiaries consist of debt securities
    held-for-investment
    and liquidity and collateral management purposes that are
    classified as
    available-for-sale,
    and debt securities that Merrill Lynch intends to hold until
    maturity. 50




---



##### Table of Contents




    Non-qualifying investments are those that are not within the
    scope of Investment Accounting and consist principally of equity
    investments, including investments in partnerships and joint
    ventures. Included in non-qualifying investments are investments
    accounted for under the equity method of accounting, which
    consist of investments in (i) partnerships and certain
    limited liability corporations where Merrill Lynch has more than
    a minor influence (generally defined as three to five percent
    interest) and (ii) corporate entities where Merrill Lynch
    has the ability to exercise significant influence over the
    investee (generally defined as ownership and voting interest of
    20% to 50%). Also included in non-qualifying investments are
    private equity investments that Merrill Lynch holds for capital
    appreciation
    and/or
    current income and which are accounted for at fair value in
    accordance with the Investment Company Guide, as well as private
    equity investments accounted for at fair value under the fair
    value option election. The fair value of such private equity
    investments reflects expected exit values based upon market
    prices or other valuation methodologies, including market
    comparables of similar companies and discounted expected cash
    flows.    (dollars in millions)March 31, 2011


December 31,
    2010Investment securitiesAvailable-for-sale

$
3,303



$
5,091Held-to-maturity


250




245Non-qualifying(1)Equity
    investments(2)


10,357




10,437Other investments


2,216




1,996Total

$
16,126



$
17,769  (1)
    
    Investments that are
    non-qualifying for Investment Accounting purposes.(2)
    
    Includes Merrill Lynchs
    investment in BlackRock, Inc., which consisted of approximately
    13.6 million preferred shares. The carrying value of this
    investment was $2.2 billion at both March 31, 2011 and
    December 31, 2010, and its fair value was $2.7 billion
    and $2.6 billion at March 31, 2011 and
    December 31, 2010, respectively. Merrill Lynchs
    investment in BlackRock, Inc. is recorded at cost due to
    restrictions that affect the marketability of the preferred
    shares.  available-for-sale other-than-temporary-impairment
    51




---



##### Table of Contents



(dollars in millions)March 31, 2011Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

ValueAvailable-for-SaleMortgage-backed securities:Agency residential mortgage backed securities

$
2,291


$
-


$
(56
)

$
2,235Agency collateralized mortgage obligations


56



-



-



56Non-agency


577



46



(41
)


582Subtotal


2,924



46



(97
)


2,873U.S. Government and agencies


430



-



-



430Total
    Available-for-Sale
    Securities


3,354



46



(97
)


3,303Held-to-MaturityCorporate debt and municipal


250



-



-



250Total

$
3,604


$
46


$
(97
)

$
3,553   (dollars in millions)December 31, 2010Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

ValueAvailable-for-SaleMortgage-backed securities:Agency residential mortgage backed securities

$
3,918


$
-


$
(49
)

$
3,869Agency collateralized mortgage obligations


61



-



-



61Non-agency


739



68



(76
)


731Subtotal


4,718



68



(125
)


4,661U.S. Government and agencies


430



-



-



430Total
    Available-for-Sale
    Securities


5,148



68



(125
)


5,091Held-to-MaturityCorporate debt and municipal


245



-



-



245Total

$
5,393


$
68


$
(125
)

$
5,336   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

LossesAgency residential mortgage backed securities

$
2,235


$
(56
)

$
-


$
-


$
2,235


$
(56
)Non-agency


35



(2
)


151



(39
)


186



(41
)Total

$
2,270


$
(58
)

$
151


$
(39
)

$
2,421


$
(97
)  52




---



##### Table of Contents



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

LossesAgency residential mortgage backed securities

$
3,869


$
(49
)

$
-


$
-


$
3,869


$
(49
)Non-agency


53



(3
)


230



(73
)


283



(76
)Total

$
3,922


$
(52
)

$
230


$
(73
)

$
4,152


$
(125
)   available-for-sale
  (dollars in millions)Available-for-Sale

Held-to-MaturityAmortized

Fair

Amortized

FairCost

Value

Cost

ValueDue in one year or less

$
445


$
440


$
-


$
-Due after one year


1,811



1,788



250



250through five yearsDue after five years


517



501



-



-through ten yearsDue after ten years


581



574



-



-Total(1)

$
3,354


$
3,303


$
250


$
250  (1)
    
    Actual maturities may differ
    from contractual maturities because borrowers may have the right
    to call or prepay their obligations with or without prepayment
    penalties.  available-for-sale
  (dollars in millions)Three Months Ended

Three Months EndedMarch 31, 2011

March 31, 2010Proceeds

$
1,587


$
13,427Gross realized gains


44



346Gross realized losses


-



(2
)    53




---



##### Table of Contents



Note 9.  Securitizations and Other Variable
    Interest Entities            Loan
    VIEs
     54




---



##### Table of Contents



(dollars in millions)Non-AgencyAgency

Prime

Subprime

Commercial MortgageMarch 31,

December 31,

March 31,

December 31,

March 31,

December 31,

March 31,

December 31,2011

2010

2011

2010

2011

2010

2011

2010Unconsolidated VIEs:Maximum loss
    exposure(1)

$
418


$
-


$
27


$
28


$
139


$
168


$
136


$
187Senior securities
    held(2)Trading assets

$
418


$
-


$
6


$
6


$
-


$
23


$
27


$
74Investment securities


-



-



6



6



18



22



-



-Subordinated securities
    held(2)Trading assets


-



-



-



-



3



11



-



-Residual interests held


-



-



5



6



-



-



61



50Total retained securities

$
418


$
-


$
17


$
18


$
21


$
56


$
88


$
124Principal balance
    outstanding(3)

$
1,866


$
-


$
618


$
636


$
7,506


$
18,857


$
18,132


$
24,891Consolidated VIEs:Maximum loss
    exposure(1)

$
-


$
-


$
36


$
46


$
12


$
12


$
-


$
-Derivative contracts

$
-


$
-


$
31


$
41


$
-


$
-


$
-


$
-Other assets


-



-



5



5



12



12



-



-Total assets

$
-


$
-


$
36


$
46


$
12


$
12


$
-


$
-Other liabilities

$
-


$
-


$
11


$
9


$
-


$
-


$
-


$
-Total liabilities

$
-


$
-


$
11


$
9


$
-


$
-


$
-


$
-  (1)
    
    Maximum loss exposure excludes
    liabilities for representations and warranties.(2)
    
    Substantially all of the
    securities were in Level 2 in the fair value
    hierarchy.(3)
    
    Principal balance outstanding
    includes those loans that Merrill Lynch transferred and with
    which it has continuing involvement.     55




---



##### Table of Contents



Municipal
    Bond Securitizations
  and/or
      (dollars in millions)March 31, 2011

December 31, 2010Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
4,747


$
1,400


$
6,147


$
4,451


$
1,543


$
5,994On-balance sheet assetsTrading assets

$
4,747


$
219


$
4,966


$
4,451


$
255


$
4,706Total

$
4,747


$
219


$
4,966


$
4,451


$
255


$
4,706On-balance sheet liabilitiesShort-term borrowings

$
4,868


$
-


$
4,868


$
4,642


$
-


$
4,642Payables to Bank of America


5



-



5



2



-



2Total

$
4,873


$
-


$
4,873


$
4,644


$
-


$
4,644Total assets of VIEs

$
4,747


$
1,571


$
6,318


$
4,451


$
1,706


$
6,157      56




---



##### Table of Contents



CDOs
      (dollars in millions)March 31, 2011

December 31, 2010Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
2,262


$
2,641


$
4,903


$
2,216


$
2,987


$
5,203On-balance sheet assetsTrading assets

$
2,752


$
421


$
3,173


$
2,727


$
569


$
3,296Derivative contracts


-



812



812



-



890



890Other assets


39



120



159



3



123



126Total

$
2,791


$
1,353


$
4,144


$
2,730


$
1,582


$
4,312On-balance sheet liabilitiesDerivative contracts

$
-


$
-


$
-


$
-


$
8


$
8Long-term borrowings


3,207



-



3,207



3,161



-



3,161Total

$
3,207


$
-


$
3,207


$
3,161


$
8


$
3,169Total assets of VIEs

$
2,791


$
36,027


$
38,818


$
2,730


$
42,782


$
45,512    57




---



##### Table of Contents



Customer
    Vehicles
      (dollars in millions)March 31, 2011

December 31, 2010Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated(1)

TotalMaximum Loss Exposure

$
3,617


$
2,274


$
5,891


$
3,457


$
2,083


$
5,540On-balance sheet assetsTrading assets

$
3,623


$
510


$
4,133


$
3,397


$
217


$
3,614Derivative contracts


-



672



672



-



728



728Other assets


1,322



-



1,322



1,430



-



1,430Total

$
4,945


$
1,182


$
6,127


$
4,827


$
945


$
5,772On-balance sheet liabilitiesDerivative contracts

$
23


$
13


$
36


$
1


$
24


$
25Long-term borrowings


3,847



-



3,847



3,430



-



3,430Other liabilities


8



1,211



1,219



-



750



750Total

$
3,878


$
1,224


$
5,102


$
3,431


$
774


$
4,205Total assets of VIEs

$
4,945


$
6,947


$
11,892


$
4,827


$
5,952


$
10,779  (1)
    
    Maximum loss exposure, trading
    assets and other liabilities have been revised from $2,603
    million, $737 million and $140 million, respectively
    (as previously reported) to $2,083 million,
    $217 million and $750 million, respectively. 58




---



##### Table of Contents



Real
    Estate and other VIEs
      (dollars in millions)March 31, 2011

December 31, 2010Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated(1)

TotalMaximum Loss Exposure

$
734


$
2,861


$
3,595


$
857


$
3,389


$
4,246On-balance sheet assetsTrading assets

$
290


$
929


$
1,219


$
263


$
1,326


$
1,589Derivative contracts


-



169



169



-



227



227Investment securities


281



71



352



309



73



382Loans, notes, and mortgages


102



1,328



1,430



221



1,368



1,589Other assets


121



364



485



147



395



542Total

$
794


$
2,861


$
3,655


$
940


$
3,389


$
4,329On-balance sheet liabilitiesLong-term borrowings

$
59


$
-


$
59


$
83


$
-


$
83Other liabilities


209



-



209



44



-



44Total

$
268


$
-


$
268


$
127


$
-


$
127Total assets of VIEs

$
794


$
16,066


$
16,860


$
940


$
20,614


$
21,554  (1)
    
    Maximum loss exposure, trading
    assets and total assets of VIEs have been revised from
    $2,150 million, $86 million and $6,391 million,
    respectively (as previously reported), to $3,389 million,
    $1,326 million and $20,614 million,
    respectively.   59




---



##### Table of Contents



Other
    Transactions
   60




---



##### Table of Contents



Note 10.  Loans, Notes and Mortgages    
    Consumer loans, which are substantially secured, including
    residential mortgages, home equity loans, and other loans to
    individuals for household, family, or other personal
    expenditures; and
    Commercial loans, including corporate and institutional loans
    (including corporate and financial sponsor, non-investment grade
    lending commitments), commercial mortgages, asset-backed loans,
    small- and middle-market business loans, and other loans to
    businesses.    Age Analysis of Outstanding Loans(dollars in millions)March 31, 2011Total Current  or30-89 Days

90 Days or Greater

Total Past

Less Than 30 Days

Nonperforming

TotalPast Due

Than 90 Days

Due

Past Due

Loans

OutstandingConsumer loansResidential mortgage

$
22


$
-


$
22


$
437


$
31


$
490Home equity


1



-



1



124



5



130Total consumer


23



-



23



561



36



620CommercialCommercial  U.S.


1



6



7



5,177



169



5,353Commercial real estate


-



-



-



1,326



206



1,532Commercial 
    non-U.S.


-



-



-



2,695



84



2,779Total commercial loans


1



6



7



9,198



459



9,664Commercial loans measured at fair value


-



-



-



474



-



474Total commercial


1



6



7



9,672



459



10,138Other(1)


-



-



-



13,560



-



13,560Total loans

$
24


$
6


$
30


$
23,793


$
495



24,318Allowance for loan losses






















(78
)Total loans, net





















$
24,240   61




---



##### Table of Contents



(dollars in millions)December 31, 2010Total Current or30-89 Days

90 Days or Greater

Total Past

Less Than 30 Days

Nonperforming

TotalPast Due

Than 90 Days

Due

Past Due

Loans

OutstandingConsumer loansResidential mortgage

$
23


$
-


$
23


$
451


$
30


$
504Home equity


1



-



1



126



5



132Total consumer


24



-



24



577



35



636CommercialCommercial  U.S.


2



19



21



5,591



210



5,822Commercial real estate


-



-



-



1,632



212



1,844Commercial 
    non-U.S.


-



-



-



2,824



161



2,985Total commercial loans


2



19



21



10,047



583



10,651Commercial loans measured at fair value


-



-



-



318



-



318Total commercial


2



19



21



10,365



583



10,969Other(2)


-



-



-



14,368



-



14,368Total loans

$
26


$
19


$
45


$
25,310


$
618


$
25,973Allowance for loan losses






















(170
)Total loans, net





















$
25,803  (1)
    
    Includes asset-backed loans and
    loans
    held-for-sale
    of $9.6 billion and $4.0 billion, respectively, as of
    March 31, 2011.(2)
    
    Includes asset-backed loans and
    loans
    held-for-sale
    of $9.2 billion and $5.2 billion, respectively, as of
    December 31, 2010.    (dollars in millions)March 31, 2011Commercial 

Commercial Real

Commercial U.S.(1)

Estate

non-U.S.(1)Risk RatingsPass

$
4,840


$
1,380


$
2,468Criticized


513



152



311Total Commercial Credit

$
5,353


$
1,532


$
2,779   62




---



##### Table of Contents



(dollars in millions)December 31, 2010Commercial 

Commercial Real

Commercial U.S.(1)

Estate

non-U.S.(1)Risk RatingsPass

$
5,192


$
1,582


$
2,581Criticized


630



262



404Total Commercial Credit

$
5,822


$
1,844


$
2,985  (1)
    
    Excludes commercial loans
    measured at fair value.    (dollars in millions)Three Months Ended

Three Months EndedMarch 31, 2011

March 31, 2010Allowance for loan losses, at beginning of period

$
170


$
33Provision for loan losses


(28
)


1Charge-offs


(66
)


(1
)Recoveries


1



-Net charge-offs


(65
)


(1
)Other


1



1Allowance for loan losses, at end of period

$
78


$
34        63




---



##### Table of Contents



Net Credit Default Protection by Maturity ProfileMarch 31,

December 31,2011

2010Less than or equal to one year


26
%


23
%Greater than one year and less than or equal to five years


62



67Greater than five years


12



10Total net credit default protection


100
%


100
%   Net Credit Default Protection by Credit Exposure Debt
    Rating(dollars in millions)March 31, 2011

December 31, 2010Net



NetRatings(1)

Notional

Percent

Notional

PercentAA

$
(410
)


14.6
%

$
(450
)


15.5
%A


(1,081
)


38.5



(1,029
)


35.3BBB


(624
)


22.2



(655
)


22.5BB


(286
)


10.2



(359
)


12.3B


(224
)


8.0



(224
)


7.7CCC and below


(181
)


6.5



(194
)


6.7Total net credit default protection

$
(2,806
)


100.0
%

$
(2,911
)


100.0
%  (1)
    
    Merrill Lynch considers ratings
    of BBB- or higher to meet the definition of investment
    grade.  Effect of
    the Acquisition of Merrill Lynch by Bank of America
     64




---



##### Table of Contents



Note 11.  Goodwill and Intangible Assets  Goodwill
  Intangibles 
    Goodwill and Other
    Intangible
    Assets
  Property, Plant and Equipment
     65




---



##### Table of Contents



Note 12.  Borrowings and Deposits    and/or
    364-day
      
    MLPF&S assumed an approximately $1.5 billion
    subordinated loan agreement with Bank of America, which bears
    interest based on a spread to LIBOR, and has a scheduled
    maturity date of December 31, 2012. The loan agreement
    contains a provision that automatically extends the loans
    maturity by one year unless Bank of America provides
    13 months written notice not to extend prior to the
    scheduled maturity date.
    MLPF&S assumed a $7 billion revolving subordinated
    line of credit with Bank of America. The subordinated line of
    credit bears interest based on a spread to LIBOR, and has a
    scheduled maturity date of October 1, 2012. The revolving
    subordinated line of credit contains a provision that
    automatically extends the maturity by one year unless Bank of
    America provides 13 months written 66




---



##### Table of Contents



notice not to extend prior to the scheduled maturity date. At
    March 31, 2011, $1.1 billion was outstanding on the
    subordinated line of credit.  
    On November 1, 2010, a $4 billion one-year revolving
    unsecured line of credit that allows MLPF&S to borrow funds
    from Bank of America was established. Interest on the line of
    credit is based on prevailing short-term market rates. The
    credit line will automatically be extended by one year to the
    succeeding November 1st unless Bank of America
    provides written notice not to extend at least 45 days
    prior to the maturity date. At March 31, 2010, there were
    no borrowings outstanding on the line of credit.
    On February 22, 2011, a $15 billion
    364-day
    revolving unsecured line of credit that allows MLPF&S to
    borrow funds from Bank of America was established. Interest on
    the line of credit is based on prevailing short-term market
    rates. The line of credit matures on February 21, 2012. At
    March 31, 2011, approximately $1.8 billion was
    outstanding on the line of credit.    
    As a result of the acquisition by Bank of America, all debt
    instruments were adjusted to fair value on January 1, 2009;
    Certain debt issuances are accounted for at fair value and
    incorporate changes in Merrill Lynchs creditworthiness as
    well as other underlying risks (see Note 4);
    Certain structured notes whose coupon or repayment terms are
    linked to the performance of debt and equity securities,
    indices, currencies or commodities reflect the fair value of
    those risks; and
    Certain debt issuances are adjusted for the impact of fair value
    hedge accounting (see Note 6).    (dollars in millions)March 31,


December 31,2011


2010Senior debt

$
77,981



$
80,130Senior structured notes


41,923




40,678Subordinated debt


11,404




11,358Junior subordinated notes (related to trust preferred securities)


3,582




3,576Other subsidiary financing


355




617Debt issued by consolidated VIEs


11,981




11,316Total

$
147,226



$
147,675  67




---



##### Table of Contents



(dollars in millions)March 31,

December 31,2011

2010Short-term borrowingsOther unsecured short-term borrowings

$
10,811


$
10,606Short-term debt issued by consolidated
    VIEs(1)


4,868



4,642Total

$
15,679


$
15,248Long-term
    borrowings(2)Fixed-rate
    obligations(3)

$
64,590


$
64,611Variable-rate
    obligations(4)(5)


56,262



57,566Long-term debt issued by consolidated
    VIEs(1)


7,113



6,674Total

$
127,965


$
128,851DepositsNon-U.S.

$
13,416


$
12,826  (1)
    
    See Note 9 for additional
    information on debt issued by consolidated VIEs.(2)
    
    Excludes junior subordinated
    notes (related to trust preferred securities).(3)
    
    Fixed-rate obligations are
    generally swapped to variable rates.(4)
    
    Variable interest rates are
    generally based on rates such as LIBOR, the U.S. Treasury Bill
    Rate, or the Federal Funds Rate.(5)
    
    Includes structured
    notes.      March 31,


December 31,2011


2010Short-term borrowings


0.3
%



0.3
%Long-term borrowings


3.8




3.8Junior subordinated notes (related to trust preferred securities)


6.9




6.9    68




---



##### Table of Contents



Long-Term
    Borrowings
    (dollars in millions)Amount

Percentage of TotalLess than 1 year

$
30,486



24
%1  2 years


16,276



132  3 years


23,067



183  4 years


15,111



124  5 years


2,801



2Greater than 5 years


40,224



31Total

$
127,965



100
%          Note 13.  Stockholders Equity and
    Earnings Per Share  Common
    Stock
    Earnings
    Per Share
   69




---



##### Table of Contents



Note 14.  Commitments, Contingencies and
    Guarantees  Litigation
    and/or and/or
       70




---



##### Table of Contents



Auction
    Rate Securities Litigation
  Bondar v. Bank of America Corporation, In Re Merrill Lynch Auction Rate Securities
    Litigation.
  Mortgage-Backed
    Securities Litigation
  Allstate
    Litigation
  Allstate Insurance Company, et
    al., v. Merrill Lynch & Co., et al.
  FHLB
    Boston Litigation
  Federal Home Loan Bank of
    Boston v. Ally Financial, Inc.,
 71




---



##### Table of Contents



et al.
 Commitments    (dollars in millions)Commitment expirationLess than

1 - 3

3 - 5

Over 5Total

1 year

years

years

yearsLending commitments

$
8,113


$
1,880


$
4,389


$
1,667


$
177Purchasing and other commitments


5,621



3,276



1,061



714



570Operating leases


3,296



750



1,237



603



706Commitments to enter into forward dated resale and securities
    borrowing agreements


96,517



96,517



-



-



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


65,091



65,091



-



-



-Total

$
178,638


$
167,514


$
6,687


$
2,984


$
1,453   Lending
    Commitments
       72




---



##### Table of Contents



Purchasing
    and Other Commitments
        Operating
    Leases
    Guarantees
   73




---



##### Table of Contents



(dollars in millions)ExpirationMaximum

Less than 1







CarryingPayout

year

1 - 3 years

3 - 5 years

Over 5 years

ValueStandby liquidity facilities

$
1,201


$
582


$
599


$
-


$
20


$
-Residual value guarantees


415



95



320



-



-



1Standby letters of credit and other guarantees


684



346



314



5



19



-   Standby
    Liquidity Facilities
  and/or
    Residual
    Value Guarantees
    Standby
    Letters of Credit and Other Guarantees
    Representations
    and Warranties
   74




---



##### Table of Contents



loan-by-loan
 75




---



##### Table of Contents



(dollars in millions)March 312011


2010Balance, beginning of period

$
213



$
378Charge-offs


(61
)



(1
)Provision


(22
)



(74
)Balance, end of period

$
130



$
303          76




---



##### Table of Contents



60-day
  and/or loan-by-loan
 77




---



##### Table of Contents



loan-by-loan
      Outstanding Claims by Counterparty(dollars in millions)March 31,


December 31,2011


2010GSEs

$
55



$
59Monoline


64




48Others(1)


456




517Total

$
575



$
624  (1)
    
    The majority of these
    repurchase claims are from whole loan buyers on subprime
    loans.   Note 15.  Employee Benefit Plans   78




---



##### Table of Contents



Defined
    Benefit Pension Plans
      (dollars in millions)Three Months Ended March 31, 2011

Three Months Ended March 31, 2010Non-U.S.





Non-U.S.U.S. Defined

Defined



U.S. Defined

DefinedBenefit

Benefit



Benefit

BenefitPension

Pension

Postretirement

Pension

Pension

PostretirementPlans

Plans

Plans(1)

Plans

Plans

Plans(1)Service cost

$
-


$
10


$
1


$
-


$
7


$
1Interest cost


25



21



4



25



20



4Expected return on plan assets


(35
)


(25
)


-



(35
)


(22
)


-Amortization of prior service cost (gains) losses


-



-



2



-



-



-Amortization of net actuarial (gains) losses


2



-



2



-



-



2Total defined benefit pension cost

$
(8
)

$
6


$
9


$
(10
)

$
5


$
7  (1)
    
    Approximately 97% and 96% of
    the postretirement benefit obligation at March 31, 2011 and
    March 31, 2010, respectively, relates to the U.S.
    postretirement plan.  non-U.S. pension non-U.S. pension
 Note 16.  Regulatory Requirements    non-U.S. subsidiaries
 79




---



##### Table of Contents



Securities
    Regulation
  Rule 15c3-1, Rule 15c3-1. Rule 15c3-1
        Banking
    Regulation
   80




---



##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations  Forward-Looking
    Statements
  This report on
    Form 10-Q,
    the documents that it incorporates by reference and the
    documents into which it may be incorporated by reference may
    contain, and from time to time Merrill Lynch & Co.,
    Inc. (ML & Co. and, together with its
    subsidiaries, Merrill Lynch, the
    Company, the Corporation,
    we, our or us) and its
    management may make certain statements that constitute
    forward-looking statements within the meaning of the Private
    Securities Litigation Reform Act of 1995. When used in this
    report, we, us and our may
    refer to ML & Co. individually, ML & Co. and
    its subsidiaries, or certain of ML & Co.s
    subsidiaries or affiliates. These statements can be identified
    by the fact that they do not relate strictly to historical or
    current facts. Forward-looking statements often use words such
    as expects, anticipates,
    believes, estimates,
    targets, intends, plans,
    goal and other similar expressions or future or
    conditional verbs such as will, may,
    might, should, would and
    could. The forward-looking statements made represent
    the current expectations, plans or forecasts of Merrill Lynch
    regarding its future results and revenues and future business
    and economic conditions more generally, including statements
    concerning: representations and warranties liabilities and range
    of possible loss estimates, expenses and repurchase claims and
    resolution of those claims; the potential assertion and impact
    of additional representation and warranties claims; the charge
    to income tax expense resulting from reductions in the United
    Kingdom (U.K.) corporate income tax rate; credit
    trends and conditions, including credit losses, credit reserves,
    charge-offs, delinquency trends and nonperforming asset levels;
    the higher level of intercompany service fees; liquidity; the
    revenue impact resulting from, and any mitigation actions taken
    in response to, the Dodd-Frank Wall Street Reform and Consumer
    Protection Act (the Financial Reform Act), including
    the impact of the Volcker Rule, the credit risk retention rules
    and derivatives regulations; the range of possible loss
    estimates related to, and the financial impact on Merrill Lynch,
    of the various legal proceedings discussed in Part II,
    Item I of this report on
    Form 10-Q
    and in Note 14 to the Consolidated Financial Statements
    included in our Annual Report on
    Form 10-K
    for the year ended December 31, 2010 (the 2010 Annual
    Report); and other matters relating to Merrill Lynch. The
    foregoing is not an exclusive list of all forward-looking
    statements we make. These statements are not guarantees of
    future results or performance and involve certain risks,
    uncertainties and assumptions that are difficult to predict and
    often are beyond control. Actual outcomes and results may differ
    materially from those expressed in, or implied by, our
    forward-looking statements.
  You should not place undue reliance on any forward-looking
    statement and should consider the following uncertainties and
    risks, as well as the risks and uncertainties more fully
    discussed elsewhere in this report, in Item 1A. Risk
    Factors in our 2010 Annual Report, and in any of
    ML & Co.s subsequent Securities and Exchange
    Commission (SEC) filings: our ability to resolve any
    representations and warranties obligations with private-label
    securitization investors, whole-loan investors, monolines and
    the government-sponsored enterprises (GSEs); the
    adequacy of the liability
    and/or range
    of possible loss estimates for representations and warranties
    exposures to private-label securitization and other investors,
    monolines and the GSEs; negative economic conditions generally,
    including continued weakness in the U.S. housing market,
    high unemployment in the U.S., economic challenges in many
    non-U.S. countries
    in which we operate and sovereign debt challenges; the level and
    volatility of the capital markets, interest rates, currency
    values and other market indices; changes in consumer, investor
    and counterparty confidence in, and the related impact on,
    financial markets and institutions, including Merrill Lynch as
    well as its business partners; Merrill Lynchs credit
    ratings; the impact resulting from international and domestic
    sovereign credit uncertainties; estimates of the fair value of
    certain of our assets and liabilities; legislative and
    regulatory actions in the U.S. (including the impact of the
    Financial Reform Act and related regulations and
    interpretations) and internationally; the identification and
    effectiveness of any initiatives to mitigate the negative impact
    of the Financial Reform Act; the impact of litigation and
    regulatory investigations, including costs, expenses,
    settlements and judgments as well as any collateral effects on
    our ability to conduct our
 81




---



##### Table of Contents



business and access the capital markets; various monetary and
    fiscal policies and regulations of the U.S. and
    non-U.S. governments;
    changes in accounting standards, rules and interpretations
    (including new consolidation guidance), inaccurate estimates or
    assumptions in the application of accounting policies, including
    in determining reserves, applicable guidance regarding goodwill
    accounting and the impact on Merrill Lynchs financial
    statements; increased globalization of the financial services
    industry and competition with other U.S. and international
    financial institutions; the adequacy of Merrill Lynchs
    risk management framework; Merrill Lynchs ability to
    attract new employees and retain and motivate existing
    employees; technology changes instituted by Merrill Lynch, its
    counterparties or competitors; Merrill Lynchs ability to
    integrate with Bank of America; Merrill Lynchs reputation,
    including the effects of continuing intense public and
    regulatory scrutiny of Merrill Lynch and the financial services
    sector; the effects of any unauthorized disclosures of our or
    our customers private or confidential information and any
    negative publicity directed toward Merrill Lynch; and decisions
    to downsize, sell or close units or otherwise change the
    business mix of Merrill Lynch.
  Forward-looking statements speak only as of the date they are
    made, and we undertake no obligation to update any
    forward-looking statement to reflect the impact of circumstances
    or events that arise after the date the forward-looking
    statement was made.
 Introduction    Bank of
    America Acquisition and Basis of Presentation
    805-10, Business Combinations Form 10-Q
 82




---



##### Table of Contents



Merger
    With BASH
    Business
    Segments
  Segment Reporting
  Form 10-Q
    Presentation
  Form 10-Q Form 10-Q.
 Executive
    Overview  Company
    Results
     83




---



##### Table of Contents



Transactions
    with Bank of America
  available-for-sale
  Merger
    with BASH
    U.K.
    Corporate Income Tax Rate Change
    U.K. Bank
    Levy
   84




---



##### Table of Contents



Financial
    Reform Act
    Background
    Limitations
    on Certain Activities
   85




---



##### Table of Contents



Derivatives
  over-the-counter
  Credit
    Risk Retention
      Earthquake
    in Japan
  broker-dealer
 86




---



##### Table of Contents



Results of Operations  (dollars in millions)% Change between theThree Months EndedThree Months


Three Months


Mar. 31, 2011 andEnded


Ended


the Three MonthsMarch 31,


March 31,


Ended Mar. 31,2011


2010


2010RevenuesPrincipal transactions


$
1,171



$
4,048




(71
)%Commissions



1,590




1,488




7Managed account and other fee-based revenues



1,291




1,051




23Investment banking



1,532




1,209




27Earnings from equity method investments



138




281




(51
)Other
    revenues(1)



2,113




1,094




93Subtotal



7,835




9,171




(15
)Interest and dividend revenues



2,400




2,756




(13
)Less interest expense



2,353




2,460




(4
)Net interest income



47




296




(84
)Revenues, net of interest expense



7,882




9,467




(17
)Non-interest expenses:Compensation and benefits



4,610




4,329




6Communications and technology



428




486




(12
)Occupancy and related depreciation



336




346




(3
)Brokerage, clearing, and exchange fees



300




286




5Advertising and market development



121




95




27Professional fees



227




178




28Office supplies and postage



32




44




(27
)Other



1,207




480




151Total non-interest expenses



7,261




6,244




16Pre-tax earnings



621




3,223




(81
)Income tax expense



215




1,130




(81
)Net earnings


$
406



$
2,093




(81
)Preferred stock dividends



-




38




N/MNet earnings applicable to common stockholder


$
406



$
2,055




(80
)   (1)
    
    2011 and 2010 amounts include
    other income and
    other-than-temporary
    impairment losses on
    available-for-sale
    debt securities. The
    other-than-temporary
    impairment losses were $37 million and $86 million for
    the quarters ended March 31, 2011 and March 31, 2010,
    respectively. N/M = Not meaningful.
  Quarterly
    Consolidated Results of Operations
    Quarter
    Ended March 31, 2011 Compared With Quarter Ended
    March 31, 2010
   87




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88




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##### Table of Contents



available-for-sale available-for-sale available-for-sale
       89




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##### Table of Contents



non-U.S. tax
     Off-Balance
    Sheet Exposures
    ExpirationMaximum

Less than

1-3

3-5

Over 5

Carrying(dollars in millions)

Payout

1 Year

Years

Years

Years

ValueStandby liquidity facilities

$
1,201


$
582


$
599


$
-


$
20


$
-Residual value guarantees


415



95



320



-



-



1Standby letters of credit and other guarantees


684



346



314



5



19



-   Standby
    Liquidity Facilities
    Residual
    Value Guarantees
    Standby
    Letters of Credit and Other Guarantees
   90




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Representations
    and Warranties
        loan-by-loan
 91




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##### Table of Contents



March 31(dollars in millions)

2011

2010Balance, beginning of period

$
213


$
378Charge-offs


(61
)


(1
)Provision


(22
)


(74
)Balance, end of period

$
130


$
303          92




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##### Table of Contents



60-day
  and/or loan-by-loan
 93




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##### Table of Contents



loan-by-loan
        Principal Balance







Principal at RiskOutstanding

Outstanding





Borrower





BorrowerOriginal

Principal

Principal

Defaulted



Made Less

Borrower

Borrower

Made More(dollars in billions)

Principal

Balance

Balance

Principal

Principal

than 13

Made 13 to

Made 25 to

Than 36Entity

Balance

March 31, 2011

Over 180 Days

Balance

at Risk

Payments

24 Payments

36 Payments

PaymentsMerrill Lynch (excluding First Franklin)

$
50


$
19


$
7


$
10


$
17


$
3


$
4


$
3


$
7First Franklin


82



23



7



19



26



4



6



4



12Total

$
132


$
42


$
14


$
29


$
43


$
7


$
10


$
7


$
19  94




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##### Table of Contents



(dollars in millions)

March 31, 2011

December 31, 2010GSEs

$
55


$
59Monoline


64



48Others(1)


456



517Total

$
575


$
624   (1)
    
    The majority of these
    repurchase claims are from whole loan buyers on subprime
    loans.  Legal
    Matters
    Derivatives
    Involvement
    with VIEs
   95




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##### Table of Contents




    Municipal bond securitization VIEs:  VIEs that
    issue medium-term paper, purchase municipal bonds as collateral
    and purchase a guarantee to enhance the creditworthiness of the
    collateral.
    Asset-backed securities VIEs:  VIEs that issue
    different classes of debt, from super senior to subordinated,
    and equity and purchase assets as collateral, including
    residential mortgages, commercial mortgages, auto leases and
    credit card receivables.
    CDOs:  VIEs that issue different classes of
    debt, from super senior to subordinated, and equity and purchase
    securities, including asset-backed securities collateralized by
    residential mortgages, commercial mortgages, auto leases and
    credit card receivables as well as corporate bonds.
    Synthetic CDOs:  VIEs that issue different
    classes of debt, from super senior to subordinated, and equity,
    purchase high-grade assets as collateral and enter into a
    portfolio of credit default swaps to synthetically create the
    credit risk of the issued debt.
    Credit-linked note VIEs:  VIEs that issue
    notes linked to the credit risk of a company, purchase
    high-grade assets as collateral and enter into credit default
    swaps to synthetically create the credit risk to pay the return
    on the notes.
    Trust preferred security VIEs:  These VIEs hold
    junior subordinated debt issued by ML & Co. or our
    subsidiaries, and issue preferred stock on substantially the
    same terms as the junior subordinated debt to third party
    investors. We also provide a parent guarantee, on a junior
    subordinated basis, of the distributions and other payments on
    the preferred stock to the extent that the VIEs have funds
    legally available. The debt we issue into the VIE is classified
    as long-term borrowings on our Condensed Consolidated Balance
    Sheets. The ML & Co. parent guarantees of its own
    subsidiaries are not required to be recorded in the Condensed
    Consolidated Financial Statements. Funding and
    Liquidity  Funding
    and/or
 96




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##### Table of Contents



364-day
      
    MLPF&S assumed an approximately $1.5 billion
    subordinated loan agreement with Bank of America, which bears
    interest based on a spread to LIBOR, and has a scheduled
    maturity date of December 31, 2012. The loan agreement
    contains a provision that automatically extends the loans
    maturity by one year unless Bank of America provides
    13 months written notice not to extend prior to the
    scheduled maturity date.
    MLPF&S assumed a $7 billion revolving subordinated
    line of credit with Bank of America. The subordinated line of
    credit bears interest based on a spread to LIBOR, and has a
    scheduled maturity date of October 1, 2012. The revolving
    subordinated line of credit contains a provision that
    automatically extends the maturity by one year unless Bank of
    America provides 13 months written notice not to extend
    prior to the scheduled maturity date. At March 31, 2011,
    $1.1 billion was outstanding on the subordinated line of
    credit.
    On November 1, 2010, a $4 billion one-year revolving
    unsecured line of credit that allows MLPF&S to borrow funds
    from Bank of America was established. Interest on the line of
    credit is based on prevailing short-term market rates. The
    credit line will automatically be extended by one year to the
    succeeding November 1st unless Bank of America
    provides written notice not to extend at least 45 days
    prior to the maturity date. At March 31, 2010, there were
    no borrowings outstanding on the line of credit.
    On February 22, 2011, a $15 billion
    364-day
    revolving unsecured line of credit that allows MLPF&S to
    borrow funds from Bank of America was established. Interest on
    the line of credit is based on prevailing short-term market
    rates. The line of credit matures on February 21, 2012. At
    March 31, 2011, approximately $1.8 billion was
    outstanding on the line of credit. 97




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Credit
    Ratings
        P-1 A-1 and/or
 98




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##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures About Market Risk    Item 4.
    Controls
    and Procedures  Rule 13a-15(b) Rule 13a-15(e)
  Rule 13a-15(f)
 99




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##### Table of Contents



PART II 
    Other Information  Item 1.
    Legal
    Proceedings  Legal and
    Regulatory Matters
    Item 1A.
    Risk
    Factors    Item 6.
    Exhibits   100




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##### Table of Contents



SIGNATURES    Merrill Lynch &
    Co., Inc.
   By:
    /s/  ROBERT
    QUTUB      By:
    /s/  PETER
    D. TAUBE     Date: May 5, 2011
 101




---



##### Table of Contents



EXHIBIT INDEX  Exhibit

Description12*



Statement re: computation of ratios.31.1*



Rule 13a-14(a)
    Certification of the Chief Executive Officer.31.2*



Rule 13a-14(a)
    Certification of the Chief Financial Officer.32.1*



Certification of the Chief Executive Officer Pursuant to
    18 U.S.C. Section 1350, as Adopted Pursuant to
    Section 906 of the Sarbanes-Oxley Act of 2002.32.2*



Certification of the Chief Financial Officer Pursuant to
    18 U.S.C. Section 1350, as Adopted Pursuant to
    Section 906 of the Sarbanes-Oxley Act of 2002    *
    
    Filed herewith 102