##### Table of Contents





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

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

13-2740599(State or other jurisdiction of

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

28255(Address of principal executive offices)

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




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##### 





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


2Condensed Consolidated Balance Sheets


4Condensed Consolidated Statements of Cash
    Flows


6Condensed Consolidated Statements of
    Comprehensive Income


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


20Note 4. Fair Value Disclosures


21Note 5. Fair Value of Financial
    Instruments


39Note 6. Derivatives


40Note 7. Securities Financing Transactions


53Note 8. Investment Securities


54Note 9. Securitizations and Other Variable
    Interest Entities (VIEs)


57Note 10. Loans, Notes, and Mortgages and
    Related Commitments to Extend Credit


65Note 11. Goodwill and Intangible Assets


67Note 12. Borrowings and Deposits


68Note 13. Stockholders Equity and
    Earnings Per Share


71Note 14. Commitments, Contingencies and
    Guarantees


72Note 15. Employee Benefit Plans


76Note 16. Regulatory Requirements


77Item 2. Managements Discussion and
    Analysis of Financial Condition and Results of OperationsIntroduction


79Executive Overview


81Results of Operations


83Off-Balance Sheet Exposures


86Funding and Liquidity


89Item 3. Quantitative and Qualitative
    Disclosures About Market Risk


91Item 4. Controls and Procedures


91Part II. Other InformationItem 1. Legal Proceedings


92Item 1A. Risk Factors


94Item 6. Exhibits


95Signatures


96Exhibit Index


97EX-12EX-31.1EX-31.2EX-32.1EX-32.2   1




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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/(Loss) (Unaudited)  Three Months Ended

Three Months Ended(dollars in millions)

June 30, 2010

June 30, 2009RevenuesPrincipal transactions

$
2,100


$
(1,828
)Commissions


1,460



1,626Managed accounts and other fee-based revenues


1,161



1,064Investment banking


716



862Earnings from equity method investments


96



54Other


1,272



1,091Other-than-temporary
    impairment losses on
    available-for-sale
    debt securities:Total
    other-than-temporary
    impairment losses


(39
)


(294
)Less: Portion of
    other-than-temporary
    impairment losses recognized in other comprehensive income


2



-Subtotal


6,768



2,575Interest and dividend revenues


1,002



2,443Less interest expense


2,053



2,969Net interest expense


(1,051
)


(526
)Revenues, net of interest expense


5,717



2,049Non-interest expensesCompensation and benefits


3,476



3,411Communications and technology


460



498Occupancy and related depreciation


318



314Brokerage, clearing, and exchange fees


262



260Advertising and market development


94



55Professional fees


177



153Office supplies and postage


34



38Other


671



506Total non-interest expenses


5,492



5,235Pre-tax earnings/(loss)


225



(3,186
)Income tax benefit


(135
)


(1,145
)Net earnings/(loss)

$
360


$
(2,041
)Preferred stock dividends


38



38Net earnings/(loss) applicable to common stockholder

$
322


$
(2,079
)    See Notes to Condensed
    Consolidated Financial Statements.
 2




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##### Table of Contents



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

Six Months Ended(dollars in millions)

June 30, 2010

June 30, 2009RevenuesPrincipal transactions

$
5,318


$
4,086Commissions


2,927



3,006Managed accounts and other fee-based revenues


2,212



2,220Investment banking


1,383



1,468Earnings from equity method investments


377



94Other


2,426



1,362Other-than-temporary
    impairment losses on
    available-for-sale
    debt securities:Total
    other-than-temporary
    impairment losses


(125
)


(294
)Less: Portion of
    other-than-temporary
    impairment losses recognized in other comprehensive income


2



-Subtotal


14,520



11,942Interest and dividend revenues


2,817



6,826Less interest expense


4,093



6,424Net interest (expense)/profit


(1,276
)


402Revenues, net of interest expense


13,244



12,344Non-interest expensesCompensation and benefits


7,320



6,689Communications and technology


922



897Occupancy and related depreciation


623



585Brokerage, clearing, and exchange fees


542



532Advertising and market development


179



161Professional fees


321



255Office supplies and postage


77



80Other


1,102



957Total non-interest expenses


11,086



10,156Pre-tax earnings


2,158



2,188Income tax expense


529



479Net earnings

$
1,629


$
1,709Preferred stock dividends


76



53Net earnings applicable to common stockholder

$
1,553


$
1,656    See Notes to Condensed
    Consolidated Financial Statements.
 3




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##### Table of Contents



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

June 30, 2010

December 31, 2009ASSETSCash and cash equivalents

$
15,778


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


11,542



20,430Securities financing transactionsReceivables under resale agreements (includes $45,030 in 2010
    and $41,740 in 2009 measured at fair value in accordance with
    the fair value option election)


88,993



69,738Receivables under securities borrowed transactions (includes
    $1,349 in 2010 and $2,888 in 2009 measured at fair value in
    accordance with the fair value option election)


51,455



45,422140,448



115,160Trading assets, at fair value (includes securities pledged as
    collateral that can be sold or repledged of $32,688 in 2010 and
    $25,901 in 2009):Derivative contracts


46,731



49,582Equities and convertible debentures


30,569



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


30,117



21,256Corporate debt and preferred stock


16,721



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


7,516



7,971U.S. Government and agencies


3,264



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


12,535



8,778147,453



140,325Investment securities (includes $281 in 2010 and $253 in 2009
    measured at fair value in accordance with the fair value option
    election)


24,195



32,840Securities received as collateral, at fair value


20,952



16,346Receivables from Bank of America


34,364



20,619Other receivablesCustomers (net of allowance for doubtful accounts of $9 in 2010
    and $10 in 2009)


21,840



31,818Brokers and dealers


5,356



5,998Interest and other


9,651



14,25136,847



52,067Loans, notes, and mortgages (net of allowances for loan losses
    of $54 in 2010 and $33 in 2009) (includes $3,438 in 2010 and
    $4,649 in 2009 measured at fair value in accordance with the
    fair value option election)


32,576



37,663Equipment and facilities (net of accumulated depreciation and
    amortization of $1,040 in 2010 and $726 in 2009)


1,847



2,324Goodwill and other intangible assets


8,791



8,883Other assets


17,638



17,533Total Assets

$
492,431


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

$
9,282Derivative contracts


153Investment securities


1,742Loans, notes, and mortgages (net)


2,056Other assets


2,685Total Assets of Consolidated VIEs

$
15,918  4




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##### Table of Contents



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

June 30, 2010

December 31, 2009LIABILITIESSecurities financing transactionsPayables under repurchase agreements (includes $42,614 in 2010
    and $37,325 in 2009 measured at fair value in accordance with
    the fair value option election)

$
83,134


$
66,260Payables under securities loaned transactions


13,474



24,91596,608



91,175Short-term borrowings (includes $6,752 in 2010 and $813 in 2009
    measured at fair value in accordance with the fair value option
    election)


6,801



853Deposits


12,961



15,187Trading liabilities, at fair valueDerivative contracts


37,879



35,120Equities and convertible debentures


19,336



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


21,758



12,844Corporate debt and preferred stock


3,261



1,903U.S. Government and agencies


2,220



1,296Municipals, money markets and other


532



64384,986



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


20,952



16,346Payables to Bank of America


25,584



23,550Other payablesCustomers


34,303



39,307Brokers and dealers


11,915



14,148Interest and other (includes $184 in 2010 and $240 in 2009
    measured at fair value in accordance with the fair value option
    election)


19,279



17,08065,497



70,535Long-term borrowings (includes $39,588 in 2010 and $47,040 in
    2009 measured at fair value in accordance with the fair value
    option election)


131,734



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


3,563



3,552Total Liabilities


448,686



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


1,541



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


-



-Paid-in capital


36,489



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


(276
)


(112
)Retained earnings


5,991



4,583Total Common Stockholders Equity


42,204



39,597Total Stockholders Equity


43,745



41,138Total Liabilities and Stockholders Equity

$
492,431


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

$
4,621Derivative contracts


10Other liabilities


966Long-term borrowings


6,751Total Liabilities of Consolidated VIEs

$
12,348    See Notes to Condensed
    Consolidated Financial Statements.
 5




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

Six Months Ended(dollars in millions)

June 30, 2010

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

$
1,629


$
1,709Adjustments to reconcile net earnings to cash (used for)
    provided by operating activitiesDepreciation and amortization


468



608Share-based compensation expense


830



455Deferred taxes


507



319Earnings from equity method investments


(214
)


(94
)Other


884



(585
)Changes in operating assets and liabilities:Trading assets


(3,324
)


26,327Cash and securities segregated for regulatory purposes or
    deposited with clearing organizations


3,363



3,728Receivables from Bank of America


(13,745
)


(3,015
)Receivables under resale agreements


(19,255
)


32,397Receivables under securities borrowed transactions


(6,033
)


(6,757
)Customer receivables


9,980



7,415Brokers and dealers receivables


645



7,577Proceeds from loans, notes, and mortgages held for sale


3,571



5,696Other changes in loans, notes, and mortgages held for sale


(1,323
)


(4,502
)Trading liabilities


19,840



(23,331
)Payables under repurchase agreements


16,874



(23,406
)Payables under securities loaned transactions


(11,441
)


(4,361
)Payables to Bank of America


2,034



31,756Customer payables


(5,004
)


(5,112
)Brokers and dealers payables


(2,233
)


(3,106
)Other, net


50



4,719Cash (used for) provided by operating activities


(1,897
)


48,437Cash flows from investing activities:Proceeds from (payments for):Maturities of
    available-for-sale
    securities


854



4,311Sales of
    available-for-sale
    securities


14,827



5,844Purchases of
    available-for-sale
    securities


(508
)


(555
)Equipment and facilities, net


(161
)


(118
)Loans, notes, and mortgages held for investment


1,394



3,271Other investments


1,406



909Cash provided by investing activities


17,812



13,662Cash flows from financing activities:Proceeds from (payments for):Commercial paper and short-term borrowings


935



(35,961
)Issuance and resale of long-term borrowings


4,548



6,132Settlement and repurchases of long-term borrowings


(18,323
)


(34,539
)Capital contributions from Bank of America


-



6,850Deposits


(2,226
)


3,620Dividends


(76
)


(53
)Cash used for financing activities


(15,142
)


(53,951
)Increase in cash and cash equivalents


773



8,148Cash and cash equivalents, beginning of period


15,005



52,603Cash and cash equivalents, end of period

$
15,778


$
60,751Supplemental Disclosure of Cash Flow Information:Income taxes paid (net of refunds)

$
6


$
126Interest paid


3,353



7,342  Non-cash investing and financing activities:
  For the six months ended June 30, 2010, Merrill Lynch
    received a non-cash capital contribution of approximately
    $1 billion from Bank of America associated with certain
    employee stock awards. In addition, as of January 1, 2010,
    Merrill Lynch assumed assets and liabilities in connection with
    the consolidation of certain VIEs. See Note 9.
  In connection with the acquisition of Merrill Lynch by Bank
    of America, Merrill Lynch recorded purchase accounting
    adjustments in the six months ended June 30, 2009, which
    were recorded as non-cash capital contributions.
   See Notes to Condensed
    Consolidated Financial Statements.
 6




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##### Table of Contents



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

Six Months Ended

Three Months Ended

Six Months Ended(dollars in millions)

June 30, 2010

June 30, 2010

June 30, 2009

June 30, 2009Net earnings/(loss)

$
360


$
1,629


$
(2,041
)

$
1,709Other comprehensive income/(loss), net of tax:Foreign currency translation adjustment


1



(58
)


(348
)


(119
)Net unrealized gain/(loss) on investment securities
    available-for-sale


41



(117
)


428



534Net deferred gain/(loss) on cash flow hedges


(9
)


8



(33
)


6Defined benefit pension and postretirement plans


2



3



(2
)


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


35



(164
)


45



421Comprehensive income/(loss)

$
395


$
1,465


$
(1,996
)

$
2,130    See Notes to Condensed
    Consolidated Financial Statements.
 7




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##### Table of Contents



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




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##### Table of Contents



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




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##### Table of Contents



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




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##### Table of Contents



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




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##### Table of Contents



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




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Income
    Taxes
  Income Taxes
     13




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##### Table of Contents



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




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##### Table of Contents



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




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##### Table of Contents



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




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##### Table of Contents



other-than-temporary.
  Loans,
    Notes and Mortgages, Net
  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
   18




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##### Table of Contents



Sale of
    U.S. Banks to Bank of America
      Acquisition
    of BAI from Bank of America
    Asset and
    Liability Transfers
    available-for-sale
 19




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##### Table of Contents



Other
    Related Party Transactions
      (dollars in millions)

June 30, 2010

December 31, 2009Cash and cash equivalents

$
16,223


$
8,265Cash and securities segregated for regulatory purposes


5,817



3,000Receivables under resale agreements and securities borrowed
    transactions


5,978



77Trading assets


953



700Intercompany Funding Receivable


3,101



5,778Other receivables


2,067



2,682Other assets


225



117Total

$
34,364


$
20,619     (dollars in millions)

June 30, 2010

December 31, 2009Payables under repurchase agreements

$
12,432


$
8,307Payables under securities loaned transactions


8,144



10,326Short term borrowings


18



-Deposits


32



35Trading liabilities


282



718Other payables


4,676



4,164Total

$
25,584


$
23,550   available-for-sale
   Note 3.  Segment and Geographic
    Information
  Segment
    Information
  Segment Reporting
   20




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##### Table of Contents



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.    Three Months Ended

Six Months Ended

Three Months Ended

Six Months Ended(dollars in millions)

June 30, 2010

June 30, 2010

June 30, 2009

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

$
611


$
2,732


$
1,130


$
3,065Pacific Rim


322



1,100



588



1,394Latin America


240



580



162



397Canada


55



128



62



114Total
    Non-U.S.


1,228



4,540



1,942



4,970United
    States (1)(2)


4,489



8,704



107



7,374Total revenues, net of interest expense

$
5,717


$
13,244


$
2,049


$
12,344   (1)
    
    U.S. results for the three and
    six months ended June 30, 2010 included gains of
    $1.2 billion and $1.4 billion, respectively, due to
    the impact of the widening of Merrill Lynchs credit
    spreads on the carrying values of certain long-term borrowings,
    primarily structured notes. U.S. results for the three and six
    months ended June 30, 2009 included net losses of
    $3.6 billion and $1.4 billion, respectively, due to
    the impact of the narrowing of Merrill Lynchs credit
    spreads on the carrying values of certain long-term borrowings,
    primarily structured notes.(2)
    
    Corporate net revenues and
    adjustments are reflected in the U.S. region.   Note 4.  Fair
    Value Disclosures
  Fair
    Value Accounting
  Fair
    Value Hierarchy
   21




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##### Table of Contents



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 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).     22




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Valuation
    Techniques
    U.S.
    Government and agencies
  U.S. treasury securities
  U.S. agency securities
  Non-U.S.
    governments and agencies
    Municipal
    debt
  Municipal bonds
  Auction Rate Securities (ARS)
  Corporate
    and other debt
  Corporate bonds and/or cash-to-synthetic and/or
 23




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##### Table of Contents



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)
      Equities
  Exchange-Traded Equity Securities
  Derivative
    contracts
  Listed Derivative Contracts
  OTC Derivative Contracts
   24




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##### Table of Contents



CDOs
  Investment
    securities non-qualifying
  Investments in Private Equity, Real Estate and Hedge
    Funds
  and/or
  Resale
    and repurchase agreements
   25




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##### Table of Contents



Long-term
    and short term borrowings
    Recurring
    Fair Value
    Fair Value Measurements on a Recurring Basisas of June 30, 2010Netting(dollars in millions)

Level 1

Level 2

Level 3

Adj(1)

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

$
-


$
127


$
-


$
-


$
127Corporate debt


-



507



-



-



507Non-U.S.
    governments and agencies


856



1,018



-



-



1,874U.S. Government and agencies


475



1,599



-



-



2,074Total securities segregated for regulatory purposes or deposited
    with clearing organizations


1,331



3,251



-



-



4,582Receivables under resale agreements


-



45,030



-



-



45,030Receivables under securities borrowed transactions


-



1,349



-



-



1,349Trading assets, excluding derivative contracts:Equities


18,516



7,101



251



-



25,868Convertible debentures


-



4,701



-



-



4,701Non-U.S.
    governments and agencies


26,179



3,008



930



-



30,117Corporate debt


-



10,809



5,402







16,211Preferred stock


-



322



188



-



510Mortgages, mortgage-backed and asset-backed


-



1,656



5,860



-



7,516U.S. Government and agencies


2,924



340



-



-



3,264Municipals and money markets


721



7,929



3,116



-



11,766Physical commodities and other


-



769



-



-



769Total trading assets, excluding derivative contracts


48,340



36,635



15,747



-



100,722Derivative
    contracts(2)


610



731,879



16,999



(702,757
)


46,731Investment securities
    available-for-sale:Mortgage-backed securities  agency collateralizedmortgage obligations


-



743



-



-



743Mortgage-backed securities  non-agency MBSs


-



639



352



-



991Total investment securities
    available-for-sale


-



1,382



352



-



1,734Investment securities non-qualifying


2,053



445



4,128



-



6,626Total investment securities


2,053



1,827



4,480



-



8,360Securities received as collateral


20,479



473



-



-



20,952Loans, notes and mortgages


-



373



3,152



-



3,525 26




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##### Table of Contents



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

Level 1

Level 2

Level 3

Adj(1)

TotalLiabilities:Payables under repurchase agreements

$
-


$
42,614


$
-


$
-


$
42,614Short-term borrowings


-



6,752



-



-



6,752Trading liabilities, excluding derivative contracts:Equities


17,053



1,455



-



-



18,508Convertible debentures


-



828



-



-



828Non-U.S.
    governments and agencies


20,646



1,105



7



-



21,758Corporate debt


-



3,261



-



-



3,261U.S. Government and agencies


2,220



-



-



-



2,220Municipals, money markets and other


397



135



-



-



532Total trading liabilities, excluding derivative contracts


40,316



6,784



7



-



47,107Derivative
    contracts(2)


541



729,531



10,409



(702,602
)


37,879Obligation to return securities received as collateral


20,479



473



-



-



20,952Other payables  interest and other


-



30



154



-



184Long-term borrowings


-



35,582



4,006



-



39,588   (1)
    
    Represents counterparty and
    cash collateral netting.(2)
    
    Refer to Note 6 for
    product level detail.  and/or
      and/or
  and/or
  27




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##### Table of Contents



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

Level 1

Level 2

Level 3

Adj(1)

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

$
-


$
5,525


$
-


$
-


$
5,525Corporate debt


-



579



-



-



579Non-U.S.
    governments and agencies


946



893



-



-



1,839U.S. Government and agencies


1,046



1,541



-



-



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


1,992



8,538



-



-



10,530Receivables under resale agreements


-



41,740



-



-



41,740Receivables under securities borrowed transactions


-



2,888



-



-



2,888Trading assets, excluding derivative contracts:Equities


23,083



6,297



259



-



29,639Convertible debentures


-



4,862



-



-



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


17,407



2,718



1,131



-



21,256Corporate debt


-



9,241



6,540



-



15,781Preferred stock


-



436



562



-



998Mortgages, mortgage-backed and asset-backed


-



1,680



6,291



-



7,971U.S. Government and agencies


979



479



-



-



1,458Municipals and money markets


798



5,181



2,148



-



8,127Physical commodities and other


-



651



-



-



651Total trading assets, excluding derivative contracts


42,267



31,545



16,931



-



90,743Derivative contracts


2,218



658,264



17,939



(628,839
)


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


-



9,688



-



-



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


-



1,132



473



-



1,605Total investment securities
    available-for-sale


-



10,820



473



-



11,293Investment securities non-qualifying


2,027



451



3,696



-



6,174Total investment securities


2,027



11,271



4,169



-



17,467Securities received as collateral


15,780



566



-



-



16,346Loans, notes and mortgages


-



654



4,115



-



4,769Liabilities:Payables under repurchase agreements


-



37,325



-



-



37,325Short-term borrowings


-



813



-



-



813Trading liabilities, excluding derivative contracts:Equities


12,051



1,069



-



-



13,120Convertible debentures


-



534



-



-



534Non-U.S.
    governments and agencies


12,028



430



386



-



12,844Corporate debt


-



1,903



-



-



1,903U.S. Government and agencies


1,296



-



-



-



1,296Municipals, money markets and other


273



370



-



-



643Total trading liabilities, excluding derivative contracts


25,648



4,306



386



-



30,340Derivative contracts


1,727



662,629



11,073



(640,309
)


35,120Obligation to return securities received as collateral


15,780



566



-



-



16,346Other payables  interest and other


-



54



186



-



240Long-term borrowings


-



42,357



4,683



-



47,040   (1)
    
    Represents counterparty and
    cash collateral netting. 28




---



##### Table of Contents



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

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Gains to

and

Transfers

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

in

out

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
245


$
(12
)

$
-


$
-


$
(12
)

$
-


$
(20
)

$
38


$
-


$
251Non-U.S.
    governments and agencies


1,056



(76
)


-



-



(76
)


-



(51
)


4



(3
)


930Corporate debt


6,026



(76
)


-



-



(76
)


-



(657
)


287



(178
)


5,402Preferred stock


210



(23
)


-



-



(23
)


-



2



-



(1
)


188Mortgages, mortgage-backed and asset-backed


6,399



56



-



-



56



-



(723
)


361



(233
)


5,860Municipals and money markets


2,819



(1
)


-



-



(1
)


-



251



160



(113
)


3,116Total trading assets, excluding derivative contracts


16,755



(132
)


-



-



(132
)


-



(1,198
)


850



(528
)


15,747Derivative contracts, net


7,280



(217
)


-



-



(217
)


-



(18
)


(520
)


65



6,590Investment securities
    available-for-sale:Mortgage-backed securities - residential non-agency MBSs


585



-



(47
)


-



(47
)


(25
)


(152
)


3



(12
)


352Total investment securities
    available-for-sale


585



-



(47
)


-



(47
)


(25
)


(152
)


3



(12
)


352Investment securities non-qualifying


3,490



-



848



-



848



-



(210
)


-



-



4,128Total investment securities


4,075



-



801



-



801



(25
)


(362
)


3



(12
)


4,480Loans, notes and mortgages


3,532



-



10



45



55



-



(435
)


-



-



3,152Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


369



-



2



-



2



-



9



-



(369
)


7Total trading liabilities, excluding derivative contracts


369



-



2



-



2



-



9



-



(369
)


7Other liabilities  interest and other


148



-



(19
)


-



(19
)


-



(13
)


-



-



154Long-term borrowings


4,519



472



113



-



585



-



(249
)


545



(224
)


4,006  29




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##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesSix Months Ended June 30, 2010Total Realized and Unrealized Gains or (Losses)

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Gains to

and

Transfers

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

in

out

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
259


$
(10
)

$
-


$
-


$
(10
)

$
-


$
(27
)

$
69


$
(40
)

$
251Non-U.S.
    governments and agencies


1,131



(159
)


-



-



(159
)


-



(79
)


91



(54
)


930Corporate debt


6,540



136



-



-



136



-



(1,264
)


587



(597
)


5,402Preferred stock


562



(25
)


-



-



(25
)


-



(348
)


-



(1
)


188Mortgages, mortgage-backed and asset-backed


6,291



(4
)


-



-



(4
)


-



(413
)


383



(397
)


5,860Municipals and money markets


2,148



16



-



-



16



-



(169
)


1,234



(113
)


3,116Total trading assets, excluding derivative contracts


16,931



(46
)


-



-



(46
)


-



(2,300
)


2,364



(1,202
)


15,747Derivative contracts, net


6,866



(636
)


-



-



(636
)


-



(153
)


509



4



6,590Investment securities
    available-for-sale:Mortgage-backed securities - residential non-agency MBSs


473



-



(67
)


24



(43
)


(52
)


(69
)


55



(12
)


352Total investment securities
    available-for-sale


473



-



(67
)


24



(43
)


(52
)


(69
)


55



(12
)


352Investment securities non-qualifying


3,696



-



1,211



-



1,211



-



(644
)


-



(135
)


4,128Total investment securities


4,169



-



1,144



24



1,168



(52
)


(713
)


55



(147
)


4,480Loans, notes and mortgages


4,115



-



(141
)


91



(50
)


-



(913
)


-



-



3,152Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


386



21



2



-



23



-



24



-



(380
)


7Total trading liabilities, excluding derivative contracts


386



21



2



-



23



-



24



-



(380
)


7Other liabilities  interest and other


186



-



11



-



11



-



(21
)


-



-



154Long-term borrowings


4,683



595



192



-



787



-



203



816



(909
)


4,006        30




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##### Table of Contents



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

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Gains to

and

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

in (out)

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
379


$
(4
)

$
-


$
-


$
(4
)

$
-


$
(12
)

$
(33
)

$
330Mortgages, mortgage-backed and asset-backed


7,399



(82
)


-



-



(82
)


-



2,957



(3,098
)


7,176Corporate debt


5,499



245



-



-



245



-



(1,093
)


(647
)


4,004Preferred stock


6,759



(81
)


-



-



(81
)


-



(87
)


-



6,591Non-U.S.
    governments and agencies


601



79



-



-



79



-



11



-



691Municipals and money markets


1,046



(64
)


-



-



(64
)


-



(51
)


-



931Total trading assets, excluding derivative contracts


21,683



93



-



-



93



-



1,725



(3,778
)


19,723Derivative contracts, net


3,868



(820
)


-



-



(820
)


-



(361
)


3,561



6,248Investment securities trading:


















-Mortgages, mortgage-backed and asset-backed


38



1



-



-



1



-



(2
)


1



38Corporate debt


146



-



-



-



-



-



-



(146
)


-Non-U.S.
    governments and agencies


-



-



-



-



-



-



-



174



174Total investment securities trading


184



1



-



-



1



-



(2
)


29



212Investment securities
    available-for-sale:Mortgage-backed securities  non-agency MBSs


3,193



-



(274
)


-



(274
)


662



(418
)


64



3,227Total investment securities
    available-for-sale


3,193



-



(274
)


-



(274
)


662



(418
)


64



3,227Investment securities non-qualifying


2,494



-



327



-



327



-



-



11



2,832Total investment securities


5,871



1



53



-



54



662



(420
)


104



6,271Loans, notes and mortgages


6,144



-



975



-



975



-



(860
)


(174
)


6,085Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


326



(26
)


-



-



(26
)


-



-



-



352Total trading liabilities, excluding derivative contracts


326



(26
)


-



-



(26
)


-



-



-



352Other payables  interest and other


999



-



278



-



278



-



(54
)


(39
)


628Long-term borrowings


8,049



(1,065
)


(47
)


-



(1,112
)


-



(370
)


(3,502
)


5,289        31




---



##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesSix Months Ended June 30, 2009Total Realized and Unrealized Gains or (Losses)

Total Realized and



Purchases,included in Income

Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Gains to

and

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

in (out)

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
231


$
(22
)

$
-


$
-


$
(22
)

$
-


$
172


$
(51
)

$
330Mortgages, mortgage-backed and asset-backed


7,568



(332
)


-



-



(332
)


-



2,368



(2,428
)


7,176Corporate debt


10,149



(230
)


-



-



(230
)


-



(1,487
)


(4,428
)


4,004Preferred stock


3,344



(190
)


-



-



(190
)


-



3,332



105



6,591Non-U.S.
    governments and agencies


30



64



-



-



64



-



10



587



691Municipals and money markets


798



-



-



-



-



-



146



(13
)


931Total trading assets, excluding derivative contracts


22,120



(710
)


-



-



(710
)


-



4,541



(6,228
)


19,723Derivative contracts, net


2,307



93



-



-



93



-



80



3,768



6,248Investment securities trading:


















-Mortgages, mortgage-backed and asset-backed


22



(10
)


-



-



(10
)


-



(4
)


30



38Corporate debt


146



(9
)


-



-



(9
)


-



-



(137
)


-Non-U.S.
    governments and agencies


-



-



-



-



-



-



-



174



174Total investment securities trading


168



(19
)


-



-



(19
)


-



(4
)


67



212Investment securities
    available-for-sale:Mortgage-backed securities  non- agency MBSs


350



-



(274
)


178



(96
)


1,311



(510
)


2,172



3,227Total investment securities
    available-for-sale


350



-



(274
)


178



(96
)


1,311



(510
)


2,172



3,227Investment securities non-qualifying


2,761



-



148



-



148



-



(23
)


(54
)


2,832Total investment securities


3,279



(19
)


(126
)


178



33



1,311



(537
)


2,185



6,271Loans, notes and mortgages


359



-



509



-



509



-



(594
)


5,811



6,085Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


-



(4
)


-



-



(4
)


-



-



348



352Total trading liabilities, excluding derivative contracts


-



(4
)


-



-



(4
)


-



-



348



352Other payables  interest and other


-



-



670



-



670



-



-



1,298



628Long-term borrowings


7,480



(1,564
)


(40
)


-



(1,604
)


-



33



(3,828
)


5,289        32




---



##### Table of Contents



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

Six Months Ended June 30, 2010Principal

Other





Principal

OtherTransactions

Revenue

Interest

Total

Transactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
(12
)

$
-


$
-


$
(12
)

$
(16
)

$
-


$
-


$
(16
)Non-U.S.
    governments and agencies


(76
)


-



-



(76
)


(159
)


-



-



(159
)Corporate debt


(105
)


-



-



(105
)


19



-



-



19Preferred stock


(23
)


-



-



(23
)


(25
)


-



-



(25
)Mortgages, mortgage-backed and asset-backed


41



-



-



41



(23
)


-



-



(23
)Municipals and money markets


(1
)


-



-



(1
)


16



-



-



16Total trading assets, excluding derivative contracts


(176
)


-



-



(176
)


(188
)


-



-



(188
)Derivative contracts, net


(224
)


-



-



(224
)


(590
)


-



-



(590
)Investment securities
    available-for-sale:Mortgage-backed securities - non-agency MBSs


-



(2
)


-



(2
)


-



(22
)


24



2Total investment securities available-for-sale


-



(2
)


-



(2
)


-



(22
)


24



2Investment securities non-qualifying


-



688



-



688



-



482



-



482Total investment securities


-



686



-



686



-



460



24



484Loans, notes and mortgages


-



(61
)


-



(61
)


-



(39
)


-



(39
)Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


2



-



-



2



23



-



-



23Total trading liabilities, excluding derivative contracts


2



-



-



2



23



-



-



23Other liabilities  interest and other


-



(19
)


-



(19
)


-



11



-



11Long-term borrowings


384



113



-



497



494



191



-



685   33




---



##### Table of Contents



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

Six Months Ended June 30, 2009Principal

Other





Principal

OtherTransactions

Revenue

Interest

Total

Transactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
(4
)

$
-


$
-


$
(4
)

$
(22
)

$
-


$
-


$
(22
)Non-U.S.
    governments and agencies


79



-



-



79



64



-



-



64Corporate debt


231



-



-



231



(256
)


-



-



(256
)Preferred stock


(81
)


-



-



(81
)


(190
)


-



-



(190
)Mortgages, mortgage-backed and asset-backed


(70
)


-



-



(70
)


(348
)


-



-



(348
)Municipals and money markets


(63
)


-



-



(63
)


1



-



-



1Total trading assets, excluding derivative contracts


92



-



-



92



(751
)


-



-



(751
)Derivative contracts, net


(907
)


-



-



(907
)


84



-



-



84Investment securities
    available-for-sale:Mortgage-backed securities - non-agency MBSs


-



(293
)


-



(293
)


-



(293
)


178



(115
)Total investment securities available-for-sale


-



(293
)


-



(293
)


-



(293
)


178



(115
)Investment securities non-qualifying


-



327



-



327



-



148



-



148Total investment securities


-



34



-



34



-



(145
)


178



33Loans, notes and mortgages


-



975



-



975



-



509



-



509Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


(26
)


-



-



(26
)


(4
)


-



-



(4
)Total trading liabilities, excluding derivative contracts


(26
)


-



-



(26
)


(4
)


-



-



(4
)Other liabilities  interest and other


-



278



-



278



-



670



-



670Long-term borrowings


(1,249
)


(47
)


-



(1,296
)


(1,782
)


(40
)


-



(1,822
)    34




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##### Table of Contents



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

Gains/(Losses)Non-Recurring Basis

Three Months

Six Monthsas of June 30, 2010

Ended

EndedLevel 1

Level 2

Level 3

Total

June 30, 2010

June 30, 2010Assets:Investment securities non-qualifying

$
-


$
-


$
96


$
96


$
(13
)

$
(13
)Loans, notes and mortgages


-



536



2,201



2,737



(115
)


(192
)Other assets


-



10



21



31



-



(5
)Liabilities:Other payables  interest and other


-



(2
)


(22
)


(24
)


9



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

Level 2

Level 3

TotalAssets:Investment securities non-qualifying

$
-


$
-


$
182


$
182Loans, notes and mortgages


-



524



2,671



3,195Other assets


-



-



210



210Liabilities:Other payables  interest and other


-



-



39



39      35




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##### Table of Contents



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

Changes in Fair Value For the SixMonths Ended June 30, 2010, for

Months Ended June 30, 2010, forItems

ItemsMeasured at Fair Value Pursuant to the

Measured at Fair Value Pursuant to theFair Value Option Election

Fair Value Option ElectionGains/

Gains/

Total

Gains/

Gains/

Total(losses)

(losses)

Changes

(losses)

(losses)

ChangesPrincipal

Other

in Fair

Principal

Other

in FairTransactions

Revenues

Value

Transactions

Revenues

ValueAssets:Receivables under resale agreements

$
(6
)

$
-


$
(6
)

$
1


$
-


$
1Investment securities


-



49



49



-



46



46Loans, notes and mortgages


-



66



66



-



94



94Liabilities:Payables under repurchase agreements


6



-



6



20



-



20Short-term borrowings


151



-



151



107



-



107Other payables  interest and other


-



(29
)


(29
)


-



2



2Long-term
    borrowings(1)


2,582



47



2,629



2,481



(20
)


2,461  (1)
    
    Other revenues primarily
    represent fair value changes on non-recourse long-term
    borrowings issued by consolidated VIEs. 36




---



##### Table of Contents



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

Changes in Fair Value For the SixMonths Ended June 30, 2009, for

Months Ended June 30, 2009, forItems

ItemsMeasured at Fair Value Pursuant to the

Measured at Fair Value Pursuant to theFair Value Option Election

Fair Value Option ElectionGains/

Gains/

Total

Gains/

Gains/

Total(losses)

(losses)

Changes

(losses)

(losses)

ChangesPrincipal

Other

in Fair

Principal

Other

in FairTransactions

Revenues

Value

Transactions

Revenues

ValueAssets:Receivables under resale agreements

$
(153
)

$
-


$
(153
)

$
(321
)

$
-


$
(321
)Investment securities


374



(32
)


342



379



(135
)


244Loans, notes and mortgages


-



1,050



1,050



-



638



638Liabilities:Payables under repurchase agreements


92



-



92



184



-



184Short-term borrowings


(230
)


-



(230
)


(246
)


6



(240
)Other payables  interest and other


-



289



289



-



681



681Long-term
    borrowings(1)


(5,431
)


(47
)


(5,478
)


(3,327
)


(40
)


(3,367
)  (1)
    
    Other revenues primarily
    represent fair value changes on non-recourse long-term
    borrowings issued by consolidated VIEs.    Resale
    and repurchase agreements
    Loans, notes and mortgages and loan commitments
     37




---



##### Table of Contents



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

Amountat

Due UponJune 30, 2010

Maturity

DifferenceAssets:Receivables under resale agreements

$
45,030


$
44,710


$
320Receivables under securities borrowed transactions


1,349



1,349



-Loans, notes and mortgages


3,438



5,551



(2,113
)Liabilities:Long-term
    borrowings(1)


39,588



47,579



(7,991
)  (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.  38




---



##### Table of Contents



(dollars in millions)PrincipalFair Value

Amountat

Due UponDecember 31,
    2009

Maturity

DifferenceAssets:Receivables under resale agreements

$
41,740


$
41,454


$
286Receivables under securities borrowed transactions


2,888



2,888



-Loans, notes and mortgages


4,649



7,236



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


47,040



50,543



(3,503
)  (1)
    
    The majority of the difference
    relates to the impact of the widening of Merrill Lynchs
    credit spreads, the change in fair value of non-recourse debt,
    and zero coupon notes issued at a substantial discount from the
    principal amount. Note 5.  Fair
    Value of Financial Instruments      Short-term
    Financial Instruments
    Loans,
    Notes and Mortgages
   39




---



##### Table of Contents



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

December 31, 2009Book Value

Fair Value

Book Value

Fair ValueFinancial assetsLoans, notes and
    mortgages(1)

$
32,576


$
32,458


$
37,663


$
37,715Financial liabilitiesDeposits


12,961



12,961



15,187



15,187Long-term
    borrowings(2)


135,297



141,512



154,951



162,645  (1)
    
    Loans are presented net of
    allowance for loan losses. The fair value is determined based on
    the present value of future cash flows using credit spreads or
    risk adjusted rates of return that a buyer of the portfolio
    would require. Merrill Lynch expects to collect the principal
    cash flows underlying the book values as well as the related
    interest cash flows.(2)
    
    Includes junior subordinated
    notes (related to trust preferred securities).   Note 6.  Derivatives
    net-by-counterparty
 40




---



##### Table of Contents



Trading
    derivatives
    Derivatives
    that contain a significant financing element
    Non-trading
    derivatives
    1.
    Merrill Lynchs debt was issued in a variety of maturities
    and currencies to achieve the lowest cost financing possible.
    Merrill Lynch enters into derivative transactions to hedge these
    liabilities. Derivatives used most frequently include swap
    agreements that:  
    Convert fixed-rate interest payments into variable-rate interest
    payments;
    Change the underlying interest rate basis or reset
    frequency; and
    Change the settlement currency of a debt instrument.    2.
    Merrill Lynch uses foreign-exchange forward contracts,
    foreign-exchange options, and currency swaps to hedge its net
    investments in foreign operations, as well as other foreign
    currency exposures (e.g.,
    non-U.S. dollar
    denominated debt and expenses). These derivatives are used to
    mitigate the impact of changes in exchange rates. Changes in the
    fair value of these derivatives are reported in other revenue,
    unless net investment hedge accounting is applied.3.
    Merrill Lynch enters into futures, swaps, options and forward
    contracts to manage the price risk of certain commodity
    inventory and forecasted commodity purchases and sales. Changes
    in fair value of these derivatives are reported in principal
    transaction revenues, unless cash flow hedge accounting is
    applied. 41




---



##### Table of Contents



4.
    Merrill Lynch enters into credit default swaps to manage the
    credit risk on certain loans that are not part of trading
    activities. Changes in the fair value of these derivatives are
    reported in other revenue.    1.
    A hedge of the fair value of a recognized asset or liability
    (fair value hedge). Changes in the fair value of
    derivatives that are designated and qualify as fair value hedges
    of interest rate risk, along with the gain or loss on the hedged
    liability that is attributable to the hedged risk, are recorded
    in current period earnings as interest expense. Changes in the
    fair value of derivatives that are designated and qualify as
    fair value hedges of commodity price risk, along with the gain
    or loss on the hedged asset that is attributable to the hedged
    risk, are recorded in current period earnings in principal
    transactions.2.
    A hedge of the variability of cash flows to be received or paid
    related to a recognized asset or liability (cash flow
    hedge). Changes in the fair value of derivatives that are
    designated and qualify as cash flow hedges are recorded in OCI
    until earnings are affected by the variability of cash flows of
    the hedged asset or liability. For cash flow hedges of commodity
    contracts, the amount is reclassified out of OCI and recorded in
    principal transactions when the forecasted purchase or sale of
    the commodity occurs.3.
    A hedge of a net investment in a foreign operation (net
    investment hedge). Changes in the fair value of
    derivatives that are designated and qualify as hedges of a net
    investment in a foreign operation are recorded in the foreign
    currency translation adjustment account within OCI. Changes in
    the fair value of the hedging instruments that are associated
    with the difference between the spot rate and the contracted
    forward rate are recorded in current period earnings in interest
    expense for the three and six months ended June 30, 2010
    and other revenues for the three and six months ended
    June 30, 2009.   42




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##### Table of Contents



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

2010

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

Interest expense

$
649


$
(2,155
)Gain/(loss) recognized in income on the long-term
    borrowing(1)

Interest expense


(917
)


1,892Gain/(loss) recognized in income due to hedge ineffectiveness

Interest expense


(268
)


(263
)For the six months ended June 30:Gain/(loss) recognized in income on the derivative

Interest expense


435



(2,525
)Gain/(loss) recognized in income on the long-term
    borrowing(1)

Interest expense


(914
)


2,137Gain/(loss) recognized in income due to hedge ineffectiveness

Interest expense


(479
)


(388
)As of June 30, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


5,150



3,362Trading liabilities


1,537



101Notional amount of hedging derivativesin an asset position




47,858



54,954in a liability position




11,722



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

2010

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

Principal transactions

$
(16
)

$
5Gain/(loss) recognized in income on the commodity inventory

Principal transactions


15



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

Principal transactions


(1
)


5For the six months ended June 30:Gain/(loss) recognized in income on the derivative

Principal transactions


41



60Gain/(loss) recognized in income on the commodity inventory

Principal transactions


(46
)


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

Principal transactions


(5
)


3As of June 30, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


104



78Trading liabilities


1



4Notional amount of hedging derivativesin an asset position




292



286in a liability position




2



34  43




---



##### Table of Contents



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

2010

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

Accumulated other
    comprehensive income

$
(5
)

$
15Gain/(loss) reclassified into earnings in the current period

Principal transactions


10



2Gain/(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


12



18For the six months ended June 30:Gain/(loss) on the derivative deferred in equity

Accumulated othercomprehensive income


27



63Gain/(loss) reclassified into earnings in the current period

Principal transactions


13



5Gain/(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


12



18As of June 30, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


106



10Trading liabilities


5



5Notional amount of hedging derivativesin an asset position




331



92in a liability position




50



67  44




---



##### Table of Contents



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

2010

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

Accumulated other
    comprehensive income

$
277


$
(1,979
)Gain/(loss) recognized in income due to hedge ineffectiveness

Other revenue


-



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

Other revenue


-



(28
)Interest expense


(52
)


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

Accumulated other
    comprehensive income


847



(1,261
)Gain/(loss) recognized in income due to hedge ineffectiveness

Other revenue


-



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

Other revenue


-



(92
)Interest expense


(89
)


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

Trading assets


340



353Trading liabilities


387



277Carrying value of non-derivative hedges

Long-term borrowings


513



598Notional amount of hedging derivativesin an asset position




12,977



16,531in a liability position




10,590



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

2010

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

Interest expense

$
413


$
(509
)Foreign currency risk

Other revenue


(3,036
)


(1,993
)Credit risk

Other revenue


18



(221
)For the six months ended June 30:Interest rate risk

Interest expense


469



(718
)Foreign currency risk

Other revenue


(5,730
)


(1,460
)Credit risk

Other revenue


6



(152
)   ASC 830-20 Foreign Currency Transactions
 45




---



##### Table of Contents



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

Trading Assets-

Contract/

Trading Liabilities-Notional(1)

Derivative Contracts

Notional(1)

Derivative ContractsInterest rate contractsSwaps

$
8,853,051


$
570,189


$
8,745,406


$
563,444Futures and forwards


1,991,244



2,281



2,087,228



2,554Written options


-



-



1,654,505



50,866Purchased options


1,413,829



52,137



-



-Foreign exchange contractsSwaps


85,591



10,012



109,555



13,561Spot, futures and forwards


150,021



7,486



133,251



7,137Written options


-



-



303,170



10,474Purchased options


306,019



10,070



-



-Equity contractsSwaps


16,294



1,646



24,683



2,028Futures and forwards


48,176



3,245



49,426



2,594Written options


-



-



242,891



20,823Purchased options


209,080



18,608



-



-Commodity contractsSwaps


54,376



6,447



40,159



6,149Futures and forwards


236,345



6,837



227,767



6,426Written options


-



-



71,356



4,970Purchased options


69,337



4,779



-



-Credit derivativesPurchased protection:Credit default swaps


683,633



47,518



216,421



6,862Total return swaps


2,430



336



1,989



893Other Credit Derivatives


5,468



18



139



-Written protection:Credit default swaps


211,257



6,738



705,355



41,315Total return swaps


1,274



1,141



1,614



325Other Credit Derivatives


-



-



6,746



60Gross derivative assets/liabilities

$
14,337,425


$
749,488


$
14,621,661


$
740,481Less: Legally enforceable master netting






(672,004
)






(672,004
)Less: Cash collateral applied






(30,753
)






(30,598
)Total derivative assets and liabilities





$
46,731






$
37,879   (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives.  46




---



##### Table of Contents



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

Trading Assets-

Contract/

Trading Liabilities-Notional(1)

Derivative Contracts

Notional(1)

Derivative ContractsInterest rate contractsSwaps

$
10,059,442


$
472,860


$
9,748,704


$
471,423Futures and forwards


2,606,064



3,531



2,534,823



3,123Written options


-



-



1,461,830



46,521Purchased options


1,313,226



46,643



-



-Foreign exchange contractsSwaps


115,591



11,739



107,953



13,074Spot, futures and forwards


208,226



8,470



223,151



8,832Written options


-



-



264,836



10,859Purchased options


266,026



10,375



-



-Equity contractsSwaps


17,637



1,186



16,123



1,354Futures and forwards


41,821



2,999



33,844



2,165Written options


-



-



250,233



18,761Purchased options


240,650



15,596



-



-Commodity contractsSwaps


30,449



6,591



34,180



6,391Futures and forwards


202,571



10,369



185,109



9,612Written options


-



-



53,438



4,955Purchased options


50,372



4,750



-



-Credit derivativesPurchased protection:Credit default swaps


908,594



59,491



622,853



22,685Total return swaps


2,921



366



1,644



358Other Credit Derivatives


14,517



59



-



-Written protection:Credit default swaps


614,066



21,833



949,107



54,265Total return swaps


5,173



1,563



7,336



925Other Credit Derivatives


-



-



14,703



126Gross derivative assets/liabilities

$
16,697,346


$
678,421


$
16,509,867


$
675,429Less: Legally enforceable master netting






(602,157
)






(602,157
)Less: Cash collateral applied






(26,682
)






(38,152
)Total derivative assets and liabilities





$
49,582






$
35,120   (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives.  Trading
    revenues
    Non-trading
 47




---



##### Table of Contents



derivatives
  (dollars in millions)For the Three Months

Principal



Other

Net InterestEnded June 30, 2010

Transactions

Commissions

Revenues(1)

Profit/(Expense)

TotalInterest Rate Risk

$
122


$
24


$
20


$
99


$
265Foreign Exchange Risk


(15
)


-



-



-



(15
)Equity Risk


784



825



133



(660
)


1,082Commodity Risk


(87
)


-



2



(31
)


(116
)Credit Risk


334



10



148



346



838Total trading  related


1,138



859



303



(246
)


2,054Non-trading related


962



601



932



(805
)


1,690Total

$
2,100


$
1,460


$
1,235


$
(1,051
)

$
3,744   (dollars in millions)For the Six Months

Principal



Other

Net InterestEnded June 30, 2010

Transactions

Commissions

Revenues(1)

Profit/(Expense)

TotalInterest Rate Risk

$
889


$
41


$
27


$
183


$
1,140Foreign Exchange Risk


72



-



-



(1
)


71Equity Risk


1,276



1,600



168



(465
)


2,579Commodity Risk


62



-



1



(63
)


-Credit Risk


1,882



20



307



742



2,951Total trading  related


4,181



1,661



503



396



6,741Non-trading related


1,137



1,266



1,800



(1,672
)


2,531Total

$
5,318


$
2,927


$
2,303


$
(1,276
)

$
9,272   (dollars in millions)For the Three Months

Principal



Other

Net InterestEnded June 30, 2009

Transactions

Commissions

Revenues(1)

Profit/(Expense)

TotalInterest Rate Risk

$
(247
)

$
17


$
13


$
134


$
(83
)Foreign Exchange Risk


73



-



-



6



79Equity Risk


854



988



6



(658
)


1,190Commodity Risk


18



-



(1
)


(45
)


(28
)Credit Risk


1,393



14



334



433



2,174Total trading  related


2,091



1,019



352



(130
)


3,332Non-trading related


(3,919
)


607



445



(396
)


(3,263
)Total

$
(1,828
)

$
1,626


$
797


$
(526
)

$
69   48




---



##### Table of Contents



(dollars in millions)For the Six Months

Principal



Other

Net InterestEnded June 30, 2009

Transactions

Commissions

Revenues(1)

Profit/(Expense)

TotalInterest Rate Risk

$
1,115


$
31


$
11


$
336


$
1,493Foreign Exchange Risk


263



-



1



(6
)


258Equity Risk


1,681



1,740



29



(566
)


2,884Commodity Risk


616



-



-



(97
)


519Credit Risk


1,951



30



224



745



2,950Total trading  related


5,626



1,801



265



412



8,104Non-trading related


(1,540
)


1,205



803



(10
)


458Total

$
4,086


$
3,006


$
1,068


$
402


$
8,562  (1)
    
    Includes other income and
    other-than-temporary
    impairment losses on
    available-for-sale
    debt securities.  Derivatives
    as guarantees
  Guarantees
 49




---



##### Table of Contents



(in millions)MaximumPayout/

Less than







CarryingNotional

1 year

1 - 3 years

3 - 5 years

Over 5 years

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

$
321,124


$
27,341


$
109,854


$
107,797


$
76,132


$
14,915Non-investment
    grade(2)


598,376



59,669



204,091



186,851



147,765



26,725Total credit derivatives


919,500



87,010



313,945



294,648



223,897



41,640Other derivatives


1,731,812



540,025



380,907



271,293



539,587



73,416Total derivative contracts

$
2,651,312


$
627,035


$
694,852


$
565,941


$
763,484


$
115,056At December 31, 2009:Derivative contracts:Credit derivatives:Investment
    grade(2)

$
520,782


$
44,552


$
133,089


$
216,562


$
126,579


$
17,255Non-investment
    grade(2)


1,054,900



93,582



331,306



325,167



304,845



37,935Total credit derivatives


1,575,682



138,134



464,395



541,729



431,424



55,190Other derivatives


1,574,432



488,146



405,223



245,565



435,498



59,811Total derivative contracts

$
3,150,114


$
626,280


$
869,618


$
787,294


$
866,922


$
115,001  (1)
    
    Derivative contracts are shown
    on a gross basis prior to cash collateral or counterparty
    netting.(2)
    
    Refers to the creditworthiness
    of the underlying reference obligations.  Credit
    derivatives
  and/or
     50




---



##### Table of Contents



(in millions)MaximumPayout/

Less than







CarryingNotional

1 year

1 - 3 years

3 - 5 years

Over 5 years

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

$
874,352


$
81,747


$
283,402


$
281,859


$
227,344


$
37,299Credit derivatives sold


911,528



86,751



313,180



294,053



217,544



39,061At December 31, 2009:Credit derivatives purchased

$
1,506,782


$
130,297


$
432,550


$
511,298


$
432,637


$
49,225Credit derivatives sold


1,555,077



135,686



463,129



540,713



415,549



50,609  (1)
    
    Derivative contracts are shown
    on a gross basis prior to cash collateral or counterparty
    netting.  Other
    derivative contracts
      Credit
    risk management of derivatives
     51




---



##### Table of Contents



ASC 210-20, Balance Sheet-Offsetting
    Mark-to-market mark-to-market
    Credit-risk
    related contingent features
   52




---



##### Table of Contents



and/or
 Note 7.  Securities Financing Transactions    non-U.S. government Rule 15c3-3
     53




---



##### Table of Contents



(dollars in millions)June 30, 2010


December 31,
    2009Trading asset categoryEquities and convertible debentures

$
10,243



$
7,647Corporate debt and preferred stock


6,011




10,398U.S. Government and agencies


3,198




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


2,732




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


597




4,236Municipals and money markets


-




8Total

$
22,781



$
25,530        Note 8.  Investment Securities
    
    Investments within the scope of Investment Accounting that are
    held by ML & Co. and certain of its non-broker-dealer
    subsidiaries consist of:  
    Debt securities, including debt
    held-for-investment
    and liquidity and collateral management purposes that are
    classified as
    available-for-sale,
    and debt securities that Merrill Lynch intends to hold until
    maturity;
    Marketable equity securities, which are generally classified as
    available-for-sale.  
    Non-qualifying investments are those that are not within the
    scope of Investment Accounting and consist principally of equity
    investments, including investments in partnerships and joint
    ventures. Included in non-qualifying investments are investments
    accounted for under the equity method of accounting, which
    consist of investments in (i) partnerships and certain
    limited liability corporations where Merrill Lynch has more than
    a minor influence (generally defined as three to five percent
    interest) and (ii) corporate entities where Merrill Lynch
    has the ability to exercise significant influence over the
    investee (generally defined as ownership and voting interest of
    20% to 50%). Also included in non-qualifying investments are
    private equity investments and investments in real estate VIEs
    held by consolidated investment companies that Merrill Lynch
    holds for capital appreciation
    and/or
    current income and which are accounted for at fair value in
    accordance with the Investment 54




---



##### Table of Contents



Company Guide, as well as private equity investments accounted
    for at fair value under the fair value option election. The
    carrying value of such private equity investments reflects
    expected exit values based upon market prices or other valuation
    methodologies, including market comparables of similar companies
    and discounted expected cash flows.  available-for-sale
  (dollars in millions)June 30, 2010


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

$
1,734



$
16,818Held-to-maturity


252




246Non-qualifying(2)


22,209




21,301Total

$
24,195



$
38,365  (1)
    
    The amount at December 31,
    2009 includes $5.5 billion of investment securities
    reported in cash and securities segregated for regulatory
    purposes or deposited with clearing organizations.(2)
    
    Investments that are
    non-qualifying for Investment Accounting purposes, primarily
    equity investments, which includes Merrill Lynchs
    investment in BlackRock, Inc.  other-than-temporary-impairment other-than-temporary available-for-sale Other-than-temporary available-for-sale
  other-than-temporary year-to-date
    (dollars in millions)June 30, 2010Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

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

$
738


$
5


$
-


$
743Non-agency


1,055



94



(158
)


991Total


1,793



99



(158
)


1,734Held-to-MaturityCorporate debt and municipal


252



-



-



252Total

$
2,045


$
99


$
(158
)

$
1,986   55




---



##### Table of Contents



(dollars in millions)December 31, 2009Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

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

$
14,775


$
449


$
(11
)

$
15,213Non-agency


1,952



154



(501
)


1,605Total
    Available-for-Sale
    Securities


16,727



603



(512
)


16,818Held-to-MaturityCorporate debt and municipal


246



-



-



246Total

$
16,973


$
603


$
(512
)

$
17,064   available-for-sale available-for-sale
  (dollars in millions)Less Than 1 Year

More than 1 Year

TotalUnrealized



Unrealized



UnrealizedAsset Category

Fair Value

Losses

Fair Value

Losses

Fair Value

LossesNon-agency collateralized mortgage obligations

$
126


$
(18
)

$
373


$
(140
)

$
499


$
(158
)   available-for-sale
  (dollars in millions)Available-for-Sale

Held-to-MaturityAmortized

Fair

Amortized

FairCost

Value

Cost

ValueDue in one year or less

$
476


$
474


$
-


$
-Due after one year through five years


963



930



252



252Due after five years through ten years


138



137



-



-Due after ten years


216



193



-



-Total(1)

$
1,793


$
1,734


$
252


$
252  (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. 56




---



##### Table of Contents



available-for-sale
  (dollars in millions)Three Months Ended

Six Months EndedJune 30, 2010

June 30, 2010Proceeds

$
1,400


$
14,827Gross realized gains


60



406Gross realized losses


(253
)


(255
)   Equity
    Method Investments
    (dollars in millions)Three Months Ended

Six Months EndedJune 30, 2010

June 30, 2010Revenues

$
2,032


$
4,027Operating income


697



1,351Earnings before income taxes


622



1,278Net earnings


432



855  Note 9.  Securitizations and Other Variable
    Interest Entities (VIEs)     57




---



##### Table of Contents



(dollars in millions)Opening BalanceEnding Balance Sheet

Net Increase /

SheetDecember 31,
    2009

(Decrease)

January 1, 2010AssetsTrading assets, at fair value

$
90,743


$
6,217


$
96,960Derivative assets


49,582



(2,413
)


47,169Investment securities


32,840



1,093



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


37,663



(333
)


37,330All other assets


268,367



3,287



271,654Total Assets

$
479,195


$
7,851


$
487,046LiabilitiesShort-term borrowings

$
853


$
5,013


$
5,866Trading liabilities, at fair value


30,340



-



30,340Derivative liabilities


35,120



(313
)


34,807Long-term borrowings


151,399



3,067



154,466All other liabilities


220,345



228



220,573Total Liabilities


438,057



7,995



446,052Retained earnings


4,583



(144
)


4,439All other stockholders equity


36,555



-



36,555Total Stockholders Equity


41,138



(144
)


40,994Total Liabilities and Stockholders Equity

$
479,195


$
7,851


$
487,046        58




---



##### Table of Contents



Loan
    VIEs
        (dollars in millions)Non-AgencyPrime

Subprime

Commercial MortgageJune 30,

December 31,

June 30,

December 31,

June 30,

December 31,2010

2009

2010

2009

2010

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

$
32


$
99


$
503


$
1,143


$
111


$
101Senior securities
    held(3)Trading assets

$
2


$
3


$
14


$
10


$
-


$
-Investment securities


7



-



1



-



-



-Subordinated securities
    held(3)Trading assets


-



-



18



-



-



-Investment securities


-



-



25



-



-



-Residual interests held


14



9



4



2



35



39Total retained securities

$
23


$
12


$
62


$
12


$
35


$
39Principal balance
    outstanding(4)

$
595


$
923


$
31,524


$
33,296


$
7,251


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

$
67


$
472


$
595


$
1,234


$
-


$
-Derivative contracts

$
64


$
72


$
89


$
163


$
-


$
-Loans, notes, and mortgages


-



436



1,766



1,746



-



-Other assets


3



14



93



108



-



-Total assets

$
67


$
522


$
1,948


$
2,017


$
-


$
-Long-term borrowings

$
-


$
48


$
1,391


$
1,030


$
-


$
-Derivative contracts


-



-



-



3



-



-Other liabilities


-



3



31



-



-



-Total liabilities

$
-


$
51


$
1,422


$
1,033


$
-


$
-  (1)
    
    Maximum loss exposure excludes
    liabilities for representations and warranties.(2)
    
    Maximum loss exposure at
    December 31, 2009 included servicing assets that were
    transferred to a subsidiary of Bank of America in the first
    quarter of 2010.(3)
    
    Substantially all of the
    securities were in Level 2 in the fair value
    hierarchy.(4)
    
    Principal balance outstanding
    includes those loans that Merrill Lynch transferred and with
    which it has continuing involvement.   59




---



##### Table of Contents



Municipal
    Bond Securitizations
  and/or
  and/or
   60




---



##### Table of Contents



(dollars in millions)June 30, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
4,390


$
1,482


$
5,872


$
138


$
4,971


$
5,109On-balance sheet assetsTrading assets

$
4,390


$
274


$
4,664


$
138


$
97


$
235Total

$
4,390


$
274


$
4,664


$
138


$
97


$
235On-balance sheet liabilitiesDerivative contracts

$
-


$
-


$
-


$
2


$
287


$
289Short-term borrowings


4,603



-



4,603



-



-



-Total

$
4,603


$
-


$
4,603


$
2


$
287


$
289Total assets of VIEs

$
4,390


$
1,599


$
5,989


$
138


$
5,264


$
5,402          61




---



##### Table of Contents



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

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
2,429


$
3,376


$
5,805


$
2,449


$
5,942


$
8,391On-balance sheet assetsTrading assets

$
2,898


$
483


$
3,381


$
2,785


$
700


$
3,485Derivative contracts


-



1,103



1,103



-



2,085



2,085Other assets


3



129



132



-



166



166Total

$
2,901


$
1,715


$
4,616


$
2,785


$
2,951


$
5,736On-balance sheet liabilitiesDerivative contracts

$
10


$
23


$
33


$
-


$
801


$
801Long-term borrowings


3,031



-



3,031



2,753



-



2,753Total

$
3,041


$
23


$
3,064


$
2,753


$
801


$
3,554Total assets of VIEs

$
2,901


$
45,318


$
48,219


$
2,785


$
51,017


$
53,802      62




---



##### Table of Contents



Customer
    Vehicles
      (dollars in millions)June 30, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
3,160


$
3,268


$
6,428


$
277


$
7,681


$
7,958On-balance sheet assetsTrading assets

$
1,802


$
70


$
1,872


$
183


$
243


$
426Derivative contracts


-



935



935



78



3,354



3,432Loans, notes, and mortgages


-



-



-



-



65



65Other assets


2,247



16



2,263



16



-



16Total

$
4,049


$
1,021


$
5,070


$
277


$
3,662


$
3,939On-balance sheet liabilitiesDerivative contracts

$
-


$
46


$
46


$
-


$
205


$
205Short-term borrowings


18



-



18



22



-



22Long-term borrowings


2,309



-



2,309



50



74



124Other liabilities


-



133



133



-



681



681Total

$
2,327


$
179


$
2,506


$
72


$
960


$
1,032Total assets of VIEs

$
4,049


$
5,519


$
9,568


$
277


$
10,387


$
10,664  63




---



##### Table of Contents



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

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
1,767


$
2,054


$
3,821


$
1,342


$
278


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

$
192


$
-


$
192


$
86


$
-


$
86Derivative contracts


-



249



249



-



21



21Investment securities


1,742



88



1,830



-



-



-Loans, notes, and mortgages


290



1,736



2,026



313



257



570Other assets


339



18



357



1,093



-



1,093Total

$
2,563


$
2,091


$
4,654


$
1,492


$
278


$
1,770On-balance sheet liabilitiesDerivative contracts

$
-


$
9


$
9


$
-


$
127


$
127Long-term borrowings


20



74



94



32



-



32Other liabilities


935



-



935



78



-



78Total

$
955


$
83


$
1,038


$
110


$
127


$
237Total assets of
    VIEs(1)

$
2,563


$
5,741


$
8,304


$
1,492


$
776


$
2,268  (1)
    
    In prior periods,
    unconsolidated real estate vehicles were generally considered
    VREs because they had sufficient equity to finance their
    operations when they were initially established. As such, most
    of these entities were not included in the December 31,
    2009 unconsolidated information. 64




---



##### Table of Contents



Other
    Transactions
   Note 10. Loans, Notes, Mortgages and Related Commitments
    to Extend Credit    
    Consumer loans, which are substantially secured, including
    residential mortgages, home equity loans, and other loans to
    individuals for household, family, or other personal
    expenditures; and
    Commercial loans including corporate and institutional loans
    (including corporate and financial sponsor, non-investment grade
    lending commitments), commercial mortgages, asset-based loans,
    small- and middle-market business loans, and other loans to
    businesses. 65




---



##### Table of Contents



(dollars in millions)Loans

Commitments(1)June 30,

December 31,

June 30,

December 31,2010

2009

2010(2)(3)

2009Consumer:Mortgages

$
3,959


$
4,700


$
155


$
167Other


8,465



8,969



21



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


10,365



11,105



5,978



6,187Non-investment grade


9,841



12,922



3,509



4,17032,630



37,696



9,663



10,544Allowance for loan losses


(54
)


(33
)


-



-Reserve for lending-related
    commitments(4)


-



-



(574
)


(825
)Total, net

$
32,576


$
37,663


$
9,089


$
9,719  (1)
    
    Commitments are outstanding as
    of the date the commitment letter is issued and are comprised of
    closed and contingent commitments. Closed commitments represent
    the unfunded portion of existing commitments available for draw
    down. Contingent commitments are contingent on the borrower
    fulfilling certain conditions or upon a particular event, such
    as an acquisition. A portion of these contingent commitments may
    be syndicated among other lenders or the counterparty may
    replace the commitment with capital markets funding.(2)
    
    See Note 14 for a maturity
    profile of these commitments.(3)
    
    In addition to the loan
    origination commitments included in the table above, Merrill
    Lynch had agreements to purchase $700 million of loans
    that, upon settlement of the commitment, will be classified in
    loans held for investment or loans held for sale. See
    Note 14 for additional information.(4)
    
    Amounts are included within
    other payables on the Condensed Consolidated Balance
    Sheets.    (dollars in millions)Six Months Ended

Six Months EndedJune 30, 2010

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

$
33


$
-Provision for loan losses


81



237Charge-offs


(62
)


-Recoveries


-



4Net (charge-offs)/recoveries


(62
)


4Other


2



1Allowance for loan losses, at end of period

$
54


$
242  (1)
    
    The allowance for loan losses
    as of December 26, 2008 was eliminated as of
    January 1, 2009 as a result of purchase accounting
    adjustments.   66




---



##### Table of Contents



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


20
%Greater than one year and less than or equal to five years


70Greater than five years


10Total net credit default protection


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

Notional

PercentAA

$
(465
)


15.4
%A


(1,042
)


34.6BBB


(620
)


20.6BB


(384
)


12.7B


(299
)


9.9CCC and below


(184
)


6.1NR


(21
)


0.7Total net credit default protection

$
(3,015
)


100.0
%  (1)
    
    Merrill Lynch considers ratings
    of BBB- or higher to meet the definition of investment
    grade. Note 11. Goodwill and
    Intangible Assets  Goodwill
  Intangibles 
    Goodwill and Other
 67




---



##### Table of Contents



Intangible
    Assets
  Property, Plant and Equipment
     Note 12. Borrowings and Deposits  and/or
   68




---



##### Table of Contents



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


December 31,2010


2009Senior debt

$
74,088



$
87,046Senior structured notes


40,309




49,187Subordinated debt


11,174




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


3,563




3,552Other subsidiary financing


1,592




969Debt issued by consolidated VIEs


11,372




3,935Total

$
142,098



$
155,804  69




---



##### Table of Contents



(dollars in millions)June 30,


December 31,2010


2009Short-term borrowingsOther unsecured short-term borrowings

$
2,180



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


4,621




22Total

$
6,801



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

$
68,426



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


56,541




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


16




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


6,751




3,913Total

$
131,734



$
151,399DepositsNon-U.S.

$
12,961



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


December 31,2010


2009Short-term borrowings


0.4
%



2.0
%Long-term borrowings


3.7




3.7Junior subordinated notes (related to trust preferred securities)


6.9




6.9    70




---



##### Table of Contents



Long-Term
    Borrowings
    (dollars in millions)Amount


Percentage of TotalLess than 1 year

$
24,407




19
%1  2 years


21,360




162  3 years


17,049




133  4 years


19,073




144  5 years


8,707




7Greater than 5 years


41,138




31Total

$
131,734




100
%          Note 13. Stockholders Equity and Earnings Per
    Share  Preferred
    Equity
   71




---



##### Table of Contents



Common
    Stock
    Earnings
    Per Share
   Note 14. Commitments, Contingencies and Guarantees  Litigation
    and/or and/or
      Form 10-Q, Form 10-Q
 72




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##### Table of Contents



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

1 - 3

3 - 5

Over 5Total

1 year

years

years

yearsLending commitments

$
9,663


$
2,008


$
6,071


$
1,416


$
168Purchasing and other commitments


6,651



3,464



1,432



711



1,044Operating leases


3,174



717



1,204



597



656Commitments to enter into forward dated resale and securities
    borrowing agreements


86,836



86,836



-



-



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


56,216



56,216



-



-



-Total

$
162,540


$
149,241


$
8,707


$
2,724


$
1,868   Lending
    Commitments
     73




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##### Table of Contents



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

Less than 1







CarryingPayout

year

1 - 3 years

3 - 5 years

Over 5 years

ValueStandby liquidity facilities

$
1,253


$
595


$
3


$
630


$
25


$
-Residual value guarantees


415



-



95



320



-



-Standby letters of credit and other guarantees


24,627



787



182



55



23,603



145  74




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##### Table of Contents



Standby
    Liquidity Facilities
    Auction
    Rate Security (ARS) Guarantees
  not-for-profit,
  Residual
    Value Guarantees
    Standby
    Letters of Credit and Other Guarantees
       75




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##### Table of Contents



Note 15. Employee Benefit
    Plans
    Defined
    Benefit Pension Plans
      (dollars in millions)Three Months Ended June 30, 2010

Six Months Ended June 30, 2010U.S. Plans

Non-U.S. Plans

Total

U.S. Plans

Non-U.S. Plans

TotalService cost

$
-


$
7


$
7


$
-


$
14


$
14Interest cost


28



20



48



53



40



93Expected return on plan assets


(34
)


(22
)


(56
)


(69
)


(44
)


(113
)Amortization of net actuarial (gains)/losses


1



-



1



1



-



1Total defined benefit pension cost

$
(5
)

$
5


$
-


$
(15
)

$
10


$
(5
)   76




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##### Table of Contents



(dollars in millions)Three Months Ended June 30, 2009

Six Months Ended June 30, 2009U.S. Plans

Non-U.S. Plans

Total

U.S. Plans

Non-U.S. Plans

TotalService cost

$
-


$
7


$
7


$
-


$
13


$
13Interest cost


24



18



42



49



35



84Expected return on plan assets


(37
)


(18
)


(55
)


(74
)


(35
)


(109
)Total defined benefit pension cost

$
(13
)

$
7


$
(6
)

$
(25
)

$
13


$
(12
)   non-U.S. defined
  Postretirement
    Benefits Other Than Pensions
   Note 16. Regulatory Requirements    non-U.S. subsidiaries
  Securities
    Regulation
  Rule 15c3-1, Rule 15c3-1. Rule 15c3-1
     77




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##### Table of Contents



Banking
    Regulation
   78




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##### Table of Contents



Item 2.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations  Forward-Looking
    Statements and Non-GAAP Financial Measures
  Form 10-K Form 10-K, Form 10-Q Form 8-K.
  period-to-period
 Introduction    Bank of
    America Acquisition and Basis of Presentation
   79




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##### Table of Contents



Segment Reporting
    Form 10-Q Form 10-Q.
 80




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##### Table of Contents



Executive
    Overview
  Company
    Results
        Transactions
    with Bank of America
  Asset and
    Liability Transfers
    available-for-sale
   81




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##### Table of Contents



Sale of
    U.S. Banks to Bank of America
      Acquisition
    of BAI from Bank of America
  ASC 805-10, Business Combinations
 82




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##### Table of Contents



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


% Change between theThree Months Ended


Six Months EndedThree Months


Six Months


Three Months


Six Months


June 30, 2010 and


June 30, 2010 andEnded


Ended


Ended


Ended


the Three Months


the Six MonthsJune 30,


June 30,


June 30,


June 30,


Ended June 30,


Ended June 30,2010


2010


2009


2009


2009


2009RevenuesPrincipal transactions


$
2,100



$
5,318



$
(1,828
)


$
4,086




N/M




30
%Commissions



1,460




2,927




1,626




3,006




(10
)%



(3
)Managed account and other fee-based revenues



1,161




2,212




1,064




2,220




9




-Investment banking



716




1,383




862




1,468




(17
)



(6
)Earnings from equity method investments



96




377




54




94




78




301Other(1)



1,235




2,303




797




1,068




55




116Subtotal



6,768




14,520




2,575




11,942




163




22Interest and dividend revenues



1,002




2,817




2,443




6,826




(59
)



(59
)Less interest expense



2,053




4,093




2,969




6,424




(31
)



(36
)Net interest (expense)/profit



(1,051
)



(1,276
)



(526
)



402




100




N/MRevenues, net of interest expense



5,717




13,244




2,049




12,344




179




7Non-interest expenses:Compensation and benefits



3,476




7,320




3,411




6,689




2




9Communications and technology



460




922




498




897




(8
)



3Occupancy and related depreciation



318




623




314




585




1




6Brokerage, clearing, and exchange fees



262




542




260




532




1




2Advertising and market development



94




179




55




161




71




11Professional fees



177




321




153




255




16




26Office supplies and postage



34




77




38




80




(11
)



(4
)Other



671




1,102




506




957




33




15Total non-interest expenses



5,492




11,086




5,235




10,156




5




9Pre-tax earnings/(loss)



225




2,158




(3,186
)



2,188




N/M




(1
)Income tax (benefit)/expense



(135
)



529




(1,145
)



479




(88
)



10Net earnings/(loss)


$
360



$
1,629



$
(2,041
)


$
1,709




N/M




(5
)Preferred stock dividends



38




76




38




53




-




43Net earnings/(loss) applicable to common stockholder


$
322



$
1,553



$
(2,079
)


$
1,656




N/M




(6
)   (1)
    
    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 $123 million
    for the three and six months ended June 30, 2010, and were
    $294 million for the three and six months ended
    June 30, 2009. N/M = Not meaningful.
  Quarterly
    Consolidated Results of Operations
     83




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##### Table of Contents



84




---



##### Table of Contents



available-for-sale
          Year-to-Date
    Consolidated Results of Operations
   85




---



##### Table of Contents



Off-Balance Sheet
    Exposures    ExpirationLess than

1-3

3-5

Over 5(dollars in millions)

Total

1 Year

Years

Years

YearsStandby liquidity facilities

$
1,253


$
595


$
3


$
630


$
25Residual value guarantees


415



-



95



320



-Standby letters of credit and other guarantees


24,627



787



182



55



23,603  86




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##### Table of Contents



Standby
    Liquidity Facilities
    Auction
    Rate Security (ARS) Guarantees
  not-for-profit,
  Residual
    Value Guarantees
    Standby
    Letters of Credit and Other Guarantees
       87




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##### Table of Contents



Derivatives
  off-balance
  Involvement
    with VIEs
     
    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. 88




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##### Table of Contents




    Conduits:  Generally, entities that issue
    commercial paper and subordinated capital, purchase assets, and
    enter into total return swaps or repurchase agreements with
    higher-rated counterparties, particularly banks. Conduits
    generally have a liquidity
    and/or
    credit facility to further enhance the credit quality of the
    commercial paper issuance. A single seller conduit will execute
    total return swaps, repurchase agreements, and liquidity and
    credit facilities with one financial institution. A multi-seller
    conduit will execute total return swaps, repurchase agreements,
    and liquidity and credit facilities with numerous financial
    institutions. Funding and
    Liquidity  Funding
    Credit
    Ratings
     89




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##### Table of Contents



and/or
  and/or
  Liquidity
    Risk
   90




---



##### Table of Contents



Item 3.
    Quantitative
    and Qualitative Disclosures About Market Risk    Item 4.
    Controls
    and Procedures  Rule 13a-15(e)
  Rule 13a-15(f)
 91




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##### Table of Contents



PART II 
    Other Information  Item 1.
    Legal
    Proceedings  Legal and
    Regulatory Matters
  Form 10-K Form 10-Q
  Adelphia
    Litigation
    Benistar
    Illinois
    Funeral Directors Association Matters
  Calvert
    Funeral Homes Ltd., et al. v. Robert W. Ninker, et al.
  Fred C. Dames Funeral Homes, Inc., et al., v.
    Daniel W. Hynes, the Illinois Office of the Comptroller, et
    al.
  David
    Tipsword as Trustee of Mildred E. Tipsword Trust, individually
    and on behalf of all others similarly situated v. I.F.D.A.
    Services Inc., et al.
  Charles F.
    Kurrus, III, P.C. v. Merrill Lynch, Pierce,
    Fenner & Smith, Inc., et al.
 92




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##### Table of Contents



IndyMac
  successor-in-interest
  Lehman
    Brothers Litigation
    Municipal
    Derivatives Litigation
  In re Municipal Derivatives Antitrust Litigation In re Municipal Derivatives
    Antitrust Litigation
  In re
    Municipal Derivatives Litigation.
  Region of
    Puglia, Italy Criminal Investigation
    Subprime
    Mortgage-Related Litigation
  In re Merrill Lynch & Co., Inc. Securities,
    Derivative, and ERISA Litigation
    Connecticut Carpenters Pension Fund, et al. v. Merrill
    Lynch & Co., Inc., et al.; Iron Workers Local
    No. 25 Pension Fund v. Credit-Based Asset Servicing
    and Securitization LLC, et al.; Public Employees Ret.
    System of Mississippi v. Merrill Lynch & Co.
    Inc.; Wyoming State Treasurer v. Merrill Lynch &
    Co. Inc
   93




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##### Table of Contents



Federal
    Home Loan Bank of San Francisco Litigation
  Federal Home Loan Bank of San Francisco
  Federal
    Home Loan Bank of Seattle Litigation
  Federal Home Loan Bank of Seattle
  Tribune
    PHONES Litigation
    Item 1A.
    Risk
    Factors    The Financial Reform Act may significantly and negatively
    impact our revenues and earnings.
       94




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##### Table of Contents



Item 6.
    Exhibits   95




---



##### Table of Contents



SIGNATURES    Merrill Lynch &
    Co., Inc.
  By:
    /s/  ROBERT
    QUTUB     By:
    /s/  THOMAS
    W. PERRY      96




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##### 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**
    
    Furnished herewith 97