================================================================================
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                             ----------------------

                                    FORM 10-K
                      ANNUAL REPORT PURSUANT TO SECTION 13
                 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
                 -----------------------------------------------
                   For the fiscal year ended December 29, 2000

                     MERRILL LYNCH PREFERRED CAPITAL TRUST I
       (Exact name of Registrant as specified in its certificate of trust)

                         COMMISSION FILE NO.: 1-7182-01

          Delaware                                          13-7102991
(State or other jurisdiction               (I.R.S. Employer Identification No.)
of incorporation or organization)

  4 World Financial Center
    New York, New York                                        10080
(Address of principal executive offices)                    (Zip Code)

Registrant's telephone number, including area code:     (212) 449-1000

           SECURITIES REGISTERED PURSUANT TO SECTION12(B) OF THE ACT:

Title of each class                Name of each  exchange  on which  registered
-------------------                --------------------------------------------
7-3/4%  Trust Originated                 New York Stock  Exchange
Preferred Securities ("TOPrS")
(and the related guarantee)

        SECURITIES REGISTERED PURSUANT TO SECTION 12(G) OF THE ACT: NONE

                     MERRILL LYNCH PREFERRED FUNDING I, L.P.
                 (Exact name of Registrant as specified in its
                      certificate of limited partnership)

                         COMMISSION FILE NO.: 1-7182-02

      Delaware                                          13-3917686
(State or other jurisdiction                (I.R.S. Employer Identification No.)
of incorporation or organization)

     4 World Financial Center
       New York, New York                                           10080
(Address of principal executive offices)                          (Zip Code)

Registrant's telephone number, including area code:             (212) 449-1000

       SECURITIES  REGISTERED PURSUANT TO SECTION 12(B) OF THE ACT:

Title of each class                  Name of each exchange on which registered
-------------------                  -----------------------------------------
7-3/4% Partnership Preferred            New York Stock Exchange
Securities (and the related
guarantee)

        SECURITIES REGISTERED PURSUANT TO SECTION 12(G) OF THE ACT: NONE

Indicate  by check mark  whether  the  Registrants  (1) have  filed all  reports
required to be filed by Section 13 or 15(d) of the  Securities  Exchange  Act of
1934  during  the  preceding  12 months  (or for such  shorter  period  that the
Registrants  were required to file such  reports),  and (2) have been subject to
such requirements for the past 90 days. Yes |X| No |_|

Indicate by check mark if disclosure of delinquent  filers  pursuant to Item 405
of Regulation  S-K is not contained  herein,  and will not be contained,  to the
best  of  the  Registrants'   knowledge,  in  definitive  proxy  or  information
statements  incorporated  by  reference  in Part  III of this  Form  10-K or any
amendment to this Form 10-K. |X|

As of March 28,  2001,  no  voting  stock  was  held  by  non-affiliates  of the
Registrants.

<PAGE>
                      Documents Incorporated By Reference:

Prospectus,  dated  December  11,  1996,  filed  pursuant to Rule 424(b) in
connection with Registration  Statement on Form S-3 (No. 333-16603) filed by the
Registrants and Merrill Lynch & Co., Inc.--  Incorporated by reference in Part I
================================================================================



                                     PART I
                                     ------

ITEM 1.  BUSINESS
         --------

         Merrill Lynch Preferred Capital Trust I
         ---------------------------------------

         Merrill  Lynch  Preferred  Capital Trust I (the "Trust") is a statutory
business  trust  formed  under the  Delaware  Business  Trust Act,  as  amended,
pursuant to a declaration of trust and the filing of a certificate of trust with
the Secretary of State on November 20, 1996, which was  subsequently  amended by
an amended and restated  declaration of trust dated as of December 11, 1996. The
Trust  exists  for the  exclusive  purposes  of (i)  issuing  trust  securities,
consisting of 7-3/4% Trust  Originated  Preferred  Securities  (the "TOPrS") and
trust common securities (the "Trust Common Securities"),  representing undivided
beneficial  ownership  interests in the assets of the Trust,  (ii) investing the
gross  proceeds  of  the  trust  securities  in  7-3/4%  Partnership   Preferred
Securities  (the  "Partnership  Preferred  Securities")  issued by Merrill Lynch
Preferred Funding I, L.P. (the "Partnership"),  and (iii) engaging in only those
other activities necessary or incidental thereto.

         Merrill Lynch Preferred Funding I, L.P.
         ---------------------------------------

         The  Partnership  is a limited  partnership  formed  under the Delaware
Revised Uniform Limited Partnership Act, as amended, pursuant to an agreement of
limited  partnership and the filing of a certificate of limited partnership with
the Secretary of State on November 20, 1996, which was  subsequently  amended by
an amended and restated  agreement  of limited  partnership  dated  December 17,
1996.  Merrill Lynch & Co., Inc. (the  "Company") is the sole general partner of
the  Partnership.  The  Partnership is managed by the general partner and exists
for the exclusive purposes of (i) issuing its partnership interests,  consisting
of  the  Company's  general  partner  interest  and  the  Partnership  Preferred
Securities,  (ii) investing the proceeds thereof in certain eligible  securities
of the Company and wholly  owned  subsidiaries  of the Company  (the  "Affiliate
Investment  Instruments")  and  certain  eligible  debt  securities,  and  (iii)
engaging in only those other activities necessary or incidental thereto.

         The information  set forth under the headings  "Merrill Lynch Preferred
Capital Trust I", "Merrill Lynch Preferred Funding I, L.P.", "Description of the
Trust Preferred Securities",  "Description of the Trust Guarantee", "Description
of the  Partnership  Preferred  Securities",  "Description  of  the  Partnership
Guarantee",  and "Use of Proceeds" in the Prospectus dated December 11, 1996, of
the Trust and the Partnership is incorporated by reference herein.

ITEM 2.  PROPERTIES
         ----------

         Not Applicable.

ITEM 3.  LEGAL PROCEEDINGS
         -----------------

         The  Registrants  know of no material legal  proceedings  involving the
Trust, the Partnership or the assets of either of them.

ITEM 4.  SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
         ---------------------------------------------------

         No matter was  submitted to a vote of holders of any  securities of the
Trust or the Partnership during the fiscal year covered by this report.
<PAGE>


                                     PART II
                                     -------

ITEM 5.  MARKET FOR REGISTRANTS' COMMON EQUITY AND RELATED STOCKHOLDER MATTERS
         ---------------------------------------------------------------------

         (a) There is no  established  public market for the Trust Common
Securities or the general  partnership  interest in the Partnership.

         (b)  All  of  the  Trust  Common  Securities  and  the  entire  general
partnership  interest in the Partnership are owned of record and beneficially by
the Company.

         (c) The Company, as holder of the Trust Common Securities,  is entitled
to receive cumulative cash distributions accumulating from December 17, 1996 and
payable  quarterly  in  arrears  on each  March 30,  June 30,  September  30 and
December 30,  commencing  December 30, 1996,  at an annual rate of 7-3/4% of the
liquidation  amount per annum.  Distributions  not paid on the scheduled payment
date will accumulate and compound quarterly at a rate per annum equal to 7-3/4%.
The certificate of limited  partnership of the Partnership  does not require any
regular periodic  distributions to be made to the general partner;  however,  to
the  extent  that  aggregate  payments  to  the  Partnership  on  the  Affiliate
Investment   Instruments  and  on  certain   eligible  debt  securities   exceed
distributions  accumulated or payable with respect to the Partnership  Preferred
Securities,  the  Partnership  may at times have  excess  funds  which  shall be
allocated to and may, in the general  partner's sole discretion,  be distributed
to the general partner.

ITEM 6.  SELECTED FINANCIAL DATA
         -----------------------

         The Registrants' activities are limited to issuing securities and
investing the proceeds as described in ITEM 1. -- Business,  above. Accordingly,
the  financial  statements  included herein in response to ITEM 8. -- Financial
Statements and Supplementary Data are incorporated by reference in response to
this item.

ITEM 7.  MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
         -----------------------------------------------------------------------
         OF OPERATIONS
         -------------

         The Registrants' activities are limited to issuing securities and
investing the proceeds as described in ITEM 1. -- Business,  above. Since the
Trust was organized on November 20, 1996,  its  activities,  as specified in its
declaration  of trust,  have been  limited to the  issuance of the TOPrS and the
Trust  Common  Securities,  the  investing  of the  proceeds in the  Partnership
Preferred  Securities,  and the  payment of  distributions  on the TOPrS and the
Trust Common  Securities in accordance  with their terms.  Since the Partnership
was  organized  on November  20,  1996,  its  activities,  as  specified  in its
agreement  of limited  partnership,  have been  limited to the  issuance  of the
Partnership Preferred Securities, the receipt of a capital contribution from the
Company,  as general  partner,  the  investment  of the  proceeds  in  Affiliate
Investment Instruments and certain eligible debt securities,  and the payment of
distributions on the Partnership Preferred Securities.

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK
         ---------------------------------------------------------

         On December 17, 1996,  the Trust  invested the gross  proceeds from the
sale of the Trust Common  Securities and the TOPrS in the Partnership  Preferred
Securities (the "Trust Assets"). The Partnership, in turn, invested the proceeds
from the sale of the Partnership Preferred Securities and a capital contribution
from  ML  &  Co.  in  certain  Affiliate  Investment  Instruments  and  eligible
securities (the "Partnership  Assets").  To the extent the Partnership has funds
available from the  Partnership  Assets,  the general partner of the Partnership
may declare  distributions to the Trust, as holder of the Partnership  Preferred
Securities. The Trust's ability to pay distributions to the holders of the TOPrS
is  dependent  on its  receipt of  distributions  on the Trust  Assets  from the
Partnership. Therefore, upon the receipt by the Partnership of payments from the
Partnership  Assets and the  distribution  thereof to the Trust,  the Trust will
pass through such payments to the holders of the TOPrS.

ITEM 8.  FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
         -------------------------------------------

         In response to this ITEM 8, the financial  statements and notes thereto
and the  independent  auditors'  reports set forth on pages F-1 through F-15 are
incorporated by reference herein.

<PAGE>


ITEM 9.  CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND
         ---------------------------------------------------------------
         FINANCIAL DISCLOSURES
         ----------------------

         None.





                                    PART III
                                    --------

ITEM 10. DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
         --------------------------------------------------

         The Trustees of the Trust are as follows:

                  Regular Trustees:         John C. Stomber
                                            Stanley Schaefer

                  Property Trustee:         The Chase Manhattan Bank

                  Delaware Trustee:         Chase Manhattan Bank Delaware

        Stanley  Schaefer is Senior  Director of Corporate  Tax for the Company
and has served in that  capacity  or another  capacity  with the Company for the
last five years.  John C. Stomber is Senior Vice  President and Treasurer of the
Company.  Mr.  Stomber  joined the  Company in March  1999.  Mr.  Stomber was an
employee of Deutsche  Bank from 1991 to March 1999,  serving as Deutsche  Bank's
Treasurer for the Americas Region starting in 1996.

         With the exception of Mr.  Stomber,  each Trustee has served since the
Trust was organized on November 20, 1996. Mr. Stomber has served since September
30, 1999.  The Trustees  serve at the pleasure of the Company,  as the holder of
the Trust Common Securities.

         The Partnership has no directors or executive officers.

ITEM 11. EXECUTIVE COMPENSATION
         ----------------------

         Neither the Trust nor the  Partnership has any executive  officers.  No
employee  of the  Company  receives  any  compensation  for serving as a Regular
Trustee or acting in any capacity for the Trust or the Partnership separate from
his or her compensation as an employee of the Company.

ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
         --------------------------------------------------------------

         The  information  in ITEM 1. --  Business  and  ITEM 5. --  Market  for
Registrants'  Common  Equity and Related  Stockholder  Matters  with  respect to
ownership  of the Trust  Common  Securities  is  incorporated  by  reference  in
response to this item.

ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
         ----------------------------------------------

         None.

<PAGE>

                                     PART IV
                                     -------

ITEM 14. EXHIBITS, FINANCIAL STATEMENT SCHEDULES AND REPORTS ON FORM 8-K
         ---------------------------------------------------------------

(a)      Documents filed as part of this Report:


         1.       Financial Statements

                  The contents of the  financial  statements  are listed on page
         F-1 hereof, and the financial  statements and accompanying  independent
         auditors' reports appear on pages F-2 through F-15.



         2.       Financial Statement Schedules

         None.

         3.       Exhibits

                  Certain of the  following  exhibits were  previously  filed as
         exhibits  to other  reports  or  registration  statements  filed by the
         Registrants and are incorporated herein by reference to such reports or
         registration  statements  as  indicated  parenthetically  below  by the
         appropriate report reference date or registration statement number.

         4.1      Certificate of Trust dated November 20, 1996, of the Trust
                  (incorporated by reference to Exhibit 4.1 to Registration
                  Statement on Form S-3 (No. 333-16603) (the "Registration
                  Statement"))

         4.2      Amended and Restated  Declaration of Trust of the Trust, dated
                  as of December 11, 1996  (incorporated by reference to Exhibit
                  4.2 to the Trust's  Annual  Report on Form 10-K for the fiscal
                  year ended December 27, 1996 (File No.
                  1-7182-01))

         4.3      Certificate of Limited Partnership,  dated as of November 20,
                  1996, of the Partnership  (incorporated by reference to
                  Exhibit 4.3 to Registration Statement)

         4.4      Amended and Restated  Agreement of Limited  Partnership of the
                  Partnership  (incorporated  by reference to Exhibit 4.4 to the
                  Partnership's  Annual  Report on Form 10-K for the fiscal year
                  ended December 27, 1996 (File No. 1-7182-02))

         4.5      Form of Trust Preferred Securities Guarantee Agreement between
                  the Company and The Chase Manhattan Bank, as guarantee trustee
                  (incorporated  by reference to Exhibit 4.5 to the Registration
                  Statement)

         4.6      Form of Partnership  Preferred  Securities Guarantee Agreement
                  between the Company and The Chase Manhattan Bank, as guarantee
                  trustee  (incorporated  by  reference  to  Exhibit  4.6 to the
                  Registration Statement)

         4.7      Form of Subordinated  Debenture  Indenture between the Company
                  and The Chase  Manhattan  Bank,  as trustee  (incorporated  by
                  reference to Exhibit 4.7 to the Registration Statement)

         4.8      Form of Affiliate  Debenture  Guarantee  Agreement between the
                  Company and The Chase  Manhattan  Bank,  as guarantee  trustee
                  (incorporated  by reference to Exhibit 4.8 to the Registration
                  Statement)

         4.9      Form of Trust Preferred Security (included in Exhibit 4.2
                  above)

         4.10     Form of Partnership Preferred Security (included in Exhibit
                  4.4 above)

         4.11     Form of Subordinated Debenture (incorporated by reference to
                  Exhibit 4.11 to the Registration Statement)

         12*      Computation of Ratios of Earnings to Combined Fixed Charges
                  and Preferred Securities Distributions

         23*      Consent of Deloitte & Touche LLP

         24*      Powers of Attorney


(b)      Reports on Form 8-K

         None.

---------------

* Filed herewith



<PAGE>


                          INDEX TO FINANCIAL STATEMENTS
                          -----------------------------

                                  ITEM 14(a)(1)

FINANCIAL STATEMENTS                                                      PAGE
--------------------                                                      ----

MERRILL LYNCH PREFERRED CAPITAL TRUST I

     Balance Sheets, December 29, 2000 and December 31, 1999               F-2

     Statements of Earnings, Years Ended December 29, 2000,
           December 31, 1999, and December 25, 1998                        F-3

     Statements of Changes in  Stockholders' Equity,  Years
           Ended  December 29, 2000, December 31, 1999,
           and December 25, 1998                                           F-4

     Statements of Cash Flows, Years Ended December 29, 2000,
           December 31, 1999, and December 25, 1998                        F-5

     Notes to Financial Statements                                         F-6

     Independent Auditors' Report                                          F-8


MERRILL LYNCH PREFERRED FUNDING I, L.P.

     Balance Sheets, December 29, 2000 and December 31, 1999               F-9

     Statements of Earnings, Years Ended December 29, 2000,
           December 31, 1999, and December 25, 1998                        F-10

     Statements of Changes in Partners' Capital, Years Ended
           December 29, 2000, December 31, 1999,
           and December 25, 1998                                           F-11

     Statements of Cash Flows, Years Ended December 29, 2000,
           December 31, 1999, and December 25, 1998                        F-12

     Notes to Financial Statements                                         F-13

     Independent Auditors' Report                                          F-15



                                       F-1

<PAGE>

<TABLE>
<CAPTION>

MERRILL LYNCH PREFERRED CAPITAL TRUST I
BALANCE SHEETS
(dollars in thousands, except per security amounts)
-----------------------------------------------------------------------------------------------------------------------



                                                                                   December 29, 2000  DECEMBER 31, 1999
                                                                                   -----------------  -----------------
<S>                                                                                      <C>                <C>
ASSETS

Investment in partnership preferred securities                                            $  283,505         $  283,505

Income receivable                                                                              5,493                  -
                                                                                          ----------         ----------
Total Assets                                                                              $  288,998         $  283,505
                                                                                          ==========         ==========

LIABILITY AND STOCKHOLDERS' EQUITY

Distributions payable                                                                     $    5,493         $        -
                                                                                          ----------         ----------


Stockholders' equity:

   Preferred  securities (7 3/4% Trust Originated Preferred Securities;
      11,000,000 authorized, issued, and outstanding; $25 liquidation
      amount per security)                                                                   275,000            275,000

   Common securities (7 3/4% Trust Common Securities;
      340,208 authorized, issued, and outstanding;
      $25 liquidation amount per security)                                                     8,505              8,505
                                                                                          ----------         ----------
   Total Stockholders' equity                                                                283,505            283,505
                                                                                          ----------         ----------

Total Liability and Stockholders' Equity                                                  $  288,998         $  283,505
                                                                                          ==========         ==========
</TABLE>

See Notes to Financial Statements

                                       F-2
<PAGE>

<TABLE>
<CAPTION>

MERRILL LYNCH PREFERRED CAPITAL TRUST I
STATEMENTS OF EARNINGS
(dollars in thousands)
-------------------------------------------------------------------------------------------------------------------------------



                                                                                          FOR THE YEAR ENDED
                                                                     ----------------------------------------------------------

                                                                      DECEMBER 29, 2000   DECEMBER 31, 1999   DECEMBER 25, 1998
                                                                      -----------------   -----------------   -----------------
<S>                                                                    <C>                <C>                <C>

EARNINGS

Income on partnership preferred securities                                     $ 21,972            $ 21,972            $ 21,972
                                                                               ========            ========            ========


</TABLE>

See Notes to Financial Statements


                                       F-3
<PAGE>

<TABLE>
<CAPTION>

MERRILL LYNCH PREFERRED CAPITAL TRUST I
STATEMENTS OF CHANGES IN STOCKHOLDERS' EQUITY
(dollars in thousands)
-----------------------------------------------------------------------------------------------------------------------

                                                                                 FOR THE YEAR ENDED
                                                           ------------------------------------------------------------

                                                           DECEMBER 29, 2000    DECEMBER 31, 1999     DECEMBER 25, 1998
                                                           -----------------    -----------------     -----------------
<S>                                                              <C>                 <C>                    <C>
PREFERRED SECURITIES

Balance, beginning and end of period                              $  275,000           $  275,000            $  275,000
                                                                  ----------           ----------            ----------

COMMON SECURITIES

Balance, beginning and end of period                                   8,505                8,505                 8,505
                                                                  ----------           ----------            ----------



UNDISTRIBUTED EARNINGS

Balance, beginning of period                                               -                    -                     -
Earnings                                                              21,972               21,972                21,972
Distributions                                                        (16,479)             (21,972)              (16,479)
Distributions payable                                                 (5,493)                   -                (5,493)
                                                                  ----------           ----------            ----------
Balance, end of period                                                     -                    -                     -
                                                                  ----------           ----------            ----------


Total Stockholders' Equity                                        $  283,505           $  283,505            $  283,505
                                                                  ==========           ==========            ==========
</TABLE>

See Notes to Financial Statements

                                       F-4
<PAGE>

<TABLE>
<CAPTION>

MERRILL LYNCH PREFERRED CAPITAL TRUST I
STATEMENTS OF CASH FLOWS
(dollars in thousands)
----------------------------------------------------------------------------------------------------------------------------------

                                                                                         FOR THE YEAR ENDED
                                                                    --------------------------------------------------------------

                                                                     DECEMBER 29, 2000    DECEMBER 31, 1999      DECEMBER 25, 1998
                                                                    ------------------    -----------------      -----------------
<S>                                                                  <C>                 <C>                    <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
   Earnings                                                                  $  21,972            $  21,972              $  21,972
   (Increase) decrease  in income receivable                                    (5,493)               5,493                      -
                                                                             ---------            ---------              ---------
      Cash provided by operating activities                                     16,479               27,465                 21,972
                                                                             ---------            ---------              ---------

CASH FLOWS FROM FINANCING ACTIVITIES:
   Distributions                                                               (16,479)            (27,465)               (21,972)
                                                                             ---------            ---------              ---------
      Cash used for financing activities                                       (16,479)            (27,465)               (21,972)
                                                                             ---------            ---------              ---------

NET CHANGE IN CASH                                                                   -                    -                      -

CASH, BEGINNING OF PERIOD                                                            -                    -                      -
                                                                             ---------            ---------              ---------
CASH, END OF PERIOD                                                          $       -            $       -              $       -
                                                                             =========            =========              =========



SUPPLEMENTAL DISCLOSURE OF CASH FLOWS:

Preferred  and  common  distributions  of $5,328  and $165,  respectively,  were
accrued at  December  29, 2000 and  December  25,  1998 and  distributed  in the
following fiscal years.

</TABLE>

See Notes to Financial Statements

                                       F-5
<PAGE>



MERRILL LYNCH PREFERRED CAPITAL TRUST I
NOTES TO FINANCIAL STATEMENTS
DECEMBER 29, 2000
-------------------------------------------------------------------------------

1. ORGANIZATION AND PURPOSE

Merrill Lynch  Preferred  Capital Trust I (the "Trust") is a statutory  business
trust  formed  under the laws of the State of Delaware on November  20, 1996 for
the exclusive  purposes of (i) issuing its preferred and common  securities (the
"Trust Preferred  Securities" and the "Trust Common Securities",  respectively),
(ii) purchasing  partnership  preferred  securities (the "Partnership  Preferred
Securities"),  representing  the limited  partnership  interest of Merrill Lynch
Preferred Funding I, L.P. (the  "Partnership"),  with the proceeds from the sale
of Trust Preferred and Common Securities, and (iii) engaging in only those other
activities necessary or incidental thereto.

Merrill  Lynch  &  Co.,  Inc.  (the  "Company")  has  paid  compensation  to the
underwriters of the offering of the Trust Preferred Securities. The Company also
has  agreed to (i) pay all fees and  expenses  related to the  organization  and
operations of the Trust (including  taxes,  duties,  assessments,  or government
charges of whatever nature (other than withholding  taxes) imposed by the United
States or any other domestic  taxing  authority upon the Trust) and the offering
of the Trust  Preferred  Securities  and (ii) be  responsible  for all debts and
other  obligations of the Trust (other than with respect to the Trust  Preferred
and Common  Securities).  The Company has agreed to  indemnify  the trustees and
certain other persons.


2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

BASIS OF PRESENTATION

The financial statements are presented in accordance with accounting  principles
generally accepted in the United States of America,  which require management to
make estimates that affect reported  amounts and disclosure of  contingencies in
the  financial  statements.  As such,  actual  results  could  differ from those
estimates.

INVESTMENT

The  investment  in  Partnership   Preferred  Securities  represents  a  limited
partnership interest in the Partnership and is recorded at cost. At year end,
the fair value of the investment  approximates its carrying value. Income on the
Partnership Preferred Securities is accrued when earned.

INCOME TAXES

The Trust  does not incur any  income  tax  liabilities.  Such  liabilities  are
incurred directly by the security holders.

                                       F-6

<PAGE>

MERRILL LYNCH PREFERRED CAPITAL TRUST I
NOTES TO FINANCIAL STATEMENTS
December 29, 2000
--------------------------------------------------------------------------------


3. INVESTMENT IN PARTNERSHIP PREFERRED SECURITIES

The  Trust  holds  11,340,208  7  3/4%  Partnership  Preferred  Securities,  $25
liquidation  preference per security.  The interest payment dates and redemption
provisions of the Partnership Preferred  Securities,  which are redeemable after
December  30,  2006  at  the  option  of  the  Partnership,  correspond  to  the
distribution  payment dates and  redemption  provisions  of the Trust  Preferred
Securities.  Upon any redemption of the Partnership  Preferred  Securities,  the
Trust Preferred  Securities will be redeemed.  The Company has guaranteed,  on a
subordinated  basis,  the payment of  distributions  by the  Partnership  on the
Partnership  Preferred Securities if, as, and when declared out of funds legally
available and payments upon  liquidation of the Partnership or the redemption of
the Partnership Preferred Securities to the extent of funds legally available.


4.  STOCKHOLDERS' EQUITY

TRUST PREFERRED SECURITIES

The Trust issued 11,000,000 7 3/4% Trust Preferred  Securities,  $25 liquidation
amount per  security  in a public  offering  on  December  17,  1996.  The Trust
Preferred  Securities are redeemable on or after December 30, 2006 at the option
of the  Trust,  in whole  or in part,  at a  redemption  price  equal to $25 per
security.  Distributions  on the Trust Preferred  Securities are cumulative from
the date of original issue and are payable  quarterly if, as, and when the Trust
has funds available for payment.  Holders of the Trust Preferred Securities have
limited  voting  rights and are not  entitled  to vote to  appoint,  remove,  or
replace, or to increase or decrease the number of, trustees, which voting rights
are vested  exclusively  in the  holder of the Trust  Common  Securities.  Under
certain  circumstances,  the Trust Preferred Securities have preferential rights
to payment relative to the Trust Common Securities.

The Company has guaranteed,  on a subordinated basis, the payment in full of all
distributions and other payments on the Trust Preferred Securities to the extent
that the Trust has funds legally  available.  This guarantee and the partnership
distribution  guarantee are subordinated to all other liabilities of the Company
and rank equally with the most senior preferred stock of the Company.

TRUST COMMON SECURITIES

The Trust issued 340,208 7 3/4% Trust Common Securities,  $25 liquidation amount
per security,  to the Company on December 17, 1996. The Trust Common  Securities
are  redeemable  on or after  December  30, 2006 at the option of the Trust,  in
whole or in part, at a redemption price equal to $25 per security.

                                       F-7

<PAGE>


INDEPENDENT AUDITORS' REPORT

To the Trustees of
  Merrill Lynch Preferred Capital Trust I

We have  audited the  accompanying  balance  sheets of Merrill  Lynch  Preferred
Capital Trust I (the "Trust") as of December 29, 2000 and December 31, 1999, and
the related  statements of earnings,  changes in  stockholders'  equity and cash
flows for each of the three years in the period ended  December 29, 2000.  These
financial  statements  are the  responsibility  of the Trust's  management.  Our
responsibility  is to express an opinion on these financial  statements based on
our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the  United  States of  America.  Those  standards  require  that we plan and
perform the audit to obtain  reasonable  assurance  about  whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audits  provide  a
reasonable basis for our opinion.

In our  opinion,  such  financial  statements  present  fairly,  in all material
respects,  the financial position of the Trust at December 29, 2000 and December
31, 1999,  and the results of its  operations and its cash flows for each of the
three years in the period ended December 29, 2000 in conformity  with accounting
principles generally accepted in the United States of America.


/s/ Deloitte & Touche LLP

New York, New York
March 28, 2001

                                F-8

<PAGE>

<TABLE>
<CAPTION>

MERRILL LYNCH PREFERRED FUNDING I, L.P.
BALANCE SHEETS
(dollars in thousands)
----------------------------------------------------------------------------------------------------------------



                                                                           DECEMBER 29, 2000   DECEMBER 31, 1999
                                                                           -----------------   -----------------
<S>                                                                              <C>                 <C>
ASSETS

Cash                                                                                $      -            $      1

Investments:
   Affiliate debentures                                                              330,055             330,055
   U.S. Treasury bills                                                                 3,523               3,512
                                                                                    --------            --------
   Total investments                                                                 333,578             333,567

Interest receivable                                                                    6,395                   -
                                                                                    --------            --------
Total Assets                                                                        $339,973            $333,568
                                                                                    ========            ========

LIABILITY AND PARTNERS' CAPITAL

Distributions payable                                                               $  6,395            $      -
                                                                                    --------            --------

Partners' capital:
   Limited partnership interest                                                      283,505             283,505
   General partnership interest                                                       50,073              50,063
                                                                                    --------            --------
   Total partners' capital                                                           333,578             333,568
                                                                                    --------            --------

Total Liability and Partners' Capital                                               $339,973            $333,568
                                                                                    ========            ========
</TABLE>

See Notes to Financial Statements

                                       F-9
<PAGE>

<TABLE>
<CAPTION>


MERRILL LYNCH PREFERRED FUNDING I, L.P.
STATEMENTS OF EARNINGS
(dollars in thousands)
------------------------------------------------------------------------------------------------------------------


                                                                       FOR THE YEAR ENDED
                                            ----------------------------------------------------------------------

                                            DECEMBER 29, 2000           DECEMBER 31, 1999        DECEMBER 25, 1998
                                            -----------------           -----------------        -----------------
<S>                                         <C>                         <C>                      <C>


EARNINGS

Interest income:
     Affiliate debentures                             $25,579                     $25,579                  $25,579
     U.S. Treasury bills                                  202                         166                      203
                                                      -------                     -------                  -------
Earnings                                              $25,781                     $25,745                  $25,782
                                                      =======                     =======                  =======


</TABLE>

See Notes to Financial Statements

                                      F-10

<PAGE>

<TABLE>
<CAPTION>

MERRILL LYNCH PREFERRED FUNDING I, L.P.
STATEMENTS OF CHANGES IN PARTNERS' CAPITAL
(dollars in thousands)
------------------------------------------------------------------------------------------------------------------


                                                                        FOR THE YEAR ENDED
                                                 -----------------------------------------------------------------

                                                 DECEMBER 29, 2000       DECEMBER 31, 1999       DECEMBER 25, 1998
                                                 -----------------       -----------------       -----------------
<S>                                              <C>                     <C>                     <C>

LIMITED PARTNER'S CAPITAL
Balance, beginning of period                             $ 283,505               $ 283,505               $ 283,505
Net income allocated to limited partner                     21,972                  21,972                  21,972
Distributions                                              (16,479)                (21,972)                (16,479)
Distributions payable                                      ( 5,493)                      -                  (5,493)
                                                         ---------               ---------               ---------
Balance, end of period                                     283,505                 283,505                 283,505
                                                         ---------               ---------               ---------

GENERAL PARTNER'S CAPITAL
Balance, beginning of period                                50,063                  50,416                  50,228
Net income allocated to general partner                      3,809                   3,773                   3,810
Distributions                                               (2,897)                 (4,126)                 (2,720)
Distributions payable                                         (902)                      -                    (902)
                                                         ---------               ---------               ---------
Balance, end of period                                      50,073                  50,063                  50,416
                                                         ---------               ---------               ---------
TOTAL PARTNERS' CAPITAL                                  $ 333,578               $ 333,568               $ 333,921
                                                         =========               =========               =========


</TABLE>

See Notes to Financial Statements

                                      F-11

<PAGE>

<TABLE>
<CAPTION>

MERRILL LYNCH PREFERRED FUNDING I, L.P.
STATEMENTS OF CASH FLOWS
(dollars in thousands)
-----------------------------------------------------------------------------------------------------------------------


                                                                                 FOR THE YEAR ENDED
                                                        ---------------------------------------------------------------

                                                        DECEMBER 29, 2000        DECEMBER 31, 1999    DECEMBER 25, 1998
                                                        -----------------        -----------------    -----------------

<S>                                                     <C>                      <C>                  <C>

CASH FLOWS FROM OPERATING ACTIVITIES:
     Earnings                                                    $ 25,781                 $ 25,745             $ 25,782
     Accretion of U.S. Treasury bills                                (202)                    (166)                (203)
     (Increase) decrease  in interest receivable                   (6,395)                   6,395                    -
                                                                 --------                 --------             --------
        Cash provided by operating activities                      19,184                   31,974               25,579
                                                                 --------                 --------             --------

CASH FLOWS FROM INVESTING ACTIVITIES:
     Purchases of investment securities                            (6,959)                  (6,959)              (3,480)
     Maturities of investment securities                            7,150                    7,099                3,875
                                                                 --------                 --------             --------
        Cash provided by investing activities                         191                      140                  395
                                                                 --------                 --------             --------

CASH FLOWS FROM FINANCING ACTIVITIES:
     Distributions to limited partner                             (16,479)                 (27,465)             (21,972)
     Distributions to general partner                              (2,897)                  (5,028)              (3,622)
                                                                 --------                 --------             --------
        Cash used for financing activities                        (19,376)                 (32,493)             (25,594)
                                                                 --------                 --------             --------

NET CHANGE IN CASH                                                     (1)                    (379)                 380

CASH, BEGINNING OF PERIOD                                               1                      380                    -
                                                                 --------                 --------             --------
CASH, END OF PERIOD                                              $      -                 $      1             $    380
                                                                 ========                 ========             ========




SUPPLEMENTAL DISCLOSURE OF CASH FLOWS:

Distributions  of $6,395 were accrued at December 29, 2000 and December 25, 1998
and distributed in the following fiscal years.

</TABLE>

See Notes to Financial Statements

                                      F-12

<PAGE>


MERRILL LYNCH PREFERRED FUNDING I, L.P.
NOTES TO FINANCIAL STATEMENTS
December 29, 2000
--------------------------------------------------------------------------------


1. ORGANIZATION AND PURPOSE

Merrill  Lynch  Preferred  Funding  I,  L.P.  (the  "Partnership")  is a limited
partnership   that  was  formed  under  the  Delaware  Revised  Uniform  Limited
Partnership  Act on November 20, 1996 for the  exclusive  purpose of  purchasing
certain  eligible debt  instruments of Merrill Lynch & Co., Inc. (the "Company")
and wholly owned subsidiaries of the Company with (i) the proceeds from the sale
of  its  preferred   securities  (the   "Partnership   Preferred   Securities"),
representing a limited  partner  interest,  to Merrill Lynch  Preferred  Capital
Trust I (the  "Trust")  and (ii) a  capital  contribution  from the  Company  in
exchange for the general partnership interest in the Partnership.

The Company,  in its capacity as sole general  partner of the  Partnership,  has
agreed  to (i) pay  all  fees  and  expenses  related  to the  organization  and
operations  of  the  Partnership  (including  taxes,  duties,   assessments,  or
government  charges (other than withholding  taxes) imposed by the United States
or any  other  domestic  taxing  authority  upon  the  Partnership)  and (ii) be
responsible for all debts and other  obligations of the Partnership  (other than
with  respect to the  Partnership  Preferred  Securities).  The Company has also
agreed to indemnify certain officers and agents of the Partnership.


2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

BASIS OF PRESENTATION

The financial statements are presented in accordance with accounting  principles
generally accepted in the United States of America,  which require management to
make estimates that affect reported  amounts and disclosure of  contingencies in
the  financial  statements.  As such,  actual  results  could  differ from those
estimates.

INVESTMENTS

The  Partnership's  investment in affiliate  debentures is recorded at cost, and
its investment in U.S.  Treasury bills is classified as  available-for-sale  and
recorded at accreted cost, which approximates fair value.

INCOME TAXES

The Partnership does not incur any income tax liabilities.  Such liabilities are
incurred directly by the partners.

                                      F-13

<PAGE>

MERRILL LYNCH PREFERRED FUNDING I, L.P.
NOTES TO FINANCIAL STATEMENTS
December 29, 2000
--------------------------------------------------------------------------------


3. INVESTMENT IN AFFILIATE DEBENTURES

The Partnership holds debentures of the Company and a wholly owned subsidiary of
the  Company.  The  debentures  have a term of  approximately  20 years and bear
interest  at 7 3/4%  per  annum.  The  interest  payment  dates  and  redemption
provisions of the debentures,  which are redeemable at the option of the Company
and its subsidiary on or after December 30, 2006, correspond to the distribution
payment dates and redemption provisions of the Partnership Preferred Securities.
Interest and redemption  payments on the subsidiary  debenture are guaranteed by
the Company on a subordinated basis.


4. PARTNERS' CAPITAL

The Partnership issued 11,340,208 7 3/4% Partnership Preferred  Securities,  $25
liquidation  preference  per  security,  to the  Trust  on  December  17,  1996.
Distributions  on the Partnership  Preferred  Securities are cumulative from the
date of original  issue and are payable  quarterly  if, as, and when declared by
the general partner.  The Partnership  Preferred Securities are redeemable on or
after December 30, 2006 at the option of the Partnership,  at a redemption price
equal  to $25 per  security.  Except  as  provided  in the  Limited  Partnership
Agreement and  Partnership  Preferred  Securities  Guarantee  Agreement,  and as
otherwise provided by law, the holders of the Partnership  Preferred  Securities
have no voting rights.

The Company has guaranteed the payment of  distributions  by the  Partnership on
the  Partnership  Preferred  Securities  if, as, and when  declared out of funds
legally  available  and payments  upon  liquidation  of the  Partnership  or the
redemption  of the  Partnership  Preferred  Securities  to the  extent  of funds
legally  available.  This guarantee is subordinated to all other  liabilities of
the  Company  and ranks  equally  with the most  senior  preferred  stock of the
Company.

                                      F-14

<PAGE>

INDEPENDENT AUDITORS' REPORT

To the General Partner and Limited Partner of
  Merrill Lynch Preferred Funding I, L.P.

We have  audited the  accompanying  balance  sheets of Merrill  Lynch  Preferred
Funding I, L.P.  (the  "Partnership")  as of December  29, 2000 and December 31,
1999, and the related statements of earnings,  changes in partners' capital, and
cash flows for each of the three years in the period  ended  December  29, 2000.
These  financial   statements  are  the   responsibility  of  the  Partnership's
management.  Our  responsibility  is to express  an  opinion on these  financial
statements based on our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the  United  States of  America.  Those  standards  require  that we plan and
perform the audit to obtain  reasonable  assurance  about  whether the financial
statements are free of material misstatement.  An audit includes examining, on a
test basis,  evidence  supporting  the amounts and  disclosures in the financial
statements.  An audit also includes assessing the accounting principles used and
significant  estimates  made by  management,  as well as evaluating  the overall
financial  statement  presentation.   We  believe  that  our  audits  provide  a
reasonable basis for our opinion.

In our  opinion,  such  financial  statements  present  fairly,  in all material
respects,  the financial  position of the  Partnership  at December 29, 2000 and
December 31, 1999, and the results of its operations and its cash flows for each
of the three years in the period  ended  December  29, 2000 in  conformity  with
accounting principles generally accepted in the United States of America.


/s/ Deloitte & Touche LLP

New York, New York
March 28, 2001

                                F-15


<PAGE>





                                   SIGNATURES

Pursuant to the  requirements of Section 13 or 15(d) of the Securities  Exchange
Act of 1934, the Registrants  have duly caused this report to be signed on their
behalf by the  undersigned,  thereunto duly authorized on the 28th day of March,
2001.


                             MERRILL LYNCH PREFERRED CAPITAL TRUST I*

                             By:        /s/ John C. Stomber
                             --------------------------------------
                             Name:      John C. Stomber
                             Title:     Regular Trustee

                             By:        /s/ Stanley Schaefer
                             --------------------------------------
                             Name:      Stanley Schaefer
                             Title:     Regular Trustee


                             MERRILL LYNCH PREFERRED FUNDING I, L.P.*

                             By: MERRILL LYNCH & CO., INC., as General Partner

                             By:        /s/ John C. Stomber
                             ----------------------------------
                             Name:      John C. Stomber
                             Title:     Senior Vice President and Treasurer, and
                                        as Attorney-in-Fact for a majority of
                                        the Board of Directors**

------------
  *   There is no principal executive  officer(s),  principal financial officer,
      controller,  principal  accounting  officer or board of  directors  of the
      Registrants.  The  Trustees  of  the  Trust  (which  include  the  Regular
      Trustees, the Property Trustee and the Delaware Trustee) together exercise
      all powers and perform all functions with respect to the Trust.

 ** Pursuant to Powers of Attorney filed as Exhibit 24 hereto.





<PAGE>



                                  EXHIBIT INDEX

4.1      Certificate of Trust dated November 20, 1996, of the Trust
         (incorporated  by reference to Exhibit 4.1 to Registration
         Statement on Form S-3 (No. 333-16603) (the "Registration Statement"))

4.2      Amended and  Restated  Declaration  of Trust of the Trust,  dated as of
         December  11, 1996  (incorporated  by  reference  to Exhibit 4.2 to the
         Trust's  Annual Report on Form 10-K for the fiscal year ended  December
         27, 1996 (File No.
         1-7182-01))

4.3      Certificate of Limited  Partnership,  dated as of November 20, 1996, of
         the Partnership  (incorporated by reference to Exhibit 4.3 to
         Registration Statement)

4.4      Amended  and  Restated   Agreement  of  Limited   Partnership   of  the
         Partnership   (incorporated   by   reference  to  Exhibit  4.4  to  the
         Partnership's  Annual  Report on Form 10-K for the  fiscal  year  ended
         December 27, 1996 (File No. 1-7182-02))

4.5      Form of Trust  Preferred  Securities  Guarantee  Agreement  between the
         Company  and  The  Chase   Manhattan   Bank,   as   guarantee   trustee
         (incorporated   by  reference  to  Exhibit  4.5  to  the   Registration
         Statement)

4.6      Form of Partnership  Preferred  Securities  Guarantee Agreement between
         the  Company  and  The  Chase  Manhattan  Bank,  as  guarantee  trustee
         (incorporated   by  reference  to  Exhibit  4.6  to  the   Registration
         Statement)

4.7      Form of Subordinated  Debenture  Indenture  between the Company and The
         Chase Manhattan Bank, as trustee  (incorporated by reference to Exhibit
         4.7 to the Registration Statement)

4.8      Form of Affiliate Debenture Guarantee Agreement between the Company and
         The  Chase  Manhattan  Bank,  as  guarantee  trustee  (incorporated  by
         reference to Exhibit 4.8 to the Registration Statement)

4.9      Form of Trust Preferred Security (included in Exhibit 4.2 above)

4.10     Form of Partnership Preferred Security (included in Exhibit 4.4 above)

4.11     Form of Subordinated Debenture (incorporated by reference to Exhibit
         4.11 to the Registration Statement)

12*      Computation of Ratios of Earnings to Combined Fixed Charges and
         Preferred Securities Distributions

23*      Consent of Deloitte & Touche LLP

24*      Powers of Attorney

------------------

* Filed herewith


<PAGE>