##### Table of Contents





UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 Washington, D.C. 20549
  FORM 10-K
  X

ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d)
    OF THE SECURITIES EXCHANGE ACT OF 1934For the fiscal
    year ended December 31, 2010   Commission file number: 1-7182
  MERRILL LYNCH & CO., INC.
    Delaware

13-2740599(State or other jurisdiction of
    incorporation or organization)

(I.R.S. Employer Identification No.)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:   Securities registered pursuant to Section 12(b) of the
    Act:Title of Each Class

Name of Each Exchange on Which
    RegisteredTrust Preferred Securities of Merrill Lynch Capital
    Trust I (and the guarantee of the registrant with respect
    thereto); Trust Preferred Securities of Merrill Lynch
    Capital Trust II (and the guarantee of the registrant with
    respect thereto); Trust Preferred Securities of Merrill
    Lynch Capital Trust III (and the guarantee of the
    registrant with respect thereto)

New York Stock Exchange     Securities registered pursuant
    to Section 12(g) of the Act: None
     X YES           NO
    YES      X     NO
    X YES           NO
  Regulation S-T
  YES           NO
  Regulation S-K Form 10-K Form 10-K. X
  Rule 12b-2
  Large
    accelerated filer
    Accelerated filer
    Non-accelerated filer  X
    Smaller reporting company (Do not check if a smaller
    reporting company)
  Rule 12b-2
  YES      X     NO
      The registrant is a wholly owned subsidiary of Bank of
    America Corporation and meets the conditions set forth in
    General Instructions I(1)(a) and (b) of
    Form 10-K
    and is therefore filing this Form with a reduced disclosure
    format as permitted by Instruction I (2).




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Securities
    registered pursuant to Section 12(b) of the Act and listed
    on the
    NYSE®

    Arca®

    are as follows:
 Strategic Return
    Notes®
        ®
  ®
  Securities
    registered pursuant to Section 12(b) of the Act and listed
    on The
    NASDAQ®

    Stock Market are as follows:
 MITTS®
 ® ®
 ® ®
 97% Protected Notes
 SM
  Strategic Return Notes
    i




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##### Table of Contents



ANNUAL
    REPORT ON
    FORM 10-K
    FOR THE YEAR ENDED DECEMBER 31, 2010
    TABLE OF CONTENTS
   Part IItem 1.  Business


3Item 1A. Risk Factors


7Item 1B. Unresolved Staff Comments


22Item 2.  Properties


22Item 3.  Legal
    Proceedings


23Item 4.  Removed and
    Reserved


23Part IIItem 5.  Market for
    Registrants Common Equity, Related Stockholder Matters and
    Issuer Purchases of Equity Securities


24Item 6.  Selected Financial
    Data


24Item 7.  Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations


25Introduction


26Executive Overview


28Results of Operations


32Off-Balance Sheet Exposures


35Funding and Liquidity


40Item 7A. Quantitative and Qualitative
    Disclosures about Market Risk


44Item 8.  Financial Statements
    and Supplementary Data


48Report of Independent Registered Public
    Accounting Firm


48Consolidated Financial StatementsConsolidated Statements of Earnings/(Loss)


50Consolidated Balance Sheets


51Consolidated Statements of Changes in
    Stockholders Equity


53Consolidated Statements of Comprehensive
    Income/(Loss)


55Consolidated Statements of Cash Flows


56Notes to Consolidated Financial
    Statements


57Note 1.Summary of Significant
    Accounting Policies


57Note 2.Transactions with Bank of
    America


73Note 3.Segment and Geographic
    Information


75Note 4.Fair Value Disclosures


76Note 5.Fair Value of Financial
    Instruments


97Note 6.Derivatives


98Note 7.Securities Financing
    Transactions


109Note 8.Investment Securities


111Note 9.Securitizations and Other
    Variable Interest Entities (VIEs)


115Note 10.Loans, Notes and
    Mortgages


123Note 11.Goodwill and Intangible
    Assets


127Note 12.Borrowings and Deposits


129Note 13.Stockholders Equity
    and Earnings Per Share


133Note 14.Commitments, Contingencies
    and Guarantees


135Note 15.Employee Benefit Plans


153Note 16.Employee Incentive Plans


162Note 17.Income Taxes


167Note 18.Regulatory Requirements


171Note 19.Discontinued Operations


172Note 20.Restructuring Charge


173Note 21.Quarterly Information
    (Unaudited)


173Note 22.Parent Company
    Information


174Item 9.  Changes in and
    Disagreements with Accountants on Accounting and Financial
    Disclosure


177Item 9A. Controls and Procedures


177Item 9B. Other Information


179 1




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Part IIIItem 10.  Directors, Executive
    Officers and Corporate Governance


179Item 11.  Executive
    Compensation


179Item 12.  Security Ownership of
    Certain Beneficial Owners and Management and Related Stockholder
    Matters


179Item 13.  Certain Relationships
    and Related Transactions, and Director Independence


179Item 14.  Principal Accountant
    Fees and Services


179Part IVItem 15.  Exhibits and
    Financial Statement Schedules


181Signatures


182EX-12EX-23.1EX-23.2EX-23.3EX-24.1EX-24.2EX-31.1EX-31.2EX-32.1EX-32.2   2




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PART I  Item 1.
    Business    Form 10-K Form 10-K.
  Segment Reporting
    Capital Markets and Advisory Activities.
    Form 10-K
  Wealth and Investment Management
    Activities.
 3




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Research.
    Regulation
  non-U.S. government
  United
    States Regulatory Oversight and Supervision
  Holding
    Company Supervision
    Broker-Dealer
    Regulation
    Rule 15c3-1 Form 10-K.
 4




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Non-U.S.
    Regulatory Oversight and Supervision
  non-U.S. regulators and/or
  Changes
    in Legislation and Regulations
        
    limiting banking organizations from engaging in proprietary
    trading and other investment activity regarding hedge funds and
    private equity funds;
    increasing regulation of the derivative markets;
    providing for heightened capital, liquidity, and prudential
    regulation and supervision over systemically important financial
    institutions;
    providing for new resolution authority to establish a process to
    unwind large systemically important financial institutions and
    requiring the development and implementation of recovery and
    resolution plans; 5




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
    creating a new regulatory body to set requirements around the
    terms and conditions of consumer financial products and
    expanding the role of state regulators in enforcing consumer
    protection requirements over banks; and
    requiring securitizers to retain a portion of the risk that
    would otherwise be transferred to investors in certain
    securitization transactions.      over-the-counter
  Form 10-K.
   6




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Item 1A.
    Risk
    Factors    Our businesses and results of operations have been, and may
    continue to be, materially and adversely affected by the U.S.
    and international financial markets and economic conditions
    generally. non-U.S. economies
        Liquidity
    Risk
  Liquidity risk is the potential inability to meet our
    contractual and contingent financial obligations, on- or
    off-balance sheet, as they become due.
 7




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Adverse changes to Bank of Americas or our credit
    ratings from the major credit ratings agencies could have a
    material adverse effect on our liquidity, cash flows,
    competitive position, financial condition and results of
    operations by significantly limiting our access to the funding
    or capital markets, increasing our borrowing costs, or
    triggering additional collateral or funding requirements under
    certain bilateral provisions of our trading and collateralized
    financing contracts.
  P-1 A-1
      Our liquidity, cash flows, financial condition and results of
    operations, and competitive position could be significantly
    adversely affected by the inability of ML & Co. or
    Bank of America to access capital markets or if there is an
    increase in our borrowing costs.
 8




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Our dependence upon funds from our subsidiaries and our
    parent could adversely impact our
    liquidity.
  Mortgage
    and Housing Market-Related Risk
  We have been, and expect to continue to be, required to
    repurchase loans
    and/or
    reimburse whole loan buyers, the government-sponsored
    enterprises (GSEs) and monoline bond insurance
    companies (monolines) for losses due to claims
    related to representations and warranties made in connection
    with sales of residential mortgage-backed securities and other
    loans, and have received similar claims, and may receive
    additional claims, from private-label securitization investors.
    The resolution of these claims could have a material adverse
    effect on our cash flows, financial condition and results of
    operations.
 9




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Continued, or increasing, declines in the domestic and
    international housing markets, including home prices, may
    adversely affect our asset classes and have a significant
    adverse effect on our financial condition and results of
    operations.
   10




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Credit
    Risk
  Credit risk is the risk of loss arising from a borrower,
    obligor or counterparty default when a borrower, obligor or
    counterparty does not meet its obligations.
  Increased credit risk, due to economic or market disruptions,
    insufficient credit loss reserves or concentration of credit
    risk, may necessitate increased provisions for credit losses and
    could have an adverse effect on our financial condition and
    results of operations. held-for-sale
           11




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We could suffer losses as a result of the actions of or
    deterioration in the commercial soundness of our counterparties
    and other financial services institutions.
  Our derivatives businesses may expose us to unexpected risks
    and potential losses.
        Market
    Risk
  Market
    risk is the risk that values of assets and liabilities or
    revenues will be adversely affected by changes in market
    conditions such as market volatility. Market risk is inherent in
    the financial instruments associated with our operations and
    activities, including loans, deposits, securities, short-term
    borrowings, long-term debt, trading account assets and
    liabilities, and derivatives.
  Our businesses and results of operations have been, and may
    continue to be, significantly adversely affected by changes in
    the levels of market volatility and by other financial or
    capital market conditions.
 12




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Form 10-K.
  Declines in the value of certain of our assets could have an
    adverse effect on our results of operations. held-for-sale, available-for-sale
   13




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Our commodities activities, particularly our physical
    commodities business, subject us to performance, environmental
    and other risks that may result in significant cost and
    liabilities. and/or and/or
  Regulatory
    and Legal Risk
  Government measures to regulate the financial services
    industry, including the Financial Reform Act, either
    individually, in combination or in the aggregate, could require
    us to change certain of our business practices, impose
    significant additional costs on us, limit the products that we
    offer, limit our ability to pursue business opportunities in an
    efficient manner, require us to increase our capital, impact the
    value of assets that we hold, significantly reduce our revenues
    or otherwise materially and adversely affect our businesses,
    financial condition or results of operations.
     14




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and/or
   15




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We face substantial potential legal liability and significant
    regulatory action, which could have material adverse effects on
    our cash flows, financial condition and results of operations or
    cause significant reputational harm to us.
  Changes in governmental fiscal and monetary policy could
    adversely affect our financial condition and results of
    operations. non-U.S. governments
  Risk of
    the Competitive Environment in Which We Operate
  We face significant and increasing competition in the
    financial services industry. e-commerce
 16




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Damage to our reputation could significantly harm our
    businesses, including our competitive position and business
    prospects.
        Our ability to attract and retain qualified employees is
    critical to the success of our businesses and failure to do so
    could adversely affect our business prospects, including our
    competitive position and results of
    operations. non-U.S.-based
   17




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Our inability to adapt our products and services to evolving
    industry standards and consumer preferences could harm our
    businesses.
  Risks
    Related to Risk Management
  Our risk management framework may not be effective in
    mitigating risk and reducing the potential for significant
    losses.
  A failure in or breach of our operational or security systems
    or infrastructure, or those of third parties, could disrupt our
    businesses, result in the disclosure of confidential information
    or damage our reputation. Any such failure also could have a
    significant adverse effect on our reputation, cash flows,
    financial condition and results of
    operations. day-to-day
 18




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19




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Risk
    Related to Business Combination Transactions
  Any failure to successfully integrate with Bank of America
    could adversely affect our business.
  Risk of
    Being an International Business
  We are subject to numerous political, economic, market,
    reputational, operational, legal, regulatory and other risks in
    the
    non-U.S. jurisdictions
    in which we operate which could adversely impact our
    businesses. non-U.S. jurisdictions and/or non-U.S. jurisdictions non-U.S. jurisdictions
    non-U.S. jurisdictions, non-U.S. securities
 20




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non-U.S. trading
  and/or
  Risk from
    Accounting Changes
  Changes in accounting standards or inaccurate estimates or
    assumptions in the application of accounting policies could
    adversely affect our financial condition and results of
    operations.
    Risk of
    Being a Wholly-Owned Subsidiary
  We are a direct wholly-owned subsidiary of Bank of America
    and therefore are subject to strategic decisions of Bank of
    America Corporation and affected by Bank of Americas
    performance.
   21




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Item 1B.
    Unresolved
    Staff Comments    Item 2.
    Properties    Principal
    Facilities in the United States
      Principal
    Facilities Outside the United States
   22




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Item 3.
    Legal
    Proceedings    Item 4.
    Removed
    and Reserved. 23




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PART II
  Item 5.
    Market
    for Registrants Common Equity, Related Stockholder Matters
    and Issuer Purchases of Equity Securities.    Dividends
    Per Common Share
    Securities
    Authorized for Issuance under Equity Compensation
    Plans
    Item 6.
    Selected
    Financial Data.   24




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Item 7.
    Managements
    Discussion and Analysis of Financial Condition and Results of
    Operations  Forward-Looking
    Statements
  This report on
    Form 10-K,
    the documents that it incorporates by reference and the
    documents into which it may be incorporated by reference may
    contain, and from time to time Merrill Lynch & Co.,
    Inc. (ML & Co. and, together with its
    subsidiaries, Merrill Lynch, the
    Company, the Corporation,
    we, our or us) and its
    management may make certain statements that constitute
    forward-looking statements within the meaning of the Private
    Securities Litigation Reform Act of 1995. When used in this
    report, we, us and our may
    refer to ML & Co. individually, ML & Co. and
    its subsidiaries, or certain of ML & Co.s
    subsidiaries or affiliates. These statements can be identified
    by the fact that they do not relate strictly to historical or
    current facts. Forward-looking statements often use words such
    as expects, anticipates,
    believes, estimates,
    targets, intends, plans,
    goal and other similar expressions or future or
    conditional verbs such as will, may,
    might, should, would and
    could. The forward-looking statements made represent
    the current expectations, plans or forecasts of Merrill Lynch
    regarding its future results and revenues and future business
    and economic conditions more generally, including statements
    concerning: representations and warranties liabilities and range
    of possible loss estimates, expenses and repurchase claims and
    resolution of those claims; the potential assertion and impact
    of additional representation and warranties claims; the charge
    to income tax expense resulting from a reduction in the United
    Kingdom (U.K.) corporate income tax rate; credit
    trends and conditions, including credit losses, credit reserves,
    charge-offs, delinquency trends and nonperforming asset levels;
    liquidity; the revenue impact resulting from, and any mitigation
    actions taken in response to, the Dodd-Frank Wall Street Reform
    and Consumer Protection Act (the Financial Reform
    Act), including the impact of the Volcker Rule and
    derivatives regulations; the impact of various legal proceedings
    discussed in Note 14 to the Consolidated Financial
    Statements; and other matters relating to Merrill Lynch. The
    foregoing is not an exclusive list of all forward-looking
    statements we make. These statements are not guarantees of
    future results or performance and involve certain risks,
    uncertainties and assumptions that are difficult to predict and
    often are beyond control. Actual outcomes and results may differ
    materially from those expressed in, or implied by, our
    forward-looking statements.
  You should not place undue reliance on any forward-looking
    statement and should consider the following uncertainties and
    risks, as well as the risks and uncertainties more fully
    discussed elsewhere in this report, including Item 1A.
    Risk Factors, and in any of ML &
    Co.s subsequent Securities and Exchange Commission
    (SEC) filings: our ability to resolve any
    representations and warranties obligations with private-label
    securitization investors, whole-loan investors, monolines and
    the government-sponsored enterprises (GSEs); the
    adequacy of the liability
    and/or range
    of possible loss estimates for representations and warranties
    exposures to private-label securitization and other investors,
    monolines and the GSEs; negative economic conditions generally,
    including continued weakness in the U.S. housing market,
    high unemployment in the U.S., economic challenges in many
    non-U.S. countries
    in which we operate and sovereign debt challenges; the level and
    volatility of the capital markets, interest rates, currency
    values and other market indices; changes in consumer, investor
    and counterparty confidence in, and the related impact on,
    financial markets and institutions, including Merrill Lynch as
    well as its business partners; Merrill Lynchs credit
    ratings; estimates of the fair value of certain of our assets
    and liabilities; legislative and regulatory actions in the U.S.
    (including the impact of the Financial Reform Act and related
    regulations and interpretations) and internationally; the
    identification and effectiveness of any initiatives to mitigate
    the negative impact of the Financial Reform Act; the impact of
    litigation and regulatory investigations, including costs,
    expenses, settlements and judgments as well as any collateral
    effects on our ability to conduct our business and access the
    capital markets; various monetary and fiscal policies and
    regulations of the U.S. and
    non-U.S. governments;
    changes in accounting standards, rules and interpretations
    (including new consolidation guidance), inaccurate estimates or
    assumptions in the application of accounting policies, including
    in determining reserves, applicable guidance regarding goodwill
    accounting and the impact on Merrill Lynchs financial
    statements; increased globalization of the financial services
 25




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industry and competition with other U.S. and
    international financial institutions; the adequacy of Merrill
    Lynchs risk management framework; Merrill Lynchs
    ability to attract new employees and retain and motivate
    existing employees; technology changes instituted by Merrill
    Lynch, its counterparties or competitors; Merrill Lynchs
    ability to integrate with Bank of America; Merrill Lynchs
    reputation, including the effects of continuing intense public
    and regulatory scrutiny of Merrill Lynch and the financial
    services sector; the effects of any unauthorized disclosures of
    our or our customers private or confidential information
    and any negative publicity directed toward Merrill Lynch; and
    decisions to downsize, sell or close units or otherwise change
    the business mix of Merrill Lynch.
  Forward-looking statements speak only as of the date they are
    made, and we undertake no obligation to update any
    forward-looking statement to reflect the impact of circumstances
    or events that arise after the date the forward-looking
    statement was made.
 Introduction    Bank of
    America Acquisition and Basis of Presentation
    Form 10-K
  805-10, Business Combinations
 26




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Form 10-K
  Merger
    with BASH
    Business
    Segments
  Segment Reporting
  Form 10-K
    Presentation
  Form 10-K Form 10-K.
 27




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Executive
    Overview  Company
    Results
        Transactions
    with Bank of America
  Asset and
    Liability Transfers
    Sale of
    U.S. Banks to Bank of America
     28




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Acquisition
    of Banc of America Investment Services, Inc. (BAI)
    from Bank of America
  ASC 805-10, Business Combinations
  Merger
    with BASH
    Other
    Transactions
  available-for-sale
  Sale of
    Bloomberg Inc. Notes
    Other
    Events
  BlackRock
    Investment
     29




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U.K. Bank
    Levy and Corporate Tax Rate Reduction
      Preferred
    Stock Conversion
    Financial
    Reform Act
    Background
   30




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Limitations
    on Certain Activities
    Derivatives
  over-the-counter
 31




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Results
    Of Operations (dollars in millions, except per share amounts)% Change between theYear EndedFor the Year Ended


For the Year Ended


December 31, 2010 and the YearDecember 31, 2010


December 31, 2009


Ended December 31, 2009RevenuesPrincipal transactions

$
7,074



$
5,121




38
%Commissions


5,760




6,008




(4
)Managed account and other fee-based revenues


4,516




4,317




5Investment banking


5,313




5,558




(4
)Earnings from equity method investments


898




1,679




(47
)Other
    revenues(1)


4,628




3,401




36Subtotal


28,189




26,084




8Interest and dividend revenues


9,303




15,476




(40
)Less interest expense


9,621




12,041




(20
)Net interest (expense)/income


(318
)



3,435




N/MRevenues, net of interest expense


27,871




29,519




(6
)Non-interest expenses:Compensation and benefits


15,069




13,333




13Communications and technology


1,993




2,015




(1
)Occupancy and related depreciation


1,395




1,316




6Brokerage, clearing, and exchange fees


1,022




1,087




(6
)Advertising and market development


444




396




12Professional fees


986




769




28Office supplies and postage


157




173




(9
)Other


2,882




2,441




18Total non-interest expenses


23,948




21,530




11Pre-tax earnings


3,923




7,989




(51
)Income tax expense


147




649




(77
)Net earnings

$
3,776



$
7,340




(49
)Preferred stock dividends


134




153




(12
)Net earnings applicable to common stockholder

$
3,642



$
7,187




(49
)   (1)
    
    Amounts include other income and
    other-than-temporary
    impairment losses on
    available-for-sale
    debt securities. The
    other-than-temporary
    impairment losses were $172 million and $656 million
    for the years ended December 31, 2010 and 2009,
    respectively. N/M = Not meaningful.
  Consolidated
    Results of Operations
    Year
    Ended December 31, 2010 Compared With Year Ended
    December 31, 2009
   32




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over-the-counter
   33




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available-for-sale available-for-sale
       34




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Off-Balance
    Sheet Exposures     (dollars in millions)ExpirationMaximum

Less than

1 - 3

3 - 5

Over 5

CarryingPayout

1 Year

Years

Years

Years

ValueStandby liquidity facilities

$
1,309


$
687


$
601


$
-


$
21


$
-Residual value guarantees


415



95



320



-



-



1Standby letters of credit and other guarantees


1,119



378



301



16



424



-  35




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Standby
    Liquidity Facilities
  and/or
  Auction
    Rate Security (ARS) Guarantees
  not-for-profit,
  Residual
    Value Guarantees
    Standby
    Letters of Credit
    Representations
    and Warranties
   36




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loan-by-loan
    (dollars in millions)Beginning balance as of December 31, 2009

$
378Charge-offs


(45
)Provision


(120
)Ending balance as of December 31, 2010

$
213      37




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alt-A)
      (dollars in billions)Principal Balance







Principal at RiskOutstanding

Outstanding





Borrower





BorrowerOriginal

Principal

Principal

Defaulted



Made Less

Borrower

Borrower

Made MorePrincipal

Balance

Balance

Principal

Principal

than 13

Made 13 to

Made 25 to

Than 36Entity

Balance

December 31, 2010

Over 180 Days

Balance

at Risk

Payments

24 Payments

36 Payments

PaymentsMerrill Lynch (excluding First Franklin)

$
50


$
19


$
7


$
10


$
17


$
3


$
4


$
3


$
7First Franklin


83



23



7



19



26



4



6



4



12Total

$
133


$
42


$
14


$
29


$
43


$
7


$
10


$
7


$
19    38




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Loan
    Repurchase and Indemnification Payments
  (dollars in millions)Year Ended

Year EndedDecember 31, 2010

December 31, 2009Unpaid





UnpaidPrincipal





PrincipalBalance

Cash Paid

Loss

Balance

Cash Paid

LossFirst LienRepurchases

$
11


$
14


$
5


$
12


$
12


$
3Indemnification Payments


46



33



33



60



40



40Total First Lien


57



47



38



72



52



43Home EquityIndemnification Payments


11



12



12



-



-



-Total Home equity


11



12



12



-



-



-Total First Lien and Home Equity

$
68


$
59


$
50


$
72


$
52


$
43     Outstanding
    Claims by Counterparty
  (dollars in millions)2010

2009GSEs

$
59


$
35Monoline


48



41Others(1)


517



651Total

$
624


$
727  (1)
    
    The majority of these
    repurchase claims are from whole loan buyers on subprime
    loans.  Derivatives
    Involvement
    with VIEs
   39




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
    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 Consolidated Balance Sheets. The
    ML & Co. parent guarantees of its own subsidiaries are
    not required to be recorded in the Consolidated Financial
    Statements.  Contractual
    Obligations
   Funding and
    Liquidity    and/or
 40




---



##### Table of Contents



364-day
    364-day
   41




---



##### Table of Contents



Credit
    Ratings
           42




---



##### Table of Contents



P-1 A-1 and/or
  43




---



##### Table of Contents



Item 7A.
    Quantitative
    and Qualitative Disclosures About Market Risk  Market
    Risk Management
    Control
    and Governance Structure
        Value-at-Risk
    (VaR)
         44




---



##### Table of Contents



2010
    Trading Activities Market Risk VaR
  (dollars in millions)20102010

Quarterly

2010

2010

2009Year End

Average(3)

High

Low

Year EndTrading
    value-at-risk(1)Foreign exchange

$
18


$
17


$
36


$
7


$
36Interest rate


37



48



58



37



47Credit


128



180



244



128



244Real estate/mortgage


69



75



94



65



65Commodities


19



19



23



16



20Equities


30



37



58



23



58Subtotal(2)


301



376











470Diversification benefit


(127
)


(160
)










(191
)Overall

$
174


$
216










$
279  (1)
    
    Based on a 99% confidence level
    and a
    one-day
    holding period.(2)
    
    Subtotals are not provided for
    highs and lows as they are not meaningful.(3)
    
    Amounts represent the average
    of the quarter-end VaR results for 2010.    Credit
    Risk Management
  Counterparty
    Credit Risk
  held-for-sale held-for-sale mark-to-market mark-to-market
   45




---



##### Table of Contents



and/or
 46




---



##### Table of Contents



Derivatives
     47




---



##### Table of Contents



Item 8.
    Financial
    Statements and Supplementary Data REPORT OF
    INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM           New York, New York
 February 28, 2011
 48




---



##### Table of Contents



REPORT OF
    INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
              Deloitte
    & Touche LLP
 New York, New York
 February 23, 2009
 (March 10, 2010 as to
    Note 3)
 49




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesConsolidated Statements of
    Earnings/(Loss)  Predecessor CompanySuccessor Company


For the Period fromFor the Year Ended

For the Year Ended


December 27, 2008 to

For the Year Ended(dollars in millions, except per share amounts)

December 31, 2010

December 31, 2009


December 31, 2008

December 26, 2008RevenuesPrincipal transactions

$
7,074


$
5,121



$
(280
)

$
(27,225
)Commissions


5,760



6,008




22



6,895Managed account and other fee-based revenues


4,516



4,317




22



5,544Investment banking


5,313



5,558




12



3,733Earnings from equity method investments


898



1,679




-



4,491Other revenues/(loss)


4,800



4,057




19



(10,065
)Other-than-temporary
    impairment losses on
    available-for-sale
    debt securities:Total
    other-than-temporary
    impairment losses on AFS debt securities


(174
)


(660
)



-



-Less: Portion of
    other-than-temporary
    impairment losses recognized inOCI on AFS debt securities


2



4




-



-Subtotal


28,189



26,084




(205
)


(16,627
)Interest and dividend revenues


9,303



15,476




34



33,383Less interest expense


9,621



12,041




-



29,349Net interest (expense)/income


(318
)


3,435




34



4,034Revenues, net of interest expense


27,871



29,519




(171
)


(12,593
)Non-interest expensesCompensation and benefits


15,069



13,333




64



14,763Communications and technology


1,993



2,015




-



2,201Occupancy and related depreciation


1,395



1,316




-



1,267Brokerage, clearing, and exchange fees


1,022



1,087




10



1,394Advertising and market development


444



396




-



652Professional fees


986



769




-



1,058Office supplies and postage


157



173




-



215Other


2,882



2,441




-



2,402Payment related to price reset on common stock offering


-



-




-



2,500Goodwill impairment charge


-



-




-



2,300Restructuring charge


-



-




-



486Total non-interest expenses


23,948



21,530




74



29,238Pre-tax earnings/(loss)


3,923



7,989




(245
)


(41,831
)Income tax expense/(benefit)


147



649




(92
)


(14,280
)Net earnings/(loss) from continuing operations


3,776



7,340




(153
)


(27,551
)Discontinued operations:Pre-tax loss from discontinued operations


-



-




-



(141
)Income tax benefit


-



-




-



(80
)Net loss from discontinued operations


-



-




-



(61
)Net earnings/(loss)

$
3,776


$
7,340



$
(153
)

$
(27,612
)Preferred stock dividends


134



153




-



2,869Net earnings/(loss) applicable to common stockholder

$
3,642


$
7,187



$
(153
)

$
(30,481
)Basic loss per common share from continuing operations


N/A



N/A



$
(0.10
)

$
(24.82
)Basic loss per common share from discontinued operations


N/A



N/A




-



(0.05
)Basic loss per common share


N/A



N/A



$
(0.10
)

$
(24.87
)Diluted loss per common share from continuing operations


N/A



N/A



$
(0.10
)

$
(24.82
)Diluted loss per common share from discontinued operations


N/A



N/A




-



(0.05
)Diluted loss per common share


N/A



N/A



$
(0.10
)

$
(24.87
)Average shares used in computing losses per common shareBasic


N/A



N/A




1,600.3



1,225.6Diluted


N/A



N/A




1,600.3



1,225.6    See Notes to Consolidated
    Financial Statements.
 50




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesConsolidated Balance Sheets  December 31,


December 31,(dollars in millions, except per
    share amounts)

2010


2009ASSETSCash and cash equivalents

$
17,220



$
15,142Cash and securities segregated for regulatory purposes
    or deposited with clearing organizations


12,424




20,455Securities financing transactionsReceivables under resale agreements (includes $51,132 in 2010
    and $53,462 in 2009 measured at fair value in accordance with
    the fair value option election)


138,219




100,263Receivables under securities borrowed transactions (includes
    $1,672 in 2010 and $2,888 in 2009 measured at fair value in
    accordance with the fair value option election)


60,458




78,048198,677




178,311Trading assets, at fair value (includes securities
    pledged as collateral that can be sold or repledged of $33,933
    in 2010 and $37,042 in 2009):Derivative contracts


39,371




49,966Equities and convertible debentures


34,204




35,136Non-U.S.
    governments and agencies


22,248




21,283Corporate debt and preferred stock


27,703




30,317Mortgages, mortgage-backed, and asset-backed


10,994




13,122U.S. Government and agencies


41,378




32,679Municipals, money markets, physical commodities and other


14,759




12,128190,657




194,631Investment securities (includes $310 in 2010 and $253 in
    2009 measured at fair value in accordance with the fair value
    option election)


17,769




32,882Securities received as collateral, at fair value


20,363




16,377Receivables from Bank of America


60,655




69,195Other receivablesCustomers (net of allowance for doubtful accounts of $8 in 2010
    and $10 in 2009)


22,080




34,281Brokers and dealers


16,483




13,254Interest and other


10,633




14,88949,196




62,424Loans, notes, and mortgages (net of allowances for loan
    losses of $170 in 2010 and $33 in 2009) (includes $3,190 in 2010
    and $4,649 in 2009 measured at fair value in accordance with the
    fair value option election)


25,803




37,663Equipment and facilities (net of accumulated depreciation
    and amortization of $1,320 in 2010 and $729 in 2009)


1,712




2,331Goodwill and other intangible assets


9,714




9,868Other assets


17,436




17,610Total Assets

$
621,626



$
656,889Assets of Consolidated VIEs Included in Total Assets Above
    (pledged as collateral)Trading assets, excluding derivative contracts

$
10,838Derivative contracts


41Investment securities


309Loans, notes, and mortgages (net)


221Other assets


1,597Total Assets of Consolidated VIEs

$
13,006    See Notes to Consolidated
    Financial Statements.
 51




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
 Consolidated
    Balance Sheets
 December 31,


December 31,(dollars in millions, except per
    share amounts)

2010


2009LIABILITIESSecurities financing transactionsPayables under repurchase agreements (includes $37,394 in 2010
    and $37,717 in 2009 measured at fair value in accordance with
    the fair value option election)

$
183,758



$
185,747Payables under securities loaned transactions


15,251




25,565199,009




211,312Short-term borrowings(includes $6,472 in 2010 and $813
    in 2009 measured at fair value in accordance with the fair value
    option election)


15,248




14,858Deposits


12,826




15,187Trading liabilities, at fair valueDerivative contracts


32,197




35,438Equities and convertible debentures


14,026




13,691Non-U.S.
    governments and agencies


15,705




12,844Corporate debt and preferred stock


9,500




5,892U.S. Government and agencies


24,747




16,868Municipals, money markets and other


571




76696,746




85,499Obligation to return securities received as collateral, at
    fair value


20,363




16,377Payables to Bank of America


23,021




32,461Other payablesCustomers


39,045




40,458Brokers and dealers


12,895




18,903Interest and other (includes $165 in 2010 and $240 in 2009
    measured at fair value in accordance with the fair value option
    election)


19,900




20,22671,840




79,587Long-term borrowings(includes $39,214 in 2010 and
    $47,040 in 2009 measured at fair value in accordance with the
    fair value option election)


128,851




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


3,576




3,552Total Liabilities


571,480




610,232COMMITMENTS AND CONTINGENCIESSTOCKHOLDERS EQUITYPreferred Stockholders Equity;authorized
    25,000,000 shares;(liquidation preference of $100,000 per share; issued:
    2009  17,000 shares)


-




1,541Common Stockholders EquityCommon stock (par value
    $1.331/3
    per share; authorized: 3,000,000,000 shares; issued: 2010
    and 2009  1,000 shares)


-




-Paid-in capital


40,416




38,741Accumulated other comprehensive loss (net of tax)


(254
)



(112
)Retained earnings


9,984




6,487Total Common Stockholders Equity


50,146




45,116Total Stockholders Equity


50,146




46,657Total Liabilities and Stockholders Equity

$
621,626



$
656,889Liabilities of Consolidated VIEs Included in Total
    Liabilities AboveShort-term borrowings

$
4,642Derivative contracts


1Payables to Bank of America


2Other payables


53Long-term borrowings


6,674Total Liabilities of Consolidated VIEs

$
11,372    See Notes to Consolidated
    Financial Statements.
 52




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries

Consolidated Statements of Changes in
    Stockholders Equity Successor CompanyAmounts

Shares

Amounts

SharesFor the Year Ended

For the Year Ended

For the Year Ended

For the Year Ended(dollars in millions)

December 31, 2010

December 31, 2010

December 31, 2009

December 31, 2009Preferred Stock, netBalance, beginning of year

$
1,541



17,000


$
8,605



363,445Effect of BAC acquisition


-



-



(7,064
)


(346,445
)Mandatory conversion


(1,541
)


(17,000
)


-



-Balance, end of year

$
-



-


$
1,541



17,000Common Stockholders EquityShares Exchangeable into Common StockBalance, beginning of year

$
-



-


$
-



8,189Effect of BAC acquisition


-



-



-



(8,189
)Balance, end of year


-



-



-



-Common StockBalance, beginning of year


-



1,000


$
2,709



2,031,995,436Effect of BAC acquisition


-



-



(2,709
)


(2,031,994,436
)Balance, end of year


-



1,000



-



1,000Paid-in CapitalBalance, beginning of year


38,741







47,232Effect of purchase accounting adjustments


-







(19,669
)Cash capital contribution from BAC


-







6,850BAC contribution of BASH


-







3,677BAC contribution of BAI


-







263Capital contribution associated with stock-based compensation
    awards


1,447







388Other capital contributions from BAC


228







-Balance, end of year


40,416







38,741Accumulated Other Comprehensive LossForeign Currency Translation Adjustment (net of tax)Balance, beginning of year


94







(745
)Effect of BAC acquisition


-







745Translation adjustment


43







94Balance, end of year


137







94Net Unrealized Gains (Losses) on Investment SecuritiesAvailable-for-sale
    (net of tax)Balance, beginning of year


47







(6,038
)Effect of BAC acquisition


-







6,038Net unrealized (losses)/gains on
    available-for-sale
    securities


(113
)






47Balance, end of year


(66
)






47Deferred Gains (Losses) on Cash Flow Hedges (net of tax)Balance, beginning of year


-







81Effect of BAC acquisition


-







(81
)Net deferred (losses) gains on cash flow hedges


4







-Balance, end of year


4







-Defined Benefit Pension and Postretirement Plans (net of tax)Balance, beginning of year


(253
)






384Effect of BAC acquisition


-







(384
)Decrease in funded status


(76
)






(253
)Balance, end of year


(329
)






(253
)Balance, end of year


(254
)






(112
)Retained EarningsBalance, beginning of year


6,487







(8,756
)Effect of BAC acquisition


-







8,756Cumulative adjustment for accounting changes: Consolidation of
    certain variable interest entities


(145
)






-Net earnings


3,776







7,340Preferred stock dividends declared


(134
)






(153
)Cash dividends paid to BAC


-







(700
)Balance, end of year


9,984







6,487Treasury Stock, at costBalance, beginning of year


-



-



(23,622
)


(431,742,565
)Effect of BAC acquisition


-



-



23,622



431,742,565Balance, end of year


-



-



-



-Total Common Stockholders Equity

$
50,146






$
45,116Total Stockholders Equity

$
50,146






$
46,657    See Notes to Consolidated
    Financial Statements.
 53




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
 Consolidated
    Statements of Changes in Stockholders Equity
  Predecessor CompanyAmounts

SharesFor the Period from



For the Period fromDecember 27, 2008 to

For the Year Ended

December 27, 2008 to

For the Year Ended(dollars in millions)

December 31, 2008

December 26, 2008

December 31, 2008

December 26, 2008Preferred Stock, netBalance, beginning of year

$
8,605


$
4,383



363,445



257,134Issuances


-



10,814



-



172,100Redemptions


-



(6,600
)


-



(66,000
)Shares (repurchased) re-issuances


-



8



-



211Balance, end of year

$
8,605


$
8,605



363,445



363,445Common Stockholders EquityShares Exchangeable into Common StockBalance, beginning of year

$
-


$
39



8,189



2,552,982Exchanges


-



(39
)


-



(2,544,793
)Balance, end of year


-



-



8,189



8,189Common StockBalance, beginning of year


2,709



1,805



2,031,995,436



1,354,309,819Capital issuance and
    acquisition(1)


-



648



-



486,166,666Preferred Stock Conversion


-



236



-



177,322,917Shares issued to employees


-



20



-



14,196,034Balance, end of year


2,709



2,709



2,031,995,436



2,031,995,436Paid-in CapitalBalance, beginning of year


47,232



27,163Capital issuance and
    acquisition(1)


-



11,544Preferred Stock Conversion


-



6,970Employee stock plan activity and other


-



(553
)Amortization of employee stock grants


-



2,108Balance, end of year


47,232



47,232Accumulated Other Comprehensive LossForeign Currency Translation Adjustment (net of tax)Balance, beginning of year


(745
)


(441
)Translation adjustment


-



(304
)Balance, end of year


(745
)


(745
)Net Unrealized Gains (Losses) on Investment SecuritiesAvailable-for-Sale
    (net of tax)Balance, beginning of year


(6,038
)


(1,509
)Net unrealized losses on
    available-for-sale
    securities


-



(7,617
)Other
    adjustments(3)


-



3,088Balance, end of year


(6,038
)


(6,038
)Deferred Gains (Losses) on Cash Flow Hedges (net of tax)Balance, beginning of year


81



83Net deferred (losses) gains on cash flow hedges


-



(2
)Balance, end of year


81



81Defined benefit pension and postretirement plans (net of tax)Balance, beginning of year


384



76Net gains


-



306Minimum pension liability adjustment


-



-Adjustment to apply Compensation-Retirement Benefits change in
    measurement
    date(2)


-



2Balance, end of year


384



384Balance, end of year


(6,318
)


(6,318
)Retained EarningsBalance, beginning of year


(8,603
)


23,737Net losses


(153
)


(27,612
)Preferred stock dividends declared


-



(2,869
)Common stock dividends declared


-



(1,853
)Adjustment to apply Compensation-Retirement Benefits change in
    measurement date


-



(6
)Balance, end of year


(8,756
)


(8,603
)Treasury Stock, at costBalance, beginning of year


(23,622
)


(23,404
)


(431,742,565
)


(418,270,289
)Shares reacquired from employees and
    other(4)


-



(363
)


-



(16,017,069
)Share exchanges


-



145



-



2,544,793Balance, end of year


(23,622
)


(23,622
)


(431,742,565
)


(431,742,565
)Total Common Stockholders Equity

$
11,245


$
11,398Total Stockholders Equity

$
19,850


$
20,003    (1)
    
    The 2008 activity relates to the
    July 28, 2008 public offering and additional shares issued
    to Davis Selected Advisors and Temasek Holdings.(2)
    
    These adjustments are not
    reflected in the 2008 Statement of Comprehensive
    Income/(Loss).(3)
    
    Other adjustments in 2008
    primarily relate to income taxes.(4)
    
    Share amounts are net of
    reacquisitions from employees of 19,057,068 shares in
    2008.   See Notes to Consolidated
    Financial Statements.
 54




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and Subsidiaries
 Consolidated Statements of Changes in
    Comprehensive Income/(Loss)
  Predecessor CompanySuccessor Company


For the Period fromFor the Year Ended

For the Year Ended


December 27, 2008 to

For the Year Ended(dollars in millions)

December 31, 2010

December 31, 2009


December 31, 2008

December 26, 2008Net Earnings / (Loss)

$
3,776


$
7,340



$
(153
)

$
(27,612
)Other Comprehensive Income / (Loss)Foreign currency translation adjustment:Foreign currency translation (losses) / gains


(197
)


(597
)



-



694Income tax benefit / (expense)


240



691




-



(998
)Total


43



94




-



(304
)Net unrealized gains / (losses) on
    investment securities
    available-for-sale:Net unrealized holding gains / (losses) arising during the period


(168
)


91




-



(11,916
)Reclassification adjustment for realized losses included in net
    earnings/(loss)


9



14




-



4,299Net unrealized gains / (losses) on investment securities
    available-for-sale


(159
)


105




-



(7,617
)Income tax (expense) / benefit


46



(58
)



-



3,088Total


(113
)


47




-



(4,529
)Deferred gains / (losses) on cash flow hedges:Deferred gains on cash flow hedges


32



72




-



240Reclassification adjustment for realized gains included in net
    earnings/(loss)


(25
)


(71
)



-



(241
)Income tax expense


(3
)


(1
)



-



(1
)Total


4



-




-



(2
)Defined benefit pension and postretirement plans:Net actuarial (losses) gains


(56
)


(417
)



-



489Prior service cost


(59
)


-




-



(4
)Reclassification adjustment for realized gains included in net
    earnings/(loss)


-



-




-



(5
)Income tax benefit / (expense)


39



164




-



(174
)Total


(76
)


(253
)



-



306Total Other Comprehensive Loss


(142
)


(112
)



-



(4,529
)Comprehensive Income / (Loss)

$
3,634


$
7,228



$
(153
)

$
(32,141
)    See Notes to Consolidated
    Financial Statements.
 55




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##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesConsolidated Statements of Cash
    Flows
  Successor Company


Predecessor CompanyFor the Year Ended

For the Year Ended


For the Year Ended(dollars in millions)

December 31, 2010

December 31, 2009


December 26, 2008Cash flows from operating activities:Net earnings/(loss)

$
3,776


$
7,340



$
(27,612
)Adjustments to reconcile net earnings/(loss) to cash provided by
    operating activitiesDepreciation and amortization


900



1,080




886Share-based compensation expense


1,483



1,433




2,044Payment related to price reset on common stock offering


-



-




2,500Goodwill impairment charge


-



-




2,300Deferred taxes


637



578




(16,086
)Gain on sale of Bloomberg L.P.


-



-




(4,296
)(Earnings)/loss from equity method investments


(625
)


(1,443
)



306Other


(279
)


(402
)



13,556Changes in operating assets and liabilities:Trading assets


7,778



33,683




59,064Cash and securities segregated for regulatory purposes or
    deposited with clearing organizations


2,506



5,679




(6,214
)Receivables from Bank of America


6,999



(96,132
)



-Receivables under resale agreements


(37,956
)


99,304




128,370Receivables under securities borrowed transactions


17,590



(2,050
)



98,063Customer receivables


12,205



1,944




19,561Brokers and dealers receivables


(3,226
)


5,180




10,236Proceeds from loans, notes, and mortgages held for sale


8,456



9,237




21,962Other changes in loans, notes, and mortgages held for sale


(4,652
)


(7,212
)



2,700Trading liabilities


11,561



(21,246
)



(34,338
)Payables under repurchase agreements


(1,989
)


(51,977
)



(143,071
)Payables under securities loaned transactions


(10,314
)


(9,577
)



(31,480
)Payables to Bank of America


(9,440
)


32,461




-Customer payables


(1,413
)


(7,569
)



(18,658
)Brokers and dealers payables


(6,008
)


1,245




(11,946
)Trading investment securities


-



-




3,216Other, net


7,281



3,103




(31,588
)Cash provided by operating activities


5,270



4,659




39,475Cash flows from investing activities:Proceeds from (payments for):Maturities of
    available-for-sale
    securities


1,615



6,989




7,250Sales of
    available-for-sale
    securities


15,472



11,311




29,537Purchases of
    available-for-sale
    securities


(5,136
)


(1,902
)



(31,017
)Proceeds from the sale of discontinued operations


-



-




12,576Equipment and facilities, net


(377
)


(264
)



(630
)Loans, notes, and mortgages held for investment


6,927



3,440




(13,379
)Sale of MLBT-FSB to Bank of America


-



4,450




-Other investments


11,787



4,000




1,336Cash provided by investing activities


30,288



28,024




5,673Cash flows from financing activities:Proceeds from (payments for):Commercial paper and short-term borrowings


(4,623
)


(33,229
)



12,981Issuance and resale of long-term borrowings


8,553



7,555




70,194Settlement and repurchases of long-term borrowings


(34,914
)


(56,008
)



(109,731
)Capital contributions from Bank of America


-



6,850




-Deposits


(2,361
)


8,088




(7,880
)Derivative financing transactions


(1
)


19




543Issuance of common stock


-



-




9,899Issuance of preferred stock, net


-



-




9,281Other common stock transactions


-



(81
)



(833
)Excess tax benefits related to share-based compensation


-



-




39Dividends


(134
)


(853
)



(2,584
)Cash used for financing activities


(33,480
)


(67,659
)



(18,091
)Increase/(decrease) in cash and cash equivalents


2,078



(34,976
)



27,057Cash and cash equivalents, beginning of
    period(1)


15,142



50,118




41,346Cash and cash equivalents, end of period

$
17,220



15,142




68,403Supplemental Disclosure of Cash Flow Information:Income taxes paid (net of refunds)

$
(3,269
)

$
493



$
1,518Interest paid


7,846



11,115




30,397  Non-cash investing and financing activities:
  For the year ended December 31, 2010, Merrill Lynch
    received a non-cash capital contribution of approximately
    $1.0 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 October
    2010, Merrill Lynchs mandatory convertible preferred stock
    was automatically converted to Bank of America common stock. The
    redemption was settled through a non-cash intercompany
    transaction.
  In connection with the acquisition of Merrill Lynch by Bank
    of America, Merrill Lynch recorded purchase accounting
    adjustments in the year ended December 31, 2009, which were
    recorded as non-cash capital contributions. In addition, during
    2009 Bank of America contributed the net assets of Banc of
    America Investment Services, Inc. to Merrill Lynch. See
    Note 2.
  Effective on January 1, 2009, Bank of America
    contributed the net assets of Bank of America Securities
    Holdings Corporation totaling approximately $3.7 billion to
    Merrill Lynch. This was recorded as a non-cash capital
    contribution. See Note 1.
  In connection with the sale of Merrill Lynch Bank USA to a
    subsidiary of Bank of America during 2009, Merrill Lynch
    received a note receivable as consideration for the net book
    value of the assets and liabilities transferred to Bank of
    America. See Note 2.
  As a result of the conversion of $6.6 billion of Merrill
    Lynchs mandatory convertible preferred stock,
    series 1, Merrill Lynch recorded additional preferred
    dividends of $2.1 billion in 2008. The preferred dividends
    were paid in additional shares of common and preferred stock.
  In 2008, in satisfaction of Merrill Lynchs obligations
    under the reset provisions contained in the investment agreement
    with Temasek, Merrill Lynch paid Temasek $2.5 billion
    through the issuance of common stock.
  As a result of the sale of Merrill Lynchs 20% ownership
    stake in Bloomberg, L.P. in 2008, Merrill Lynch recorded a
    $4.3 billion pre-tax gain and received notes totaling
    approximately $4.3 billion.
  (1)
    
    Amount for Successor Company in
    2009 is as of January 1, 2009.   See Notes to Consolidated
    Financial Statements.
 56




---



##### Table of Contents



Merrill
    Lynch & Co., Inc. and SubsidiariesNotes to Consolidated Financial StatementsDecember 31, 2010
 Note 1.  Summary of Significant Accounting
    Policies  Description
    of Business
    
    Merrill Lynch, Pierce, Fenner & Smith Incorporated
    (MLPF&S), a
    U.S.-based
    broker-dealer in securities and futures commission merchant;
    Merrill Lynch International (MLI), a United Kingdom
    (U.K.)-based broker-dealer in securities and dealer
    in equity and credit derivatives;
    Merrill Lynch Capital Services, Inc., a
    U.S.-based
    dealer in interest rate, currency, commodity and credit
    derivatives;
    Merrill Lynch International Bank Limited (MLIB), an
    Ireland-based bank;
    Merrill Lynch Japan Securities Co., Ltd. (MLJS), a
    Japan-based broker-dealer;
    Merrill Lynch Derivative Products, AG, a Switzerland-based
    derivatives dealer; and
    ML IBK Positions Inc., a
    U.S.-based
    entity involved in private equity and principal investing.    
    Securities brokerage, trading and underwriting;
    Investment banking, advisory services (including mergers and
    acquisitions) and other corporate finance activities;
    Wealth management products and services, including financial,
    retirement and generational planning;
    Investment management and advisory and related record-keeping
    services;
    Origination, brokerage, dealer, and related activities in swaps,
    options, forwards, exchange-traded futures, other derivatives,
    commodities and foreign exchange products;
    Securities clearance, settlement financing services and prime
    brokerage;
    Private equity and other principal investing activities; and
    Research services on a global basis  Bank of
    America Acquisition
   57




---



##### Table of Contents



paid-in-capital
  Merger
    with BASH
    805-10, Business Combinations
  Basis of
    Presentation
    non-U.S. subsidiaries
 58




---



##### Table of Contents



non-U.S. subsidiaries.
        Consolidation
    Accounting
       59




---



##### Table of Contents



Consolidation , Investments 
    Equity Method and Joint Ventures
      Securitization
    Activities
  Transfers and Servicing
  Revenue
    Recognition
   60




---



##### Table of Contents



other-than-temporary-impairment available-for-sale
    Use of
    Estimates
    
    Valuations of assets and liabilities requiring fair value
    estimates;
    The allowance for credit losses;
    Determination of
    other-than-temporary
    impairments for
    available-for-sale
    investment securities;
    The outcome of litigation;
    Determining whether VIEs should be consolidated;
    The 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 consolidated financial statements.   61




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##### Table of Contents



Fair
    Value Measurement
  Investments 
    Debt and Equity Securities Derivatives and Hedging ASC 825-10-25, Financial Instruments  Recognition Financial
    Services  Broker and Dealers Financial Services 
    Investment Companies
  Fair Value Measurements and Disclosures
  over-the-counter
  and/or and/or
   62




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##### Table of Contents



Liquidity
    Counterparty
    Credit Risk
      Legal
    Reserves
    Income
    Taxes
  Income Taxes
 63




---



##### Table of Contents



Goodwill
    and Intangibles
  Intangibles 
    Goodwill and Other
  Property, Plant, and Equipment
   64




---



##### Table of Contents



Balance
    Sheet
  Cash and
    Cash Equivalents
    Cash and
    Securities Segregated for Regulatory Purposes or Deposited with
    Clearing Organizations
  and/or and/or day-to-day
  Securities
    Financing Transactions
  repo-to-maturity repo-to-maturity repo-to-maturity Repo-to-maturity
    and/or
 65




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##### Table of Contents



Rule 15c3-3
  and/or
          Trading
    Assets and Liabilities
     66




---



##### Table of Contents



Derivatives
    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 other-than-temporary, other-than-temporary available-for-sale other-than-temporary
 67




---



##### Table of Contents



Non-Qualifying
    Investments
  and/or
    other-than-temporary.
  other-than-temporary.
  Loans,
    Notes and Mortgages, Net
  ASC 310-30, Loans and Debt Securities Acquired with Deteriorated Credit
    Quality
  held-for-investment
 68




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##### Table of Contents



Other
    Receivables and Payables
  Customer
    Receivables and Payables
   69




---



##### Table of Contents



Brokers
    and Dealers Receivables and Payables
    Interest
    and Other Receivables and Payables
    Equipment
    and Facilities
      Other
    Assets
     70




---



##### Table of Contents



Deposits
    Short-
    and Long-Term Borrowings
        Stock-Based
    Compensation
  Compensation 
    Stock Compensation
  Employee
    Stock Options
   71




---



##### Table of Contents



New
    Accounting Pronouncements
          other-than-temporary
 72




---



##### Table of Contents



other-than-temporary
    
 Note 2.  Transactions with Bank
    of America
    Sale of
    U.S. Banks to Bank of America
      Acquisition
    of Banc of America Investment Services, Inc. (BAI)
    from Bank of America
   73




---



##### Table of Contents



Merger
    with BASH
    Asset and
    Liability Transfers
    Other
    Related Party Transactions
      (dollars in millions)December 31,
    2010

December 31,
    2009Cash and cash equivalents

$
14,471


$
8,268Cash and securities segregated for regulatory purposes


5,508



3,666Receivables under resale agreements


31,053



46,608Trading assets


643



699Net intercompany funding receivable


7,305



5,778Other receivables


1,460



4,059Other assets


215



117Total

$
60,655


$
69,195     (dollars in millions)December 31,
    2010

December 31,
    2009Payables under repurchase agreements

$
12,890


$
14,025Payables under securities loaned transactions


2,352



5,957Short term borrowings


1,901



2,400Deposits


33



35Trading liabilities


520



718Other payables


2,746



5,595Long term
    borrowings(1)


2,579



3,731Total

$
23,021


$
32,461  (1)
    
    Amounts are subordinated
    borrowings from Bank of America (see Note 12). 74




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##### Table of Contents



available-for-sale
    and/or
  
 Note 3.  Segment and Geographic
    Information
  Segment
    Information
  Segment Reporting
    Geographic
    Information
    
    United States;
    Europe, Middle East, and Africa (EMEA);
    Pacific Rim;
    Latin America; and
    Canada.    
    Revenues are generally recorded based on the location of the
    employee generating the revenue; and 75




---



##### Table of Contents




    Intercompany transfers are based primarily on service agreements.    (dollars in millions)For the Year Ended

For the Year Ended


For the Year EndedDecember 31,
    2010

December 31,
    2009


December 26,
    2008(3)(4)Revenues, net of interest expenseEurope, Middle East, and Africa

$
4,500


$
5,841



$
(2,390
)Pacific Rim


2,244



2,136




69Latin America


1,072



823




1,237Canada


207



242




161Total
    Non-U.S.


8,023



9,042




(923
)United
    States(1)(2)


19,848



20,477




(11,670
)Total revenues, net of interest expense

$
27,871


$
29,519



$
(12,593
)  (1)
    
    U.S. results for the year ended
    December 31, 2010 and December 31, 2009 included
    losses of $0.1 billion and $5.2 billion, respectively,
    due to the impact of the changes in Merrill Lynchs
    credit spreads on the carrying values of certain long-term
    borrowings, primarily structured notes.(2)
    
    Corporate net revenues and
    adjustments are reflected in the U.S. region.(3)
    
    The EMEA 2008 results included
    net losses of $4.3 billion primarily related to residential
    and commercial mortgage-related exposures.(4)
    
    The U.S. 2008 results included
    net losses of $21.5 billion, primarily related to credit
    valuation adjustments related to hedges with financial
    guarantors, losses from asset-backed collateralized debt
    obligations (ABS CDOs), losses from residential and
    commercial mortgage-related exposures, other than temporary
    impairment charges recognized in the investment securities
    portfolio, and losses on leveraged finance loans and
    commitments. These losses were partially offset by gains of
    $5.1 billion that resulted from the widening of
    Merrill Lynchs credit spreads on the carrying value
    of certain long-term borrowings, primarily structured notes, and
    a $4.3 billion net gain related to the sale of
    Merrill Lynchs ownership stake in Bloomberg
    L.P.  
 Note 4.  Fair Value
    Disclosures
  Fair
    Value Accounting
  Fair
    Value Hierarchy
        Level 1.
    Financial assets and liabilities whose values are based on
    unadjusted quoted prices for identical assets or liabilities in
    an active market that Merrill Lynch has the ability to
    access (examples include active exchange-traded equity
    securities, exchange-traded derivatives, U.S. Government
    securities, and certain other sovereign government obligations). 76




---



##### Table of Contents



Level 2.
    Financial assets and liabilities whose values are based on
    quoted prices in markets that are not active or model inputs
    that are observable either directly or indirectly for
    substantially the full term of the asset or liability.
    Level 2 inputs include the following:  a)
    Quoted prices for similar assets or liabilities in active
    markets (examples include restricted stock and U.S. agency
    securities);  b)
    Quoted prices for identical or similar assets or liabilities in
    non-active markets (examples include corporate and municipal
    bonds, which 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).       77




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##### Table of Contents



Valuation
    Techniques
    U.S.
    Government and agencies
  U.S. treasury securities
  U.S. agency securities
  Non-U.S.
    governments and agencies
  Sovereign government obligations
  Municipal
    debt
  Municipal bonds
  Auction Rate Securities (ARS)
  Corporate
    and other debt
  Corporate bonds and/or
 78




---



##### Table of Contents



cash-to-synthetic and/or
  Corporate loans and commitments cash-to-synthetic
  Mortgages,
    mortgage-backed and asset-backed
  Residential Mortgage-Backed Securities (RMBS),
    Commercial Mortgage-Backed Securities (CMBS), and
    other Asset-Backed Securities (ABS)
      Equities
  Exchange-Traded Equity Securities
  Derivative
    contracts
  Listed Derivative Contracts
 79




---



##### Table of Contents



OTC Derivative Contracts
        CDOs
  Investment
    securities non-qualifying
  Investments in Private Equity, Real Estate and Hedge
    Funds
 80




---



##### Table of Contents



and/or
  Resale
    and repurchase agreements
    Long-term
    and short-term borrowings
   81




---



##### Table of Contents



Recurring
    Fair Value
    (dollars in millions)Fair Value Measurements on a Recurring Basisas of December 31, 2010NettingLevel 1

Level 2

Level 3

Adj(1)

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

$
-


$
306


$
-


$
-


$
306Non-U.S.
    governments and agencies


1,652



1,402



-



-



3,054U.S. government and agencies


1,419



1,413



-



-



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


3,071



3,121



-



-



6,192Receivables under resale agreements


-



51,132



-



-



51,132Receivables under securities borrowed transactions


-



1,672



-



-



1,672Trading assets, excluding derivative contracts:Equities


20,458



7,673



170



-



28,301Convertible debentures


-



5,903



-



-



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


18,393



3,612



243



-



22,248Corporate debt


-



22,300



4,605



-



26,905Preferred stock


-



511



287



-



798Mortgages, mortgage-backed and asset-backed


-



5,247



5,747



-



10,994U.S. government and agencies


7,152



34,226



-



-



41,378Municipals and money markets


732



11,102



2,327



-



14,161Physical commodities and other


-



598



-



-



598Total trading assets, excluding derivative contracts


46,735



91,172



13,379



-



151,286Derivative
    contracts(2)


1,622



590,020



14,359



(566,630
)


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


430



-



-



-



430Mortgage-backed securities  residential MBS


-



3,869



-



-



3,869Mortgage-backed securities  agency CMOs


-



61



-



-



61Mortgage-backed securities  non-agency MBSs


-



518



213



-



731Total investment securities
    available-for-sale


430



4,448



213



-



5,091Investment securities non-qualifying


2,792



690



3,394







6,876Total investment securities


3,222



5,138



3,607



-



11,967Securities received as collateral


19,471



892



-



-



20,363Loans, notes and mortgages


-



1,423



1,891



-



3,314Liabilities:Payables under repurchase agreements


-



37,394



-



-



37,394Short-term borrowings


-



6,472



-



-



6,472Trading liabilities, excluding derivative contracts:Equities


11,706



914



-



-



12,620Convertible debentures


-



1,406



-



-



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


14,748



957



-



-



15,705Corporate debt


-



9,500



-



-



9,500U.S. government and agencies


19,860



4,887



-



-



24,747Municipals, money markets and other


224



347











571Total trading liabilities, excluding derivative contracts


46,538



18,011



-



-



64,549Derivative
    contracts(2)


1,142



590,138



7,991



(567,074
)


32,197Obligation to return securities received as collateral


19,471



892











20,363Other payables  interest and other


-



39



126



-



165Long-term borrowings


-



36,818



2,396



-



39,214  (1)
    
    Represents counterparty and
    cash collateral netting.(2)
    
    Refer to Note 6 for
    product level detail. 82




---



##### Table of Contents



and/or
      and/or
  and/or
  (dollars in millions)Fair Value Measurements on a Recurring Basisas of December 31, 2009NettingLevel 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


-



53,462



-



-



53,462Receivables under securities borrowed transactions


-



2,888



-



-



2,888Trading assets, excluding derivative contracts:Equities


23,101



6,645



351



-



30,097Non-U.S.
    governments and agencies


17,407



2,734



1,142



-



21,283Convertible debentures


-



4,922



117



-



5,039Corporate debt


-



22,646



6,673



-



29,319Preferred
    stock(2)


-



436



562



-



998Mortgages, mortgage-backed and asset-backed


-



5,828



7,294



-



13,122U.S. government and agencies


6,652



26,027



-



-



32,679Municipals and money markets


798



8,531



2,148



-



11,477Physical commodities and other


-



651



-



-



651Total trading assets, excluding derivative contracts


47,958



78,420



18,287



-



144,665Derivative contracts


2,226



658,640



17,939



(628,839
)


49,966Investment securities
    available-for-sale:Mortgage-backed securities  agency collateralized
    mortgage 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



493



3,696



-



6,216Total investment securities


2,027



11,313



4,169



-



17,509Securities received as collateral


15,780



597



-



-



16,377Loans, notes and mortgages


-



654



4,115



-



4,769 83




---



##### Table of Contents



(dollars in millions)Fair Value Measurements on a Recurring Basisas of December 31, 2009NettingLevel 1

Level 2

Level 3

Adj(1)

TotalLiabilities:Payables under repurchase agreements

$
-


$
37,717


$
-


$
-


$
37,717Short-term borrowings


-



813



-



-



813Trading liabilities, excluding derivative contracts:Equities


12,051



1,106



-



-



13,157Convertible debentures


-



534



-



-



534Non-U.S.
    governments and agencies


12,028



430



386



-



12,844Corporate debt


7



5,885



-



-



5,892U.S. government and agencies


12,370



4,498



-



-



16,868Municipals, money markets and other


273



493



-



-



766Total trading liabilities, excluding derivative contracts


36,729



12,946



386



-



50,061Derivative contracts


1,732



662,942



11,073



(640,309
)


35,438Obligation to return securities received as collateral


15,780



597



-



-



16,377Other payables  interest and other


-



54



186



-



240Long-term borrowings


-



42,357



4,683



-



47,040  (1)
    
    Represents counterparty and
    cash collateral netting. (2)
    
    Primarily represents auction
    rate securities.  and/or
      and/or
  and/or
    84




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##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesSuccessor CompanyYear Ended December 31, 2010Total Realized and Unrealized

Total Realized



Purchases,Gains or (Losses) included in Income

and Unrealized Gains

Unrealized

IssuancesBeginning

Principal

Other



or (Losses)

Gains to

and

Transfers

Transfers

EndingBalance

Transactions

Revenue

Interest

included in Income

OCI

Settlements

In

Out

BalanceAssets:Trading assets, excluding derivative contracts:Equities

$
351


$
(17
)

$
-


$
-


$
(17
)

$
-


$
(167
)

$
130


$
(127
)

$
170Non-U.S.
    governments and agencies


1,142



(143
)


-



-



(143
)


-



(144
)


103



(715
)


243Corporate debt


6,790



398



-



-



398



-



(2,271
)


965



(1,277
)


4,605Preferred stock


562



(34
)


-



-



(34
)


-



(204
)


-



(37
)


287Mortgages, mortgage-backed and asset-backed


7,294



253



-



-



253



-



(1,793
)


390



(397
)


5,747Municipals and money markets


2,148



112



-



-



112



-



(1,054
)


1,234



(113
)


2,327Total trading assets, excluding derivative contracts


18,287



569



-



-



569



-



(5,633
)


2,822



(2,666
)


13,379Derivative contracts, net


6,866



(1,173
)


-



-



(1,173
)


-



648



691



(664
)


6,368Investment securities
    available-for-sale :Mortgage-backed securities  non-agency MBSs


473



-



(96
)


31



(65
)


(36
)


(224
)


77



(12
)


213Total investment securities
    available-for-sale


473



-



(96
)


31



(65
)


(36
)


(224
)


77



(12
)


213Investment securities non-qualifying


3,696



-



1,437



-



1,437



-



(1,540
)


-



(199
)


3,394Total investment securities


4,169



-



1,341



31



1,372



(36
)


(1,764
)


77



(211
)


3,607Loans, notes and mortgages


4,115



-



133



144



277



-



(2,420
)


28



(109
)


1,891Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


386



23



-



-



23



-



17



-



(380
)


-Total trading liabilities, excluding derivative contracts


386



23



-



-



23



-



17



-



(380
)


-Other payables - interest and other


186



-



44



-



44



-



(16
)


-



-



126Long-term borrowings


4,683



676



41



-



717



-



(1,254
)


1,353



(1,669
)


2,396        85




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##### Table of Contents



(dollars in millions)Level 3 Financial Assets and LiabilitiesSuccessor CompanyYear Ended December 31, 2009Total Realized and Unrealized Gains or

Total Realized and



Purchases,(Losses) 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

$
660


$
(202
)

$
-


$
-


$
(202
)

$
-


$
234


$
(341
)

$
351Non-U.S.
    governments and agencies


30



136



-



-



136



-



174



802



1,142Corporate debt & convertible debentures


11,286



553



-



-



553



-



(898
)


(4,151
)


6,790Preferred stock


3,344



(191
)


-



-



(191
)


-



(2,696
)


105



562Mortgages, mortgage-backed and asset-backed


8,246



(441
)


-



-



(441
)


-



1,666



(2,177
)


7,294Municipals and money markets


798



(27
)


-



-



(27
)


-



1,390



(13
)


2,148Total trading assets, excluding derivative contracts


24,364



(172
)


-



-



(172
)


-



(130
)


(5,775
)


18,287Derivative contracts, net


2,307



(2,209
)


-



-



(2,209
)


-



1,910



4,858



6,866Investment securities
    available-for-sale
    :Mortgage-backed securities  residential non-agency
    MBSs


350



-



(449
)


178



(271
)


41



(1,859
)


2,212



473Total investment securities
    available-for-sale


350



-



(449
)


178



(271
)


41



(1,859
)


2,212



473Investment securities non-qualifying


2,761



-



1,029



-



1,029



-



(103
)


9



3,696Total investment securities


3,111



-



580



178



758



41



(1,962
)


2,221



4,169Loans, notes and mortgages


359



-



710



88



798



-



(2,931
)


5,889



4,115Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


-



(38
)


-



-



(38
)


-



-



348



386Other payables - interest and other


-



-



754



-



754



-



(358
)


1,298



186Long-term borrowings


7,480



(2,083
)


(227
)


-



(2,310
)


-



(829
)


(4,278
)


4,683        86




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##### Table of Contents



available-for-sale
  available-for-sale
  (dollars in millions)Level 3 Financial Assets and LiabilitiesPredecessor CompanyYear Ended December 26, 2008Total RealizedTotal Realized and Unrealized Gains or (Losses)

and Unrealized



Purchases,included in Income

Gains or (Losses)

Unrealized

IssuancesBeginning

Principal

Other



included

Gains to

and

Transfers

Transfers

EndingBalance

Transactions

Revenue

Interest

in Income

OCI

Settlements

In

Out

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

$
84


$
-


$
-


$
1


$
1


$
-


$
(79
)

$
-


$
(6
)

$
-Trading assets


9,773



(5,460
)


-



122



(5,338
)


-



10,114



7,571



-



22,120Derivative contracts, net


(9,069
)


(11,955
)


-



5



(11,950
)


-



26,187



-



(2,861
)


2,307Investment securities


5,491



(1,021
)


(1,535
)


-



(2,556
)


-



426



-



(82
)


3,279Loans, notes and mortgages


63



-



(105
)


(8
)


(113
)


-



399



10



-



359Liabilities:Long-term borrowings


4,765



5,582



285



-



5,867



-



1,198



7,384



-



7,480    87




---



##### Table of Contents



(dollars in millions)Unrealized Gains or (Losses) for Level 3Assets and Liabilities Still HeldSuccessor CompanyYear Ended December 31, 2010Principal

OtherTransactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
(29
)

$
-


$
-


$
(29
)Non-U.S.
    governments and agencies


(144
)


-



-



(144
)Corporate debt


136



-



-



136Preferred stock


(36
)


-



-



(36
)Mortgages, mortgage-backed and asset-backed


136



-



-



136Municipals and money markets


88



-



-



88Total trading assets, excluding derivative contracts


151



-



-



151Derivative contracts, net


(770
)


-



-



(770
)Investment securities
    available-for-sale:Mortgage-backed securities - non-agency MBSs


-



(47
)


31



(16
)Total investment securities
    available-for-sale


-



(47
)


31



(16
)Investment securities non-qualifying


-



20



-



20Total investment securities


-



(27
)


31



4Loans, notes and mortgages


-



199



-



199Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


52



-



-



52Total trading liabilities, excluding derivative contracts


52



-



-



52Other payables  interest and other


-



42



-



42Long-term borrowings


585



43



-



628   88




---



##### Table of Contents



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

OtherTransactions

Revenue

Interest

TotalAssets:Trading assets, excluding derivative contracts:Equities

$
(179
)

$
-


$
-


$
(179
)Non-U.S.
    governments and agencies


137



-



-



137Corporate debt & convertible debentures


192



-



-



192Preferred stock


(155
)


-



-



(155
)Mortgages, mortgage-backed and asset-backed


(371
)


-



-



(371
)Municipals and money markets


(26
)


-



-



(26
)Total trading assets, excluding derivative contracts


(402
)


-



-



(402
)Derivative contracts, net


(2,030
)


-



-



(2,030
)Investment securities available-for-sale:Mortgage-backed securities - non-agency MBSs


-



(258
)


178



(80
)Total investment securities available-for-sale


-



(258
)


178



(80
)Investment securities non-qualifying


-



1,057



-



1,057Total investment securities


-



799



178



977Loans, notes and mortgages


-



856



-



856Liabilities:Trading liabilities, excluding derivative contracts:Non-U.S.
    governments and agencies


(38
)


-



-



(38
)Total trading liabilities, excluding derivative contracts


(38
)


-



-



(38
)Other payables  interest and other


-



782



-



782Long-term borrowings


(2,303
)


(225
)


-



(2,528
)       89




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##### Table of Contents



(dollars in millions)Unrealized Gains or (Losses) for Level 3Assets and Liabilities Still HeldPredecessor CompanyYear Ended December 26, 2008Principal

OtherTransactions

Revenue

Interest

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

$
-


$
-


$
1


$
1Trading assets


(4,945
)


-



83



(4,862
)Derivative contracts, net


114



-



5



119Investment Securities


(964
)


(1,523
)


-



(2,487
)Loans, notes and mortgages


-



(94
)


(8
)


(102
)Liabilities:Long-term borrowings


5,221



285



-



5,506   Non-recurring
    Fair Value
    (dollars in millions)Non-Recurring Basis

Gains/(Losses)as of December 31, 2010

Year EndedLevel 1

Level 2

Level 3

Total

December 31, 2010Assets:Investment securities non-qualifying

$
-


$
-


$
85


$
85


$
(32
)Loans, notes and mortgages


-



25



1,280



1,305



(19
)Other assets


-



10



35



45



(26
)Liabilities:Other payables  interest and other


-



-



31



31



8     (dollars in millions)Non-Recurring Basis

Gains/(Losses)as of December 31, 2009

Year EndedLevel 1

Level 2

Level 3

Total

December 31, 2009Assets:Investment securities non-qualifying

$
-


$
-


$
182


$
182


$
(43
)Loans, notes and mortgages


-



524



2,671



3,195



(101
)Other assets


-



-



210



210



(225
)Liabilities:Other payables  interest and other


-



-



39



39



38    90




---



##### Table of Contents



Fair
    Value Option Election
      (dollars in millions)Successor CompanyChanges in Fair Value For the Year Ended


Changes in Fair Value For the YearDecember 31, 2010, for Items Measured at


Ended December 31, 2009, for ItemsFair Value Pursuant to the Fair Value


Measured at Fair Value Pursuant to theOption 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

$
(34
)

$
-


$
(34
)


$
(356
)

$
-


$
(356
)Investment securities


-



107



107




379



(177
)


202Loans, notes and mortgages


-



290



290




-



839



839Liabilities:Payables under repurchase agreements


13



-



13




162



-



162Short-term borrowings


110



-



110




(242
)


6



(236
)Other payables  interest and other


-



13



13




-



761



761Long-term
    borrowings(1)


357



(115
)


242




(9,121
)


(33
)


(9,154
)  (1)
    
    Other revenues primarily
    represent fair value changes on non-recourse long-term
    borrowings issued by consolidated VIEs.  (dollars in millions)Predecessor CompanyChanges in Fair Value For the Year EndedDecember 26, 2008, for Items Measured atFair Value Pursuant to the Fair Value Option ElectionGains/

Gains/

Total(losses)

(losses)

ChangesPrincipal

Other

in FairTransactions

Revenues

ValueAssets:Receivables under resale agreements

$
190


$
-


$
190Investment securities


(1,637
)


(923
)


(2,560
)Loans, notes and mortgages


(87
)


(11
)


(98
)Liabilities:Payables under repurchase agreements


(54
)


-



(54
)Short-term borrowings


(438
)


-



(438
)Long-term
    borrowings(1)


15,938



1,709



17,647  (1)
    
    Other revenues primarily
    represent fair value changes on non-recourse long-term
    borrowings issued by consolidated VIEs. 91




---



##### Table of Contents



Resale
    and repurchase agreements
    Loans,
    notes and mortgages and loan commitments
    and/or
  Short-term
    and long-term borrowings
   92




---



##### Table of Contents



(dollars in millions)PrincipalFair Value

Amountat

Due UponDecember 31, 2010

Maturity

DifferenceAssets:Receivables under resale agreements

$
51,132


$
50,836


$
296Receivables under securities borrowed transactions


1,672



1,672



-Loans, notes and mortgages


3,190



4,518



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


39,214



43,014



(3,800
)  (1)
    
    The majority of the difference
    relates to the impact of the widening of Merrill Lynchs
    credit spreads and the change in fair value of non-recourse debt
    issued by consolidated VIEs.  (dollars in millions)PrincipalFair Value

Amountat

Due UponDecember 31, 2009

Maturity

DifferenceAssets:Receivables under resale agreements

$
53,462


$
53,176


$
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.  Trading
    Risk Management
     93




---



##### Table of Contents



Market
    Risk
      Interest
    Rate Risk
      Currency
    Risk
   94




---



##### Table of Contents



Equity
    Price Risk
    Credit
    Spread Risk
    Commodity
    Price and Other Risks
  and/or and/or
  Counterparty
    Credit Risk
       95




---



##### Table of Contents



failed-to-receive) failed-to-receive,
  Concentrations
    of Credit Risk
    Concentration
    of Risk to the U.S. Government and its Agencies
    Other
    Concentrations of Risk
        Derivatives
   96




---



##### Table of Contents



one-day
  
 Note 5.
    Fair Value of Financial Instruments       Short-term
    Financial Instruments
    Loans,
    Notes and Mortgages
   97




---



##### Table of Contents



Deposits
    Long-term
    Borrowings
      (dollars in millions)December 31, 2010


December 31, 2009Book Value

Fair Value


Book Value

Fair ValueFinancial assetsLoans, notes and
    mortgages(1)

$
25,803


$
24,383



$
37,663


$
35,950Financial liabilitiesDeposits


12,826



12,826




15,187



15,187Long-term
    borrowings(2)


132,427



131,694




154,951



162,645  (1)
    
    Loans are presented net of the
    allowance for loan losses.  (2)
    
    Includes junior subordinated
    notes (related to trust preferred securities). Note 6.  Derivatives    net-by-counterparty
 98




---



##### 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.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. 99




---



##### Table of Contents



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 and commodity price risk, along with the
    gain or loss on the hedged asset or liability that is
    attributable to the hedged risk, are recorded in current period
    earnings as interest expense or principal transactions.2.
    A hedge of the variability of cash flows to be received or paid
    related to a recognized asset or liability (cash flow
    hedge). Changes in the fair value of derivatives that are
    designated and qualify as cash flow hedges are recorded in OCI
    until earnings are affected by the variability of cash flows of
    the hedged asset or liability or when the forecasted purchase or
    sale occurs.3.
    A hedge of a net investment in a foreign operation (net
    investment hedge). Changes in the fair value of
    derivatives that are designated and qualify as hedges of a net
    investment in a foreign operation are recorded in the foreign
    currency translation adjustment account within OCI. Changes in
    the fair value of the hedging instruments that are associated
    with the difference between the spot rate and the contracted
    forward rate are recorded in current period earnings in interest
    expense for the year ended December 31, 2010 and interest
    expense and other revenues for the year ended December 31,
    2009.      Fair
    value hedges of interest rate risk on long term
    borrowings
  (dollars in millions)Account location

2010

2009For the year ended December 31:Gain/(loss) recognized in income on the derivative

Interest expense

$
794


$
(2,732
)Gain/(loss) recognized in income on the long-term
    borrowing(1)

Interest expense


(1,545
)


2,010Gain/(loss) recognized in income due to hedge ineffectiveness

Interest expense


(751
)


(722
)As of December 31, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


4,442



3,362Trading liabilities


484



101Notional amount of hedging derivativesin an asset position




43,924



54,954in a liability position




13,967



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. 100




---



##### Table of Contents



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

2010

2009For the year ended December 31:Gain/(loss) recognized in income on the derivative

Principal transactions

$
19


$
(51
)Gain/(loss) recognized in income on the commodity inventory

Principal transactions


(20
)


52Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions


(1
)


1As of December 31, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


80



78Trading liabilities


6



4Notional amount of hedging derivativesin an asset position




232



286in a liability position




14



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

2010

2009For the year ended December 31:Gain/(loss) on the derivative deferred in equity

Accumulated other

$
32


$
72comprehensive incomeGain/(loss) reclassified into earnings in the current period

Principal transactions


25



71Gain/(loss) recognized in income due to hedge ineffectiveness

Principal transactions


11



(2
)Amount that is expected to be reclassified into earnings in the
    next 12 months

Principal transactions


6



1As of December 31, 2010 and December 31, 2009:Carrying value of hedging derivativesTrading assets


109



10Trading liabilities


5



5Notional amount of hedging derivativesin an asset position




255



92in a liability position




134



67  101




---



##### Table of Contents



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

2010

2009For the year ended December 31:Gain/(loss) on the derivative and non-derivative hedges deferred
    in equity

Accumulated other
    comprehensive income

$
(672
)

$
(1,826
)Gain/(loss) reclassified into earnings in the current period

Other revenue


(35
)


-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


(211
)


(50
)As of December 31, 2010 and December 31, 2009:Carrying value of hedging derivatives

Trading assets


468



353Trading liabilities


930



277Carrying value of non-derivative hedges

Long-term borrowings


536



598Notional amount of hedging derivativesin an asset position




6,639



16,531in a liability position




19,180



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

2010

2009For the year ended December 31:Interest rate risk

Other revenue

$
314


$
(832
)Foreign currency risk

Other revenue


(1,583
)


(437
)Credit risk

Other revenue


(42
)


(397
)   ASC 830-20, Foreign Currency Transactions
  Derivative
    balances by primary risk
   102




---



##### Table of Contents



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

Trading Assets-

Contract/

Trading Liabilities-Notional(1)

Derivative Contracts

Notional(1)

Derivative ContractsInterest rate contractsSwaps

$
8,492,025


$
452,115


$
8,333,391


$
452,564Futures and forwards


1,916,110



1,549



1,955,861



1,608Written options


-



-



1,708,493



46,064Purchased options


1,836,089



48,185



-



-Foreign exchange contractsSwaps


93,721



10,396



98,987



11,947Spot, futures and forwards


118,363



5,637



105,671



5,702Written options


-



-



280,290



10,673Purchased options


273,375



10,501



-



-Equity contractsSwaps


17,411



1,622



20,764



1,871Futures and forwards


35,483



2,897



43,257



2,122Written options


-



-



221,791



15,677Purchased options


174,313



15,338



-



-Commodity contractsSwaps


39,284



8,872



50,710



9,158Futures and forwards


215,588



4,122



198,130



2,817Written options


-



-



86,241



6,628Purchased options


84,554



6,565



-



-Credit derivativesPurchased protection:Credit default swaps


322,230



29,670



251,679



8,001Total return swaps


2,127



301



3,243



208Other credit derivatives


440



8



47



-Written protection:Credit default swaps


248,509



7,978



326,448



23,755Total return swaps


3,802



245



1,607



475Other credit derivatives


-



-



214



1Gross derivative assets/liabilities

$
13,873,424


$
606,001


$
13,686,824


$
599,271Less: Legally enforceable master netting






(538,055
)






(538,055
)Less: Cash collateral applied






(28,575
)






(29,019
)Total derivative assets and liabilities





$
39,371






$
32,197  (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives.  103




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##### 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


2,636,570



3,625



2,578,002



3,431Written options


-



-



1,475,611



46,531Purchased options


1,333,216



46,933



-



-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


41,849



2,999



33,861



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

$
16,747,870


$
678,805


$
16,566,844


$
675,747Less: Legally enforceable master netting






(602,157
)






(602,157
)Less: Cash collateral applied






(26,682
)






(38,152
)Total derivative assets and liabilities





$
49,966






$
35,438  (1)
    
    These amounts include trading
    derivatives, non-trading derivatives and bifurcated embedded
    derivatives.  Trading
    revenues
   104




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##### Table of Contents



Non-trading derivatives
  For The
    Year Ended December 31, 2010
  (dollars in millions)Principal





Net InterestTransactions

Commissions

Other
    Revenues(1)

Income/(Expense)

TotalInterest rate risk

$
1,046


$
76


$
59


$
756


$
1,937Foreign exchange risk


55



-



-



(1
)


54Equity risk


1,940



3,093



262



(490
)


4,805Commodity risk


284



-



7



(123
)


168Credit risk


3,789



41



701



3,337



7,868Total trading related


7,114



3,210



1,029



3,479



14,832Non-trading related


(40
)


2,550



3,599



(3,797
)


2,312Total

$
7,074


$
5,760


$
4,628


$
(318
)

$
17,144   For The
    Year Ended December 31, 2009
  (dollars in millions)Principal





Net InterestTransactions

Commissions

Other
    Revenues(1)

Income/(Expense)

TotalInterest rate risk

$
1,859


$
61


$
27


$
1,161


$
3,108Foreign exchange risk


308



-



1



11



320Equity risk


2,561



3,295



125



(228
)


5,753Commodity risk


1,050



-



-



(157
)


893Credit risk


4,814



52



559



3,753



9,178Total trading related


10,592



3,408



712



4,540



19,252Non-trading related


(5,471
)


2,600



2,689



(1,105
)


(1,287
)Total

$
5,121


$
6,008


$
3,401


$
3,435


$
17,965  (1)
    
    Includes other income and
    other-than-temporary
    impairment losses on
    available-for-sale
    debt securities.  Derivatives
    as guarantees
  Guarantees
 105




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##### Table of Contents



(dollars in millions)MaximumPayout/

Less than







CarryingNotional

1 year

1 − 3 years

3 − 5 years

Over 5 years

Value(1)At December 31, 2010:Derivative contracts:Credit derivatives:Investment
    grade(2)

$
394,704


$
35,231


$
138,666


$
98,617


$
122,190


$
13,742Non-investment
    grade(2)


185,876



23,272



61,365



49,556



51,683



10,489Total credit derivatives


580,580



58,503



200,031



148,173



173,873



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


1,004



-



132



-



872



1,004Non-investment
    grade(2)


1,358



9



20



156



1,173



1,358Total credit related notes


2,362



9



152



156



2,045



2,362Other derivatives


1,379,874



421,080



296,885



190,062



471,847



50,505Total derivative contracts

$
1,962,816


$
479,592


$
497,068


$
338,391


$
647,765


$
77,098At 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


1,588,213



501,727



405,223



245,565



435,698



59,821Total derivative contracts

$
3,163,895


$
639,861


$
869,618


$
787,294


$
867,122


$
115,011  (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
 106




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##### Table of Contents



(dollars in millions)MaximumPayout/

Less than







CarryingNotional

1 year

1 − 3 years

3 − 5 years

Over 5 years

Value(1)At December 31, 2010:Credit derivatives purchased

$
543,233


$
53,741


$
179,809


$
140,764


$
168,919


$
17,875Credit derivatives sold


567,828



57,954



198,656



147,121



164,097



21,600At December 31, 2009:Credit derivatives purchased


1,506,782



130,297



432,550



511,298



432,637



49,225Credit derivatives sold


1,555,077



135,686



463,129



540,713



415,549



50,609  (1)
    
    Derivative contracts are shown
    on a gross basis prior to cash collateral or counterparty
    netting.  Credit
    related notes
      Other
    derivative contracts
   107




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##### Table of Contents



Credit
    risk management of derivatives
      ASC 210-20, Balance Sheet-Offsetting
   108




---



##### Table of Contents



Mark-to-market mark-to-market
    Credit-risk
    related contingent features
    and/or
  
 Note 7.
    Securities Financing Transactions     non-U.S. government
 109




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##### Table of Contents



Rule 15c3-3
      (dollars in millions)December 31,
    2010


December 31,
    2009Trading asset categoryEquities and convertible debentures

$
8,199



$
7,647Corporate debt and preferred stock


14,320




22,616U.S. Government and agencies


26,381




12,534Non-U.S.
    governments and agencies


1,424




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


3,480




3,674Municipals and money markets


1,980




8Total

$
55,784



$
48,265      110




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##### Table of Contents



Note 8.  Investment Securities





Investment securities on the Consolidated Balance Sheets include: 
    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 that Merrill Lynch holds for capital
    appreciation
    and/or
    current income and which are accounted for at fair value in
    accordance with the Investment Company Guide, as well as private
    equity investments accounted for at fair value under the fair
    value option election. The fair value of such private equity
    investments reflects expected exit values based upon market
    prices or other valuation methodologies, including market
    comparables of similar companies and discounted expected cash
    flows.    (dollars in millions)December 31,
    2010


December 31, 2009Investment securitiesAvailable-for-sale(1)(2)

$
5,091



$
16,818Held-to-maturity


245




246Non-qualifying(3)Equity
    investments(4)


10,437




19,591Other investments


1,996




1,752Total

$
17,769



$
38,407  (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)
    
    The decrease in
    available-for-sale
    securities from December 31, 2009 primarily reflects the
    sale of approximately $15 billion of securities,
    approximately $11 billion of which were sold to Bank of
    America, partly offset by the purchase of approximately
    $4 billion of securities from Bank of America.(3)
    
    Investments that are
    non-qualifying for Investment Accounting purposes.(4)
    
    Equity investments declined
    primarily due to the partial sale of Merrill Lynchs
    investment in BlackRock, Inc. (BlackRock).  other-than-temporary-impairment
 111




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##### Table of Contents



other-than-temporary available-for-sale
  other-than-temporary
    (dollars in millions)December 31, 2010Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

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

$
3,918


$
-


$
(49
)

$
3,869Agency collateralized mortgage obligations


61



-



-



61Non-agency collateralized mortgage obligations


739



68



(76
)


731Subtotal


4,718



68



(125
)


4,661U.S. Government and agencies


430



-



-



430Total
    Available-for-Sale
    Securities


5,148



68



(125
)


5,091Held-to-MaturityCorporate debt and municipal


245



-



-



245Total

$
5,393


$
68


$
(125
)

$
5,336   (dollars in millions)December 31, 2009Gross

GrossAmortized

Unrealized

Unrealized

FairCost

Gains

Losses

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

$
14,381


$
449


$
(11
)

$
14,819Non-agency collateralized mortgage obligations


1,952



154



(501
)


1,605Subtotal


16,333



603



(512
)


16,424U.S. Government and agencies


394



-



-



394Total
    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
 112




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##### Table of Contents



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

More than 1 Year

TotalUnrealized



Unrealized



UnrealizedAsset Category

Fair Value

Losses

Fair Value

Losses

Fair Value

LossesAgency residential mortgage backed securities

$
3,869


$
(49
)

$
-


$
-


$
3,869


$
(49
)Non-agency collateralized mortgage obligations


53



(3
)


230



(73
)


283



(76
)Total

$
3,922


$
(52
)

$
230


$
(73
)

$
4,152


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

Held-to-MaturityAmortized

Fair

Amortized

FairCost

Value

Cost

ValueDue in one year or less

$
453


$
451


$
-


$
-Due after one year through five years


3,462



3,440



245



245Due after five years through ten years


592



575



-



-Due after ten years


641



625



-



-Total(1)

$
5,148


$
5,091


$
245


$
245  (1)
    
    Actual maturities may differ
    from contractual maturities because borrowers may have the right
    to call or prepay their obligations with or without prepayment
    penalties.  available-for-sale
  (dollars in millions)Successor Company


Predecessor CompanyYear Ended

Year Ended


Year EndedDecember 31,
    2010

December 31,
    2009


December 26,
    2008Proceeds

$
15,472


$
13,715



$
29,537Gross realized gains


531



608




33Gross realized losses


(272
)


(93
)



(28
)   Equity
    Method Investments
   113




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##### Table of Contents



(dollars in millions)December 31, 2009Carrying


OwnershipAmount


PercentageBlackRock
    Inc.(1)

$
9,978




34
%Warburg Pincus Funds IX and X,
    L.P.(2)


797




7WCG Master
    Fund Ltd.(3)


598




25  (1)
    
    Carrying amount included a 4%
    voting common equity interest and a non-voting preferred equity
    interest as of December 31, 2009.(2)
    
    Investment in private equity
    funds.(3)
    
    Investment in an alternative
    investment fund.          (dollars in millions)For the Year Ended

For the Year Ended

For the Year EndedDecember 31,
    2010(1)

December 31,
    2009

December 26,
    2008(2)Revenues

$
8,612


$
6,576


$
6,513Operating income


2,998



2,774



761Earnings/(loss) before income taxes


3,021



2,768



(7
)Net earnings/(loss)


2,063



2,371



(308
)  114




---



##### Table of Contents



(dollars in millions)December 31,
    2009Total assets

$
198,551Total liabilities


158,981Noncontrolling interest


273  (1)
    
    Consists of the results of
    BlackRock for the year ended December 31, 2010. BlackRock
    was accounted for under the equity method of accounting through
    November 15, 2010.(2)
    
    Results relating to the
    investment in Bloomberg L.P. reflect amounts through
    June 30, 2008, as the investment was sold on July 17,
    2008. Note 9.  Securitizations and Other Variable
    Interest Entities (VIEs)      115




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##### Table of Contents



(dollars in millions)Ending Balance



Opening BalanceSheet

Net Increase /

SheetDecember 31,
    2009

(Decrease)

January 1, 2010AssetsTrading assets, at fair value

$
144,665


$
6,217


$
150,882Derivative assets


49,966



(2,413
)


47,553Investment securities


32,882



1,093



33,975Loans, notes, and mortgages (net)


37,663



(333
)


37,330All other assets


391,713



3,287



395,000Total Assets

$
656,889


$
7,851


$
664,740LiabilitiesShort-term borrowings

$
14,858


$
5,013


$
19,871Trading liabilities, at fair value


50,061



-



50,061Derivative liabilities


35,438



(313
)


35,125Long-term borrowings


151,399



3,067



154,466All other liabilities


358,476



229



358,705Total Liabilities


610,232



7,996



618,228Retained earnings


6,487



(145
)


6,342All other stockholders equity


40,170



-



40,170Total Stockholders Equity


46,657



(145
)


46,512Total Liabilities and Stockholders Equity

$
656,889


$
7,851


$
664,740         Loan
    VIEs
   116




---



##### Table of Contents



(dollars in millions)Non-AgencyPrime

Subprime

Commercial MortgageDecember 31,

December 31,

December 31,

December 31,

December 31,

December 31,2010

2009

2010

2009

2010

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

$
28


$
99


$
168


$
1,150


$
187


$
119Senior securities
    held(3)Trading assets

$
6


$
3


$
23


$
17


$
74


$
18Investment securities


6



-



22



-



-



-Subordinated securities
    held(3)Trading assets


-



-



11



-



-



-Residual interests held


6



9



-



2



50



39Total retained securities

$
18


$
12


$
56


$
19


$
124


$
57Principal balance
    outstanding(4)

$
636


$
923


$
18,857


$
37,254


$
24,891


$
17,461Consolidated VIEs:Maximum loss
    exposure(1)

$
46


$
472


$
12


$
1,234


$
-


$
-Derivative contracts

$
41


$
72


$
-


$
163


$
-


$
-Loans, notes, and mortgages


-



436



-



1,746



-



-Other assets


5



14



12



108



-



-Total assets

$
46


$
522


$
12


$
2,017


$
-


$
-Long-term borrowings

$
-


$
48


$
-


$
1,030


$
-


$
-Derivative contracts


-



-



-



3



-



-Other liabilities


9



3



-



-



-



-Total liabilities

$
9


$
51


$
-


$
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.   117




---



##### Table of Contents



Municipal Bond Securitizations
  and/or
      (dollars in millions)December 31, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
4,451


$
1,543


$
5,994


$
138


$
4,971


$
5,109On-balance sheet assetsTrading assets

$
4,451


$
255


$
4,706


$
138


$
97


$
235Total

$
4,451


$
255


$
4,706


$
138


$
97


$
235On-balance sheet liabilitiesDerivative contracts

$
-


$
-


$
-


$
2


$
287


$
289Short-term borrowings


4,642



-



4,642



-



-



-Payables to Bank of America


2



-



2



-



-



-Total

$
4,644


$
-


$
4,644


$
2


$
287


$
289Total assets of VIEs

$
4,451


$
1,706


$
6,157


$
138


$
5,264


$
5,402    118




---



##### Table of Contents



Collateralized Debt Obligations (CDOs)
   119




---



##### Table of Contents



(dollars in millions)December 31, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
2,216


$
2,987


$
5,203


$
2,449


$
5,942


$
8,391On-balance sheet assetsTrading assets

$
2,727


$
569


$
3,296


$
2,785


$
700


$
3,485Derivative contracts


-



890



890



-



2,085



2,085Other assets


3



123



126



-



166



166Total

$
2,730


$
1,582


$
4,312


$
2,785


$
2,951


$
5,736On-balance sheet liabilitiesDerivative contracts

$
-


$
8


$
8


$
-


$
801


$
801Long-term borrowings


3,161



-



3,161



2,753



-



2,753Total

$
3,161


$
8


$
3,169


$
2,753


$
801


$
3,554Total assets of VIEs

$
2,730


$
42,782


$
45,512


$
2,785


$
51,017


$
53,802            120




---



##### Table of Contents



Customer
    Vehicles
      (dollars in millions)December 31, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
3,457


$
2,603


$
6,060


$
277


$
7,681


$
7,958On-balance sheet assetsTrading assets

$
3,397


$
737


$
4,134


$
183


$
243


$
426Derivative contracts


-



728



728



78



3,354



3,432Loans, notes, and mortgages


-



-



-



-



65



65Other assets


1,430



-



1,430



16



-



16Total

$
4,827


$
1,465


$
6,292


$
277


$
3,662


$
3,939On-balance sheet liabilitiesDerivative contracts

$
1


$
24


$
25


$
-


$
205


$
205Short-term borrowings


-



-



-



22



-



22Long-term borrowings


3,430



-



3,430



50



74



124Other liabilities


-



140



140



-



681



681Total

$
3,431


$
164


$
3,595


$
72


$
960


$
1,032Total assets of VIEs

$
4,827


$
5,952


$
10,779


$
277


$
10,387


$
10,664      121




---



##### Table of Contents



Real Estate and other VIEs
      (dollars in millions)December 31, 2010

December 31, 2009Consolidated

Unconsolidated

Total

Consolidated

Unconsolidated

TotalMaximum Loss Exposure

$
857


$
2,150


$
3,007


$
1,342


$
865


$
2,207On-balance sheet
    assets(1)Trading assets

$
263


$
86


$
349


$
86


$
587


$
673Derivative contracts


-



227



227



-



21



21Investment securities


309



73



382



-



-



-Loans, notes, and mortgages


221



1,368



1,589



313



257



570Other assets


147



395



542



1,093



-



1,093Total

$
940


$
2,149


$
3,089


$
1,492


$
865


$
2,357On-balance sheet liabilitiesDerivative contracts

$
-


$
-


$
-


$
-


$
127


$
127Long-term borrowings


83



-



83



32



-



32Other liabilities


44



-



44



78



-



78Total

$
127


$
-


$
127


$
110


$
127


$
237Total assets of
    VIEs(1)

$
940


$
6,391


$
7,331


$
1,492


$
1,448


$
2,940  (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.     122




---



##### Table of Contents



Other
    Transactions
   Note 10.  Loans, Notes and Mortgages    
    Consumer loans, which are substantially secured, including
    residential mortgages, home equity loans, and other loans to
    individuals for household, family, or other personal
    expenditures; and
    Commercial loans, including corporate and institutional loans
    (including corporate and financial sponsor, non-investment grade
    lending commitments), commercial mortgages, asset-backed loans,
    small- and middle-market business loans, and other loans to
    businesses.    (dollars in millions)Age Analysis of Outstanding LoansDecember 31, 201030-89 Days

90 Days or Greater

Total Past

Total Current or Less

Nonperforming

TotalPast Due

Than 90 Days

Due

Than 30 Days Past Due

Loans

OutstandingConsumer loansResidential mortgage

$
23


$
-


$
23


$
451


$
30


$
504Home equity


1



-



1



126



5



132Total consumer


24



-



24



577



35



636CommercialCommercial  U.S.


2



19



21



5,591



210



5,822Commercial real estate


-



-



-



1,632



212



1,844Commercial 
    non-U.S.


-



-



-



2,824



161



2,9852



19



21



10,047



583



10,651Commercial loans measured at fair value


-



-



-



318



-



318Total commercial


2



19



21



10,365



583



10,969Other(1)


-



-



-



14,368



-



14,368Total loans

$
26


$
19


$
45


$
25,310


$
618


$
25,973Allowance for loan losses






















(170
)Total loans, net





















$
25,803  (1)
    
    Includes asset-backed loans and
    loans
    held-for-sale
    of $9.2 billion and $5.2 billion, respectively, as of
    December 31, 2010. 123




---



##### Table of Contents



(dollars in millions)December 31, 2010Commercial -

Commercial

Commercial -U.S.(1)

Real Estate

non-U.S.(1)Risk RatingsPass rated

$
5,192


$
1,582


$
2,581Reservable criticized


630



262



404Total Commercial

$
5,822


$
1,844


$
2,985  (1)
    
    Excludes commercial loans
    measured at fair value.    (dollars in millions)December 31,2009Consumer:Mortgages

$
4,700Other


8,969Commercial and small- and middle-market business:Investment grade


11,105Non-investment grade


12,92237,696Allowance for loan losses


(33
)Total, net

$
37,663     (dollars in millions)For the Year Ended


For the Year EndedDecember 31,
    2010


December 31, 2009
    (1)Allowance for loan losses, at beginning of period

$
33



$
-Provision for loan losses


291




394Charge-offs


(158
)



(212
)Recoveries


3




8Net charge-offs


(155
)



(204
)Other(2)


1




(157
)Allowance for loan losses, at end of period

$
170



$
33  (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. 124




---



##### Table of Contents



(2)
    
    The amount for 2009 includes
    $157 million of allowance for loan losses transferred to
    Bank of America in connection with the sale of MLBUSA and
    MLBT-FSB. See Note 2 for further information regarding
    these sales.          Net
    Credit Default Protection by Maturity Profile
  December 31,2010Less than or equal to one year


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


67Greater than five years


10Total net credit default protection


100
%  125




---



##### Table of Contents



Net
    Credit Default Protection by Credit Exposure Debt
    Rating
  (dollars in millions)December 31, 2010NetRatings(1)

Notional

PercentAA

$
(450
)


15.5
%A


(1,029
)


35.3BBB


(655
)


22.5BB


(359
)


12.3B


(224
)


7.7CCC and below


(194
)


6.7Total net credit default protection

$
(2,911
)


100.0
%  (1)
    
    Merrill Lynch considers ratings
    of BBB- or higher to meet the definition of investment
    grade.  Effect of
    the Acquisition of Merrill Lynch by Bank of America
         126




---



##### Table of Contents



(dollars in millions)As ofJanuary 1,Acquired Impaired
    Loans

2009Contractually required payments including interest

$
6,205Less: Nonaccretable difference


(1,357
)Cash flows expected to be
    collected(1)


4,848Less: Accretable yield


(627
)Fair value of loans acquired

$
4,221  (1)
    
    Represents undiscounted
    expected principal and interest cash flows at the acquisition
    date (January 1, 2009).    (dollars in millions)Year EndedDecember 31,2009Accretable yield, beginning of period

$
627Impact of the sale of MLBUSA and MLBT-FSB to Bank of America


(499
)Accretions


(109
)Disposals


(8
)Decrease in expected cash flows


(11
)Accretable yield, December 31, 2009

$
-  Note 11.  Goodwill and Intangible Assets    Goodwill
   127




---



##### Table of Contents



(dollars in millions)Goodwill, January 1, 2009

$
6,029Dispositions(1)


(425
)Purchase Accounting
    Adjustments(2)


(29
)Goodwill, December 31, 2009


5,575Adjustments(3)


155Goodwill, December 31, 2010

$
5,730  (1)
    
    Relates to the sale of MLBUSA
    and MLBT-FSB to Bank of America during 2009. Refer to
    Note 2 for further information.(2)
    
    Represents adjustments to the
    preliminary purchase accounting established as of
    January 1, 2009 in conjunction with the acquisition of
    Merrill Lynch by Bank of America.(3)
    
    Represents corrections of
    certain assets and liabilities in place at the time of the
    acquisition of Merrill Lynch by Bank of America.    Intangible
    Assets
  Property, Plant and Equipment
    (dollars in millions)Year Ended


Year EndedDecember 31,


December 31,2010


2009Customer relationships

Gross carrying amount

$
3,087



$
3,087Accumulated amortization


(618
)



(309
)Net carrying amount


2,469




2,778Other(1)

Gross carrying amount


1,515




1,515Accumulated amortization


-




-Net carrying amount


1,515




1,515Total

Gross carrying amount


4,602




4,602Accumulated amortization


(618
)



(309
)Net carrying amount

$
3,984



$
4,293  (1)
    
    Represents value assigned to
    the Merrill Lynch brand. 128




---



##### Table of Contents



Note 12.  Borrowings and Deposits    and/or
      364-day
   129




---



##### Table of Contents



364-day
    
    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)December 31,


December 31,2010


2009Senior debt

$
80,130



$
101,051Senior structured notes


40,678




49,187Subordinated debt


11,358




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


3,576




3,552Other subsidiary financing


617




969Debt issued by consolidated VIEs


11,316




3,935Total

$
147,675



$
169,809  130




---



##### Table of Contents



(dollars in millions)December 31,


December 31,2010


2009Short-term borrowingsSecured short-term borrowings

$
-



$
195Other unsecured short-term borrowings


10,606




14,641Short-term debt issued by consolidated
    VIEs(1)


4,642




22Total

$
15,248



$
14,858Long-term
    borrowings(2)Fixed-rate
    obligations(3)

$
64,611



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


57,566




73,351Other obligations


-




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


6,674




3,913Total

$
128,851



$
151,399DepositsNon-U.S.

$
12,826



$
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.      December 31,


December 31,2010


2009Short-term borrowings


0.3
%



0.3
%Long-term borrowings


3.8




3.7Junior subordinated notes (related to trust preferred securities)


6.9




6.9   Long-Term
    Borrowings
    (dollars in millions)Amount

Percentage of TotalLess than 1 year

$
26,934



21
%1  2 years


18,966



152  3 years


21,230



163  4 years


16,916



134  5 years


4,558



4Greater than 5 years


40,247



31Total

$
128,851



100
%  131




---



##### Table of Contents



Junior
    Subordinated Notes (related to trust preferred
    securities)
        (dollars in millions)AGGREGATEPRINCIPALAMOUNT

AGGREGATE

AGGREGATEOF TRUST

PRINCIPAL

CARRYING

ANNUALISSUE

PREFERRED

AMOUNT

VALUE

DISTRIBUTION

STATEDTRUST

DATE

SECURITIES

OF NOTES

OF NOTES

RATE

MATURITYML Preferred Capital Trust III

Jan1998

$
750


$
900


$
658



7.00%


PerpetualML Preferred Capital Trust IV

Jun1998


400



480



351



7.12%


PerpetualML Preferred Capital Trust V

Nov1998


850



1,021



747



7.28%


PerpetualML Capital Trust I

Dec-2006


1,050



1,051



679



6.45%


Dec2066(1)ML Capital Trust II

May2007


950



951



597



6.45%


Jun2062(2)ML Capital Trust III

Aug2007


750



751



544



7.375%


Sep2062(3)Total



$
4,750(4
)

$
5,154


$
3,576  (1)
    
    Merrill Lynch has the option to
    extend the maturity of the junior subordinated note until
    December 2086.(2)
    
    Merrill Lynch has the option to
    extend the maturity of the junior subordinated note until June
    2087.(3)
    
    Merrill Lynch has the option to
    extend the maturity of the junior subordinated note until
    September 2087.(4)
    
    Includes related investments of
    $25 million. 132




---



##### Table of Contents



Deposits
    (dollars in millions)December 31,


December 31,2010


2009Non-U.S.Non-interest bearing

$
917



$
1,104Interest bearing


11,909




14,083Total Deposits

$
12,826



$
15,187     Other
   Note 13.  Stockholders Equity and
    Earnings Per Share  Preferred
    Equity
    Common
    Stock
     133




---



##### Table of Contents



Accumulated
    Other Comprehensive Loss
    (dollars in millions)December 31,


December 31,2010


2009Foreign currency translation adjustmentUnrealized (losses), net of gains

$
(794
)


$
(597
)Income taxes


931




691Total


137




94Unrealized (losses)/gains on investment securities
    available-for-saleNet unrealized (losses)/gains


(54
)



105Income taxes


(12
)



(58
)Total


(66
)



47Deferred gains on cash flow hedgesDeferred gains


8




1Income taxes


(4
)



(1
)Total


4




-Defined benefit pension and postretirement plansNet actuarial (losses)


(473
)



(417
)Net prior service cost


(59
)



-Income taxes


203




164Total


(329
)



(253
)Total accumulated other comprehensive loss

$
(254
)


$
(112
)   Earnings
    Per Share
   134




---



##### Table of Contents



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


Predecessor CompanyYear Ended

Year Ended


Year EndedDecember 31,

December 31,


December 26,2010

2009


2008Net earnings/(loss) from continuing operations

$
3,776


$
7,340



$
(27,551
)Net loss from discontinued operations


-



-




(61
)Preferred stock dividends


(134
)


(153
)



(2,869
)Net earnings/(loss) applicable to common
    shareholders  for basic EPS

$
3,642


$
7,187



$
(30,481
)Net earnings/(loss) applicable to common
    shareholders  for diluted
    EPS(1)

$
3,642


$
7,187



$
(30,481
)(shares in thousands)Weighted-average basic shares
    outstanding(2)


N/A



N/A




1,225,611Effect of dilutive instruments


N/A



N/A




-Diluted
    Shares(3)


N/A



N/A




1,225,611Basic EPS from continuing operations


N/A



N/A



$
(24.82
)Basic EPS from discontinued operations


N/A



N/A




(0.05
)Basic EPS


N/A



N/A



$
(24.87
)Diluted EPS from continuing operations


N/A



N/A



$
(24.82
)Diluted EPS from discontinued operations


N/A



N/A




(0.05
)Diluted EPS


N/A



N/A



$
(24.87
)Common shares outstanding at period end


1



1




1,600,253  N/A Earnings per share data is not provided for the
    years ended December 31, 2010 and December 31, 2009 as
    Merrill Lynch was a wholly-owned subsidiary of Bank of America
    during those periods.
 (1)
    
    Due to the net loss for the
    year ended December 26, 2008, inclusion of the incremental
    shares on the Mandatory Convertible Preferred Stock would be
    antidilutive and, therefore, those shares have not been included
    as part of the Diluted EPS calculation.(2)
    
    Includes shares exchangeable
    into common stock in 2008.(3)
    
    Due to the net loss for the
    year ended December 26, 2008, the Diluted EPS calculation
    excluded approximately 585 million instruments as they were
    antidilutive.   Note 14.  Commitments, Contingencies and
    Guarantees  Litigation
   135




---



##### Table of Contents



and/or and/or
       136




---



##### Table of Contents



Specific
    Litigation
  Auction
    Rate Securities Litigation
    Securities
    Actions
  In Re Merrill Lynch Auction Rate Securities
    Litigation Bondar v. Bank
    of America Corporation
  Antitrust
    Actions
  Mayor and City Council of Baltimore,
    Maryland v. Citigroup, Inc., et al., Mayfield, et al. v. Citigroup, Inc., et al
 137




---



##### Table of Contents



Bank of
    America Merger Matters
  and/or and/or
  In re Bank of America Securities, Derivative and
    Employment Retirement Income Security Act (ERISA)
    Litigation
  In re Bank of America Securities, Derivative, and
    Employment Retirement Income Security Act (ERISA) Litigation
 138




---



##### Table of Contents



Benistar
    Litigation
  Gail A. Cahaly, et al. v. Benistar Property Exchange
    Trust Company, Inc, et al.:
  Illinois
    Funeral Directors Association Matters
  not-for-profit
  MLBT-FSB
    MLBT-FSB, Charles F.
    Kurrus, III, P.C. v. Merrill Lynch, Pierce,
    Fenner & Smith, Inc., et al. MLBT-FSB; MLBT-FSB;
 139




---



##### Table of Contents



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. Tipsword
  Clancy-Gernon Funeral
    Home, Inc., et al. v. MLPF&S, et al. Tipsword Tipsword Clancy-Gernon MLBT-FSB, MLBT-FSB. MLBT-FSB MLBT-FSB;
  Pettett Funeral Home,
    Ltd., et al. v. MLPF&S, et al. MLBT-FSB, MLBT-FSB, MLBT-FSB. MLBT-FSB;
    In re
    Initial Public Offering Securities Litigation
  In re Initial Public Offering Securities
    Litigation
 140




---



##### Table of Contents



Lehman
    Brothers Holdings, Inc. Litigation
  In re Lehman Brothers Securities and ERISA
    Litigation
  MBIA
    Insurance Corporation CDO Litigation
  MBIA Insurance
    Corporation and LaCrosse Financial Products, LLC v. Merrill
    Lynch Pierce Fenner and Smith Inc., and Merrill Lynch
    International
  Mediafiction
    Litigation
   141




---



##### Table of Contents



Mortgage-Backed
    Securities Litigation
  and/or and/or
    IndyMac
    Litigation
   142




---



##### Table of Contents



successor-in-interest In re IndyMac Mortgage-Backed Securities
    Litigation successor-in-interest
  Merrill
    Lynch MBS Litigation
  Public
    Employees Ret. System of Mississippi v. Merrill
    Lynch & Co. Inc.
  Cambridge
    Place Investment Management Litigation
  Cambridge Place Investment Management Inc. v. Morgan
    Stanley & Co., Inc., et al
  Cambridge Place Investment Management Inc.
    v. Morgan Stanley & Co., Inc., et al.
 143




---



##### Table of Contents



Federal
    Home Loan Bank Litigations
  Federal Home Loan Bank
    of Chicago v. Banc of America Funding Corp., et al Federal Home Loan Bank of
    Chicago v. Banc of America Securities LLC, et al.
  Federal Home Loan Bank of Seattle v. Banc of America
    Securities LLC, et al Federal Home Loan Bank of
    Seattle v. Merrill Lynch, Pierce, Fenner & Smith,
    Inc., et al
  Federal Home Loan Bank of San Francisco v.
    Credit Suisse Securities (USA) LLC, et al, Federal Home
    Loan Bank of San Francisco v. Deutsche Bank Securities
    Inc., et al, . Federal Home Loan Bank of San Francisco v.
    Bank of America Corporation and Does 1-10, Federal Home Loan Bank of
    San Francisco v. Credit Suisse Securities (USA)
    LLC.
 144




---



##### Table of Contents



Charles
    Schwab Litigation
  The Charles Schwab Corp. v. BNP Paribas
    Securities Corp., et. al
  Regulatory
    Investigations
    Municipal
    Derivatives Matters
    In re
    Municipal Derivatives Antitrust Litigation.
 145




---



##### Table of Contents



Region of
    Puglia, Italy Criminal Investigation
      Commitments
    (dollars in millions)Commitment expirationLess than

1-3

3-5

Over 5Total

1 Year

Years

Years

YearsLending commitments

$
7,969


$
1,798


$
4,452


$
1,552


$
167Purchasing and other commitments


5,668



2,997



1,192



667



812Operating leases


3,234



762



1,238



580



654Commitments to enter into resale and securities borrowing
    agreements


41,422



41,422



-



-



-Commitments to enter into repurchase and securities lending
    agreements


33,485



33,485



-



-



-Total

$
91,778


$
80,464


$
6,882


$
2,799


$
1,633   Lending
    Commitments
   146




---



##### Table of Contents



Purchasing
    and Other Commitments
        Operating
    Leases
   147




---



##### Table of Contents



(dollars in millions)

Total2011

$
7622012


6692013


5692014


3212015


2592016 and thereafter


654Total

$
3,234     (dollars in millions)Successor Company


Predecessor CompanyDecember 31,


December 31,


December 26,2010


2009


2008Rent expense


$
838



$
813



$
837Sublease revenue



(137
)



(153
)



(189
)Net rent expense


$
701



$
660



$
648   Guarantees
    (dollars in millions)ExpirationMaximum

Less than

1-3

3-5



CarryingPayout

1 year

years

years

Over 5 years

ValueStandby liquidity facilities

$
1,309


$
687


$
601


$
-


$
21


$
-Residual value guarantees


415



95



320



-



-



1Standby letters of credit and
    other guarantees


1,119



378



301



16



424



-   Standby
    Liquidity Facilities
  and/or
 148




---



##### Table of Contents



Auction
    Rate Security (ARS) Guarantees
  not-for-profit,
  Residual
    Value Guarantees
    Standby
    Letters of Credit
    Representations
    and Warranties
   149




---



##### Table of Contents



loan-by-loan
    (dollars in millions)Beginning balance as of December 31, 2009

$
378Charge-offs


(45
)Provision


(120
)Ending balance as of December 31, 2010

$
213      150




---



##### Table of Contents



Loan
    Repurchase and Indemnification Payments
  (Dollars in millions)Year Ended

Year EndedDecember 31, 2010

December 31, 2009Unpaid





UnpaidPrincipal

Cash



Principal

CashBalance

Paid

Loss

Balance

Paid

LossFirst LienRepurchases

$
11


$
14


$
5


$
12


$
12


$
3Indemnification Payments


46



33



33



60



40



40Total First Lien


57



47



38



72



52



43Home EquityIndemnification Payments


11



12



12



-



-



-Total Home equity


11



12



12



-



-



-Total First Lien and Home Equity

$
68


$
59


$
50


$
72


$
52


$
43    151




---



##### Table of Contents



Outstanding
    Claims by Counterparty
  (dollars in millions)

2010

2009GSEs

$
59


$
35Monoline


48



41Others(1)


517



651Total

$
624


$
727  (1)
    
    The majority of these
    repurchase claims are from whole loan buyers on subprime
    loans.  Other
    Guarantees
         152




---



##### Table of Contents



Note 15.  Employee Benefit Plans      non-U.S. subsidiaries
  ASC 715-20-50, Compensation-Retirement Benefits, Defined Benefit
    Plans-General Compensation-Nonretirement Postemployment Benefits
   153




---



##### Table of Contents



Defined
    Contribution Pension Plans
  non-U.S. defined non-U.S. plans
    Defined
    Benefit Pension Plans
    non-U.S. subsidiaries non-U.S. pension
  Postretirement
    Benefits Other Than Pensions
  non-U.S. subsidiaries.
 154




---



##### Table of Contents



Merrill
    Lynch Defined Benefit Pension and Postretirement Plans
  non-U.S. defined
  (dollars in millions)U.S. Defined

Non-U.S. Defined

Total DefinedBenefit

Benefit

Benefit

PostretirementPension Plans

Pension
    Plans(1)

Pension Plans

Plans(2)2010

2009

2010

2009

2010

2009

2010

2009Change in projected benefit obligationProjected benefit obligation, January 1

$
1,711


$
1,635


$
1,518


$
1,181


$
3,229


$
2,816


$
248


$
208Effect of purchase accounting


-



48



-



99



-



147



-



18Service cost


-



-



30



30



30



30



3



5Interest cost


101



98



79



76



180



174



17



13Actuarial loss (gain)


192



46



78



75



270



121



(4
)


18Plan participant contributions


-



-



2



2



2



2



-



-Benefits paid


(119
)


(116
)


(55
)


(53
)


(174
)


(169
)


(13
)


(16
)Curtailments and settlements


-



-



-



(3
)


-



(3
)


-



-Plan amendments


-



-



2



-



2



-



64



-Other/foreign currency exchange rate changes


-



-



(30
)


111



(30
)


111



-



2Projected benefit obligation, December 31


1,885



1,711



1,624



1,518



3,509



3,229



315



248Change in fair value of plan assetsFair value, January 1


2,533



2,659



1,312



1,025



3,845



3,684



-



-Actual return on plan assets


272



(235
)


157



177



429



(58
)


-



-Contributions


1



121



84



63



85



184



13



16Benefits paid


(119
)


(116
)


(55
)


(53
)


(174
)


(169
)


(13
)


(16
)Other/foreign currency exchange rate changes


-



104



(26
)


100



(26
)


204



-



-Fair value, December 31


2,687



2,533



1,472



1,312



4,159



3,845



-



-Funded status, December 31

$
802


$
822


$
(152
)

$
(206
)

$
650


$
616


$
(315
)

$
(248
)Amount recognized in Consolidated Balance Sheet

$
802


$
822


$
(152
)

$
(206
)

$
650


$
616


$
(315
)

$
(248
)Weighted average assumptions, December 31Discount rate


5.3
%


5.8
%


5.3
%


5.4
%










5.2
%


5.8
%Rate of compensation increase


N/A



N/A



4.9
%


4.7











N/A



N/AHealthcare cost trend
    rates:(3)Initial


N/A



N/A



N/A



N/A











7.6



8.1Long-term


N/A



N/A



N/A



N/A











5.0



5.0  (1)
    
    Primarily represents the U.K.
    pension plan, which accounts for 72% of the benefit obligation
    and 82% of the fair value of plan assets at December 31,
    2010.(2)
    
    Approximately 93% of the
    postretirement benefit obligation at December 31, 2010
    relates to the U.S. postretirement plan.(3)
    
    The healthcare cost trend rate
    is assumed to decrease gradually through 2017 and remain
    constant thereafter.  N/A Not applicable
   155




---



##### Table of Contents



(dollars in millions)U.S. Defined

Non-U.S. Defined

Total DefinedBenefit

Benefit

Benefit

PostretirementPension Plans

Pension Plans

Pension Plans

Plans2010

2009

2010

2009

2010

2009

2010

2009Other assets

$
809


$
830


$
32


$
1


$
841


$
831



-



-Other payables


(7
)


(8
)


(184
)


(207
)


(191
)


(215
)


(315
)


(248
)Net amount recognized at December 31

$
802


$
822


$
(152
)

$
(206
)

$
650


$
616


$
(315
)

$
(248
)   non-U.S. plans
  (dollars in millions)U.S. Defined

Non-U.S. Defined

Total DefinedBenefit

Benefit

BenefitPension Plans

Pension Plans

Pension Plans2010

2009

2010

2009

2010

2009Plans with ABO in excess of plan assetPBO

$
8


$
8


$
249


$
221


$
257


$
229ABO


8



8



242



214



250



222Fair value of plan assets


-



-



106



72



106



72Plans with PBO in excess of plan assetsPBO

$
8


$
8


$
414


$
1,473


$
422


$
1,481Fair value of plan assets


-



-



230



1,266



230



1,266     (dollars in millions)Non-U.S.

TotalU.S. Defined

Defined

DefinedBenefit

Benefit

BenefitPension

Pension

Pension

PostretirementPlans

Plans

Plans

PlansActuarial loss/(gain)

$
483


$
(20
)

$
463


$
10Prior service cost


-



1



1



58Total

$
483


$
(19
)

$
464


$
68  156




---



##### Table of Contents



(dollars in millions)U.S. Pension

Non-U.S. Pension

Total PensionPlans

Plans

PlansSuccessor

Predecessor

Successor

Predecessor

Successor

PredecessorCompany

Company

Company

Company

Company

Company2010

2009

2008

2010

2009

2008

2010

2009

2008Components of net periodic benefit cost (income)Service
    cost(1)

$
-


$
-


$
-


$
30


$
30


$
30


$
30


$
30


$
30Interest cost


101



98



97



79



76



79



180



174



176Expected return on plan assets


(138
)


(148
)


(118
)


(88
)


(74
)


(82
)


(226
)


(222
)


(200
)Amortization of (gains)/losses, prior service costs and other


5



-



(2
)


-



-



12



5



-



10Recognized gain due to settlements and curtailments


-



-



-



-



(2
)


-



-



(2
)


-Net periodic benefit cost (income)

$
(32
)

$
(50
)

$
(23
)

$
21


$
30


$
39


$
(11
)

$
(20
)

$
16Weighted average assumptions used to determine net cost for
    years ended December 31Discount rate


5.8
%


6.0
%


6.0
%


5.4
%


5.6
%


5.8
%Expected return on plan assets


5.3



5.3



5.3



6.8



6.8



6.9Rate of compensation increase


N/A



N/A



N/A



4.7



4.6



4.7  (1)
    
    The U.S. plan was terminated in
    1988 and thus does not incur service costs. N/A Not applicable
    (dollars in millions)PostretirementPlansSuccessor

PredecessorCompany

Company2010

2009

2008Components of net periodic benefit costService cost

$
3


$
4


$
5Interest cost


17



13



15Amortization of losses/(gains), prior service










(10
)costs and other


10



1



(5
)Net periodic benefit cost

$
30


$
18


$
5Weighted average assumptions used to determine net periodic
    benefit costDiscount rate


5.8
%


6.0
%


6.0
%Healthcare cost trend rates:Initial


8.1



8.1



8.8Long-term


5.0



5.0



5.0    157




---



##### Table of Contents



Plan
    Assumptions
  non-U.S. defined
  non-U.S. pension non-U.S. Plans.
    (dollars in millions)1% Increase

1% Decrease2010

2009

2010

2009Effect on:Other postretirement benefits cost

$
2


$
2


$
(2
)

$
(2
)Accumulated benefit obligation


30



23



(27
)


(20
)   Investment
    Strategy and Asset Allocation
     158




---



##### Table of Contents



Defined Benefit Pension PlansU.S. Plan

Non-U.S. Plans2011 Target
    AllocationDebt securities


100
%


10-60
%Equity securities


-



25-75
%Real estate


-



0-15
%Other(1)


-



5-40
%  (1)
    
    Other consists primarily of
    hedge funds, private equity investments, swaps and real
    property.  Fair
    Value Measurements
   159




---



##### Table of Contents



(dollars in millions)December 31, 2010Fair Value Measurements UsingLevel 1

Level 2

Level 3

TotalCash and short term investmentsMoney market and interest bearing cash

$
202


$
-


$
-


$
202Fixed IncomeU.S. Government and government agency obligations


15



1,984



14



2,013Corporate debt securities


-



197



-



197Asset-backed securities


-



479



-



479Non-U.S.
    debt securities


10



107



-



117Fixed income commingled/mutual funds


42



106



-



148EquityCommon and preferred equity securities


114



-



-



114Equity commingled/mutual funds


-



398



-



398Public real estate investment trusts


-



9



-



9Real estate commingled/mutual funds


-



2



65



67Limited partnerships


-



5



175



180Other
    investments(1)


-



235



-



235Total plan assets, at fair value

$
383


$
3,522


$
254


$
4,159  (1)
    
    Other investments includes
    swaps of $198 million, structured products of
    $23 million, commodity and balanced funds of
    $13 million and foreign asset-backed securities of
    $1 million.  160




---



##### Table of Contents



(dollars in millions)December 31, 2009Fair Value Measurements UsingLevel 1

Level 2

Level 3

TotalCash and short term investmentsMoney market and interest bearing cash

$
8


$
-


$
-


$
8Fixed IncomeU.S. Government and government agency obligations


1,038



752



-



1,790Corporate debt securities


-



421



-



421Asset-backed securities


-



267



-



267Non-U.S.
    debt securities


277



348



-



625Fixed income commingled/mutual funds


-



26



-



26EquityCommon and preferred equity securities


140



-



-



140Equity commingled/mutual funds


-



289



-



289Public real estate investment trusts


-



4



-



4Real estate commingled/mutual funds


-



-



45



45Limited partnerships


-



9



111



120Other
    investments(1)


-



-



110



110Total plan assets, at fair value

$
1,463


$
2,116


$
266


$
3,845  (1)
    
    Other investments consists of
    swaps of $110 million.    (dollars in millions)Year Ended December 31, 2010Actual Return onBalance

Plan Assets Still



Transfers

BalanceJanuary 1,

Held at the

Purchases, Sales

Into/(Out of)

December 31,2010

Reporting Date

and Settlements

Level 3

2010Fixed IncomeU.S. Government and government agency securities

$
-


$
-


$
-


$
14


$
14Real estate commingled/mutual funds


45



(5
)


25



-



65Limited partnerships


111



10



2



52



175Other investments


110



-



-



(110
)


-Totals

$
266


$
5


$
27


$
(44
)

$
254   161




---



##### Table of Contents



(dollars in millions)Year Ended December 31, 2009Actual Return onBalance

Plan Assets Still



Transfers

BalanceJanuary 1,

Held at the

Purchases, Sales

Into/(Out of)

December 31,2009

Reporting Date

and Settlements

Level 3

2009Real estate commingled/mutual funds

$
49


$
(5
)

$
1


$
-


$
45Limited partnerships


65



9



37



-



111Other investments


214



(104
)


-



-



110Totals

$
328


$
(100
)

$
38


$
-


$
266   Estimated
    Future Benefit Payments
    (dollars in millions)Defined BenefitPension Plans

Postretirement
    Plans(3)U.S.(1)

Non-U.S.(2)

Total

Gross Payments

Medicare Subsidy

Net Payments2011

$
129


$
60


$
189


$
25


$
(3
)

$
222012


133



62



195



26



(3
)


232013


136



63



199



27



(3
)


242014


139



65



204



28



(3
)


252015


141



66



207



28



(3
)


252016 through 2020


710



350



1,060



144



(16
)


128  (1)
    
    The U.S defined benefit pension
    plan payments are primarily funded under the terminated plan
    annuity contract.(2)
    
    The U.K., Swiss and Japan
    pension plans payments represent approximately 56%, 12% and 19%,
    respectively of the
    non-U.S.
    2011 expected defined benefit pension payments.(3)
    
    The U.S. postretirement plan
    payments, net of Medicare subsidy, represent approximately 96%
    of the total 2011 expected postretirement benefit
    payments.  Postemployment
    Benefits
   Note 16.  Employee Incentive Plans   162




---



##### Table of Contents



Equity
    Compensation Plans
       163




---



##### Table of Contents



Restricted
    Shares and Units
    Restricted

Weighted AverageShares/Units

Fair Value Per ShareOutstanding at January 1, 2010


126,921,803


$
12.54Granted  2010


159,766,116



14.40Paid, forfeited, or released from contingencies


(139,298,812
)


14.44Outstanding at December 31, 2010


147,389,107



12.76         No Future Service Required

Future Service RequiredWeighted Avg



Weighted AvgShares/Units

Grant Price

Shares/Units

Grant PriceOutstanding at January 1, 2010


63,432,156


$
11.88



63,489,647


$
13.20Granted  2010


115,273,919



14.39



44,492,197



14.44Delivered


(101,645,137
)


14.64



(30,436,494
)


14.00Forfeited


(3,445,680
)


13.28



(3,771,501
)


13.85Service criteria
    satisfied(1)


2,908,583



5.60



(2,908,583
)


5.60Outstanding at December 31, 2010


76,523,841



11.69



70,865,266



13.91  (1)
    
    Represents those awards for
    which employees attained retirement-eligibility or for which
    service criteria were satisfied during 2010, subsequent to the
    grant date. 164




---



##### Table of Contents



Stock
    Appreciation Rights and Non-Qualified Stock Options
    Weighted-AverageOptions Outstanding

Exercise PriceOutstanding, end of 2009


107,361,311


$
62.27Granted  2010


-



-Exercised


(4,959
)


14.82Forfeited


(20,874,967
)


51.56Outstanding, end of 2010


86,481,385



64.86Exercisable, end of 2010


85,760,311



65.00           2008Risk-free interest rate


3.14
%Expected life (in years)


6.6Expected volatility


39.42
%Expected dividend yield


3.20
%       Employee
    Stock Purchase Plan (ESPP)
   165




---



##### Table of Contents



Financial Advisor Capital Accumulation Award Plans
    (FACAAP)
    Other
    Compensation Arrangements
       166




---



##### Table of Contents



Note 17.  Income Taxes    (dollars in millions)Successor

PredecessorCompany

CompanyYear Ended

Year Ended

Year EndedDecember 31,

December 31,

December 26,2010

2009

2008Current income tax (benefit)/expenseU.S. federal

$
(778
)

$
(678
)

$
(854
)U.S. state


34



246



218Non-U.S.


254



503



2,442Total current (benefit)/expense


(490
)


71



1,806Deferred income tax expense/(benefit)U.S. federal


(566
)


499



(6,516
)U.S. state


472



(367
)


(895
)Non-U.S.


731



446



(8,675
)Total deferred expense/(benefit)


637



578



(16,086
)Total income tax
    expense/(benefit)(1)

$
147


$
649


$
(14,280
)Total income tax (benefit) from discontinued operations

$
-


$
-


$
(80
)  (1)
    
    Does not reflect the deferred
    tax effects of unrealized gains and losses on
    available-for-sale
    investment securities, foreign currency translation adjustments,
    cash flow hedges and defined benefit pension and postretirement
    plans that are included in accumulated other comprehensive loss.
    As a result of these tax effects, accumulated other
    comprehensive loss decreased $322 million and
    $796 million in 2010 and 2009, respectively. Also does not
    reflect the tax effects associated with employee stock plans
    which decreased stockholders equity $37 million and
    $99 million in 2010 and 2009, respectively. 167




---



##### Table of Contents



(dollars in millions)PredecessorSuccessor Company

CompanyYear Ended

Year Ended

Year EndedDecember 31,

December 31,

December 26,2010

2009

2008Amount

Percent

Amount

Percent

Amount

PercentU.S. federal income tax at statutory rate

$
1,373



35.0
%

$
2,796



35.0
%

$
(14,641
)


35.0
%U.S. state and local income taxes, net of federal effect


329



8.4



(78
)


(1.0
)


(440
)


1.1U.K. corporate tax rate reduction


386



9.8



-



-



-



-Nondeductible U.K. bank payroll tax


87



2.2



-



-



-



-Change in prior period unrecognized tax benefits (including
    interest)


31



0.8



(155
)


(1.9
)


-



-Payment related to price reset on common stock offering


-



-



-



-



875



(2.1
)Loss on certain foreign subsidiary stock, net of valuation
    allowance


-



-



(595
)


(7.5
)


(2,651
)


6.3Change in U.S. deferred tax asset valuation allowance


(1,657
)


(42.2
)


(650
)


(8.1
)


-



-Tax-exempt income, including dividends


(375
)


(9.6
)


(188
)


(2.4
)


(255
)


0.6Non-U.S. tax
    differential


(40
)


(1.0
)


(489
)


(6.1
)


2,663



(6.4
)Other


13



0.4



8



0.1



169



(0.4
)Income tax expense/(benefit) from continuing operations

$
147



3.8
%

$
649



8.1
%

$
(14,280
)


34.1
%Income tax (benefit) from discontinued operations

$
-



-


$
-



-


$
(80
)


56.7
%    168




---



##### Table of Contents



Reconciliation of the Change in Unrecognized Tax Benefits
  (dollars in millions)Successor


PredecessorCompany


Company2010

2009(1)


2008Beginning balance

$
1,714


$
2,006



$
1,526Increases related to positions taken during prior years


520



77




61Increases related to positions taken during the current year


97



129




212Decreases related to positions taken during prior years


(51
)


(185
)



(255
)Settlements


(3
)


(313
)



(4
)Expiration of statute of limitations


(16
)


-




-Cumulative translation adjustments


-



-




36Ending balance

$
2,261


$
1,714



$
1,576  (1)
    
    The beginning balance has been
    adjusted by $348 million in accordance with Business
    Combinations Accounting and by $82 million for the BASH
    Merger.      Years under

Status atJurisdiction

examination(1)

December 31,
    2010U.S. federal


2004


In Appeals processU.S. federal


2005-2009


Field examinationU.K.


2008


Field examinationJapan


2007-2009


Field examinationNew York


2007-2008


Field examination  (1)
    
    All tax years subsequent to the
    above years remain open to examination.   169




---



##### Table of Contents



non-U.S. examinations,
        (dollars in millions)December 31,


December 31,2010


2009Deferred tax assetsNet operating loss carryforwards

$
16,869



$
15,717Employee compensation and retirement benefits


2,291




1,808Capital loss carryforwards


1,588




3,305Deferred interest


894




896Allowance for credit losses


412




1,552Tax credit carryforwards


408




384Accrued expenses


282




731Foreign currency


262




986Other


935




894Deferred tax assets


23,941




26,273Valuation allowance


(2,275
)



(3,740
)Total deferred tax assets, net of valuation allowance


21,666




22,533Deferred tax liabilitiesLong term borrowings


3,075




3,693Intangibles


1,859




1,708Securities valuations and investments


811




348Available-for-sale
    securities


12




58Other


397




606Deferred tax liabilities


6,154




6,413Net deferred tax
    assets(1)(2)

$
15,512



$
16,120  (1)
    
    Merrill Lynchs net
    deferred tax assets were increased by corrections of certain
    assets and liabilities in place at the time of the acquisition
    of Merrill Lynch by Bank of America. 170




---



##### Table of Contents



(2)
    
    On January 1, 2010,
    Merrill Lynch adopted new accounting guidance on the
    consolidation of VIEs that resulted in an approximately
    $80 million increase to net deferred tax assets, which is
    offset against retained earnings.  non-U.S. jurisdictions
  change-in-control non-U.S. NOL
     Note 18.  Regulatory Requirements    non-U.S. subsidiaries
 171




---



##### Table of Contents



Securities
    Regulation
  Rule 15c3-1, Rule 15c3-1. Rule 15c3-1
        Banking
    Regulation
    
 Note 19.
    Discontinued Operations        172




---



##### Table of Contents



(dollars in millions)Predecessor CompanyYear EndedDecember 26,2008Total revenues, net of interest expense

$
28Loss before income taxes

$
(141
)Income tax benefit


(80
)Net loss from discontinued operations

$
(61
)   
 Note 20.
    Restructuring Charge       
 Note 21.
    Quarterly Information (Unaudited)     (dollars in millions)For the Quarter EndedDec. 31,

Sept. 30,

June 30,

Mar. 31,


Dec. 31,

Sept. 30,

June 30,

Mar. 31,2010

2010

2010

2010


2009

2009

2009

2009Total revenues

$
8,284


$
7,964


$
9,317


$
11,927



$
9,145


$
9,608


$
7,527


$
15,280Interest expense


2,386



2,260



2,515



2,460




2,286



2,685



3,248



3,822Revenues, net of interest expense


5,898



5,704



6,802



9,467




6,859



6,923



4,279



11,458Non-interest expenses


5,787



5,970



5,947



6,244




4,686



5,192



5,839



5,813Pre-tax earnings/(loss)


111



(266
)


855



3,223




2,173



1,731



(1,560
)


5,645Income tax (benefit)/expense


(1,139
)


114



42



1,130




(554
)


139



(669
)


1,733Net earnings/(loss)

$
1,250


$
(380
)

$
813


$
2,093



$
2,727


$
1,592


$
(891
)

$
3,912  173




---



##### Table of Contents



Note 22.
    Parent Company Information     Merrill
    Lynch & Co., Inc.
    (Parent Company Only)
    Condensed Statements of Earnings/(Loss) and Comprehensive
    Income/(Loss)
  (dollars in millions)Successor Company


Predecessor CompanyFor the Period fromFor the Year Ended


For the Year Ended


December 27, 2008 to


For the Year EndedDecember 31, 2010


December 31, 2009


December 31, 2008


December 26, 2008RevenuesPrincipal transactions


$
5



$
(3,897
)


$
(49
)


$
1,912Management service fees (from affiliates)



213




222




-




173Earnings from equity method investments



25




25




-




232Other income



336




563




40




811Subtotal



579




(3,087
)



(9
)



3,128Interest revenue



2,999




3,507




(111
)



8,044Less interest expense



4,550




6,009




-




5,643Net interest (expense)/income



(1,551
)



(2,502
)



(111
)



2,401Revenues, net of interest expense



(972
)



(5,589
)



(120
)



5,529Non-interest expensesCompensation and benefits



430




619




2




632Professional fees



57




45




-




439Communications and technology



32




30




-




50Occupancy and related depreciation



51




37




-




68Other



673




343




1




780Payment related to price reset on common stock offering



-




-




-




2,500Total non-interest expenses



1,243




1,074




3




4,469Pre-tax (loss)/earnings



(2,215
)



(6,663
)



(123
)



1,060Income tax benefit/(expense)



1,469




3,376




50




(1,123
)Equity in earnings/(loss) of affiliates, net of tax



4,522




10,627




(80
)



(27,549
)Net earnings/(loss)



3,776




7,340




(153
)



(27,612
)Other comprehensive loss, net of tax



(142
)



(112
)



-




(4,529
)Comprehensive income/(loss)


$
3,634



$
7,228



$
(153
)


$
(32,141
)Preferred stock dividends



134




153




-




2,869Net earnings/(loss) applicable to common stockholders


$
3,642



$
7,187



$
(153
)


$
(30,481
)  174




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##### Table of Contents



Merrill
    Lynch & Co., Inc.
    (Parent Company Only)
    Condensed Balance Sheets
  (dollars in millions, except per share amounts)December 31,


December 31,2010


2009ASSETSCash and cash equivalents


$
379



$
474Receivables under resale agreements



-




1,022Investment securities (includes securities pledged as collateral
    that can be sold or repledged of $0 in 2010 and $6,155 in 2009)



528




11,285Receivables from Bank of America



9,656




4,949Advances to affiliatesSenior advances



76,475




96,175Subordinated loans and preferred securities



52,996




50,629129,471




146,804Investments in affiliates



37,887




30,342Equipment and facilities (net of accumulated depreciation and
    amortizationof $6 in 2010 and $37 in 2009)



4




49Goodwill and other intangible assets



3,663




3,738Other assets



7,542




12,955Total Assets


$
189,130



$
211,618LIABILITIES AND STOCKHOLDERS EQUITYLiabilitiesPayables under repurchase agreements


$
-



$
7,177Payables to affiliates



22,023




15,691Other liabilities and accrued interest payable



10,619




13,990Long-term borrowings (includes $20,179 in 2010 and $29,531 in
    2009measured at fair value in accordance with the fair value option
    election)



106,342




128,103Total Liabilities



138,984




164,961COMMITMENTS AND CONTINGENCIESSTOCKHOLDERS EQUITYPreferred Stockholders Equity: authorized
    25,000,000 shares: (liquidation preference of $100,000 per
    share; issued: 2009  17,000 shares)



-




1,541Common Stockholders EquityCommon stock (par value
    $1.331/3
    per share; authorized; 3,000,000,000 shares; issued: 2010
    and 2009  1,000 shares)



-




-Paid-in capital



40,416




38,741Accumulated other comprehensive loss (net of tax)



(254
)



(112
)Retained earnings



9,984




6,487Total Common Stockholders Equity



50,146




45,116Total Stockholders Equity



50,146




46,657Total Liabilities and Stockholders Equity


$
189,130



$
211,618  175




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##### Table of Contents



Merrill
    Lynch & Co., Inc.
    (Parent Company Only)
    Condensed Statements of Cash Flows
  (dollars in millions)Successor Company


Predecessor CompanyFor the Year Ended


For The Year Ended


For the Year EndedDecember 31, 2010


December 31, 2009


December 26, 2008Cash flows from operating activities:Net earnings/(loss)


$
3,776



$
7,340



$
(27,612
)Adjustments to reconcile net earnings/(loss) to cash provided by
    operating activitiesEquity in (earnings)/loss of affiliates



(4,522
)



(10,627
)



27,549Depreciation and amortization



98




96




15Share-based compensation expense



167




440




387Payment related to price reset on common stock offering



-




-




2,500Deferred taxes



(317
)



(2,544
)



827Earnings from equity method investments



-




-




(207
)Amortization of premium/(discount) on long-term borrowings



-




-




401Unrealized losses/(gains) on long-term borrowings



-




369




(2,318
)Foreign exchange losses/(gains) on long-term borrowings



(2,171
)



3,156




(4,344
)Other



1,994




1,979




295Changes in operating assets and liabilities:Cash and securities segregated



-




139




322Receivables under resale agreements



1,022




28,978




8,727Receivables from Bank of America



(4,708
)



(4,949
)



-Payables under repurchase agreements



(7,177
)



(7,830
)



(1,989
)Dividends and partnerships distributions from affiliates



46




310




360Other, net



3,426




(120
)



85Cash (used for)/provided by operating activities



(8,366
)



16,737




4,998Cash flows from investing activities:Proceeds from/(payments for):Advances to affiliates



23,666




23,823




10,970Distributions to affiliates



-




(6,850
)



-Maturities of
    available-for-sale
    securities



557




4,225




3,108Sales of
    available-for-sale
    securities



10,190




1,507




464Purchases of
    available-for-sale
    securities



-




-




(3,728
)Non-qualifying investments



33




51




194Investments in affiliates



(2,302
)



(698
)



(17,806
)Sale of MLBT-FSB to Bank of America



-




4,450




-Equipment and facilities, net



-




1




(14
)Cash provided by/(used for) investing activities



32,144




26,509




(6,812
)Cash flows from financing activities:(Payments for)/proceeds from:Short-term borrowings



-




(20,128
)



6,906Issuance and resale of long-term borrowings



-




-




38,786Settlement and repurchases of long-term borrowings



(23,739
)



(41,437
)



(56,577
)Capital contributions from Bank of America



-




6,850




-Issuance of common stock



-




-




9,899Issuance of preferred stock, net



-




-




9,281Common stock repurchases



-




-




-Other common stock transactions



-




-




(833
)Excess tax benefits related to share-based compensation



-




-




39Dividends



(134
)



(153
)



(2,584
)Cash (used for)/provided by financing activities



(23,873
)



(54,868
)



4,917(Decrease)/increase in cash and cash equivalents



(95
)



(11,622
)



3,103Cash and cash equivalents, beginning of
    period(1)



474




12,096




8,993Cash and cash equivalents, end of period


$
379



$
474



$
12,096Supplemental Disclosure of Cash Flow Information:Income taxes paid (net of refunds)


$
(213
)


$
203



$
128Interest paid



2,968




4,289




5,903   Non-cash investing and financing activities;
 For the year ended December 31, 2010, Merrill Lynch
    received a non-cash capital contribution of approximately
    $1.0 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 October
    2010, Merrill Lynchs mandatory convertible preferred stock
    was automatically converted to Bank of America common stock. The
    redemption was settled through a non-cash intercompany
    transaction.
  In connection with the acquisition of Merrill Lynch by Bank
    of America, ML & Co. recorded purchase accounting
    adjustments for the year ended December 31, 2009, which
    were recorded as non-cash capital contributions. In addition,
    during 2009 Bank of America contributed the net assets of Banc
    of America Investment Services, Inc. to ML & Co. See
    Note 2.
  Effective on January 1, 2009, Bank of America
    contributed the net assets of Bank of America Securities
    Holdings Corporation totaling approximately $3.7 billion to
    ML & Co. This was recorded as a non-cash capital
    contribution. See Note 1.
  In connection with the sale of Merrill Lynch Bank USA to a
    subsidiary of Bank of America during 2009, ML & Co.
    received a note receivable as consideration for the net book
    value of assets and liabilities transferred to Bank of
    America.
  As a result of the conversion of $6.6 billion of Merrill
    Lynchs mandatory convertible preferred stock,
    series 1, ML & Co. recorded additional preferred
    dividends of $2.1 billion in 2008. The preferred dividends
    were paid in additional shares of common stock and preferred
    stock.
  In satisfaction of Merrill Lynchs obligations under the
    reset provisions contained in the investment agreement with
    Temasek, in 2008 ML & Co. paid Temasek
    $2.5 billion through the issuance of common stock.
  (1)
    
    Amount for Successor Company is
    as of January 1, 2009.  176




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##### Table of Contents



Item 9.
    Changes
    in and Disagreements with Accountants on Accounting and
    Financial Disclosure    Item 9A.
    Controls
    and Procedures  Evaluation
    of Disclosure Controls and Procedures
  Rule 13a-15(b) Rule 13a-15(e)
  Report on
    Internal Control Over Financial Reporting
        Internal
    Control-Integrated Framework
 177




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##### Table of Contents



Form 10-K.
  Changes
    in Internal Control over Financial Reporting
  Rule 13a-15(f)
 178




---



##### Table of Contents



Item 9B.
    Other
    Information    PART III  Item 10.
    Directors,
    Executive Officers and Corporate Governance    Item 11.
    Executive
    Compensation    Item 12.
    Security
    Ownership of Certain Beneficial Owners and Management and
    Related Stockholder Matters    Item 13.
    Certain
    Relationships and Related Transactions, and Director
    Independence    Item 14.
    Principal
    Accountant Fees and Services  Pre-Approval
    of Services Provided by the Independent Registered Public
    Accounting Firm
     179




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##### Table of Contents



Fees Paid
    to the Independent Registered Public Accounting Firm
    (dollars in millions)2010

2009Audit
    fees(1)

$
47.3


$
47.4Audit-related
    fees(2)


3.0



3.0Tax
    fees(3)


3.2



3.2All other
    fees(4)


-



-Total fees

$
53.5


$
53.6   (1)
    Audit fees consisted of fees billed by PwC related to the
    audit of the Consolidated Financial Statements filed with the
    SEC, the audits of domestic and international statutory and
    subsidiary financial statements and certain agreed upon
    procedures and other attestation reports.(2)
    Audit-related fees consisted of fees billed by PwC for other
    audit and attest services, and financial accounting, reporting
    and compliance matters.(3)
    Tax fees pertain to services performed for tax compliance,
    advisory and planning services. Tax fees for these areas are
    billed to Bank of America Corporation on a consolidated basis
    and are excluded from the table above. The tax fees reflected
    above include preparation of certain tax returns (principally
    Forms 1041 and 990) for certain customer trusts and
    foundations.(4)
    All other fees, if incurred, would consist of permissible
    advisory services and other miscellaneous services. 180




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##### Table of Contents



PART IV  Item 15.
    Exhibits
    and Financial Statement Schedules    (1)
    Financial Statements:  Form 10-K.
  (2)
    Schedules:  Form 10-K.
  (3)
    Exhibits  page E-1
 181




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##### Table of Contents



SIGNATURES    Merrill Lynch &
    Co., Inc.
  By
    */s/  Thomas
    K. Montag   Title:
    Director and Chief Executive Officer    Signature

Title*/s/  Thomas
    K. MontagThomas
    K. Montag

Director and Chief Executive Officer (Principal Executive
    Officer)*/s/  Robert
    QutubRobert
    Qutub

Chief Financial Officer (Principal Financial Officer)*/s/  Peter
    D. TaubePeter
    D. Taube

Chief Accounting Officer and Controller (Principal Accounting
    Officer)*/s/  Brian
    T. MoynihanBrian
    T. Moynihan

Chairman and Director*/s/  Charles
    H. NoskiCharles
    H. Noski

Director*/s/  Sallie
    L. KrawcheckSallie
    L. Krawcheck

Director*/s/  Bruce
    ThompsonBruce
    Thompson

Director*By:

/s/  Craig
    T. BeazerCraig
    T. Beazer
    Attorney-in-Fact  182




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##### Table of Contents



EXHIBIT INDEX
  001-07182. Form 10-K, Form 10-Q, Form 8-K Form S-3 Form 10-K, Form 10-Q, Form 8-K Form S-3,
  Plan of acquisition, reorganization, arrangement, liquidation
    or succession2
.1


Agreement and Plan of Merger, dated as of September 15,
    2008, by and between Merrill Lynch & Co., Inc. and Bank of
    America Corporation (incorporated by reference to
    Exhibit 2.1 to Form 8-K dated September 19, 2008).2
.2


Stock Purchase and Sale Agreement, dated as of April 21,
    2009, among Merrill Lynch Group, Inc., BANA Holding Corporation,
    and Merrill Lynch Bank USA (incorporated by reference to
    Exhibit 2.2 to
    Form 10-K
    for the fiscal year ended December 31, 2009).2
.3


Stock Purchase and Sale Agreement, dated as of August 12,
    2009, among Merrill Lynch & Co., Inc., BANA Holding
    Corporation and Merrill Lynch Bank & Trust Co.,
    FSB (incorporated by reference to Exhibit 2.3 to
    Form 10-K
    for the fiscal year ended December 31, 2009).Articles of Incorporation and By-Laws3
.1


Restated Certificate of Incorporation of ML & Co.,
    effective as of May 3, 2001 (incorporated by reference to
    Exhibit 3.1 to the
    Form 8-K
    dated November 14, 2005).3
.2


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s Floating Rate
    Non-Cumulative Preferred Stock, Series 1, par value $1.00
    per share, effective as of October 25, 2004 (the
    Series 1 Preferred Stock) (incorporated by
    reference to Exhibit 3.2 and 4.1 to
    Form 8-K
    dated November 14, 2005).3
.3


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s Floating Rate
    Non-Cumulative Preferred Stock, Series 2, par value $1.00,
    effective as of March 9, 2005 (the Series 2
    Preferred Stock) (incorporated by reference to
    Exhibit 3.3 and 4.2 to
    Form 8-K
    dated November 14, 2005).3
.4


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s 6.375%
    Non-Cumulative Preferred Stock, Series 3, par value $1.00
    per share, effective as of November 14, 2005 (the
    Series 3 Preferred Stock) (incorporated by
    reference to Exhibit 3.4 and 4.3 to
    Form 8-K
    dated November 14, 2005).3
.5


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s Floating Rate
    Non-Cumulative Preferred Stock, Series 4, par value $1.00
    per share, effective as of November 14, 2005 (the
    Series 4 Preferred Stock) (incorporated by
    reference to Exhibit 3.5 and 4.4 to
    Form 8-K
    dated November 14, 2005).3
.6


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s Floating Rate
    Non-Cumulative Preferred Stock, Series 5, par value $1.00
    per share, effective as of March 16, 2007 (the
    Series 5 Preferred Stock) (incorporated by
    reference to Exhibit 3.6 and 4.5 to
    Form 8-K
    dated March 21, 2007).3
.7


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s 6.70%
    Non-Cumulative Perpetual Preferred Stock, Series 6, par
    value $1.00 per share, effective as of September 21, 2007
    (the Series 6 Preferred Stock) (incorporated by
    reference to Exhibit 3.7 and 4.6 to
    Form 8-K
    dated September 24, 2007). E-1




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##### Table of Contents



3
.8


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s 6.25%
    Non-Cumulative Perpetual Preferred Stock, Series 7, par
    value $1.00 per share, effective as of September 21, 2007
    (the Series 7 Preferred Stock) (incorporated by
    reference to Exhibit 3.8 and 4.7 to
    Form 8-K
    dated September 24, 2007).3
.9


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s 9.00%
    Non-Voting Mandatory Convertible Non-Cumulative Preferred Stock,
    Series 1, par value $1.00 per share, effective as of
    January 15, 2008 (incorporated by reference to
    Exhibit 3.9 and 4.8 to
    Form 8-K
    dated January 16, 2008).3
.10


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s 8.625%
    Non-Cumulative Preferred Stock, Series 8 (incorporated by
    reference to Exhibits 3.10 and 4.9 to
    Form 8-K
    dated April 29, 2008).3
.11


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s 9.00%
    Non-Voting Mandatory Convertible Non-Cumulative Preferred Stock,
    Series 2, par value $1.00 per share and liquidation
    preference $100,000 per share (incorporated by reference to
    Exhibits 3.11 and 4.10 to
    Form 8-K
    dated August 1, 2008).3
.12


Certificate of Designations establishing the rights,
    preferences, privileges, qualifications, restrictions and
    limitations relating to ML & Co.s 9.00%
    Non-Voting Mandatory Convertible Non-Cumulative Preferred Stock,
    Series 3, par value $1.00 per share and liquidation
    preference $100,000 per share (incorporated by reference to
    Exhibits 3.12 and 4.11 are incorporated by reference to
    Form 8-K
    dated August 1, 2008).3
.13


Certificate of Merger merging MER Merger Corporation with and
    into Merrill Lynch & Co., Inc. (incorporated by
    reference to Exhibit 3.1 to
    Form 8-K
    dated January 2, 2009).3
.14


Certificate of Amendment to Certificate of Designations of 9.00%
    Non-Voting Mandatory Convertible Non-Cumulative Preferred Stock,
    Series 2 of ML & Co. (incorporated by reference
    to Exhibit 3.2 to
    Form 8-K
    dated January 2, 2009).3
.15


Certificate of Amendment to Certificate of Designations of 9.00%
    Non-Voting Mandatory Convertible Non-Cumulative Preferred Stock,
    Series 3 of Merrill Lynch & Co., Inc.
    (incorporated by reference to Exhibit 3.3 to
    Form 8-K
    dated January 2, 2009).3
.16


By-Laws of Merrill Lynch & Co., Inc. as of
    January 1, 2009 (incorporated by reference to
    Exhibit 3.4 to
    Form 8-K
    dated January 2, 2009).Instruments Defining the Rights of Security Holders,
    Including IndenturesML & Co. hereby undertakes to
    furnish to the SEC, upon request, copies of any agreements not
    filed defining the rights of holders of long-term debt
    securities of ML & Co., none of which authorize an
    amount of securities that exceed 10% of the total assets of
    ML & Co.4
.1


Senior Indenture, dated as of April 1, 1983, as amended and
    restated as of April 1, 1987, between ML & Co.
    and The Bank of New York
    Mellon,(1)

    as Trustee (1983 Senior Indenture) and the
    Supplemental Indenture thereto dated as of March 5, 1990
    (incorporated by reference to Exhibit 4(i) to
    Form 10-K
    for the fiscal year ended December 29, 1999 (1999
    10-K)).4
.2


Sixth Supplemental Indenture to the 1983 Senior Indenture, dated
    as of October 25, 1993, between ML & Co. and The
    Bank of New York Mellon (incorporated by reference to
    Exhibit 4(ii) to 1999
    10-K).     E-2




---



##### Table of Contents



4
.3


Twelfth Supplemental Indenture to the 1983 Senior Indenture,
    dated as of September 1, 1998, between ML & Co.
    and The Bank of New York Mellon (incorporated by reference to
    Exhibit 4(a) to
    Form 8-K
    dated October 21, 1998).4
.4


Fifteenth Supplemental Indenture to the 1983 Senior Indenture,
    dated as of October 14, 2003, between ML & Co.
    and The Bank of New York Mellon (incorporated by reference to
    Exhibit 4(b)(ix) to
    Form S-3
    (file
    no. 333-109802))4
.5


Eighteenth Supplemental Indenture to the 1983 Senior Indenture,
    dated as of October 21, 2004, between Merrill Lynch and The Bank
    of New York Mellon, incorporated by reference to Exhibit
    4(b)(xiv) to Form S-3 (file no. 333-122639).4
.6


Senior Indenture, dated as of October 1, 1993 between ML &
    Co. and The Bank of New York Mellon (1993 Senior
    Indenture) (incorporated by reference to Exhibit (4)(iv)
    to Form 10-K for fiscal year ended December 25, 1998 (1998
    10-K)).4
.7


First Supplemental Indenture to the 1993 Senior Indenture, dated
    as of June 1, 1998, between ML & Co. and The Bank of New
    York Mellon (incorporated by reference to Exhibit 4(a) to Form
    8-K dated July 2, 1998).4
.8


Form of Subordinated Indenture, dated as of December 17, 1996,
    between ML & Co. and The Bank of New York Mellon, as
    trustee (1996 Subordinated Indenture) (incorporated
    by reference to Exhibit 4.7 to Amendment No. 2 to Form S-3 (file
    no. 333-16603).4
.9


Supplemental Indenture to the 1996 Subordinated Indenture, dated
    as of May 16, 2006, between ML & Co. and The Bank of New
    York Mellon, as trustee (incorporated by reference to Exhibit
    4(a) to Form 8-K dated May 16, 2006).4
.10


Junior Subordinated Indenture, dated as of December 14, 2006,
    between Merrill Lynch & Co., Inc. and The Bank of New York
    Mellon, as trustee (2006 Junior Subordinated
    Indenture) (incorporated by reference to Exhibit 4(a) to
    Form 8-K dated December 14, 2006).4
.11


First Supplemental Indenture to the 2006 Junior Subordinated
    Indenture, dated as of December 14, 2006, between Merrill Lynch
    & Co., Inc. and The Bank of New York Mellon, as trustee
    (incorporated by reference to Exhibit 4(b) to Form 8-K dated
    December 14, 2006).4
.12


Second Supplemental Junior Subordinated Indenture to the 2006
    Junior Subordinated Indenture, dated as of May 2, 2007, between
    ML & Co. and The Bank of New York Mellon, as Trustee
    (incorporated by reference to Exhibit 4(b) to Form 8-K dated May
    2, 2007).4
.13


Third Supplemental Indenture to the 2006 Junior Subordinated
    Indenture, dated as of August 22, 2007, between ML & Co.
    and The Bank of New York Mellon, as Trustee (incorporated by
    reference to Exhibit 4(b) to Form 8-K dated August 22, 2007).Material Contracts10
.1


Merrill Lynch & Co., Inc. 2010 Performance Year
    Deferred Compensation Plan (incorporated by reference to
    Exhibit 4(a) to
    Form S-8
    (file
    no. 333-163003).10
.2


Form of Agreement dated May 1, 2008 with Thomas K. Montag
    (filed as Exhibit 10.1 to
    Form 8-K
    dated May 2, 2008.10
.3


Merrill Lynch & Co., Inc. 2011 Performance Year
    Deferred Compensation Plan (incorporated by reference to
    Exhibit 4(a) of to
    Form S-8
    (file
    no. 333-170404).10
.4


Agreement and Plan of Merger dated November 1, 2010 between
    Merrill Lynch & Co., Inc. and Bank of America
    Securities Holdings Corporation (incorporated herein by
    reference to Exhibit 1.01 of
    Form 8-K
    dated November 1, 2010).11



Statement re: computation of earnings per common share (the
    calculation of per share earnings is in Part II,
    Item 8, Note 13 to the Consolidated Financial
    Statements (Stockholders Equity and Earnings Per Share)
    and is not required in accordance with Section(b)(11) of
    Item 601 of
    Regulation S-K).12
*


Statement re: computation of ratios.23
.1*


Consent of PricewaterhouseCoopers LLP, Independent Registered
    Public Accounting Firm of the Registrant.23
.2*


Consent of Deloitte & Touche LLP, Independent
    Registered Public Accounting Firm. E-3




---



##### Table of Contents



23
.3*


Consent of Deloitte & Touche LLP, Independent
    Registered Public Accounting Firm of BlackRock, Inc.24
.1*


Power of Attorney.24
.2*


Certificate of Assistant Secretary.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 Pursuant to 18 U.S.C. Section 1350, as
    Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act
    of 2002.32
.2*


Certification Pursuant to 18 U.S.C. Section 1350, as
    Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act
    of 2002.Additional Exhibits99
.1


Audited consolidated financial statements of BlackRock, Inc. for
    the year ended December 31, 2010 are incorporated herein by
    reference to Item 15(1) of BlackRock, Inc.s 2010
    Annual Report on
    Form 10-K
    (Commission File Number
    001-33099).    *
    
    Filed herewith
    
    Management contract or
    compensatory plan or arrangement E-4