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<div style="margin-top: 0pt; font-size: 1pt"></div>
<div align="center" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">
</font></b>
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
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<b><font style="font-family: 'Times New Roman', Times">Note 1.  Summary
of Significant Accounting Policies<br />
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</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Description
of Business</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch & Co. Inc. (“ML &
Co.”) and together with its subsidiaries (“Merrill
Lynch”), provide investment, financing, insurance, and
related services to individuals and institutions on a global
basis through its broker, dealer, banking and other financial
services subsidiaries. For a complete discussion of significant
accounting policies, refer to the Audited Consolidated Financial
Statements included in Merrill Lynch’s Annual Report on
<font style="white-space: nowrap">Form 10-K</font>
for the year-ended December 26, 2008 (the “2008 Annual
Report”).
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Bank of
America Acquisition</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
On January 1, 2009, Merrill Lynch (the “Predecessor
Company”) was acquired by Bank of America Corporation
(“Bank of America”) through the merger of a
wholly-owned subsidiary of Bank of America with and into
ML & Co. with ML & Co. (the “Successor
Company”) continuing as the surviving corporation and a
wholly-owned subsidiary of Bank of America. Upon completion of
the acquisition, each outstanding share of ML & Co.
common stock was converted into 0.8595 shares of Bank of
America common stock. As of the completion of the acquisition,
ML & Co. Series 1 through Series 8 preferred
stock were converted into Bank of America preferred stock with
substantially identical terms to the corresponding series of
Merrill Lynch preferred stock (except for additional voting
rights provided to the Bank of America securities). The Merrill
Lynch 9.00% Non-Voting Mandatory Convertible Non-Cumulative
Preferred Stock, Series 2, and 9.00% Non-Voting Mandatory
Convertible Non-Cumulative Preferred Stock, Series 3 that
was outstanding immediately prior to the completion of the
acquisition remained issued and outstanding subsequent to the
acquisition, but are now convertible into Bank of America common
stock.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Bank of America’s cost of acquiring Merrill Lynch has been
pushed down to form a new accounting basis for Merrill Lynch.
Accordingly, the accompanying Condensed Consolidated Financial
Statements are presented for two periods, Predecessor and
Successor, which respectively correspond to the periods
preceding and succeeding the date of acquisition. The
Predecessor and Successor periods have been separated by a
vertical line on the face of the Condensed Consolidated
Financial Statements to highlight the fact that the financial
information for such periods has been prepared under two
different cost bases of accounting. The components of the
Predecessor Company’s shareholders’ equity (with the
exception of $1.5 billion of convertible preferred stock
discussed above) were reclassified to
<font style="white-space: nowrap">paid-in-capital</font>
on January 1, 2009.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Effective January 1, 2009, Merrill Lynch adopted calendar
quarter-end and year-end reporting periods to coincide with
those of Bank of America. The intervening period between Merrill
Lynch’s previous fiscal year end (December 26,
2008) and the beginning of the current year
(January 1, 2009) (the “stub period”) is
presented separately on the accompanying Condensed Consolidated
Statements of Earnings / (Loss) for the six months
ended June 30, 2009.
</div>
</div>
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Basis of
Presentation</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The Condensed Consolidated Financial Statements include the
accounts of Merrill Lynch. The Condensed Consolidated Financial
Statements are presented in accordance with U.S. Generally
Accepted Accounting Principles. Intercompany transactions and
balances within Merrill Lynch have been eliminated. Transactions
and balances with Bank of America have not been eliminated. The
interim Condensed Consolidated Financial Statements for the
three and six month periods and the stub period are unaudited;
however, all adjustments necessary for a fair presentation of
the Condensed Consolidated Financial Statements have been
included.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
These unaudited Condensed Consolidated Financial Statements
should be read in conjunction with the audited Consolidated
Financial Statements included in the 2008 Annual Report, while
recognizing that two different bases of accounting are
presented. The nature of Merrill Lynch’s business is such
that the results of any interim period are not necessarily
indicative of results for a full year. Merrill Lynch evaluates
subsequent events through the date of filing. Certain prior
period amounts have been reclassified to conform to the current
period presentation. In addition, certain changes have been made
to classifications in the financial statements as of and for the
three and six months ended June 30, 2009 to conform to Bank
of America’s presentation of similar transactions. These
changes include:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The reclassification of bifurcated embedded derivatives from the
balance sheet classification of the host instrument (e.g.,
long-term borrowings for structured notes) to derivative
contracts within trading assets and liabilities;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The reclassification of derivatives that had been used for asset
and liability management hedging from other assets and other
payables-interest and other to derivative contracts within
trading assets and trading liabilities;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The reclassification of certain loans designated as held for
trading, held for sale or held for investment to either held for
sale or held for investment; and
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The reclassification of the financing provided to Bloomberg,
Inc. in connection with the sale of Merrill Lynch’s
interest in Bloomberg, L.P. from investment securities to loans,
notes and mortgages.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch did not make any significant changes to its
Predecessor Company accounting policies in order to conform with
the accounting policies utilized by Bank of America.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Consolidation
Accounting Policies</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The Condensed Consolidated Financial Statements include the
accounts of Merrill Lynch, whose subsidiaries are generally
controlled through a majority voting interest. In certain cases,
Merrill Lynch subsidiaries may also be consolidated based on a
risks and rewards approach. Merrill Lynch does not consolidate
those special purpose entities that meet the criteria of a
qualified special purpose entity (“QSPE”).
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch determines whether it is required to consolidate
an entity by first evaluating whether the entity qualifies as a
voting rights entity (“VRE”), a variable interest
entity (“VIE”), or a QSPE.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
VREs — VREs are defined to include entities that have
both equity at risk that is sufficient to fund future operations
and have equity investors with decision making ability that
absorb the majority of the expected losses and expected returns
of the entity. In accordance with Statement of Financial
Accounting Standards (“SFAS”) No. 94,
<i>Consolidation of All Majority-Owned Subsidiaries,</i> Merrill
Lynch generally consolidates those VREs where it holds a
controlling financial interest. For
investments in limited partnerships and certain limited
liability corporations that Merrill Lynch does not control,
Merrill Lynch applies Emerging Issues Task Force
(“EITF”) Topic D-46, <i>Accounting for Limited
Partnership Investments</i>, which requires use of the equity
method of accounting for investors that have more than a minor
influence, which is typically defined as an investment of
greater than 3% of the outstanding equity in the entity. For
more traditional corporate structures, in accordance with
Accounting Principles Board Opinion No. 18, <i>The Equity
Method of Accounting for Investments in Common Stock
</i>(“APB 18”), Merrill Lynch applies the equity
method of accounting where it has significant influence over the
investee. Significant influence can be evidenced by a
significant ownership interest (which is generally defined as a
voting interest of 20% to 50%), significant board of director
representation, or other contracts and arrangements.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
VIEs — Those entities that do not meet the VRE
criteria are generally analyzed for consolidation as either VIEs
or QSPEs. Merrill Lynch consolidates those VIEs in which it
absorbs the majority of the variability in expected losses
<font style="white-space: nowrap">and/or</font> the
variability in expected returns of the entity as required by
Financial Accounting Standards Board (“FASB”)
Interpretation No. 46(R), <i>Consolidation of Variable
Interest Entities </i>(“FIN 46(R)”). Merrill
Lynch relies on a qualitative
<font style="white-space: nowrap">and/or</font>
quantitative analysis, including an analysis of the design of
the entity, to determine if it is the primary beneficiary of the
VIE and therefore must consolidate the VIE. Merrill Lynch
reassesses whether it is the primary beneficiary of a VIE upon
the occurrence of a reconsideration event.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
QSPEs — QSPEs are passive entities with significantly
limited permitted activities. QSPEs are generally used as
securitization vehicles and are limited in the type of assets
that they may hold, the derivatives into which they can enter
and the level of discretion that they may exercise through
servicing activities. In accordance with SFAS No. 140,
<i>Accounting for Transfers and Servicing of Financial Assets
and Extinguishment of Liabilities
</i>(“SFAS No. 140”), and FIN 46(R),
Merrill Lynch does not consolidate QSPEs.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Securitization
Activities</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In the normal course of business, Merrill Lynch securitizes
commercial and residential mortgage loans; municipal,
government, and corporate bonds; and other types of financial
assets. Merrill Lynch may retain interests in the securitized
financial assets through holding tranches of the securitization.
In accordance with SFAS No. 140, Merrill Lynch
recognizes transfers of financial assets where it relinquishes
control as sales to the extent of cash and any proceeds
received. Control is considered to be relinquished when all of
the following conditions have been met:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The transferred assets have been legally isolated from the
transferor even in bankruptcy or other receivership;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The transferee has the right to pledge or exchange the assets it
received, or if the entity is a QSPE the beneficial interest
holders have the right to pledge or exchange their beneficial
interests; and
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The transferor does not maintain effective control over the
transferred assets (e.g., the ability to unilaterally cause the
holder to return specific transferred assets).
</td>
</tr>
</table>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Revenue
Recognition</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Principal transactions revenues include both realized and
unrealized gains and losses on trading assets and trading
liabilities, investment securities classified as trading
investments and fair value changes associated with structured
debt. These instruments are recorded at fair value. Fair value
is the price that
would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants.
Gains and losses on sales are recognized on a trade date basis.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Commissions revenues include commissions, mutual fund
distribution fees and contingent deferred sales charge revenue,
which are all accrued as earned. Commissions revenues also
include mutual fund redemption fees, which are recognized at the
time of redemption. Commissions revenues earned from certain
customer equity transactions are recorded net of related
brokerage, clearing and exchange fees.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Managed accounts and other fee-based revenues primarily consist
of asset-priced portfolio service fees earned from the
administration of separately managed accounts and other
investment accounts for retail investors, annual account fees,
and certain other account-related fees.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Investment banking revenues include underwriting revenues and
fees for merger and acquisition advisory services, which are
accrued when services for the transactions are substantially
completed. Underwriting revenues are presented net of
transaction-related expenses. Transaction-related expenses,
primarily legal, travel and other costs directly associated with
the transaction, are deferred and recognized in the same period
as the related revenue from the investment banking transaction
to match revenue recognition.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Earnings from equity method investments include Merrill
Lynch’s pro rata share of income and losses associated with
investments accounted for under the equity method.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Other revenues include gains/(losses) on investment securities,
including sales and
<font style="white-space: nowrap">other-than-temporary-impairment</font>
losses associated with certain
<font style="white-space: nowrap">available-for-sale</font>
securities, gains/(losses) on private equity investments and
gains/(losses) on loans and other miscellaneous items.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Contractual interest and dividends received and paid on trading
assets and trading liabilities, excluding derivatives, are
recognized on an accrual basis as a component of interest and
dividend revenues and interest expense. Interest and dividends
on investment securities are recognized on an accrual basis as a
component of interest and dividend revenues. Interest related to
loans, notes, and mortgages, securities financing activities and
certain short- and long-term borrowings are recorded on an
accrual basis with related interest recorded as interest revenue
or interest expense, as applicable. Contractual interest, if
any, on structured notes is recorded as a component of interest
expense.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Use of
Estimates</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In presenting the Condensed Consolidated Financial Statements,
management makes estimates regarding:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Valuations of assets and liabilities requiring fair value
estimates;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The allowance for credit losses;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Determination of
<font style="white-space: nowrap">other-than-temporary</font>
impairments for
<font style="white-space: nowrap">available-for-sale</font>
investment securities;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The outcome of litigation;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Assumptions and cash flow projections used in determining
whether VIEs should be consolidated and the determination of the
qualifying status of QSPEs;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The realization of deferred taxes and the recognition and
measurement of uncertain tax positions;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The carrying amount of goodwill and intangible assets;
</td>
</tr>
</table>
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</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> The amortization period of intangible assets with definite lives;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Incentive-based compensation accruals and valuation of
share-based payment compensation arrangements; and
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Other matters that affect the reported amounts and disclosure of
contingencies in the financial statements.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Estimates, by their nature, are based on judgment and available
information. Therefore, actual results could differ from those
estimates and could have a material impact on the Condensed
Consolidated Financial Statements, and it is possible that such
changes could occur in the near term.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Fair
Value Measurement</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch accounts for a significant portion of its
financial instruments at fair value or considers fair value in
their measurement. Merrill Lynch accounts for certain financial
assets and liabilities at fair value under various accounting
literature, including SFAS No. 115, <i>Accounting for
Certain Investments in Debt and Equity Securities
</i>(“SFAS No. 115”),
SFAS No. 133, <i>Accounting for Derivative Instruments
and Hedging Activities </i>(“SFAS No. 133”),
and SFAS No. 159, <i>Fair Value Option for Certain
Financial Assets and Liabilities
</i>(“SFAS No. 159”). Merrill Lynch also
accounts for certain assets at fair value under applicable
industry guidance, namely broker-dealer and investment company
accounting guidance.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
SFAS No. 157, <i>Fair Value Measurements
</i>(“SFAS No. 157”) defines fair value,
establishes a framework for measuring fair value, establishes a
fair value hierarchy based on the quality of inputs used to
measure fair value and enhances disclosure requirements for fair
value measurements.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Fair values for
<font style="white-space: nowrap">over-the-counter</font>
(“OTC”) derivative financial instruments, principally
forwards, options, and swaps, represent the present value of
amounts estimated to be received from or paid to a marketplace
participant in settlement of these instruments (i.e., the amount
Merrill Lynch would expect to receive in a derivative asset
assignment or would expect to pay to have a derivative liability
assumed). These derivatives are valued using pricing models
based on the net present value of estimated future cash flows
and directly observed prices from exchange-traded derivatives,
other OTC trades, or external pricing services, while taking
into account the counterparty’s creditworthiness, or
Merrill Lynch’s own creditworthiness, as appropriate.
Determining the fair value for OTC derivative contracts can
require a significant level of estimation and management
judgment.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
New <font style="white-space: nowrap">and/or</font>
complex instruments may have immature or limited markets. As a
result, the pricing models used for valuation often incorporate
significant estimates and assumptions that market participants
would use in pricing the instrument, which may impact the
results of operations reported in the Condensed Consolidated
Financial Statements. For instance, on long-dated and illiquid
contracts extrapolation methods are applied to observed market
data in order to estimate inputs and assumptions that are not
directly observable. This enables Merrill Lynch to mark to fair
value all positions consistently when only a subset of prices
are directly observable. Values for OTC derivatives are verified
using observed information about the costs of hedging the risk
and other trades in the market. As the markets for these
products develop, Merrill Lynch continually refines its pricing
models to correlate more closely to the market price of these
instruments. The recognition of significant inception gains and
losses that incorporate unobservable inputs is reviewed by
management to ensure such gains and losses are derived from
observable inputs
<font style="white-space: nowrap">and/or</font>
incorporate reasonable assumptions about the unobservable
component, such as implied bid-offer adjustments.
</div>
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</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Certain financial instruments recorded at fair value are
initially measured using mid-market prices which results in
gross long and short positions
<font style="white-space: nowrap">marked-to-market</font>
at the same pricing level prior to the application of position
netting. The resulting net positions are then adjusted to fair
value representing the exit price as defined in
SFAS No. 157. The significant adjustments include
liquidity and counterparty credit risk.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Liquidity</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch makes adjustments to bring a position from a
mid-market to a bid or offer price, depending upon the net open
position. Merrill Lynch values net long positions at bid prices
and net short positions at offer prices. These adjustments are
based upon either observable or implied bid-offer prices.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Counterparty
Credit Risk</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In determining fair value, Merrill Lynch considers both the
credit risk of its counterparties, as well as its own
creditworthiness. Merrill Lynch attempts to mitigate credit risk
to third parties by entering into netting and collateral
arrangements. Net counterparty exposure (counterparty positions
netted by offsetting transactions and both cash and securities
collateral) is then valued for counterparty creditworthiness and
this resultant value is incorporated into the fair value of the
respective instruments. Merrill Lynch generally calculates the
credit risk adjustment for derivatives on observable market
credit spreads.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
SFAS No. 157 also requires that Merrill Lynch consider
its own creditworthiness when determining the fair value of
certain instruments, including OTC derivative instruments. The
approach to measuring the impact of Merrill Lynch’s credit
risk on an instrument is done in the same manner as for third
party credit risk. The impact of Merrill Lynch’s credit
risk is incorporated into the fair value, even when credit risk
is not readily observable, of an instrument such as in OTC
derivatives contracts. OTC derivative liabilities are valued
based on the net counterparty exposure as described above.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Legal
Reserves</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch is a party in various actions, some of which
involve claims for substantial amounts. Amounts are accrued for
the financial resolution of claims that have either been
asserted or are deemed probable of assertion if, in the opinion
of management, it is both probable that a liability has been
incurred and the amount of the loss can be reasonably estimated.
In many cases, it is not possible to determine whether a
liability has been incurred or to estimate the ultimate or
minimum amount of that liability until the case is close to
resolution, in which case no accrual is made until that time.
Accruals are subject to significant estimation by management
with input from outside counsel.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Income
Taxes</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch provides for income taxes on all transactions that
have been recognized in the Condensed Consolidated Financial
Statements in accordance with SFAS No. 109,
<i>Accounting for Income Taxes
</i>(“SFAS No. 109”). Accordingly, deferred
taxes are adjusted to reflect the tax rates at which future
taxable amounts will likely be settled or realized. The effects
of tax rate changes on deferred tax liabilities and deferred tax
assets, as well as other changes in income tax laws, are
recognized in net earnings in the period during which such
changes are enacted. Valuation allowances are established when
necessary to reduce deferred tax assets to the amounts that are
more-likely-than-
not to be realized. Pursuant to SFAS No. 109, Merrill
Lynch may assess various sources of evidence in the conclusion
as to the necessity of valuation allowances to reduce deferred
tax assets to amounts more-likely-than-not to be realized,
including the following: 1) past and projected earnings,
including losses, of Merrill Lynch and Bank of America, as
certain tax attributes such as U.S. net operating losses
(“NOLs”), U.S. capital loss carryforwards and
foreign tax credit carryforwards can be utilized by Bank of
America in certain income tax returns, 2) tax carryforward
periods, and 3) tax planning strategies and other factors
of the legal entities, such as the intercompany tax-allocation
policy. Included within Merrill Lynch’s net deferred tax
assets are carryforward amounts generated in the U.S. and
United Kingdom (“U.K.”) that are deductible in the
future as NOLs. Merrill Lynch has concluded that these deferred
tax assets are more-likely-than-not to be fully utilized prior
to expiration, based on the projected level of future taxable
income of Merrill Lynch and Bank of America, which is relevant
due to the intercompany tax-allocation policy. For this purpose,
future taxable income was projected based on forecasts and
historical earnings after adjusting for the past market
disruptions and the anticipated impact of the differences
between pre-tax earnings and taxable income.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch recognizes and measures its unrecognized tax
benefits in accordance with FIN No. 48, <i>Accounting
for Uncertainty in Income Taxes, an interpretation of FASB
Statement No. 109 </i>(“FIN 48”). Merrill
Lynch estimates the likelihood, based on their technical merits,
that tax positions will be sustained upon examination
considering the facts and circumstances and information
available at the end of each period. Merrill Lynch adjusts the
level of unrecognized tax benefits when there is more
information available, or when an event occurs requiring a
change. In accordance with Bank of America’s policy, any
new or subsequent change in an unrecognized tax benefit related
to a Bank of America state consolidated, combined or unitary
return in which Merrill Lynch is a member will not be reflected
in Merrill Lynch’s balance sheet. However, upon Bank of
America’s resolution of the item, any material impact
determined to be attributable to Merrill Lynch will be reflected
in Merrill Lynch’s balance sheet. Merrill Lynch accrues
income-tax-related interest and penalties, if applicable, within
income tax expense.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Beginning with the 2009 tax year, Merrill Lynch’s results
of operations are included in the U.S. federal income tax
return and certain state income tax returns of Bank of America.
The method of allocating income tax expense is determined under
the intercompany tax allocation policy of Bank of America. This
policy specifies that income tax expense will be computed for
all Bank of America subsidiaries generally on a separate company
method, taking into account the tax position of the consolidated
group and the pro forma Merrill Lynch group. Under this policy,
tax benefits associated with net operating losses (or other tax
attributes) of Merrill Lynch are payable to Merrill Lynch upon
the earlier of the utilization in the filing of Bank of
America’s returns or the utilization in Merrill
Lynch’s pro forma returns. See Note 16 for further
discussion of income taxes.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Securities
Financing Transactions</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into repurchase and resale agreements and
securities borrowed and loaned transactions to accommodate
customers and earn interest rate spreads (also referred to as
“matched-book transactions”), obtain securities for
settlement and finance inventory positions.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Resale and repurchase agreements are accounted for as
collateralized financing transactions and may be recorded at
their contractual amounts plus accrued interest or at fair value
under the fair value option election in SFAS No. 159.
Resale and repurchase agreements recorded at fair value are
generally valued based on pricing models that use inputs with
observable levels of price transparency.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Where the fair value option has been elected, changes in the
fair value of resale and repurchase agreements are reflected in
principal transactions revenues and the contractual interest
coupon is recorded as interest revenue or interest expense,
respectively. For further information refer to Note 4.
</div>
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</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Resale and repurchase agreements recorded at their contractual
amounts plus accrued interest approximate fair value, as the
fair value of these items is not materially sensitive to shifts
in market interest rates because of the short-term nature of
these instruments
<font style="white-space: nowrap">and/or</font>
variable interest rates or to credit risk because the resale and
repurchase agreements are fully collateralized.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch’s policy is to obtain possession of
collateral with a market value equal to or in excess of the
principal amount loaned under resale agreements. To ensure that
the market value of the underlying collateral remains
sufficient, collateral is generally valued daily and Merrill
Lynch may require counterparties to deposit additional
collateral or may return collateral pledged when appropriate.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Substantially all repurchase and resale activities are
transacted under master repurchase agreements that give Merrill
Lynch the right, in the event of default, to liquidate
collateral held and to offset receivables and payables with the
same counterparty. Merrill Lynch offsets certain repurchase and
resale agreement balances with the same counterparty on the
Condensed Consolidated Balance Sheets.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch may use securities received as collateral for
resale agreements to satisfy regulatory requirements such as
<font style="white-space: nowrap">Rule 15c3-3</font>
of the Securities Exchange Act of 1934.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Securities borrowed and loaned transactions may be recorded at
the amount of cash collateral advanced or received plus accrued
interest or at fair value under the fair value option election
in SFAS No. 159. Securities borrowed transactions
require Merrill Lynch to provide the counterparty with
collateral in the form of cash, letters of credit, or other
securities. Merrill Lynch receives collateral in the form of
cash or other securities for securities loaned transactions. For
these transactions, the fees received or paid by Merrill Lynch
are recorded as interest revenue or expense. On a daily basis,
Merrill Lynch monitors the market value of securities borrowed
or loaned against the collateral value, and Merrill Lynch may
require counterparties to deposit additional collateral or may
return collateral pledged, when appropriate. The carrying value
of these instruments approximates fair value as these items are
not materially sensitive to shifts in market interest rates
because of their short-term nature
<font style="white-space: nowrap">and/or</font> their
variable interest rates.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
All firm-owned securities pledged to counterparties where the
counterparty has the right, by contract or custom, to sell or
repledge the securities are disclosed parenthetically in trading
assets or, if applicable, in investment securities on the
Condensed Consolidated Balance Sheets.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In transactions where Merrill Lynch acts as the lender in a
securities lending agreement and receives securities that can be
pledged or sold as collateral, it recognizes an asset on the
Condensed Consolidated Balance Sheets carried at fair value,
representing the securities received (securities received as
collateral), and a liability for the same amount, representing
the obligation to return those securities (obligation to return
securities received as collateral). The amounts on the Condensed
Consolidated Balance Sheets result from non-cash transactions.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Trading
Assets and Liabilities</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch’s trading activities consist primarily of
securities brokerage and trading; derivatives dealing and
brokerage; commodities trading and futures brokerage; and
securities financing transactions. Trading assets and trading
liabilities consist of cash instruments (e.g., securities and
loans) and derivative instruments. Trading assets and trading
liabilities also include commodities inventory. See Note 6
for additional information on derivative instruments.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Trading assets and liabilities are generally recorded on a trade
date basis at fair value. Included in trading liabilities are
securities that Merrill Lynch has sold but did not own and will
therefore be obligated to purchase at a future date (“short
sales”). Commodities inventory is recorded at the lower
of cost or market value. Changes in fair value of trading assets
and liabilities (i.e., unrealized gains and losses) are
recognized as principal transactions revenues in the current
period. Realized gains and losses and any related interest
amounts are included in principal transactions revenues and
interest revenues and expenses, depending on the nature of the
instrument.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Investment
Securities</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Investment securities consist of marketable investment
securities and non-qualifying investments. Refer to Note 8.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Marketable
Investments</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
ML & Co. and certain of its non-broker-dealer
subsidiaries, including Merrill Lynch banks, follow the guidance
in SFAS No. 115 when accounting for investments in
debt and publicly traded equity securities. Merrill Lynch
classifies those debt securities that it does not intend to sell
as
<font style="white-space: nowrap">held-to-maturity</font>
securities.
<font style="white-space: nowrap">Held-to-maturity</font>
securities are carried at cost unless a decline in value is
deemed
<font style="white-space: nowrap">other-than-temporary,</font>
in which case the carrying value is reduced. For Merrill Lynch,
the trading classification under SFAS No. 115
generally includes those securities that are bought and held
principally for the purpose of selling them in the near term,
securities that are economically hedged, or securities that may
contain a bifurcatable embedded derivative as defined in
SFAS No. 133. Securities classified as trading are
marked to fair value through earnings. All other qualifying
securities are classified as
<font style="white-space: nowrap">available-for-sale</font>
and held at fair value with unrealized gains and losses reported
in accumulated other comprehensive (loss)/income
(“OCI”).
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Realized gains and losses on investment securities are included
in current period earnings. For purposes of computing realized
gains and losses, the cost basis of each investment sold is
based on the specific identification method.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch regularly (at least quarterly) evaluates each
<font style="white-space: nowrap">held-to-maturity</font>
and
<font style="white-space: nowrap">available-for-sale</font>
security whose value has declined below amortized cost to assess
whether the decline in fair value is
<font style="white-space: nowrap">other-than-temporary.</font>
A decline in a debt security’s fair value is considered to
be
<font style="white-space: nowrap">other-than-temporary</font>
if it is probable that all amounts contractually due will not be
collected or Merrill Lynch either plans to sell the security or
it is more likely than not that it will be required to sell the
security before recovery of its amortized cost. Beginning in
2009, for unrealized losses on debt securities that are deemed
<font style="white-space: nowrap">other-than-temporary,</font>
the credit component of an
<font style="white-space: nowrap">other-than-temporary</font>
impairment is recognized in earnings and the noncredit component
is recognized in OCI when Merrill Lynch does not intend to sell
the security and it is more likely than not that Merrill Lynch
will not be required to sell the security prior to recovery.
Prior to January 1, 2009, unrealized losses (both the
credit and non-credit components) on
<font style="white-space: nowrap">available-for-sale</font>
debt securities that were deemed
<font style="white-space: nowrap">other-than-temporary</font>
were included in current period earnings.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch’s impairment review generally includes:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Identifying securities with indicators of possible impairment;
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Analyzing individual securities with fair value less than
amortized cost for specific factors including:
</td>
</tr>
</table>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="4%"></td>
<td width="2%"></td>
<td width="94%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
The estimated length of time to recover from fair value to
amortized cost;
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
The severity and duration of the fair value decline from
amortized cost;
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
Deterioration in the financial condition of the issuer;
</td>
</tr>
</table>
</div>
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<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Discussing evidential matter, including an evaluation of the
factors that could cause individual securities to have an
<font style="white-space: nowrap">other-than-temporary</font>
impairment;
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Determining whether Merrill Lynch intends to sell the security
or if it is more likely than not that Merrill Lynch will be
required to sell the security before recovery of its amortized
cost; and
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Documenting the analysis and conclusions.
</td>
</tr>
</table>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Non-Qualifying
Investments</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Non-qualifying investments are those investments that are not
within the scope of SFAS No. 115 and primarily include
private equity investments accounted for at fair value and
securities carried at cost or under the equity method of
accounting.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Private equity investments that are held for capital
appreciation
<font style="white-space: nowrap">and/or</font>
current income are accounted for under the American Institute of
Certified Public Accountants’ (“AICPA”)
Accounting and Auditing Guide, <i>Investment Companies </i>(the
“Investment Company Guide”) and carried at fair value.
Additionally, certain private equity investments that are not
accounted for under the Investment Company Guide may be carried
at fair value under the fair value option election in
SFAS No. 159. The carrying value of private equity
investments reflects expected exit values based upon market
prices or other valuation methodologies including expected cash
flows and market comparables of similar companies.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has non-controlling investments in the common
shares of corporations and in partnerships that do not fall
within the scope of SFAS No. 115 or the Investment
Company Guide. Merrill Lynch accounts for these investments
using either the cost or the equity method of accounting based
on management’s ability to influence the investees. See the
Consolidation Accounting Policies section of this Note for more
information.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
For investments accounted for using the equity method, income is
recognized based on Merrill Lynch’s share of the earnings
or losses of the investee. Dividend distributions are generally
recorded as reductions in the investment balance. Impairment
testing is based on the guidance provided in APB 18 and the
investment is reduced when an impairment is deemed
<font style="white-space: nowrap">other-than-temporary.</font>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
For investments accounted for at cost, income is recognized as
dividends are received. Impairment testing is based on the
guidance provided in FASB Staff Positions Nos.
<font style="white-space: nowrap">SFAS 115-2</font>
and
<font style="white-space: nowrap">SFAS 124-2,</font>
<i>The Meaning of
<font style="white-space: nowrap">Other-Than-Temporary</font>
Impairment and Its Application to Certain Investments</i>, and
the cost basis is reduced when an impairment is deemed
<font style="white-space: nowrap">other-than-temporary.</font>
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Loans,
Notes, and Mortgages, Net</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch’s lending and related activities include loan
originations, syndications and securitizations. Loan
originations include corporate and institutional loans,
residential and commercial mortgages, asset-based loans, and
other loans to individuals and businesses. Merrill Lynch also
engages in secondary market loan trading (see the Trading Assets
and Liabilities section within this Note) and margin lending.
Loans included in loans, notes, and mortgages are classified for
accounting purposes as loans held for investment and loans held
for sale. Upon completion of the acquisition of Merrill Lynch by
Bank of America, certain loans carried by Merrill Lynch were
subject to the requirements of AICPA Statement of Position
<font style="white-space: nowrap">No. 03-3,</font>
<i>Accounting for Certain Loans or Debt Securities Acquired in a
Transfer
</i><font style="white-space: nowrap">(“SOP 03-3”).</font>
See Note 10.
</div>
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Loans held for investment are carried at amortized cost, less an
allowance for loan losses. The provision for loan losses is
based on management’s estimate of the amount necessary to
maintain the allowance for loan losses at a level adequate to
absorb probable incurred loan losses and is included in interest
revenue in the Condensed Consolidated Statements of
Earnings/(Loss). Management’s estimate of loan losses is
influenced by many factors, including adverse situations that
may affect the borrower’s ability to repay, current
economic conditions, prior loan loss experience, and the
estimated fair value of any underlying collateral. The fair
value of collateral is generally determined by third-party
appraisals in the case of residential mortgages, quoted market
prices for securities, or other types of estimates for other
assets.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Management’s estimate of loan losses includes judgment
about collectibility based on available information at the
balance sheet date, and the uncertainties inherent in those
underlying assumptions.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
While management has based its estimates on the best information
available, future adjustments to the allowance for loan losses
may be necessary as a result of changes in the economic
environment or variances between actual results and the original
assumptions.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In general, loans are evaluated for impairment when they are
greater than 90 days past due or exhibit credit quality
weakness. Loans are considered impaired when it is probable that
Merrill Lynch will not be able to collect the contractual
principal and interest due from the borrower. All payments
received on impaired loans are applied to principal until the
principal balance has been reduced to a level where collection
of the remaining recorded investment is not in doubt. Typically,
when collection of principal on an impaired loan is not in
doubt, contractual interest will be credited to interest income
when received.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Loans held for sale are carried at lower of cost or fair value.
The fair value option in SFAS No. 159 has been elected
for certain held for sale loans, notes and mortgages. Estimation
is required in determining these fair values. The fair value of
loans made in connection with commercial lending activity,
consisting mainly of senior debt, is primarily estimated using
the market value of publicly issued debt instruments or
discounted cash flows. Merrill Lynch’s estimate of fair
value for other loans, notes, and mortgages is determined based
on the individual loan characteristics. For certain homogeneous
categories of loans, including residential mortgages, automobile
loans, and home equity loans, fair value is estimated using a
whole loan valuation or an “as-if” securitized price
based on market conditions. An “as-if” securitized
price is based on estimated performance of the underlying asset
pool collateral, rating agency credit structure assumptions and
market pricing for similar securitizations previously executed.
Declines in the carrying value of loans held for sale and loans
accounted for at fair value under the fair value option are
included in other revenues in the Condensed Consolidated
Statements of Earnings/(Loss).
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Nonrefundable loan origination fees, loan commitment fees, and
“draw down” fees received in conjunction with held for
investment loans are generally deferred and recognized over the
contractual life of the loan as an adjustment to the yield. If,
at the outset, or any time during the term of the loan, it
becomes probable that the repayment period will be extended, the
amortization is recalculated using the expected remaining life
of the loan. When the loan contract does not provide for a
specific maturity date, management’s best estimate of the
repayment period is used. At repayment of the loan, any
unrecognized deferred fee is immediately recognized in earnings.
If the loan is accounted for as held for sale, the fees received
are deferred and recognized as part of the gain or loss on sale
in other revenues. If the loan is accounted for under the fair
value option, the fees are included in the determination of the
fair value and included in other revenue.
</div>
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</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">New
Accounting Pronouncements</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In July 2009, the FASB issued Statement of Financial Accounting
Standards (“SFAS”) No. 168, <i>FASB Accounting
Standards Codification and the Hierarchy of Generally Accepted
Accounting Principles </i>(“SFAS No. 168”).
SFAS No. 168 approved the FASB Accounting Standards
Codification (the “Codification”) as the single source
of authoritative nongovernmental GAAP. The Codification is
effective for interim or annual periods ending after
September 15, 2009. All existing accounting standards have
been superseded and all other accounting literature not included
in the Codification will be considered nonauthoritative. The
adoption of SFAS No. 168 will not impact Merrill
Lynch’s financial condition or results of operations.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In June 2009, the FASB issued SFAS No. 166,
<i>Accounting for Transfers of Financial Assets — an
amendment of FASB Statement No. 140
</i>(“SFAS No. 166”), and
SFAS No. 167, <i>Amendments to FASB Interpretation
No. 46(R) </i>(“SFAS No. 167”). The
amendments will be effective January 1, 2010.
SFAS No. 166 revises SFAS No. 140, which
establishes sale accounting criteria for transfers of financial
assets. Among other things, SFAS No. 166 amends
SFAS No. 140 to eliminate the concept of a QSPE. As a
result, existing QSPEs will be subject to consolidation in
accordance with the guidance provided in SFAS No. 167.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
SFAS No. 167 amends FIN 46(R) by significantly
changing the criteria by which an enterprise determines whether
it must consolidate a VIE. A VIE is an entity, typically an SPE,
which has insufficient equity at risk or which is not controlled
through voting rights held by equity investors. FIN 46(R)
currently requires that a VIE be consolidated by the enterprise
that will absorb a majority of the expected losses or expected
residual returns created by the assets of the VIE.
SFAS No. 167 amends FIN 46(R) to require that a
VIE be consolidated by the enterprise that has both the power to
direct the activities that most significantly impact the
VIE’s economic performance and the obligation to absorb
losses or the right to receive benefits that could potentially
be significant to the VIE. SFAS No. 167 also requires
that an enterprise continually reassess, based on current facts
and circumstances, whether it should consolidate the VIEs with
which it is involved. See Note 9 for Merrill Lynch’s
involvement with VIEs.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The adoption in January 2010 of SFAS Nos. 166 and 167
will result in the consolidation of certain QSPEs and VIEs that
are not currently recorded on Merrill Lynch’s Condensed
Consolidated Balance Sheets (e.g. certain mortgage and municipal
bond securitizations). These consolidations will result in an
increase in trading assets and on-balance sheet funding. Merrill
Lynch is currently evaluating those entities within the scope of
SFAS Nos. 166 and 167 to determine the ultimate impact of
adoption.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In May 2009, the FASB issued SFAS No. 165,
<i>Subsequent Events, </i>(“SFAS No. 165”).
SFAS No. 165 provides general standards of accounting
for and disclosure of events that occur after the balance sheet
date but before financial statements are issued or are available
to be issued. In addition, SFAS No. 165 requires the
disclosure of the date through which an entity has evaluated
subsequent events and the basis for that date. The adoption of
SFAS No. 165, effective June 30, 2009, did not
impact Merrill Lynch’s financial condition or results of
operations. Merrill Lynch evaluated subsequent events through
the date of filing.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In April 2009, the FASB issued FASB Staff Position
(“FSP”)
<font style="white-space: nowrap">No. FAS 157-4,</font>
<i>Determining Fair Value When the Volume and Level of Activity
for the Asset or Liability Have Significantly Decreased and
Identifying Transactions That Are Not Orderly</i>, (“FSP
<font style="white-space: nowrap">FAS 157-4”).</font>
FSP
<font style="white-space: nowrap">FAS 157-4</font>
provides guidance for determining whether a market is inactive
and a transaction is distressed in order to apply the existing
fair value measurement guidance in SFAS No. 157.
Merrill Lynch elected to early adopt FSP
<font style="white-space: nowrap">FAS 157-4</font>
effective January 1, 2009. The adoption did not have a
material impact on the Condensed Consolidated Financial
Statements.
</div>
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In April 2009, the FASB issued FSP
<font style="white-space: nowrap">No. FAS 115-2</font>
and
<font style="white-space: nowrap">FAS 124-2,</font>
<i>Recognition and Presentation of
<font style="white-space: nowrap">Other-Than-Temporary</font>
Impairments</i>, (“FSP
<font style="white-space: nowrap">FAS 115-2</font>
and
<font style="white-space: nowrap">FAS 124-2”).</font>
This FSP requires an entity to recognize the credit component of
an
<font style="white-space: nowrap">other-than-temporary</font>
impairment of a debt security in earnings and the noncredit
component in OCI when the entity does not intend to sell the
security and it is more likely than not that the entity will not
be required to sell the security prior to recovery. FSP
<font style="white-space: nowrap">FAS 115-2</font>
and
<font style="white-space: nowrap">FAS 124-2</font>
also require expanded disclosures. Merrill Lynch elected to
early adopt FSP
<font style="white-space: nowrap">FAS 115-2</font>
and
<font style="white-space: nowrap">FAS 124-2</font>
effective January 1, 2009 and the adoption did not have a
material impact on the Condensed Consolidated Financial
Statements, as any OCI that Merrill Lynch previously recorded
was eliminated upon Bank of America’s acquisition of
Merrill Lynch. FSP
<font style="white-space: nowrap">FAS 115-2</font>
and
<font style="white-space: nowrap">FAS 124-2</font>
do not change the recognition of
<font style="white-space: nowrap">other-than-temporary</font>
impairment for equity securities.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In April 2009, the FASB issued FSP
<font style="white-space: nowrap">No. FAS 107-1</font>
and APB Opinion
<font style="white-space: nowrap">28-1,</font>
<i>Interim Disclosures about Fair Value of Financial Instruments
</i>(“FSP
<font style="white-space: nowrap">FAS 107-1”).</font>
FSP
<font style="white-space: nowrap">FAS 107-1</font>
requires expanded disclosures for all financial instruments as
defined by SFAS No. 107, <i>Disclosures about Fair
Value of Financial Instruments </i>such as loans that are not
measured at fair value through earnings. Merrill Lynch adopted
the provisions of FSP
<font style="white-space: nowrap">FAS 107-1</font>
during the second quarter of 2009. Since FSP
<font style="white-space: nowrap">FAS 107-1</font>
only requires certain additional disclosures, it did not affect
Merrill Lynch’s consolidated financial position, results of
operations or cash flows. Refer to Note 5 for further
information.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In April 2009, the FASB issued FSP No. FAS 141(R)-1,
<i>Accounting for Assets Acquired and Liabilities Assumed in a
Business Combination That Arise from Contingencies</i>,
(“FSP FAS 141(R)-1”) whereby assets acquired and
liabilities assumed in a business combination that arise from
contingencies should be recognized at fair value on the
acquisition date if fair value can be determined during the
measurement period. If fair value cannot be determined,
companies should typically account for the acquired
contingencies using existing guidance. FSP 141(R)-1 is
effective for new acquisitions consummated on or after
January 1, 2009. Bank of America applied FSP 141(R)-1
to its January 1, 2009 acquisition of Merrill Lynch, and
the effects of the adoption were not material to these Condensed
Consolidated Financial Statements.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In March 2008, the FASB issued SFAS No. 161,
<i>Disclosure about Derivative Instruments and Hedging
Activities, an Amendment of FASB Statement No. 133
</i>(“SFAS No. 161”). SFAS No. 161
is intended to improve transparency in financial reporting by
requiring enhanced disclosures of an entity’s derivative
instruments and hedging activities and their effects on the
entity’s financial position, financial performance, and
cash flows. SFAS No. 161 applies to all derivative
instruments within the scope of SFAS No. 133. It also
applies to non-derivative hedging instruments and all hedged
items designated and qualifying as hedges under
SFAS No. 133. SFAS No. 161 amends the
current qualitative and quantitative disclosure requirements for
derivative instruments and hedging activities set forth in
SFAS No. 133 and generally increases the level of
disaggregation required in an entity’s financial
statements. SFAS No. 161 requires qualitative
disclosures about objectives and strategies for using
derivatives, quantitative disclosures about fair value amounts
of gains and losses on derivative instruments, and disclosures
about credit-risk related contingent features in derivative
agreements. Merrill Lynch adopted SFAS No. 161 on
January 1, 2009, effective prospectively. Since
SFAS No. 161 only requires certain additional
disclosures, it did not have an effect on Merrill Lynch’s
consolidated financial position, results of operations or cash
flows. See Note 6 for further information regarding these
disclosures.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In February 2008, the FASB issued FSP
<font style="white-space: nowrap">FAS 140-3,</font>
<i>Accounting for Transfers of Financial Assets and Repurchase
Financing Transactions </i>(“FSP
<font style="white-space: nowrap">FAS 140-3”).</font>
Under the guidance in FSP
<font style="white-space: nowrap">FAS 140-3,</font>
there is a presumption that the initial transfer of a financial
asset and subsequent repurchase financing involving the same
asset are considered part of the same arrangement (i.e. a linked
transaction) under SFAS No. 140. However, if certain
criteria are met, the initial transfer and repurchase financing
will be
evaluated as two separate transactions under
SFAS No. 140. FSP
<font style="white-space: nowrap">FAS 140-3</font>
was effective for new transactions entered into in fiscal years
beginning after November 15, 2008. Early adoption was
prohibited. The adoption of FSP
<font style="white-space: nowrap">FAS 140-3</font>
did not have a material impact on the Condensed Consolidated
Financial Statements.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In December 2007, the FASB issued SFAS No. 160,
<i>Noncontrolling Interests in Consolidated Financial
Statements-an amendment of ARB No. 51
</i>(“SFAS No. 160”). SFAS No. 160
requires noncontrolling interests in subsidiaries (formerly
known as “minority interests”) initially to be
measured at fair value and classified as a separate component of
equity. Under SFAS No. 160, gains or losses on sales
of noncontrolling interests in subsidiaries are not recognized,
instead sales of noncontrolling interests are accounted for as
equity transactions. However, in a sale of a subsidiary’s
shares that results in the deconsolidation of the subsidiary, a
gain or loss is recognized for the difference between the
proceeds of that sale and the carrying amount of the interest
sold and a new fair value basis is established for any remaining
ownership interest. SFAS No. 160 was effective for
Merrill Lynch beginning in 2009; earlier application was
prohibited. SFAS No. 160 was required to be adopted
prospectively, with the exception of certain presentation and
disclosure requirements (e.g., reclassifying noncontrolling
interests to appear in equity), which are required to be adopted
retrospectively. The adoption of SFAS No. 160 did not
have a material impact on the Condensed Consolidated Financial
Statements.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In December 2007, the FASB issued SFAS No. 141(R),
<i>Business Combinations
</i>(“SFAS No. 141(R)”), which significantly
changes the financial accounting and reporting for business
combinations. SFAS No. 141(R) requires, for example:
(i) more assets and liabilities to be measured at fair
value as of the acquisition date, (ii) liabilities related
to contingent consideration to be remeasured at fair value in
each subsequent reporting period with changes reflected in
earnings and not goodwill, and (iii) all
acquisition-related costs to be expensed as incurred by the
acquirer. Bank of America applied SFAS No. 141(R) to
its January 1, 2009 acquisition of Merrill Lynch, the
effects of which are included in these Condensed Consolidated
Financial Statements.
</div>
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<b><font style="font-family: 'Times New Roman', Times">Note 2.  Acquisition
and Subsequent Transactions with Bank of America
Corporation<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
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<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As a result of the acquisition of Merrill Lynch by Bank of
America, Merrill Lynch recorded the following preliminary
purchase accounting adjustments. The allocation of the purchase
price will be finalized upon completion of Bank of
America’s analysis of the fair values of Merrill
Lynch’s assets and liabilities in accordance with
SFAS No. 141(R).
</div>
<div style="margin-top: 0pt; font-size: 1pt">
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</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
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<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
</tr>
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<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<i><font style="font-size: 10pt">(dollars in billions, except
per share amounts)</font></i>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="5" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Purchase Price</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Merrill Lynch common shares exchanged (in millions)
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
<b>1,600</b>
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Exchange ratio
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
0.8595
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Bank of America’s common stock issued
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,375
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Purchase price per share of Bank of America’s common
stock<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14.08
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Total value of Bank of America’s common stock and cash
exchanged for fractional shares
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19.4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Merrill Lynch preferred
stock<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8.6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Fair value of outstanding employee stock awards
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1.1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
<b>Total purchase price</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
<b>29.1 </b>
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Preliminary allocation of the purchase price</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Merrill Lynch stockholders’ equity
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19.9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Merrill Lynch goodwill and intangible assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2.6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Pre-tax adjustments to reflect acquired assets and liabilities
at fair value:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Securities and derivatives
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1.2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Loans
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6.1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Intangible
assets<sup style="font-size: 85%; vertical-align: top">(3)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5.7
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Other assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1.5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
15.4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 33pt">
Pre-tax total adjustments
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12.3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Deferred income taxes
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(5.5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 33pt">
After-tax total adjustments
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6.8
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 33pt">
Fair value of net assets acquired
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
24.1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Preliminary goodwill resulting from the acquisition by Bank
of
America<sup style="font-size: 85%; vertical-align: top">(4)</sup></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
<b>5.0 </b>
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">The value of the shares of
common stock exchanged with Merrill Lynch shareholders was based
upon the closing price of Bank of America’s common stock at
December 31, 2008, the last trading day prior to the date
of acquisition.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Represents Merrill Lynch’s
preferred stock exchanged for Bank of America preferred stock
having substantially identical terms and also includes
$1.5 billion of convertible preferred stock.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Consists of trade name of
$1.2 billion and customer relationship and core deposit
intangibles of $4.5 billion. The amortization life is
10 years for the customer relationship and core deposit
intangibles, which will be primarily amortized on a
straight-line basis.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(4) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">No goodwill is expected to be
deductible for federal income tax purposes.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Subsequent to the Bank of America acquisition, certain assets
and liabilities were transferred at fair value between Merrill
Lynch and Bank of America. These transfers were made in
connection with efforts to manage risk in a more effective and
efficient manner at the consolidated Bank of America level. The
assets and liabilities transferred related to sales and trading
activities and included positions associated with the rates and
currency, equity and mortgage products trading businesses.
During the six months ended June 30, 2009, these transfers
included approximately $47 billion each of assets and
liabilities transferred from Merrill Lynch to Bank of America,
primarily U.S. matched book repurchase positions and
mortgage positions. Approximately $40 billion of assets and
$18 billion of liabilities were transferred from Bank of
America to Merrill Lynch, primarily equity-related positions.
See Notes 20 and 21 for additional information on related
party transactions.
</div>
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<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
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<b><font style="font-family: 'Times New Roman', Times">Note 3.  Segment
and Geographic Information<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
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</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Segment
Information</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Prior to the acquisition by Bank of America, Merrill
Lynch’s operations were organized and reported as two
operating segments in accordance with the criteria in
SFAS No. 131, <i>Disclosure about Segments of an
Enterprise and Related Information
</i>(“SFAS No. 131”): Global Markets and
Investment Banking (“GMI”) and Global Wealth
Management (“GWM”).
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As a result of the acquisition by Bank of America, Merrill Lynch
reevaluated the provisions of SFAS No. 131 in the
first quarter of 2009. Pursuant to SFAS No. 131,
operating segments represent components of an enterprise for
which separate financial information is available that is
regularly evaluated by the chief operating decision maker in
determining how to allocate resources and in assessing
performance. Based upon how the chief operating decision maker
of Merrill Lynch reviews results in terms of allocating
resources and assessing performance, it was determined that
Merrill Lynch does not contain any identifiable operating
segments under SFAS No. 131. As a result, the
financial information of Merrill Lynch is presented as a single
segment.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Geographic
Information</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch conducts its business activities through offices
in the following five regions:
</div>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> United States;
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Europe, Middle East, and Africa (“EMEA”);
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Pacific Rim;
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Latin America; and
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Canada.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The principal methodologies used in preparing the geographic
information below are as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Revenues and expenses are generally recorded based on the
location of the employee generating the revenue or incurring the
expense;
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Pre-tax earnings or loss from continuing operations include the
allocation of certain shared expenses among regions; and
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Intercompany transfers are based primarily on service agreements.
</td>
</tr>
</table>
</div>
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<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The information that follows, in management’s judgment,
provides a reasonable representation of each region’s
contribution to the consolidated net revenues and pre-tax
(loss)/earnings from continuing operations:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="31%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="8%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutter -->
<td width="7%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="7%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="1%"> </td><!-- colindex=04 type=gutterleft -->
<td width="1%"> </td><!-- colindex=04 type=gutterright -->
<td width="8%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="8%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="1%"> </td><!-- colindex=05 type=gutter -->
<td width="7%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="7%" align="left"> </td><!-- colindex=05 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="18" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="18" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">June 30, 2009</font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">June 27, 2008</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">June 27, 2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="18" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Net revenues</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Europe, Middle East, and Africa
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,130
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,065
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,420
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,405
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Pacific Rim
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
588
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,394
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
729
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,546
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Latin America
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
162
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
398
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
402
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
867
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Canada
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
62
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
114
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
135
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Total
<font style="white-space: nowrap">Non-U.S. </font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,942
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,971
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,630
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,953
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
United
States<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
221
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,146
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,746
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,135
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 27pt">
<b>Total net revenues</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,163
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,117
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,116
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
818
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Pre-tax (loss) earnings from continuing
operations<sup style="font-size: 85%; vertical-align: top">(2)</sup></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Europe, Middle East, and Africa
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
263
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,520
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
197
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(164
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Pacific Rim
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
348
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
150
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
330
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Latin America
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
77
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
201
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
369
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Canada
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
51
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
28
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Total
<font style="white-space: nowrap">Non-U.S. </font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
309
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,996
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
578
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
563
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
United
States<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,198
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
360
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(8,689
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(11,975
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 27pt">
<b>Total pre-tax (loss) earnings from continuing
operations<sup style="font-size: 85%; vertical-align: top">(2)</sup></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,889
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,356
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(8,111
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(11,412
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="18" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="18" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">U.S. results for the three and
six months ended June 30, 2009 included net losses of
$3.6 billion and $1.4 billion, respectively, which
resulted from the narrowing of Merrill Lynch’s credit
spreads on the carrying values of certain long-term borrowings.
The U.S. net losses for the three and six months ended
June 27, 2008 included net losses of $9.5 billion and
$15.9 billion respectively, related to U.S. ABS CDOs,
credit valuation adjustments related to hedges with financial
guarantors, losses in the investment portfolio of Merrill
Lynch’s U.S. banks and other residential mortgage
exposures. Losses for the six months ended June 27, 2008
were partially offset by net gains of $2.2 billion that
resulted from the widening of Merrill Lynch’s credit
spreads on the carrying value of certain of long-term
borrowings.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">See Note 18 for further
information on discontinued operations.</font></i></td>
</tr>
</table>
</div>
</body>
</html>
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<html>
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<body>
<!-- Begin Block Tagged Note 4 - us-gaap:FairValueDisclosuresTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 4.  Fair
Value<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Fair
Value Measurements</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Fair
Value Hierarchy</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In accordance with SFAS No. 157, Merrill Lynch has
categorized its financial instruments, based on the priority of
the inputs to the valuation technique, into a three-level fair
value hierarchy. The fair value hierarchy gives the highest
priority to quoted prices in active markets for identical assets
or liabilities (Level 1) and the lowest priority to
unobservable inputs (Level 3).
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Financial assets and liabilities recorded on the Condensed
Consolidated Balance Sheets are categorized based on the inputs
to the valuation techniques as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="8%"></td>
<td width="92%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> <i>Level 1.  </i>
</td>
<td align="left"> 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).
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> <i>Level 2.  </i>
</td>
<td align="left"> 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:
</td>
</tr>
</table>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="9%"></td>
<td width="3%"></td>
<td width="88%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> a) 
</td>
<td align="left">
Quoted prices for similar assets or liabilities in active
markets (examples include restricted stock and U.S. agency
securities);
</td>
</tr>
</table>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="9%"></td>
<td width="3%"></td>
<td width="88%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> b) 
</td>
<td align="left">
Quoted prices for identical or similar assets or liabilities in
non-active markets (examples include corporate and municipal
bonds, which trade infrequently);
</td>
</tr>
</table>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="9%"></td>
<td width="3%"></td>
<td width="88%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> c) 
</td>
<td align="left">
Pricing models whose inputs are observable for substantially the
full term of the asset or liability (examples include most
<font style="white-space: nowrap">over-the-counter</font>
derivatives, including interest rate and currency
swaps); and
</td>
</tr>
</table>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="9%"></td>
<td width="3%"></td>
<td width="88%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> d) 
</td>
<td align="left">
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).
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="8%"></td>
<td width="92%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> <i>Level 3.  </i></td>
<td align="left">
Financial assets and liabilities whose values are based on
prices or valuation techniques that require inputs that are both
unobservable and significant to the overall fair value
measurement. These inputs reflect management’s own
assumptions about the assumptions a market participant would use
in pricing the asset or liability (examples include certain
private equity investments, certain residential and commercial
mortgage-related assets (including loans, securities and
derivatives), and long-dated or complex derivatives (including
certain equity and currency derivatives and long-dated options
on gas and power)).
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As required by SFAS No. 157, when the inputs used to
measure fair value fall within different levels of the
hierarchy, the level within which the fair value measurement is
categorized is based on the lowest level input that is
significant to the fair value measurement in its entirety. For
example, a Level 3 fair value measurement may include
inputs that are observable (Levels 1 and 2) and
unobservable (Level 3). Therefore gains and losses for such
assets and liabilities categorized within the Level 3 table
below may include changes in fair value that are attributable to
both observable inputs (Levels 1 and 2) and
unobservable inputs (Level 3). Further, the following
tables do not take into consideration the effect of offsetting
Level 1 and 2 financial instruments entered into by Merrill
Lynch that economically hedge certain exposures to the
Level 3 positions.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
A review of fair value hierarchy classifications is conducted on
a quarterly basis. Changes in the observability of valuation
inputs may result in a reclassification for certain financial
assets or liabilities. Level 3 gains and losses represent
amounts incurred during the period in which the instrument was
classified as Level 3. Reclassifications impacting
Level 3 of the fair value hierarchy are reported as
transfers in/out of the Level 3 category as of the
beginning of the quarter in which the reclassifications occur.
Refer to the recurring and non-recurring sections within this
Note for further information on net transfers in and out.
</div>
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<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Valuation
Techniques</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following outlines the valuation methodologies for the most
significant Level 3 positions:
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Mortgage
related positions</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In the most liquid markets, readily available or observable
prices are used in valuing mortgage related positions. In less
liquid markets, the lack of securitization activity and related
pricing necessitates the use of other available information and
modeling techniques to approximate the fair value for some of
these positions, including whole loans, derivatives, and
securities.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Residential
and commercial mortgages</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
For certain residential and commercial mortgages, Merrill Lynch
employs a fundamental cash flow valuation approach. This cash
flow analysis includes cumulative loss and prepayment
assumptions derived from multiple inputs including mortgage
remittance reports, property prices and other market data. In
addition, independent third party bids received on loans are
also considered for valuation purposes.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">U.S. ABS
CDOs</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The valuation for certain of Merrill Lynch’s
U.S. super senior asset-backed collateralized debt
obligations (“ABS CDO”) positions is based on cash
flow analysis including cumulative loss assumptions. These
assumptions are derived from multiple inputs including mortgage
remittance reports, housing prices and other market data.
Relevant ABX indices are also analyzed as part of the overall
valuation process.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Corporate
debt, loans and auction rate securities</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Certain corporate debt and loans, particularly those related to
emerging market, leveraged and distressed companies, and auction
rate securities have limited price transparency. For corporate
debt and loans, where credit spread pricing is unavailable for a
particular company, recent trades as well as proxy credit
spreads and trends may be considered in the valuation. For
leveraged loans, Merrill Lynch may also refer to certain credit
indices. For auction rate securities, the pricing methodology
relies upon a number of assumptions including weighted average
life, coupon, discount margin and liquidity discounts. In
addition, recent trades and issuer tenders may be considered in
the valuation.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Private
equity and principal investments</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
For certain private equity and principal investments held,
valuation methodologies include discounted cash flows, publicly
traded comparables derived by multiplying a key performance
metric (e.g., earnings before interest, taxes, depreciation and
amortization) of the portfolio company by the relevant valuation
multiple observed for comparable companies, acquisition
comparables, or entry level multiples, and are subject to
appropriate discounts for lack of liquidity or marketability.
Certain factors which may influence changes to the fair value
include, but are not limited to, recapitalizations, subsequent
rounds of financing, and offerings in the equity or debt capital
markets.
</div>
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Derivatives
and structured notes with significant unobservable
correlation</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into a number of derivative contracts and
issues structured notes where the performance is wholly or
partly dependent on the relative performance of two or more
assets. In these transactions, referred to as correlation
trades, correlation between the assets can be a significant
factor in the valuation. Examples of this type of transaction
include: equity or foreign exchange baskets, constant maturity
swap spreads (i.e., options where the performance is determined
based upon the fluctuations between two benchmark interest
rates), and commodity spread trades. Many correlations are
available through external pricing services. Where external
pricing information is not available, management uses estimates
based on historical data, calibrated to more liquid market
information. Unobservable credit correlation, such as that
influencing the valuation of complex structured CDOs, is
calibrated using a proxy approach (e.g., using implied
correlation from traded credit index tranches as a proxy for
calibrating correlation for a basket of single-name corporate
investment grade credits that are infrequently traded).
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Derivatives
and structured notes with significant unobservable
volatility</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into a number of derivative contracts and
issues structured notes whose values are dependent on
volatilities for which market observable values are not
available. These volatilities correspond to options with
long-dated expiration dates, strikes significantly in or out of
the money,
<font style="white-space: nowrap">and/or</font> in
the case of interest rate underlyings, a large tenor (i.e., an
underlying interest rate reference that itself is long-dated).
Merrill Lynch uses model-based extrapolation, proxy techniques,
or historical analysis to derive the unobservable volatility.
These methods are selected based on available market information
and are used across all asset classes. Volatility estimation can
have a significant impact on valuations.
</div>
</div>
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<div style="margin-left: 0%">
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Recurring
Fair Value</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following tables present Merrill Lynch’s fair value
hierarchy for those assets and liabilities measured at fair
value on a recurring basis as of June 30, 2009 and
December 26, 2008, respectively.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="57%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="3%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="2%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="19" nowrap="nowrap" align="center" valign="bottom">
<b>Fair Value Measurements on a Recurring Basis<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="19" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company as of June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Netting<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<i><font style="font-size: 9pt">(dollars in millions)</font></i>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Level 1</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Level 2</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Level 3</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Adj<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Total</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Securities segregated for regulatory purposes or deposited with
clearing organizations:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,985
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,985
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
201
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
201
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
704
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
626
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,330
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
U.S. government and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
328
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,698
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,026
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Total securities segregated for regulatory purposes or deposited
with clearing organizations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,032
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,510
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,542
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Receivables under resale agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
57,039
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
57,039
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Receivables under securities borrowed transactions
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,866
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,866
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Trading assets, excluding derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Equities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,085
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,527
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
330
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19,942
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Convertible debentures
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,736
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,736
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,115
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,176
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,291
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,565
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,004
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
15,569
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Preferred
stock<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
126
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,591
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,717
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,323
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,862
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
691
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
15,876
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
U.S. government and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,296
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
425
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,721
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Municipals and money markets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
441
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,088
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
931
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,460
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Commodities and related contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
584
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
584
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Total trading assets, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30,271
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29,902
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19,723
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79,896
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,553
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
802,342
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
27,056
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(768,224
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63,727
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Investment securities trading:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Equities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
31
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
38
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
42
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
152
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
152
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
234
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
174
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
408
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Municipals and money markets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
226
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
384
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
610
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Total investment securities trading
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
246
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
785
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
212
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,243
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Investment securities
<font style="white-space: nowrap">available-for-sale:</font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Mortgage-backed securities — agency collateralized
mortgage obligations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,598
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,598
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Mortgage-backed securities — non-agency MBSs
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,040
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,227
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,267
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Corporate/agency bonds
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
99
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
99
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Other taxable securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
60
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
60
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Total investment securities
<font style="white-space: nowrap">available-for-sale</font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
15,797
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,227
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19,024
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Investment securities non-qualifying
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
461
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,504
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,832
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,797
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Total investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
707
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
21,086
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,271
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
28,064
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Securities received as collateral
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,055
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
303
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,358
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
754
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,085
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,839
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
</table>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="57%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="3%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="2%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="19" nowrap="nowrap" align="center" valign="bottom">
<b>Fair Value Measurements on a Recurring Basis<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="19" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company as of June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Netting<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<i><font style="font-size: 9pt">(dollars in millions)</font></i>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Level 1</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Level 2</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Level 3</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Adj<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Total</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Payables under repurchase agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45,276
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45,276
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,387
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,387
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Trading liabilities, excluding derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
Equities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,283
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
939
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,222
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
Convertible debentures
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
43
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
43
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,078
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,078
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,436
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
623
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
352
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,411
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
U.S. government and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
880
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
43
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
923
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -9pt; margin-left: 28pt">
Municipals, money markets and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
375
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
524
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
899
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Total trading liabilities, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22,974
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,250
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
352
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
26,576
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,042
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
804,047
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20,808
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(786,139
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
39,758
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Obligation to return securities received as collateral
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,055
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
303
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,358
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Other payables — interest and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
31
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
628
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
659
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 19pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
35,273
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,289
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
40,562
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="top">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 3pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Represents counterparty and
cash collateral netting.</font></i></td>
</tr>
</table>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Primarily represents auction
rate securities.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 derivative contracts (assets) primarily relate to
derivative positions on U.S. ABS CDOs and other mortgages
of $13.6 billion, $7.2 billion of other credit
derivatives that incorporate unobservable correlation, and
$6.2 billion of equity, currency, interest rate and
commodity derivatives that are long-dated
<font style="white-space: nowrap">and/or</font> have
an unobservable model valuation input(s).
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 non-qualifying investment securities primarily
relate to private equity and principal investment positions.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 loans, notes and mortgages primarily relate to
mortgage, corporate and leveraged loans.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 derivative contracts (liabilities) primarily relate
to derivative positions on U.S. ABS CDOs and other
mortgages of $6.5 billion, $9.3 billion of other
credit derivatives that incorporate unobservable correlation,
and $5.0 billion of equity, currency, interest rate and
commodity derivatives that are long-dated
<font style="white-space: nowrap">and/or</font> have
unobservable correlation.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 long-term borrowings primarily relate to
equity-linked structured notes of $4.3 billion that are
long-dated
<font style="white-space: nowrap">and/or</font> have
unobservable correlation.
</div>
<div style="margin-top: 0pt; font-size: 1pt">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="53%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="4%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="2%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="21" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="19" nowrap="nowrap" align="center" valign="bottom">
<b>Fair Value Measurements on a Recurring Basis<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="19" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company as of December 26, 2008</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Netting<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 1</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 2</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 3</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Adj<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Total</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Securities segregated for regulatory purposes or deposited with
clearing organizations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,421
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,156
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,577
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Receivables under resale agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
62,146
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
62,146
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Receivables under securities borrowed transactions
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
853
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
853
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Trading assets, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30,106
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
33,902
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22,120
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
86,128
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,538
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,239,225
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
37,325
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,195,611
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
89,477
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,280
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29,254
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,279
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34,813
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Securities received as collateral
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,430
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,228
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,658
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
690
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
359
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,049
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Other
assets<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,046
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,046
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Payables under repurchase agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
32,910
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
32,910
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,387
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,387
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Trading liabilities, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14,098
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,010
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18,108
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,438
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,254,158
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
35,018
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,226,251
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
71,363
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Obligation to return securities received as collateral
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,430
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,228
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,658
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Other payables — interest and
other<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
741
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(79
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
672
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Long-term
borrowings<sup style="font-size: 85%; vertical-align: top">(3)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
41,575
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,480
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
49,055
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Represents counterparty and
cash collateral netting.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Primarily represents certain
derivatives used for non-trading purposes.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Includes bifurcated embedded
derivatives carried at fair value.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 trading assets primarily include U.S. ABS CDOs
of $9.4 billion, corporate bonds and loans of
$5.0 billion and auction rate securities of
$3.9 billion.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 derivative contracts (assets) primarily relate to
derivative positions on U.S. ABS CDOs of $5.8 billion,
$23.6 billion of other credit derivatives that incorporate
unobservable correlation, and $7.9 billion of equity,
currency, interest rate and commodity derivatives that are
long-dated
<font style="white-space: nowrap">and/or</font> have
unobservable correlation.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 investment securities primarily relate to certain
private equity and principal investment positions of
$2.6 billion.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 derivative contracts (liabilities) primarily relate
to derivative positions on U.S. ABS CDOs of
$6.1 billion, $22.3 billion of other credit
derivatives that incorporate unobservable correlation, and
$4.8 billion of equity derivatives that are long-dated
<font style="white-space: nowrap">and/or</font> have
unobservable correlation.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Level 3 long-term borrowings primarily relate to structured
notes with embedded equity derivatives of $6.3 billion that
are long-dated
<font style="white-space: nowrap">and/or</font> have
unobservable correlation.
</div>
<div style="margin-top: 0pt; font-size: 1pt">
</div>
</div>
<!-- END PAGE WIDTH -->
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<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="38%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="1%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="1%"> </td><!-- colindex=05 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="1%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="1%"> </td><!-- colindex=06 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="5%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="1%"> </td><!-- colindex=07 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="2%" align="left"> </td><!-- colindex=07 type=hang1 -->
<td width="1%"> </td><!-- colindex=08 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=08 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=08 type=body -->
<td width="3%" align="left"> </td><!-- colindex=08 type=hang1 -->
<td width="1%"> </td><!-- colindex=09 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=09 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=09 type=body -->
<td width="2%" align="left"> </td><!-- colindex=09 type=hang1 -->
<td width="1%"> </td><!-- colindex=10 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=10 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=10 type=body -->
<td width="2%" align="left"> </td><!-- colindex=10 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 7pt" valign="bottom" align="center">
<td colspan="37" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="35" nowrap="nowrap" align="center" valign="bottom">
<b>Level 3 Financial Assets and Liabilities<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="35" nowrap="nowrap" align="center" valign="bottom">
<b>Successor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="35" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Three Months Ended June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>Realized and Unrealized Gains or (Losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total Realized and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Purchases,<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>included in Income</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized Gains<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Issuances<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Beginning<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>or (Losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains to<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transfers<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ending<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transactions</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Revenue</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Interest</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>included in Income</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>OCI</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Settlements</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>in (out)</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="37" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Trading assets, excluding derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Equities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
379
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
    -
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(33
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
330
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,399
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(82
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(82
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,957
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,098
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,176
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,499
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
245
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
245
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,093
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(647
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,004
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Preferred stock
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,759
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(81
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(81
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(87
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,591
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
601
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
691
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Municipals and money markets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,046
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(51
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
931
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total trading assets, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
21,683
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
93
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
93
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,725
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,778
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19,723
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Derivative contracts, net
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,868
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(820
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(820
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(361
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,561
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,248
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities trading:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
38
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
38
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
146
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(146
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
174
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
174
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities trading
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
184
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
212
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities
<font style="white-space: nowrap">available-for-sale:</font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgage-backed securities —
<font style="white-space: nowrap">non-agency</font>
MBSs
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,193
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(274
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(274
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
662
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(418
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,227
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities
<font style="white-space: nowrap">available-for-sale</font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,193
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(274
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(274
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
662
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(418
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,227
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities non-qualifying
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,494
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
327
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
327
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,832
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,871
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
53
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
54
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
662
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(420
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
104
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,271
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,144
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
975
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
975
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(860
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(174
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,085
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Trading liabilities, excluding derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
326
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
352
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total trading liabilities, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
326
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
352
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Other payables — interest and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
999
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
278
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
278
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(54
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(39
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
628
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,049
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,065
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(47
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,112
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(370
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,502
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,289
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="37" valign="top">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="37" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Net losses in principal transactions related to long-term
borrowings were primarily due to the narrowing of Merrill
Lynch’s credit spreads on certain equity linked notes.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Increases in purchases, issuances and settlements related to
mortgages, mortgage-backed and asset-backed securities are
primarily the result of purchases by a special purpose entity
(“SPE”) which is consolidated by Merrill Lynch.
Decreases in purchases, issuances and settlements related to
corporate debt are primarily due to sales of positions during
the second quarter of 2009.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Net transfers out for mortgages, mortgage-backed and
asset-backed securities primarily relates to increased price
verification (e.g. external vendor quotes and trading activity)
for certain U.S. ABS CDO underlying collateral types. Net
transfers in for net derivative contracts primarily relates to
decreased price verification for certain underlying
U.S. ABS CDOs and other mortgage positions. Net transfers
out for long-term borrowings were primarily due to decreases in
the significance of unobservable pricing inputs for certain
equity linked notes.
</div>
<div style="margin-top: 0pt; font-size: 1pt">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="38%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="1%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="1%"> </td><!-- colindex=05 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="1%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="1%"> </td><!-- colindex=06 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="5%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="1%"> </td><!-- colindex=07 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="2%" align="left"> </td><!-- colindex=07 type=hang1 -->
<td width="1%"> </td><!-- colindex=08 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=08 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=08 type=body -->
<td width="3%" align="left"> </td><!-- colindex=08 type=hang1 -->
<td width="1%"> </td><!-- colindex=09 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=09 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=09 type=body -->
<td width="2%" align="left"> </td><!-- colindex=09 type=hang1 -->
<td width="1%"> </td><!-- colindex=10 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=10 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=10 type=body -->
<td width="2%" align="left"> </td><!-- colindex=10 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 7pt" valign="bottom" align="center">
<td colspan="37" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="35" nowrap="nowrap" align="center" valign="bottom">
<b>Level 3 Financial Assets and Liabilities<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="35" nowrap="nowrap" align="center" valign="bottom">
<b>Successor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="35" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Six Months Ended June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>Realized and Unrealized Gains or (Losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total Realized and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Purchases,<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>included in Income</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized Gains<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Issuances<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Beginning<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>or (Losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains to<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transfers<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ending<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transactions</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Revenue</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Interest</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>included in Income</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>OCI</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Settlements</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>in (out)</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="37" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Trading assets, excluding derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Equities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
231
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(22
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(22
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
172
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(51
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
330
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,568
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(332
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(332
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,368
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,428
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,176
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,149
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(230
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(230
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,487
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,428
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,004
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Preferred stock
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,344
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(190
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(190
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,332
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
105
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,591
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
587
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
691
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Municipals and money markets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
798
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
146
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
931
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total trading assets, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22,120
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(710
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(710
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,541
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6,228
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19,723
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Derivative contracts, net
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,307
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
93
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
93
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
80
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,768
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,248
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities trading:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(10
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(10
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
38
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
146
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(137
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
174
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
174
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities trading
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
168
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(19
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(19
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
67
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
212
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities
<font style="white-space: nowrap">available-for-sale:</font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgage-backed securities —
<font style="white-space: nowrap">non-agency</font>
MBSs
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
350
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(274
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
178
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(96
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,311
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(510
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,172
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,227
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities
<font style="white-space: nowrap">available-for-sale</font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
350
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(274
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
178
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(96
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,311
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(510
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,172
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,227
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities non-qualifying
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,761
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
148
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
148
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(23
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(54
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,832
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,279
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(19
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(126
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
178
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
33
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,311
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(537
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,185
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,271
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
359
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
509
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
509
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(594
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,811
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,085
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Trading liabilities, excluding derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 24pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
348
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
352
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Total trading liabilities, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
348
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
352
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Other payables — interest and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
670
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
670
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,298
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
628
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -8pt; margin-left: 16pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,480
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,564
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(40
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,604
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
33
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,828
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,289
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="37" valign="top">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="37" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Net losses in principal transactions related to long-term
borrowings were primarily due to the narrowing of Merrill
Lynch’s credit spreads on certain equity linked notes.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Increases in purchases, issuances and settlements related to
mortgages, mortgage-backed and asset-backed securities are
primarily the result of purchases by an SPE which is
consolidated by Merrill Lynch. Decreases in purchases,
issuances and settlements related to corporate debt are
primarily due to sales of positions during the second quarter of
2009. Increases in purchases, issuances and settlements of
preferred stock were primarily attributable to the purchase of
auction rate securities in the first quarter of 2009.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Net transfers out for mortgages, mortgage-backed and
asset-backed securities primarily relates to increased price
verification (e.g. external vendor quotes and trading activity)
for certain U.S. ABS CDO underlying collateral types. Net
transfers out for corporate debt primarily relates to the
reclassification in the first quarter of 2009 of certain loans
from trading assets to loans, notes and mortgages held for
investment, which are not measured at fair value. Net transfers
in for net derivative
contracts primarily relates to decreased price verification for
certain underlying U.S. ABS CDOs and other mortgage
positions. Net transfers in for
<font style="white-space: nowrap">available-for-sale</font>
mortgage-backed securities — non agency MBSs is the
result of changes in price transparency. Net transfers in for
loans, notes and mortgages relates to the fair value option
election by Merrill Lynch for certain mortgage, corporate and
leveraged loans as a result of its acquisition by Bank of
America. Net transfers in for other payables —
interest and other relates to the fair value option election by
Merrill Lynch for certain loan commitments as a result of its
acquisition by Bank of America. Net transfers out for long-term
borrowings were primarily due to decreases in the significance
of unobservable pricing inputs for certain equity linked notes.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="1%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="5%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="3%" align="left"> </td><!-- colindex=07 type=hang1 -->
<td width="2%"> </td><!-- colindex=08 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=08 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=08 type=body -->
<td width="2%" align="left"> </td><!-- colindex=08 type=hang1 -->
<td width="2%"> </td><!-- colindex=09 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=09 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=09 type=body -->
<td width="2%" align="left"> </td><!-- colindex=09 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 7pt" valign="bottom" align="center">
<td colspan="33" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" nowrap="nowrap" align="center" valign="bottom">
<b>Level 3 Financial Assets and Liabilities<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" nowrap="nowrap" align="center" valign="bottom">
<b>Predecessor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Three Months Ended June 27, 2008</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>Realized and Unrealized Gains<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total Realized and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Purchases,<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>or (Losses) included in Income</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized Gains<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Issuances<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Beginning<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>or (Losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transfers<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ending<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transactions</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Revenue</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Interest</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>included in Income</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Settlements</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>in (out)</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="33" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Securities segregated for regulatory purposes or deposited with
clearing organizations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
80
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(80
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Trading assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18,225
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,624
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
37
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,587
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,134
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,418
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20,190
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Derivative contracts, net
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,003
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,122
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,122
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,125
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,292
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,292
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,932
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(343
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
70
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(273
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(53
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(17
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,589
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
205
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(15
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
172
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,118
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,169
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,155
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
400
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,076
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,749
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="33" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="33" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="1%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="5%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="3%" align="left"> </td><!-- colindex=07 type=hang1 -->
<td width="2%"> </td><!-- colindex=08 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=08 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=08 type=body -->
<td width="2%" align="left"> </td><!-- colindex=08 type=hang1 -->
<td width="2%"> </td><!-- colindex=09 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=09 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=09 type=body -->
<td width="2%" align="left"> </td><!-- colindex=09 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 7pt" valign="bottom" align="center">
<td colspan="33" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" nowrap="nowrap" align="center" valign="bottom">
<b>Level 3 Financial Assets and Liabilities<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" nowrap="nowrap" align="center" valign="bottom">
<b>Predecessor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Six Months Ended June 27, 2008</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>Realized and Unrealized Gains<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total Realized and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Purchases,<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>or (Losses) included in Income</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized Gains<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Issuances<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Beginning<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>or (Losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transfers<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ending<br />
</b>
</td>
</tr>
<tr style="font-size: 7pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transactions</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Revenue</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Interest</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>included in Income</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Settlements</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>in (out)</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="33" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Securities segregated for regulatory purposes or deposited with
clearing organizations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
84
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(79
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Trading assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,773
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,047
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
81
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,966
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,399
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,984
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20,190
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Derivative contracts, net
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(9,069
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,057
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,052
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,119
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,290
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,292
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,491
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(748
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(735
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
98
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(265
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,589
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
119
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
172
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,765
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,617
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,603
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,465
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,916
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,749
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="33" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="33" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following tables provide the portion of gains or losses
included in income for the three and six months ended
June 30, 2009 and June 27, 2008 attributable to
unrealized gains or losses relating to those Level 3 assets
and liabilities held at June 30, 2009 and June 27,
2008, respectively.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="2%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="2%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="4%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="2%" align="left"> </td><!-- colindex=07 type=hang1 -->
<td width="2%"> </td><!-- colindex=08 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=08 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=08 type=body -->
<td width="2%" align="left"> </td><!-- colindex=08 type=hang1 -->
<td width="2%"> </td><!-- colindex=09 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=09 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=09 type=body -->
<td width="2%" align="left"> </td><!-- colindex=09 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 8pt" valign="bottom" align="center">
<td colspan="33" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" align="center" valign="bottom">
<b>Unrealized Gains or (Losses) for Level 3 Assets and
Liabilities Still Held</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Three Months Ended June 30, 2009</b>
</td>
<td>
 
</td>
<td colspan="15" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Six Months Ended June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transactions</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Revenue</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Interest</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transactions</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Revenue</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Interest</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="33" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Trading assets, excluding derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
Equities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
    -
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(22
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(22
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(70
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(70
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(337
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(337
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
231
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
231
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(247
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(247
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
Preferred stock
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(81
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(81
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(190
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(190
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
Municipals and money markets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(63
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(63
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Total trading assets, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
92
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
92
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(731
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(731
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Derivative contracts, net
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(907
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(907
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
84
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
84
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities trading:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgages, mortgage-backed and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities trading
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities
<font style="white-space: nowrap">available-for-</font>
sale:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
Mortgage-backed securities — non-agency MBSs
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(293
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(293
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(293
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
178
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(115
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities
<font style="white-space: nowrap">available-for-sale</font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(293
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(293
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(293
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
178
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(115
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Investment securities non-qualifying
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
327
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
327
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
148
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
148
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Total investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(145
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
178
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
975
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
975
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
509
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
509
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Trading liabilities, excluding derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 24pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Total trading liabilities, excluding derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(26
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Other payables — interest and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
278
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
278
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
670
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
670
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 16pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,249
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(47
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,296
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,782
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(40
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,822
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="33" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="33" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Net losses in principal transactions related to long-term
borrowings were primarily due to the narrowing of Merrill
Lynch’s credit spreads on certain equity linked notes.
</div>
<div style="margin-top: 0pt; font-size: 1pt">
</div>
</div>
<!-- END PAGE WIDTH -->
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<div style="margin-left: 0%">
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<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 8pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
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<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="2%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="2%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="4%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="2%" align="left"> </td><!-- colindex=07 type=hang1 -->
<td width="2%"> </td><!-- colindex=08 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=08 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=08 type=body -->
<td width="2%" align="left"> </td><!-- colindex=08 type=hang1 -->
<td width="2%"> </td><!-- colindex=09 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=09 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=09 type=body -->
<td width="2%" align="left"> </td><!-- colindex=09 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 8pt" valign="bottom" align="center">
<td colspan="33" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" align="center" valign="bottom">
<b>Unrealized Gains or (Losses) for Level 3 Assets and
Liabilities Still Held</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="31" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Three Months Ended June 27, 2008</b>
</td>
<td>
 
</td>
<td colspan="15" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Six Months Ended June 27, 2008</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transactions</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Revenue</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Interest</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Transactions</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Revenue</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Interest</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="33" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Securities segregated for regulatory purposes or deposited with
clearing organizations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Trading assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,623
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
59
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,564
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,047
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
103
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,944
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Derivative contracts, net
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,209
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,209
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,115
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,110
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(318
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
66
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(252
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(723
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(714
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Loans, notes, and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -8pt; margin-left: 8pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,126
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,112
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,575
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,561
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="33" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="33" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Non-recurring
Fair Value</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Certain assets and liabilities are measured at fair value on a
non-recurring basis and are not included in the tables above.
These assets and liabilities primarily include loans and loan
commitments held for sale and reported at lower of cost or fair
value and loans held for investment that were initially measured
at cost and have been written down to fair value as a result of
an impairment. The following table shows the fair value
hierarchy for those assets and liabilities measured at fair
value on a non-recurring basis as of June 30, 2009 and
December 26, 2008, respectively.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="2%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="2%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="6%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="3%"> </td><!-- colindex=07 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="6%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Non-Recurring Basis</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Gains/(Losses)</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Gains/(Losses)</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" nowrap="nowrap" align="center" valign="bottom">
<b>Successor Company<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>as of June 30, 2009</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 1</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 2</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 3</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Total</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">June 30, 2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
    -
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,107
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,349
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,456
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
124
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(83
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
Other assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
113
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
125
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(60
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(60
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
Other payables — interest and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
56
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
56
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
21
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="top">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="67%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="2%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="3%" align="left"> </td><!-- colindex=05 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="17" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Non-Recurring Basis</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" nowrap="nowrap" align="center" valign="bottom">
<b>Predecessor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>as of December 26, 2008</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 1</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 2</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Level 3</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Total</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="17" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
Loans, notes, and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
    -
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,386
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,727
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,113
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -11pt; margin-left: 11pt">
Other payables — interest and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,258
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
67
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,325
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" valign="top">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Loans, notes, and mortgages includes held for sale loans that
are carried at the lower of cost or fair value and for which the
fair value was below the cost basis at June 30, 2009 and
December 26, 2008. It also includes certain impaired held
for investment loans where an allowance for loan losses has been
calculated based upon the fair value of the loans or collateral.
Level 3 assets as of June 30, 2009
primarily relate to residential and commercial real estate loans
that are classified as held for sale where there continues to be
significant illiquidity in the loan trading and securitization
markets. Level 3 assets as of December 26, 2008
primarily related to U.K. and other European residential and
commercial real estate loans that are classified as held for
sale of $4.6 billion.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Other payables — interest and other include amounts
recorded for loan commitments at lower of cost or fair value
where the funded loan will be held for sale.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Fair
Value Option</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
SFAS No. 159 provides a fair value option election
that allows companies to irrevocably elect fair value as the
initial and subsequent measurement attribute for certain
financial assets and liabilities. Changes in fair value for
assets and liabilities for which the election is made will be
recognized in earnings as they occur. SFAS No. 159
permits the fair value option election on an instrument by
instrument basis at initial recognition of an asset or liability
or upon an event that gives rise to a new basis of accounting
for that instrument. As discussed above, certain of Merrill
Lynch’s financial instruments are required to be accounted
for at fair value under SFAS No. 115 and
SFAS No. 133, as well as industry level guidance. For
certain financial instruments that are not accounted for at fair
value under other applicable accounting guidance, the fair value
option has been elected.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following tables provide information about where in the
Condensed Consolidated Statements of Earnings/(Loss) changes in
fair values of assets and liabilities, for which the fair value
option has been elected, are included for the three and six
months ended June 30, 2009 and June 27, 2008,
respectively.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="41%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="3%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="3%"> </td><!-- colindex=07 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="2%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="23" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="23" nowrap="nowrap" align="center" valign="bottom">
<b>Changes in Fair Value for Items Measured<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="23" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>at Fair Value Pursuant to Fair Value Option</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>For the Three Months<br />
</b>
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>For the Six Months<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Ended June 30, 2009</b>
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Ended June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>(losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>(losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Changes<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>(losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>(losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Changes<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>in Fair<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>in Fair<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Transactions</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Revenues</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Value</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Transactions</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Revenues</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Value</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Receivables under resale agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(153
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(153
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(321
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(321
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
374
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(32
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
342
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
379
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(135
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
244
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,050
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,050
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
638
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
638
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Payables under repurchase agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
92
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
92
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
184
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
184
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(230
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(230
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(246
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(240
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Other payables — interest and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
289
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
289
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
681
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
681
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Long-term
borrowings<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(5,431
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(47
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(5,478
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,327
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(40
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,367
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Other revenues primarily
represent fair value changes on non-recourse long-term
borrowings issued by consolidated SPEs.</font></i></td>
</tr>
</table>
<div style="margin-top: 0pt; font-size: 1pt">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="41%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="3%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="3%"> </td><!-- colindex=07 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="2%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="23" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="23" nowrap="nowrap" align="center" valign="bottom">
<b>Changes in Fair Value for Items Measured<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="23" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>at Fair Value Pursuant to Fair Value Option</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>For the Three Months<br />
</b>
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>For the Six Months<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Ended June 27, 2008</b>
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Ended June 27, 2008</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gains/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>(losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>(losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Changes<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>(losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>(losses)<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Changes<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>in Fair<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>in Fair<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Transactions</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Revenues</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Value</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Transactions</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Revenues</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Value</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Assets</b>:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Receivables under resale agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(178
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(178
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(209
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(209
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Investment securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
247
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
246
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(83
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(39
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(122
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
15
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Payables under repurchase agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
48
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
48
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
379
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
379
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
182
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
182
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Long-term
borrowings<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,263
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
370
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,633
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,509
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
869
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,378
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Other revenues primarily
represent fair value changes on non-recourse long-term
borrowings issued by consolidated SPEs.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following describes the rationale for electing to account
for certain financial assets and liabilities at fair value, as
well as the impact of instrument-specific credit risk on the
fair value.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<u><font style="font-family: 'Times New Roman', Times">Resale
and repurchase agreements:</font></u>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch elected the fair value option for certain resale
and repurchase agreements. The fair value option election was
made based on the tenor of the resale and repurchase agreements,
which reflects the magnitude of the interest rate risk. The
majority of resale and repurchase agreements collateralized by
U.S. government securities were excluded from the fair
value option election as these contracts are generally
short-dated and therefore the interest rate risk is not
considered significant. Amounts loaned under resale agreements
require collateral with a market value equal to or in excess of
the principal amount loaned resulting in minimal credit risk for
such transactions.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<u><font style="font-family: 'Times New Roman', Times">Loans,
notes and mortgages and loan commitments:</font></u>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch elected the fair value option for automobile and
certain corporate loans because the loans are risk managed on a
fair value basis. Upon the acquisition of Merrill Lynch by Bank
of America, Merrill Lynch also elected the fair value option for
certain mortgage, corporate, and leveraged loans and loan
commitments. The change in the fair value of loans, notes and
mortgages and loan commitments for which the fair value option
was elected that was attributable to changes in
borrower-specific credit risk were gains of $525 million
for the three months ended June 30, 2009 and gains of
$250 million for the six months ended June 30, 2009.
The change in the fair value of loans, notes and mortgages for
which the fair value option was elected that was attributable to
changes in borrower-specific credit risk was not material for
the three and six months ended June 27, 2008.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
For those loans, notes and mortgages for which the fair value
option has been elected, the aggregate fair value of loans that
are 90 days or more past due and in non-accrual status is
not material to the Condensed Consolidated Financial Statements.
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<u><font style="font-family: 'Times New Roman', Times">Short-term
and long-term borrowings:</font></u>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch elected the fair value option for certain
short-term and long-term borrowings that are risk managed on a
fair value basis, including structured notes, and for which
hedge accounting under SFAS No. 133 had been difficult
to obtain. The majority of the fair value changes on long-term
borrowings is from structured notes with coupon or repayment
terms that are linked to the performance of debt and equity
securities, indices, currencies or commodities. Except for
losses for the three and six months ended June 30, 2009 and
gains for the three and six months ended June 27, 2008
related to changes in Merrill Lynch’s credit spreads, the
majority of (losses)/gains for the respective periods are offset
by gains/(losses) on derivatives that economically hedge these
borrowings and that are accounted for at fair value under
SFAS No. 133. The changes in the fair value of
liabilities for which the fair value option was elected that
were attributable to changes in Merrill Lynch credit spreads
were losses of approximately $3.6 billion and
$1.4 billion for the three and six months ended
June 30, 2009 and gains of $91 million and
$2.2 billion for the three and six months ended
June 27, 2008. Changes in Merrill Lynch specific credit
risk are derived by isolating fair value changes due to changes
in Merrill Lynch’s credit spreads as observed in the
secondary cash market.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The fair value option was also elected for certain non-recourse
long-term borrowings issued by consolidated SPEs. The fair value
of these long-term borrowings is unaffected by changes in
Merrill Lynch’s creditworthiness.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following tables present the difference between fair values
and the aggregate contractual principal amounts of receivables
under resale agreements, loans, notes, and mortgages and
long-term borrowings for which the fair value option has been
elected as of June 30, 2009 and December 26, 2008,
respectively.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="63%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="5%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="4%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="13" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Fair Value<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Amount<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>at<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Due Upon<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Maturity</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Difference</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="13" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Receivables under resale agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
57,039
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
56,679
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
360
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,772
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,149
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(5,377
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Long-term
borrowings<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
40,562
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
46,857
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6,295
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="13" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="13" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">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.</font></i></td>
</tr>
</table>
<div style="margin-top: 0pt; font-size: 1pt">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="57%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="8%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="4%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="13" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Fair Value<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Amount<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>at<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Due Upon<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">December 26,
2008</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Maturity</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Difference</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="13" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Assets:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Receivables under resale agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
62,146
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
61,466
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
680
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Receivables under securities borrowed transactions
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
853
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
853
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Loans, notes and mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
979
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,326
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(347
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Liabilities:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Long-term
borrowings<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
49,521
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
62,244
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(12,723
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="13" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="13" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">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.</font></i></td>
</tr>
</table>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><u><font style="font-family: 'Times New Roman', Times">Concentration
of risk to the mortgage markets</font></u></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
At June 30, 2009, Merrill Lynch had sizeable exposure to
the mortgage market through securities, derivatives, loans and
loan commitments. This included:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Net exposures of $33.2 billion in U.S. Prime
residential mortgage-related positions and $3.0 billion in
other residential mortgage-related positions, excluding Merrill
Lynch’s investment securities portfolio;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Net exposure of $8.1 billion in Merrill Lynch’s
investment securities portfolio; and
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Net exposure of $7.2 billion in commercial real estate
related positions, excluding First Republic, and
$5.3 billion in First Republic commercial real estate
related positions.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In September 2008, Merrill Lynch sold $30.6 billion gross
notional amount of U.S. super senior ABS CDOs (the
“Portfolio”) to an affiliate of Lone Star Funds for a
sales price of $6.7 billion. In connection with this sale,
Merrill Lynch provided financing to the purchaser for
approximately 75% of the purchase price. The recourse on this
loan is limited to the assets of the purchaser, which consist
solely of the Portfolio. All cash flows and distributions from
the Portfolio (including sale proceeds) will be applied in
accordance with a specified priority of payments. The loan had a
carrying value of $4.6 billion at June 30, 2009.
Events of default under the loan are customary events of
default, including failure to pay interest when due and failure
to pay principal at maturity.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Valuation of these exposures will continue to be impacted by
external market factors including default rates, rating agency
actions, and the prices at which observable market transactions
occur. Merrill Lynch’s ability to mitigate its risk by
selling or hedging its exposures is also limited by the market
environment.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><u><font style="font-family: 'Times New Roman', Times">Concentration
of risk to financial guarantors</font></u></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
To economically hedge certain ABS CDO and
<font style="white-space: nowrap">U.S. sub-prime</font>
mortgage positions, Merrill Lynch entered into credit
derivatives with various counterparties, including monolines and
other financial guarantors. At June 30, 2009, the carrying
value of our hedges with financial guarantors related to
U.S. super senior ABS CDOs was $1.1 billion.
</div>
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</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In addition to hedges with financial guarantors on
U.S. super senior ABS CDOs, we also have hedges on certain
long exposures related to corporate Collateralized Debt
Obligations (“CDOs”), Collateralized Loan Obligations
(“CLOs”), Residential Mortgage-Backed Securities
(“RMBS”) and Commercial Mortgage-Backed Securities
(“CMBS”). At June 30, 2009, the carrying value of
our hedges with financial guarantors related to these types of
exposures was $5.3 billion.
</div>
</div>
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<!-- Begin Block Tagged Note 5 - mer:FairValueOfFinancialInstrumentsSFSNo107DisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 5.  Fair
Value of Financial Instruments (SFAS No. 107
Disclosure)<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Disclosure is required on an interim and annual basis of the
estimated fair value of financial instruments, including those
financial instruments for which Merrill Lynch did not elect the
fair value option. The fair values of such instruments have been
derived, in part, by management’s assumptions, the
estimated amount and timing of future cash flows and estimated
discount rates. Different assumptions could significantly affect
these estimated fair values. Accordingly, the net realizable
values could be materially different from the estimates
presented below. In addition, the estimates are only indicative
of the value of individual financial instruments and should not
be considered an indication of the fair value of Merrill Lynch.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Disclosure of the fair value of lease financing arrangements and
nonfinancial instruments, including goodwill and intangible
assets, is not required.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following disclosures represent financial instruments for
which the ending balances at June 30, 2009 are not carried
at fair value in their entirety on Merrill Lynch’s
Condensed Consolidated Balance Sheets.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Short-term
Financial Instruments</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The carrying value of short-term financial instruments,
including cash and cash equivalents, certain securities
financing transactions, customer and broker-dealer receivables
and payables, and commercial paper and other short-term
borrowings, approximates the fair value of these instruments.
These financial instruments generally expose Merrill Lynch to
limited credit risk and have no stated maturities or have
short-term maturities and carry interest rates that approximate
market. Merrill Lynch elected to apply the fair value option for
certain securities financing transactions.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Loans,
Notes and Mortgages</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Fair values were generally determined by discounting both
principal and interest cash flows expected to be collected using
an observable discount rate for similar instruments with
adjustments that management believes a market participant would
consider in determining fair value. Merrill Lynch estimates the
cash flows expected to be collected using internal credit risk,
interest rate and prepayment risk models that incorporate
management’s best estimate of current key assumptions, such
as default rates, loss severity and prepayment speeds for the
life of the loan. Merrill Lynch elected the fair value option
for certain loans and loan commitments. See Note 4 for
additional information on loans for which Merrill Lynch elected
the fair value option.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Deposits</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The fair value for certain deposits with stated maturities was
calculated by discounting contractual cash flows using current
market rates for instruments with similar maturities. For
deposits with no stated maturities, the carrying amount was
considered to approximate fair value and does not take into
account the significant value of the cost advantage and
stability of Merrill Lynch’s long-term relationships with
depositors.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Long-term
Borrowings</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch uses quoted market prices for its long-term
borrowings when available. When quoted market prices are not
available, fair value is estimated based on current market
interest rates and credit spreads for debt with similar
maturities. Merrill Lynch elected the fair value option for
certain long-term borrowings, including structured notes, for
which hedge accounting under SFAS No. 133 had been
difficult to obtain. See Note 4 for additional information.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The book and fair values of certain financial instruments at
June 30, 2009 were as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="77%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="4%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="9" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" nowrap="nowrap" align="center" valign="bottom">
<b>Successor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Book Value</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Fair Value</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="9" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Financial assets</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Loans, notes and
mortgages<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
88,279
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
84,457
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Financial liabilities</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Deposits
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
101,727
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
101,800
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Long-term
borrowings<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
166,505
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
163,716
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Loans are presented net of
allowance for loan losses and exclude leases. The fair value is
determined based on the present value of future cash flows using
credit spreads or risk adjusted rates of return that a buyer of
the portfolio would require. Merrill Lynch expects to collect
the principal cash flows underlying the book values as well as
the related interest cash flows.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Includes junior subordinated
notes (related to trust preferred securities). </font></i></td>
</tr>
</table>
</div>
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<!-- Begin Block Tagged Note 6 - us-gaap:DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
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<b><font style="font-family: 'Times New Roman', Times">Note 6.  Derivatives<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
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<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
A derivative is an instrument whose value is derived from an
underlying instrument or index, such as interest rates, equity
security prices, currencies, commodity prices or credit spreads.
Derivatives include futures, forwards, swaps, or option
contracts, or other financial instruments with similar
characteristics. Derivative contracts often involve future
commitments to exchange interest payment streams or currencies
based on a notional or contractual amount (e.g., interest rate
swaps or currency forwards) or to purchase or sell other
financial instruments at specified terms on a specified date
(e.g., options to buy or sell securities or currencies).
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
SFAS No. 133, as amended, establishes accounting and
reporting standards for derivative instruments, including
certain derivative instruments embedded in other contracts
(“embedded derivatives”) and for hedging activities.
SFAS No. 133 requires that an entity recognize all
derivatives as either assets or liabilities and measure those
instruments at fair value. The fair value of all derivatives is
recorded on a
<font style="white-space: nowrap">net-by-counterparty</font>
basis on the Condensed Consolidated Balance Sheets where
management believes a legal right of setoff exists under an
enforceable netting agreement. All derivatives, including
bifurcated embedded derivatives within structured notes, are
reported on the Condensed Consolidated Balance Sheets as trading
assets and liabilities.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The accounting for changes in fair value of a derivative
instrument depends on its intended use and if it is designated
and qualifies as an accounting hedging instrument under
SFAS No. 133.
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</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Trading
derivatives</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into derivatives to facilitate client
transactions, for proprietary trading and financing purposes,
and to manage risk exposures arising from trading assets and
liabilities. Changes in fair value for these derivatives are
reported in current period earnings as principal transactions
revenues.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Non-trading
derivatives</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch also enters into derivatives in order to manage
risk exposures arising from assets and liabilities not carried
at fair value as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="2%"></td>
<td width="98%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> 1. </td>
<td align="left">
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:
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="4%"></td>
<td width="2%"></td>
<td width="94%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
Convert fixed-rate interest payments into variable payments;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
Change the underlying interest rate basis or reset
frequency; and
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
Change the settlement currency of a debt instrument.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Changes in the fair value of interest rate derivatives are
reported in interest expense when hedge accounting is applied;
otherwise changes in fair value are reported in other revenue.
Changes in the fair value of foreign currency derivatives are
reported in other revenue.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="2%"></td>
<td width="98%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> 2. 
</td>
<td align="left"> 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.,
<font style="white-space: nowrap">non-U.S. dollar</font>
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.
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> 3. 
</td>
<td align="left"> 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.
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> 4. 
</td>
<td align="left"> 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.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Derivatives that qualify as accounting hedges under the guidance
in SFAS No. 133 are designated as one of the following:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="2%"></td>
<td width="98%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> 1. </td>
<td align="left">
A hedge of the fair value of a recognized asset or liability
(“fair value hedge”). Changes in the fair value of
derivatives that are designated and qualify as fair value hedges
of interest rate risk, along with the gain or loss on the hedged
liability that is attributable to the hedged risk, are recorded
in current period earnings as interest expense. Changes in the
fair value of derivatives that are designated and qualify as
fair value hedges of commodity price risk, along with the gain
or loss on the hedged asset that is attributable to the hedged
risk, are recorded in current period earnings in principal
transactions.
</td>
</tr>
</table>
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<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="2%"></td>
<td width="98%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> 2. 
</td>
<td align="left"> A hedge of the variability of cash flows to be received or paid
related to a recognized asset or liability (“cash flow
hedge”). Changes in the fair value of derivatives that are
designated and qualify as effective cash flow hedges are
recorded in OCI until earnings are affected by the variability
of cash flows of the hedged asset or liability. For commodity
hedges, the amount is reclassified out of OCI and recorded in
principal transactions when the forecasted purchase or sale of
the commodity occurs.
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> 3. 
</td>
<td align="left"> A hedge of a net investment in a foreign operation. Changes in
the fair value of derivatives that are designated and qualify as
hedges of a net investment in a foreign operation are recorded
in the foreign currency translation adjustment account within
OCI. Changes in the fair value of the hedge instruments that are
associated with the difference between the spot rate and the
contracted forward rate are recorded in current period earnings
in other revenues.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch formally assesses, both at the inception of the
hedge and on an ongoing basis, whether the hedging derivatives
are highly effective in offsetting changes in fair value or cash
flows of hedged items. Merrill Lynch uses regression analysis at
the hedge’s inception and for each reporting period
thereafter to assess whether the derivative used in its hedging
transaction is expected to be and has been highly effective in
offsetting changes in the fair value or cash flows of the hedged
item. When assessing hedge effectiveness on interest rate hedges
and fair value hedges of commodity price risk, there are no
attributes of the derivatives used to hedge the fair value
exposure that are excluded from the assessment. For cash flow
hedges of commodity price risk, the difference between the spot
rate and the contracted forward rate which represents the time
value of money is excluded from the assessment of hedge
effectiveness and is recorded in principal transactions
revenues. When it is determined that a derivative is not highly
effective as a hedge, Merrill Lynch discontinues hedge
accounting.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Hedge accounting activity for the three and six months ended
June 30, 2009 included the following:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><u><font style="font-family: 'Times New Roman', Times">Fair
value hedges of interest rate risk on long-term
borrowings</font></u></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="38%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="16%"> </td><!-- colindex=02 type=maindata -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="8%" align="left"> </td><!-- colindex=04 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="11" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Account location</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="11" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income on the derivative
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Interest expense
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,155
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,525
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income on the long-term borrowing
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Interest expense
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,892
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,137
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income due to hedge ineffectiveness
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Interest expense
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(263
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(388
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Carrying value of hedging derivatives as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Trading assets
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,664
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,664
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Trading liabilities
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
38
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
38
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Notional amount of hedging derivatives as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
in an asset position
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
50,480
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
50,480
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
in a liability position
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,692
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,692
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><u><font style="font-family: 'Times New Roman', Times">Fair
value hedges of commodity price risk on commodity
inventory</font></u></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="20%"> </td><!-- colindex=02 type=maindata -->
<td width="1%"> </td><!-- colindex=03 type=gutter -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="8%" align="left"> </td><!-- colindex=04 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="11" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Account location</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="11" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income on the derivative
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Principal transactions
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
60
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income on the commodity inventory
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Principal transactions
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(57
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income due to hedge ineffectiveness
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Principal transactions
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Carrying value of hedging derivatives as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Trading assets
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Trading liabilities
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Notional amount of hedging derivatives as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
in an asset position
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
in a liability position
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
135
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
135
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><u><font style="font-family: 'Times New Roman', Times">Cash
flow hedges of commodity price risk on forecasted purchases and
sales</font></u></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="21%"> </td><!-- colindex=02 type=maindata -->
<td width="1%"> </td><!-- colindex=03 type=gutter -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="8%" align="left"> </td><!-- colindex=04 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="11" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Account location</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="11" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) on the derivative deferred in equity
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Accumulated other
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
comprehensive income
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
15
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) reclassified into earnings in the current period
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Principal transactions
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income due to hedge ineffectiveness
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Principal transactions
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Amount that is expected to be reclassified into earnings in the
next 12 months as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Principal transactions
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Carrying value of hedging derivatives as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Trading assets
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Trading liabilities
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Notional amount of hedging derivatives as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
in an asset position
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
112
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
112
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
in a liability position
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><u><font style="font-family: 'Times New Roman', Times">Net
investment hedges of foreign operations</font></u></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="35%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="21%"> </td><!-- colindex=02 type=maindata -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="8%" align="left"> </td><!-- colindex=04 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="11" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Account location</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="11" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) on the derivative and non-derivative hedges deferred
in equity
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Accumulated other
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
comprehensive income
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,979
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,261
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income due to hedge ineffectiveness
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Other revenue
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gain/(loss) recognized in income from the unused portion (time
value) of the hedging derivative
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Other revenue
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(28
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(92
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Carrying value of hedging derivatives as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Trading assets
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
87
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
87
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Trading liabilities
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
983
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
983
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Carrying value of non-derivative hedges as of June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Long-term borrowings
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
562
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
562
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Notional amount of hedging derivatives
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
in an asset position
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,771
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,771
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
in a liability position
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
16,662
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
16,662
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><u><font style="font-family: 'Times New Roman', Times">Losses
on non-trading derivatives not in SFAS No. 133 hedge
relationships</font></u></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="38%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="16%"> </td><!-- colindex=02 type=maindata -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="8%" align="left"> </td><!-- colindex=04 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="11" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Account location</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="11" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Interest rate risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Interest expense
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(509
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(718
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Foreign currency risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Other revenue
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,993
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,460
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Credit risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
Other revenue
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(221
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(152
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="11" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The above amounts represent net losses on derivatives that are
not used for trading purposes and are not used in
SFAS No. 133 hedging relationships. Interest rate risk
primarily relates to derivatives used to hedge long-term debt
where SFAS No. 133 is not applied and derivatives with
third parties that are recorded by Merrill Lynch and utilized by
Bank of America at the consolidated level for hedge accounting
purposes. As the hedged item is not held by Merrill Lynch, hedge
accounting is not applied by Merrill Lynch. Foreign currency
risk primarily relates to economic hedges of foreign currency
denominated transactions that generate earnings upon
remeasurement in accordance with SFAS No. 52,
<i>Foreign Currency Translation</i>. As both the remeasurement
of the foreign currency risk on the transaction and the changes
in fair value of the derivative are recorded in earnings, hedge
accounting is not applied. Credit risk relates to credit default
swaps used to economically manage the credit risk on certain
loans not included in trading activities.
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Derivative
balances by primary risk</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Derivative instruments contain numerous market risks. In
particular, most derivatives have interest rate risk, as they
contain an element of financing risk which is affected by
changes in interest rates. Additionally, derivatives expose
Merrill Lynch to counterparty credit risk, although this is
generally mitigated by collateral margining and netting
arrangements. For disclosure purposes below, the primary risk of
a derivative is largely determined by the business that is
engaging in the derivative activity. For instance, a derivative
that is initiated by an equities derivative desk will generally
have equity price risk as its primary underlying market risk and
is classified as such for the purposes of this disclosure,
despite the fact that there may be other market risks that
affect the value of the instrument.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following table identifies the primary risk for derivative
instruments at June 30, 2009. The primary risk is provided
on a gross basis, prior to the application of the impact of
counterparty and cash collateral netting.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="41%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="8%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="8%" align="left"> </td><!-- colindex=05 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="17" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Contract/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Trading Assets-<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Contract/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Trading Liabilities-<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Notional<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Derivative Contracts</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Notional<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Derivative Contracts</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="17" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Interest rate contracts</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Swaps
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,774,348
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
541,741
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,336,820
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
529,845
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Futures and forwards
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,804,778
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,527
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,680,045
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,035
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Written options
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,263,249
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
48,749
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Purchased options
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,175,687
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
49,072
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Foreign exchange contracts</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Swaps
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
117,612
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,223
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
120,483
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,778
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Spot, futures and forwards
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
327,086
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14,443
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
351,312
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14,997
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Written options
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
352,773
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,541
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Purchased options
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
368,998
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14,021
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Equity contracts</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Swaps
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18,910
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
938
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17,401
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,396
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Futures and forwards
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
51,126
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,195
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
44,371
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,659
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Written options
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
197,985
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
23,385
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Purchased options
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
195,414
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20,586
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Commodity contracts</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Swaps
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
46,381
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,207
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
42,795
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,330
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Futures and forwards
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
974,052
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,821
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
932,317
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,776
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Written options
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
66,420
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,738
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Purchased options
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63,691
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,177
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Credit derivatives</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Purchased protection:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 27pt">
Credit default swaps
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,389,752
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
131,915
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
360,816
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,308
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 27pt">
Total return swaps
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,302
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
562
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,483
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
304
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 27pt">
Other Credit Derivatives
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,629
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Written protection:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 27pt">
Credit default swaps
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
332,533
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,297
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,419,318
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
134,532
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 27pt">
Total return swaps
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,279
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,163
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,901
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,336
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 27pt">
Other Credit Derivatives
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,763
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
188
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" style="border-top: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Gross derivative assets/liabilities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19,655,578
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
831,951
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18,204,252
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
825,897
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Less: Legally enforceable master netting
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(735,445
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(735,445
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" style="border-top: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Less: Cash collateral applied
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(32,779
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(50,694
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" style="border-top: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 36pt">
<b>Total derivative assets and liabilities</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63,727
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
39,758
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">These amounts include trading
derivatives, non-trading derivatives and bifurcated embedded
derivatives.</font></i></td>
</tr>
</table>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Trading
revenues</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into trading derivatives and non-derivative
cash instruments to facilitate client transactions, for
proprietary trading and financing purposes, and to manage risk
exposures arising from trading assets and liabilities. The
resulting risk from derivative and non-derivative cash
instruments is managed on a portfolio basis as part of Merrill
Lynch’s sales and trading activities and the related
revenue is recorded on different income statement line items
including principal transactions, commissions, other revenues
and net interest profit/(loss). The following table identifies
the amounts in the income statement line items attributable to
trading and non-trading activities including both derivatives
and non-derivative cash instruments categorized by primary risk
for the three and six months ended June 30, 2009.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Non-trading amounts relate to activities in connection with
principal investment, wealth management, and certain lending
activities; economic hedging activity discussed in the
<i>Non-trading derivatives </i>section above, and the impact of
changes in Merrill Lynch’s own creditworthiness on
borrowings accounted for at fair value.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="35%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="5%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="6%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="5%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="3%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="21" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Net Interest<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b><font style="font-size: 11pt">For the Three Months Ended
June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Transactions</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Commissions</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Revenues</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Profit/(Loss)</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Total</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Interest Rate Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(247
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
134
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(83
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Foreign Exchange Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
73
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Equity Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
854
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
988
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(658
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,190
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Commodity Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(45
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(28
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Credit Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,393
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
334
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
433
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,174
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Total trading — related</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,091
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,019
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
352
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(130
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,332
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Non-trading related</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,606
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
471
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
431
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(399
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,103
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Total</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,515
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,490
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
783
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(529
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
229
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="5%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="6%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="5%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="2%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="21" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Principal<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Other<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Net Interest<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b><font style="font-size: 11pt">For the Six Months Ended
June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Transactions</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Commissions</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Revenues</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Profit/(Loss)</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Total</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Interest Rate Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,115
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
31
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
336
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,493
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Foreign Exchange Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
263
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
258
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Equity Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,681
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,740
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(566
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,884
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Commodity Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
616
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(97
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
519
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Credit Risk
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,951
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
224
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
745
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,950
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Total trading — related</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,626
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,801
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
265
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
412
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,104
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Non-trading related</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,363
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
932
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
778
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(17
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
330
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Total</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,263
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,733
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,043
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
395
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,434
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Derivatives
as guarantees</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into certain derivative contracts that meet
the definition of a guarantee under FASB Interpretation
No. 45, <i>Guarantor’s Accounting and Disclosure
Requirements for Guarantees, Including Indirect Guarantees of
Indebtedness of Others </i>(“FIN 45”).
FIN 45 defines guarantees to include derivative contracts
that contingently require a guarantor to make payment to a
guaranteed party based on changes in an underlying (such as
changes in the value of interest rates, security prices,
currency rates, commodity prices, indices, etc.), that relate to
an asset, liability or equity security of a guaranteed party.
Derivatives that meet the FIN 45 definition of guarantees
include certain written options (e.g., written interest rate and
written currency options). Merrill Lynch does not track, for
accounting purposes, whether its clients enter into these
derivative contracts for speculative or hedging purposes.
Accordingly, Merrill Lynch has disclosed information about all
credit derivatives and certain types of written options that can
potentially be used by clients to protect against changes in an
underlying, regardless of how the contracts are actually used by
the client.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch’s derivatives that act as guarantees at
June 30, 2009 are summarized below:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="36%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="5%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="3%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="25" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Maximum<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Payout/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Less than<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Carrying<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Notional</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">1 year</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">1<sup style="font-size: 85%; vertical-align: top">+</sup>
- 3 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">3<sup style="font-size: 85%; vertical-align: top">+</sup>
- 5 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Over 5 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Value<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Derivative contracts:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Credit derivatives:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Investment
grade<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
829,353
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
71,360
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
145,673
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
367,136
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
245,184
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45,223
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Non-investment
grade<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
937,678
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
115,739
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
225,790
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
287,024
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
309,125
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
93,645
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Total credit derivatives
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,767,031
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
187,099
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
371,463
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
654,160
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
554,309
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
138,868
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Other derivatives
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,643,959
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
555,369
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
419,518
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
252,368
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
416,704
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
76,075
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Total derivative contracts
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,410,990
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
742,468
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
790,981
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
906,528
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
971,013
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
214,943
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Derivative contracts are shown
on a gross basis prior to cash collateral or counterparty
netting.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Refers to the creditworthiness
of the underlying reference obligations.</font></i></td>
</tr>
</table>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Credit
derivatives</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Credit derivatives derive value based on an underlying third
party referenced obligation or a portfolio of referenced
obligations. Merrill Lynch is both a seller and a buyer of
credit protection. A seller of credit protection is required to
make payments to a buyer upon the occurrence of a predefined
credit event. Such credit events generally include bankruptcy of
the referenced credit entity and failure to pay under their
credit obligations, as well as acceleration of indebtedness and
payment repudiation or moratorium. Merrill Lynch considers
credit derivatives to be guarantees where it is the seller of
credit protection. For credit derivatives based on a portfolio
of referenced credits or credit indices, Merrill Lynch as a
seller of credit protection may not be required to make payment
until a specified amount of loss has occurred
<font style="white-space: nowrap">and/or</font> may
only be required to make payment up to a specified amount.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
For most credit derivatives, the notional value represents the
maximum amount payable by Merrill Lynch as a seller of credit
protection. However, Merrill Lynch does not exclusively monitor
its exposure to credit derivatives based on notional value.
Instead, a risk framework is used to define risk tolerances and
establish limits to help to ensure that certain credit
risk-related losses occur within acceptable, predefined limits.
Merrill Lynch discloses internal categorizations (i.e.,
investment grade, non-investment grade) consistent with how risk
is managed to evaluate the payment status of its freestanding
credit derivative instruments.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch economically hedges its exposure to credit
derivatives by entering into a variety of offsetting derivative
contracts and security positions. For example, in certain
instances, Merrill Lynch purchases credit protection with
identical underlying referenced names to offset its exposure. At
June 30, 2009, the notional value and carrying value of
credit protection purchased and credit protection sold by
Merrill Lynch with identical underlying referenced names was:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="36%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="5%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="3%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="25" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Maximum<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Payout/<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Less than<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Carrying<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Notional</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">1 year</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">1<sup style="font-size: 85%; vertical-align: top">+</sup>
- 3 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">3<sup style="font-size: 85%; vertical-align: top">+</sup>
- 5 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Over 5 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Value<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Credit derivatives purchased
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,722,235
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
169,989
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
363,599
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
654,762
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
533,885
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
124,723
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Credit derivatives sold
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,738,384
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
183,148
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
372,943
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
650,272
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
532,021
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
128,467
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Derivative contracts are shown
on a gross basis prior to cash collateral or counterparty
netting.</font></i></td>
</tr>
</table>
<div style="margin-top: 9pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Other
derivative contracts</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Other derivative contracts in the guarantees table above
primarily represent written interest rate options and written
currency options. For such contracts the maximum payout could
theoretically be unlimited, because, for example, the rise in
interest rates or changes in foreign exchange rates could
theoretically be unlimited. Merrill Lynch does not monitor its
exposure to derivatives based on the theoretical maximum payout
because that measure does not take into consideration the
probability of the occurrence. As such, rather than including
the maximum payout, the notional value of these contracts has
been included to provide information about the magnitude of
involvement with these types of contracts. However, it should be
noted that the notional value is not a reliable indicator of
Merrill Lynch’s exposure to these contracts. Instead, as
previously noted, a risk framework is used to define risk
tolerances and establish limits to help ensure that certain
risk-related losses occur within acceptable, predefined limits.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As the fair value and risk of payment under these derivative
contracts are based upon market factors, such as changes in
interest rates or foreign exchange rates, the carrying values in
the table above reflect the best estimate of Merrill
Lynch’s performance risk under these transactions at
June 30, 2009. Merrill Lynch economically hedges its
exposure to these contracts by entering into a variety of
offsetting derivative contracts and security positions.
</div>
<div style="margin-top: 9pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Credit
risk management of derivatives</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch defines counterparty credit risk as the potential
for loss that can occur as a result of an individual,
counterparty, or issuer being unable or unwilling to honor its
contractual obligations. Merrill Lynch mitigates its credit risk
to counterparties through a variety of techniques, including,
where appropriate, the right to require initial collateral or
margin, the right to terminate transactions or to obtain
collateral should unfavorable events occur, the right to call
for collateral when certain exposure thresholds are exceeded,
the right to call for third party guarantees, and the purchase
of credit default protection.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into International Swaps and Derivatives
Association, Inc. (“ISDA”) master agreements or their
equivalent (“master netting agreements”) with almost
all derivative counterparties. Master netting agreements provide
protection in bankruptcy in certain circumstances and, in some
cases, enable receivables and payables with the same
counterparty to be offset for accounting and risk management
purposes. Netting agreements are generally negotiated
bilaterally and can require complex terms. While Merrill Lynch
makes reasonable efforts to execute such agreements, it is
possible that a counterparty may be unwilling to sign such an
agreement and, as a result, would subject Merrill Lynch to
additional credit risk. The enforceability of master netting
agreements under bankruptcy laws in certain countries or in
certain industries is not free from doubt, and receivables and
payables with counterparties in these countries or industries
are accordingly recorded on a gross basis.
</div>
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</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Where Merrill Lynch has entered into legally enforceable netting
agreements with counterparties, it reports derivative assets and
liabilities, and any related cash collateral, net in the
Condensed Consolidated Balance Sheets in accordance with
FIN No. 39, <i>Offsetting Amounts Related to Certain
Contracts </i>(“FIN 39”). At June 30, 2009,
cash collateral received of $32.8 billion and cash
collateral paid of $50.7 billion was netted against
derivative assets and liabilities, respectively.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch considers the impact of counterparty credit risk
on the valuation of derivative contracts. Factors used to
determine the credit valuation adjustments on the derivatives
portfolio include current exposure levels (i.e., fair value
prior to credit valuation adjustments) and expected exposure
levels profiled over the maturity of the contracts. Credit
default swaps market information, including either quoted single
name credit default swaps or index or other proxy credit default
swaps, is also considered. In addition, the credit valuation
adjustments also take into account the netting and credit
provisions of relevant agreements including collateral margin
agreements and legally enforceable netting agreements. During
the three months ended June 30, 2009, valuation adjustments
of approximately $0.7 billion were recognized as gains in
principal transactions for counterparty credit risk. For the six
months ended June 30, 2009, the valuation adjustments
recognized in principal transactions for counterparty credit
risk were not material. At June 30, 2009, the cumulative
counterparty credit risk valuation adjustment that was reflected
in derivative assets was $8.9 billion. In addition, the
fair value of derivative liabilities is adjusted to reflect the
impact of Merrill Lynch’s credit quality. During the three
months ended June 30, 2009, valuation adjustments of
approximately $1 billion were recognized as losses in
principal transactions for changes in Merrill Lynch’s
credit risk. For the six months ended June 30, 2009, the
valuation adjustments recognized in principal transactions for
Merrill Lynch’s credit risk were not material. At
June 30, 2009, the cumulative credit risk valuation
adjustment that was reflected in the derivative liabilities
balance was $0.8 billion.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Credit-risk
related contingent features</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The majority of Merrill Lynch’s derivative contracts
contain credit-risk-related contingent features, primarily
within the ISDA agreements, that help to reduce the credit risk
of these instruments as compared to other obligations of the
respective counterparty with whom Merrill Lynch has transacted
(e.g., other debt or equity). These contingent features may be
for the benefit of Merrill Lynch or may benefit Merrill
Lynch’s counterparties in respect of changes in Merrill
Lynch creditworthiness. At June 30, 2009, Merrill Lynch
posted collateral of $55.9 billion under derivative
contracts that were in a liability position, of which
$50.7 billion represented cash collateral, as noted above.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In connection with certain OTC derivatives transactions and
other trading agreements, Merrill Lynch could be required to
provide additional collateral to or terminate transactions with
certain counterparties in the event of a downgrade of the senior
debt ratings of ML & Co. The amount of additional
collateral required depends on the contract and is usually a
fixed incremental amount and/or an amount related to the market
value of the exposure. At June 30, 2009, the amount of
additional collateral and termination payments that would be
required for such derivatives transactions and trading
agreements was approximately $1.5 billion in the event of a
downgrade to low single-A by all credit agencies. A further
downgrade of ML & Co.’s long-term senior debt
credit rating to the BBB+ or equivalent level would require
approximately $0.6 billion of additional collateral.
</div>
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<head></head>
<body>
<!-- Begin Block Tagged Note 7 - us-gaap:ScheduleOfSecuritiesFinancingTransactionsTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 7.  Securities
Financing Transactions<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into secured borrowing and lending
transactions in order to meet customers’ needs and earn
residual interest rate spreads, obtain securities for settlement
and finance trading inventory positions.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Under these transactions, Merrill Lynch either receives or
provides collateral, including U.S. Government and agency
securities, asset-backed, corporate debt, equity, and
<font style="white-space: nowrap">non-U.S. government</font>
and agency securities. Merrill Lynch receives collateral in
connection with resale agreements, securities borrowed
transactions, customer margin loans and other loans. Under most
agreements, Merrill Lynch is permitted to sell or repledge the
securities received (e.g., use the securities to secure
repurchase agreements, enter into securities lending
transactions, or deliver to counterparties to cover short
positions). At June 30, 2009 and December 26, 2008,
the fair value of securities received as collateral where
Merrill Lynch is permitted to sell or repledge the securities
was $268 billion and $327 billion, respectively, and
the fair value of the portion that has been sold or repledged
was $232 billion and $251 billion, respectively.
Merrill Lynch may use securities received as collateral for
resale agreements to satisfy regulatory requirements such as
<font style="white-space: nowrap">Rule 15c3-3</font>
of the Securities Exchange Act of 1934.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch additionally receives securities as collateral in
connection with certain securities transactions in which Merrill
Lynch is the lender. In instances where Merrill Lynch is
permitted to sell or repledge securities received, Merrill Lynch
reports the fair value of such securities received as collateral
and the related obligation to return securities received as
collateral in the Condensed Consolidated Balance Sheets.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The carrying value and classification of securities owned by
Merrill Lynch that have been pledged to counterparties where
those counterparties do not have the right to sell or repledge
at June 30, 2009 and December 26, 2008 are as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="55%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="9%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="9%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="9" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Successor Company<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Predecessor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">December 26,
2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Trading asset category</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Corporate debt and preferred stock
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,626
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
15,024
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Equities and convertible debentures
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,225
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,995
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Mortgages, mortgage-backed, and asset-backed securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,827
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,462
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
U.S. Government and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,647
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,982
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Municipals and money markets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,000
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,320
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
<font style="white-space: nowrap">Non-U.S.</font>
governments and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,474
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
587
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Total</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
26,799
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45,370
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Additionally, Merrill Lynch has pledged approximately
$4.2 billion and $18.6 billion of loans, and
$2.9 billion and $4.4 billion of investment securities
to counterparties at June 30, 2009 and December 26,
2008, respectively, where those counterparties do not have the
right to sell or repledge those assets. In some cases, Merrill
Lynch has transferred assets to consolidated VIEs where those
restricted assets serve as collateral for the interests issued
by the VIEs. These restricted assets are included in the amounts
above. These transactions are also described in Note 9.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Generally, when Merrill Lynch transfers financial instruments
that are not recorded as sales (i.e., secured borrowing
transactions), the liability is recorded as either payables
under repurchase
agreements or payables under securities loaned transactions;
however, in instances where Merrill Lynch transfers financial
assets to a consolidated VIE, the liabilities of the
consolidated VIE will be reflected in long or short term
borrowings (see Note 9). In either case, at the time of
transfer, the related liability is equal to the cash received in
the transaction. In most cases the lenders in secured borrowing
transactions have full recourse to Merrill Lynch (i.e., recourse
beyond the assets pledged). Instances where the lenders do not
have full recourse to Merrill Lynch are generally related to
failed securitization transactions where residential and
commercial mortgages are transferred to VIEs that do not meet
QSPE conditions (typically as a result of derivatives entered
into by the VIE that pertain to interests held by Merrill Lynch).
</div>
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<!-- Begin Block Tagged Note 8 - us-gaap:InvestmentsInDebtAndMarketableEquitySecuritiesAndCertainTradingAssetsDisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
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<b><font style="font-family: 'Times New Roman', Times">Note 8.  Investment
Securities<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
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</div>
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Investment securities on the Condensed Consolidated Balance
Sheets include:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • </td>
<td align="left">
SFAS No. 115 investments held by ML & Co.
and certain of its non-broker-dealer entities, including Merrill
Lynch banks, and consist of:
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="4%"></td>
<td width="2%"></td>
<td width="94%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
Debt securities, including debt
<font style="white-space: nowrap">held-for-investment</font>
and liquidity and collateral management purposes that are
classified as
<font style="white-space: nowrap">available-for-sale,</font>
debt securities held for trading purposes, and debt securities
that Merrill Lynch intends to hold until maturity;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
Marketable equity securities, which are generally classified as
<font style="white-space: nowrap">available-for-sale.</font>
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • </td>
<td align="left">
Non-qualifying investments are those that are not within the
scope of SFAS No. 115 and consist principally of
equity investments, including investments in partnerships and
joint ventures. Included in equity investments are investments
accounted for under the equity method of accounting, which
consist of investments in (i) partnerships and certain
limited liability corporations where Merrill Lynch has more than
a minor influence (generally defined as greater than a three
percent interest) and (ii) corporate entities where Merrill
Lynch has the ability to exercise significant influence over the
investee (generally defined as ownership and voting interest of
20% to 50%). Also included in equity investments are private
equity investments that Merrill Lynch holds for capital
appreciation
<font style="white-space: nowrap">and/or</font>
current income and which are accounted for at fair value in
accordance with the Investment Company Guide, as well as private
equity investments accounted for at fair value under the fair
value option election in SFAS No. 159. The carrying
value of such private equity investments reflects expected exit
values based upon market prices or other valuation
methodologies, including discounted expected cash flows and
market comparables of similar companies.
</td>
</tr>
</table>
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</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Investment securities reported on the Condensed Consolidated
Balance Sheets at June 30, 2009 and December 26, 2008
are as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="54%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="9%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="9%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutterleft -->
<td width="1%"> </td><!-- colindex=03 type=gutterright -->
<td width="11%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="11%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="10" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Successor Company<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Predecessor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">December 26,
2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="10" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Investment securities</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
<font style="white-space: nowrap">Available-for-sale</font><sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
26,009
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34,103
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Trading
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,243
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,745
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
<font style="white-space: nowrap">Held-to-maturity</font><sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
255
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,576
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 22pt">
Non-qualifying<sup style="font-size: 85%; vertical-align: top">(3)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 33pt">
Equity
investments<sup style="font-size: 85%; vertical-align: top">(4)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22,533
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
24,306
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 33pt">
Investments in trust preferred securities and other investments
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,497
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,432
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
<b>Total</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
51,537
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
66,162
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">At June 30, 2009 and
December 26, 2008, includes $7.0 billion and
$9.2 billion, respectively, of investment securities
reported in cash and securities segregated for regulatory
purposes or deposited with clearing organizations.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">The 2008 balance primarily
relates to notes issued by Bloomberg, Inc. in connection with
the sale of Merrill Lynch’s 20% stake in Bloomberg L.P.,
which was reclassified to loans held for investment in 2009
pursuant to the acquisition by Bank of America.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Non-qualifying for
SFAS No. 115 purposes.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(4) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Includes Merrill Lynch’s
investment in BlackRock, Inc.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As a result of the acquisition of Merrill Lynch by Bank of
America, all SFAS No. 115 securities have a new cost
basis as of January 1, 2009. For the three and six month
periods ended June 30, 2009,
<font style="white-space: nowrap">other-than-temporary</font>
impairment charges related to non-agency mortgage-backed
<font style="white-space: nowrap">available-for-sale</font>
securities were $297 million, of which $294 million
was credit related. In the three and six months ended
June 27, 2008, Merrill Lynch recorded
<font style="white-space: nowrap">other-than-temporary</font>
impairment charges of $1.7 billion and $2.1 billion,
respectively, primarily related to certain mortgage and
asset-backed securities. Refer to Note 1 for Merrill
Lynch’s accounting policies regarding
<font style="white-space: nowrap">other-than-temporary-impairment</font>
of investment securities.
</div>
</div>
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</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Information regarding investment securities subject to
SFAS No. 115 follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="57%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="4%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="2%" align="left"> </td><!-- colindex=05 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="17" nowrap="nowrap" align="left" valign="bottom">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="17" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" nowrap="nowrap" align="center" valign="bottom">
<b>Successor Company<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" nowrap="nowrap" align="center" valign="bottom">
<b>June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="17" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gross<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Gross<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Amortized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Fair<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Cost</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Gains</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Losses</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Value</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="17" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b><font style="white-space: nowrap">Available-for-sale</font></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Mortgage-backed securities:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Agency collateralized mortgage obligations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17,302
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
394
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(113
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17,583
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Non-agency
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,707
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,534
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(974
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,267
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Corporate/Agency bonds
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
110
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
99
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Other taxable securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
63
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
60
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Total
<font style="white-space: nowrap">available-for-sale</font>
securities</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
25,182
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,929
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,102
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
26,009
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b><font style="white-space: nowrap">Held-to-maturity</font></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Corporate debt and municipal
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
255
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
255
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Total held-to-maturity securities</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
255
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
255
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As a result of the acquisition of Merrill Lynch by Bank of
America, and the new cost bases established on January 1,
2009, there were no
<font style="white-space: nowrap">available-for-sale</font>
securities in an unrealized loss position for greater than one
year. The following table presents fair value and unrealized
losses, after hedges, for
<font style="white-space: nowrap">available-for-sale</font>
securities, aggregated by investment category and length of time
that the individual securities have been in a continuous
unrealized loss position at December 26, 2008.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="34%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="4%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="4%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="4%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="25" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Less than 1 Year</b>
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>More than 1 Year</b>
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Total</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Unrealized<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b><font style="font-size: 10pt">Asset category</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Fair Value</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Losses</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Fair Value</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Losses</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Fair Value</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Losses</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Predecessor Company</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>December 26, 2008</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Mortgage- and asset-backed
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,449
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,132
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22,291
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(5,910
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30,740
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(10,042
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
U.S. Government and agencies
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Corporate debt
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
192
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(78
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
194
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(80
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Total debt securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,454
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,134
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22,483
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(5,988
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30,937
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(10,122
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Equity securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
55
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
56
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(22
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Total temporarily impaired securities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,455
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,136
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22,538
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6,008
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
30,993
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(10,144
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The amortized cost and fair value of
<font style="white-space: nowrap">available-for-sale</font>
debt securities by expected maturity for mortgage-backed
securities and contractual maturity for other debt securities at
June 30, 2009 are as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="79%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="9" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Available-for-Sale</b>
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Amortized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Fair<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Cost</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">Value</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Due in one year or less
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
428
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
407
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Due after one year through five years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,421
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,745
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Due after five years through ten years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,037
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,537
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Due after ten years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,296
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,320
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Total<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
25,182
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
26,009
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Actual maturities may differ
from contractual maturities because borrowers may have the right
to call or prepay their obligations with or without prepayment
penalties.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The proceeds and gross realized gains/(losses) from the sale of
<font style="white-space: nowrap">available-for-sale</font>
securities during the three and six months ended June 30,
2009 are as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="57%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="10%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="10%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="8%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 11pt" valign="bottom" align="center">
<td colspan="9" align="left" valign="bottom">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="font-size: 11pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 11pt">June 30, 2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Proceeds
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,515
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,844
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gross realized gains
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
149
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
164
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -11pt; margin-left: 11pt">
Gross realized losses
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(10
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(50
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
</div>
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<body>
<!-- Begin Block Tagged Note 9 - mer:SecuritizationTransactionsAndTransactionsWithVariableInterestEntitiesVIEsTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 9.  Securitization
Transactions and Transactions with Variable Interest Entities
(“VIEs”)<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
FSP
<font style="white-space: nowrap">FAS 140-4</font>
and
<font style="white-space: nowrap">FIN 46(R)-8,</font>
which was adopted by Merrill Lynch on December 26, 2008,
provides the disclosure requirements for transactions with VIEs
or special purpose entities (“SPEs”) and transfers of
financial assets in securitizations or asset-backed financing
arrangements. Under this guidance, Merrill Lynch is required to
disclose information for consolidated VIEs, for VIEs in which
Merrill Lynch is the sponsor as defined below or is a
significant variable interest holder (“Sponsor/Significant
VIH”) and for VIEs that are established for securitizations
and asset-backed financing arrangements.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has defined “sponsor” to include all
transactions where Merrill Lynch has transferred assets to a VIE
<font style="white-space: nowrap">and/or</font>
structured the VIE, regardless of whether or not the asset
transfer has met the sale conditions in SFAS No. 140.
Merrill Lynch discloses all instances where continued
involvement with the assets exposes it to potential economic
gain/(loss), regardless of whether or not that continued
involvement is considered to be a variable interest in the VIE.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Continued involvement includes:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Retaining or holding an interest in the VIE,
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Providing liquidity or other support to the VIE or directly to
the investors in the VIE. This includes liquidity facilities,
guarantees, and derivatives that absorb the risk of the assets
in the VIE, including total return swaps and written credit
default swaps,
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Servicing the assets in the VIE, and
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Acting as counterparty to derivatives that do not absorb the
risk of the assets in the VIE. These include derivatives that
introduce risk into the VIE such as credit default swaps where
the VIE takes credit risk (generally found in credit-linked note
structures) or equity derivatives where the VIE takes equity
risk (generally found in equity-linked note structures);
however, Merrill Lynch excludes transactions where it only acts
as counterparty to interest rate or foreign exchange derivatives.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has not provided financial support to any VIE
beyond that which is contractually required. Quantitative
information on contractually required support is reflected in
the tables provided below and in Note 14.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Transactions with VIEs are categorized as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<u>Primary Beneficiary</u> — Includes transactions
where Merrill Lynch is the primary beneficiary and consolidates
the VIE.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<u>Sponsor/Significant VIH</u> — Includes transactions
where Merrill Lynch is the sponsor and has continued involvement
with the VIE or is a significant variable interest holder in the
VIE. This category excludes <i>most </i>transactions where
Merrill Lynch transferred financial assets and the transfer was
accounted for as a sale (these transactions are included in
securitization transactions as described below). However,
unconsolidated credit linked note VIEs (CLNs) and CDOs/CLOs are
included in this category, regardless of whether or not Merrill
Lynch transferred financial assets and accounted for the
transfer as a sale.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<u>Securitization transactions</u> — Securitization
transactions include transactions where Merrill Lynch
transferred financial assets and accounted for the transfer as a
sale (with the exception noted above). These transactions also
include asset-backed financing arrangements. This category
includes both
QSPEs and non-QSPEs and is reflected in the securitization
section of this Note. QSPEs are commonly used by Merrill Lynch
in mortgage and municipal bond securitization transactions as
described below. In accordance with SFAS No. 140 and
FIN 46(R), Merrill Lynch does not consolidate QSPEs.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has entered into transactions with different types
of VIEs which are described as follows:
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<u><font style="font-family: 'Times New Roman', Times">Loan and
Real Estate VIEs</font></u>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Merrill Lynch has involvement with VIEs that hold mortgage
related loans or real estate. These VIEs include entities that
are primarily designed to obtain exposure to mortgage related
assets or invest in real estate for both clients and Merrill
Lynch. Loan and real estate VIEs include failed securitization
transactions where residential and commercial mortgages are
transferred to VIEs that do not meet QSPE conditions (typically
as a result of derivatives entered into by the VIE that pertain
to interests held by Merrill Lynch) and loan VIEs that hold
mortgage loans where Merrill Lynch holds most or all of the
issued financing but does not have voting control. Loan and real
estate VIEs are reported in the Consolidated VIEs table and the
Sponsor/Significant VIH table. In addition, many loan VIEs,
specifically those related to residential and commercial
mortgages, are securitization VIEs that meet the QSPE criteria
in SFAS No. 140. Transactions where Merrill Lynch is
the transferor of loans to a VIE or QSPE and accounts for the
transaction as a sale are reflected in the Securitization table
of this Note.
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Merrill Lynch generally consolidates failed securitization VIEs
where it retains the residual interests in the VIE and therefore
absorbs the majority of the VIE’s expected losses, gains or
both. As a result of the illiquidity in the securitization
markets, Merrill Lynch has been unable to sell certain
securities, which has prohibited these VIEs from being
considered QSPEs. Depending upon the liquidity in the
securitization market, these transactions and future
transactions could continue to fail QSPE status and may require
consolidation and related disclosures. Given that these VIEs
have been designed to meet the QSPE requirements, Merrill Lynch
has no control over the assets held by these VIEs. These assets
have been pledged to the noteholders in the VIEs, and are
therefore included in the firm-owned assets pledged balance
reported in Note 7. In most instances, the beneficial
interest holders in these VIEs have no recourse to the general
credit of Merrill Lynch; rather their investments are paid
exclusively from the assets in the VIE. Securitization VIEs that
hold loan assets are typically financed through the issuance of
several classes of debt (i.e., tranches) with ratings that range
from AAA to unrated residuals.
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Loan VIEs that hold mortgage loans and are not securitization
VIEs are typically wholly owned or have a small amount of
financing provided by investors (which may include the
investment manager) through different classes of loans or
securities. Where Merrill Lynch consolidates these VIEs, Merrill
Lynch has the ability to use the assets to fund operations.
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Real estate VIEs that hold property are typically financed
through the issuance of one or more classes of loans or
securities (e.g. senior, junior, and mezzanine) and an equity
tranche. The investors have recourse only to the real estate
assets held by these VIEs. In most real estate entities, the
equity tranche is considered sufficient to finance the
activities of the entity, and the entity would meet the
conditions to be considered a VRE. The real estate entities
included in this disclosure are VIEs because generally they do
not have sufficient equity to finance their activities.
</td>
</tr>
</table>
</div>
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<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<u><font style="font-family: 'Times New Roman', Times">Equity
Funds</font></u>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has made certain investments in equity funds that
are VIEs. Merrill Lynch may be the primary beneficiary of these
funds as a result of a majority investment in the fund. In
instances where Merrill Lynch is not the primary beneficiary, it
is considered the sponsor and generally has continued
involvement through equity derivatives with these VIEs. VIEs
where Merrill Lynch is the sponsor and has continued involvement
are reflected in the Sponsor/Significant VIH table. These VIEs
are typically financed by a single tranche of limited life
preferred shares or similar debt instruments that pass through
the economics of the underlying assets and derivative contracts.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch sponsors a limited number of equity funds that
provide a guaranteed return to investors at the maturity of the
fund. The guarantees may include a guarantee of the return of an
initial investment or the initial investment plus an agreed upon
return depending on the terms of the VIE. Investors in certain
of these VIEs have recourse to Merrill Lynch to the extent that
the value of the assets held by the VIEs at maturity is less
than the guaranteed amount. In these instances, Merrill Lynch is
the primary beneficiary and consolidates the VIEs. These VIEs
are typically financed by a single tranche of limited life
preferred shares or similar debt instruments that pass through
the economics of the underlying assets and derivative contracts.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<u><font style="font-family: 'Times New Roman', Times">Credit-Linked
Note and Other VIEs</font></u>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has entered into transactions with VIEs where
Merrill Lynch typically purchases credit protection from the VIE
in the form of a credit default swap in order to provide
investors exposure to a specific credit risk. These are commonly
known as CLNs. Merrill Lynch may also enter into interest rate
swaps <font style="white-space: nowrap">and/or</font>
cross currency swaps with these CLNs. The assets held by the VIE
provide collateral for the derivatives that Merrill Lynch has
entered into with the VIE. Most CLNs issue a single
credit-linked note, which is often held by a single investor.
Typically the assets held by the CLNs can be substituted for
other assets by the investors. For these transactions, Merrill
Lynch generally transfers the financial assets to the VIE and
accounts for that transfer as a sale.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In certain transactions Merrill Lynch takes exposure through
total return swaps to the underlying collateral held in the
CLNs, including super senior
<font style="white-space: nowrap">U.S. sub-prime</font>
ABS CDOs. Generally, the assets held by these VIEs were not
transferred into these VIEs by Merrill Lynch. Unconsolidated CLN
transactions are reported in the Sponsor/Significant VIH table.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch is the primary beneficiary of two VIEs that invest
in alternative investment funds which are controlled by third
party fund managers. These entities are considered VIEs because
the equity holders do not have control through voting rights.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<u><font style="font-family: 'Times New Roman', Times">Collateralized
Debt Obligations/Collateralized Loan Obligations
(CDO/CLOs)</font></u>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has entered into transactions with entities that
issue CDOs, synthetic CDOs and CLOs. These entities are
generally considered VIEs. CDOs hold pools of corporate debt or
asset-backed securities and issue various classes of rated debt
and an unrated equity tranche. Synthetic CDOs purchase assets
and enter into a portfolio of credit default swaps to
synthetically create exposure to corporate or asset-backed
securities. CLOs hold pools of loans (corporate, commercial
mortgages and residential mortgages) and issue various classes
of rated debt and an unrated equity tranche. CDOs, synthetic
CDOs and CLOs are typically managed by third party portfolio
managers. Merrill Lynch transfers assets to these VIEs, holds
interests in the issuances of the
VIEs and may be a derivative counterparty to the VIEs (including
a credit default swap counterparty for synthetic CDOs). Merrill
Lynch typically owns less than half of any tranche issued by the
VIE and is therefore not the primary beneficiary. Where Merrill
Lynch holds more than half of any tranche issued by a VIE, a
quantitative analysis is performed to determine whether or not
Merrill Lynch is the primary beneficiary. Most transactions with
these VIEs are reflected in the Sponsor/Significant VIH table.
Transactions with CDO/CLOs where Merrill Lynch is the primary
beneficiary are reported in the Consolidated VIEs table.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<u><font style="font-family: 'Times New Roman', Times">Municipal
Bond Securitizations</font></u>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Municipal Bond Securitizations are transactions where Merrill
Lynch transfers municipal bonds to SPEs and those SPEs issue
puttable floating rate instruments and a residual interest in
the form of an inverse floater. These SPEs are QSPEs and are
therefore not consolidated by Merrill Lynch. Merrill Lynch
reports these SPEs in the securitization table below.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In the normal course of dealer market-making activities, Merrill
Lynch acts as liquidity provider for municipal bond
securitization SPEs. Specifically, the holders of beneficial
interests issued by municipal bond securitization SPEs have the
right to tender their interests for purchase by Merrill Lynch on
specified dates at a specified price. Beneficial interests that
are tendered are then sold by Merrill Lynch to investors through
a best efforts remarketing where Merrill Lynch is the
remarketing agent. If the beneficial interests are not
successfully remarketed, the holders of beneficial interests are
paid from funds drawn under a standby liquidity facility issued
by Merrill Lynch.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 4%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In addition to standby liquidity facilities, Merrill Lynch also
provides default protection or credit enhancement to investors
in securities issued by certain municipal bond securitization
SPEs. Interest and principal payments on beneficial interests
issued by these SPEs are secured by a guarantee issued by
Merrill Lynch. In the event that the issuer of the underlying
municipal bond defaults on any payment of principal
<font style="white-space: nowrap">and/or</font>
interest when due, the payments on the bonds will be made to
beneficial interest holders from an irrevocable guarantee by
Merrill Lynch. Additional information regarding these
commitments is provided in Note 14.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Variable
Interest Entities</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
FIN 46(R) requires an entity to consolidate a VIE if that
entity holds a variable interest that will absorb a majority of
the VIE’s expected losses, receive a majority of the
VIE’s expected residual returns, or both. The entity
required to consolidate a VIE is known as the primary
beneficiary. VIEs are reassessed for consolidation when
reconsideration events occur. Reconsideration events include,
changes to the VIEs’ governing documents that reallocate
the expected losses/returns of the VIE between the primary
beneficiary and other variable interest holders or sales and
purchases of variable interests in the VIE. Refer to Note 1
for further information.
</div>
</div>
<!-- END PAGE WIDTH -->
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<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The table below provides the disclosure information required by
FSP
<font style="white-space: nowrap">FAS 140-4</font>
and
<font style="white-space: nowrap">FIN 46(R)-8</font>
for VIEs that are consolidated by Merrill Lynch. The table
excludes consolidated VIEs where Merrill Lynch also holds a
majority of the voting interests in the entity unless the
activities of the VIE are primarily related to securitization or
other forms of asset-backed financings.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="37%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="5%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="5%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="6%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="4%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="21" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" nowrap="nowrap" align="center" valign="bottom">
<b>Assets after intercompany<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Liabilities after<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Maximum<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b>Consolidated VIEs<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Total<br />
</b>
</td>
<td>
 
</td>
<td colspan="7" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>eliminations</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>intercompany<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Exposure<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b><font style="font-size: 10pt">Type of VIE</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Assets</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Unrestricted</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Restricted<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">eliminations</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">to
Loss<sup style="font-size: 85%; vertical-align: top">(2)</sup></font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Successor Company</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>June 30, 2009</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Loan and real estate
VIEs<sup style="font-size: 85%; vertical-align: top">(3)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,045
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
826
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,747
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,300
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,358
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Equity
Funds<sup style="font-size: 85%; vertical-align: top">(4)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
246
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
154
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
109
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
177
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Credit-linked note and other
VIEs<sup style="font-size: 85%; vertical-align: top">(5)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,908
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
613
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
777
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,322
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
CDOs/CLOs<sup style="font-size: 85%; vertical-align: top">(6)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,810
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
253
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,709
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,559
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Predecessor Company</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>December 26, 2008</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Loan and real estate
VIEs<sup style="font-size: 85%; vertical-align: top">(3)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,080
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,475
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,680
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,769
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,479
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Equity
Funds<sup style="font-size: 85%; vertical-align: top">(4)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
473
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
119
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
230
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
116
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Credit-linked note and other
VIEs<sup style="font-size: 85%; vertical-align: top">(5)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,643
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,221
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
CDOs/CLOs<sup style="font-size: 85%; vertical-align: top">(6)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
693
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
360
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
489
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
237
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Assets are considered
restricted when they cannot be freely pledged or sold by Merrill
Lynch.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">This column reflects Merrill
Lynch’s maximum exposure to loss associated with the VIE.
It includes the value of on balance sheet assets plus the
maximum exposure associated with off balance sheet instruments
(e.g., total return swaps) less any liabilities where the
investors do not have recourse to Merrill Lynch.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">For Loan and real estate VIEs,
assets are primarily recorded in loans, notes and mortgages.
Assets related to VIEs that hold real estate investments are
included in other assets. Liabilities are primarily recorded in
short and long-term borrowings.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(4) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">For Equity funds, assets are
reflected in trading assets and liabilities are reflected in
long-term borrowings.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(5) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">For CLNs and other VIEs, assets
are reflected in trading assets and investment securities and
liabilities are recorded in long-term borrowings.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(6) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">For CDOs/CLOs, assets are
primarily recorded in loans, notes and mortgages and liabilities
are recorded in long-term borrowings. Certain consolidated CDOs
are established to provide full recourse secured financing to
Merrill Lynch.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch may also be a Sponsor/Significant VIH in VIEs.
Where Merrill Lynch has involvement as a Sponsor/Significant
VIH, it is required to disclose the size of the VIE, the assets
and liabilities on its balance sheet related to transactions
with the VIE, and its maximum exposure to loss as a result of
its interest in the VIE.
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following table summarizes Merrill Lynch’s involvement
with Sponsor/Significant VIH VIEs as of June 30, 2009 and
December 26, 2008.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="43%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="5%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="6%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="6%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="17" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Assets on<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b> Liabilities on<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Maximum<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b><font style="font-size: 10pt">Sponsor/Significant VIH<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Merrill Lynch’s<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Merrill Lynch’s<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Exposure<br />
</font></b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b>Type of VIE</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Size of
VIE<sup style="font-size: 85%; vertical-align: top">(1)</sup></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance
Sheet<sup style="font-size: 85%; vertical-align: top">(2)</sup></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance
Sheet<sup style="font-size: 85%; vertical-align: top">(2)</sup></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>to
Loss<sup style="font-size: 85%; vertical-align: top">(3)</sup></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="17" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Successor Company</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>June 30, 2009</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Loan and real estate
VIEs<sup style="font-size: 85%; vertical-align: top">(4)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
733
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
370
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
370
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Equity
Funds<sup style="font-size: 85%; vertical-align: top">(5)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,934
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
338
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
498
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
338
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Credit-linked note and other
VIEs<sup style="font-size: 85%; vertical-align: top">(6)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,783
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,399
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
298
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,097
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
CDOs/CLOs<sup style="font-size: 85%; vertical-align: top">(7)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
51,926
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,824
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,229
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,752
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" style="border-top: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Predecessor Company</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>December 26, 2008</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Loan and real estate
VIEs<sup style="font-size: 85%; vertical-align: top">(4)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,761
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
712
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
61
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
712
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Equity
Funds<sup style="font-size: 85%; vertical-align: top">(5)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,898
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
312
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
537
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
312
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Credit-linked note and other
VIEs<sup style="font-size: 85%; vertical-align: top">(6)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,257
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,889
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
986
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,452
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
CDOs/CLOs<sup style="font-size: 85%; vertical-align: top">(7)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
59,475
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,584
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
344
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,155
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="17" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Size generally reflects the
estimated principal of securities issued by the VIE or the
principal of the underlying assets held by the VIE and serves to
provide information on the relative size of the VIE as compared
to Merrill Lynch’s involvement with the VIE.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Assets and Liabilities on
Merrill Lynch’s Balance Sheet reflect the effect of
FIN 39 balance sheet netting, if applicable.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">The maximum exposure to loss
includes: the assets held by Merrill Lynch — including
the value of derivatives that are in an asset position, and the
notional amount of liquidity and other support provided to VIEs
generally through total return swaps over the assets of the VIE.
The maximum exposure to loss for liquidity and other support
assumes a total loss on the referenced assets held by the
VIE.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(4) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Loan and real estate VIE assets
primarily include loans recorded in loans, notes and mortgages
and derivatives recorded in trading assets. Liabilities include
derivatives recorded in trading liabilities.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(5) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Equity fund assets include cash
instruments and derivatives recorded in trading assets.
Liabilities are recorded in payables under repurchase agreements
in instances where assets were transferred but the transfer did
not meet the sale requirements of SFAS No. 140, or
trading liabilities for derivatives.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(6) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">CLN and other VIE assets
include derivatives and are recorded in trading assets.
Liabilities are recorded in payables under repurchase agreements
in instances where assets were transferred but the transfer did
not meet the sale requirements of SFAS No. 140, or
trading liabilities for derivatives. In certain transactions,
Merrill Lynch enters into total return swaps over assets held by
the VIEs. Maximum exposure to loss represents the sum of the
notional amount of these derivatives and the value of any assets
on Merrill Lynch’s balance sheet.</font></i></td>
</tr>
<tr>
<td valign="top">
<i><font style="font-size: 10pt">(7) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">CDO/CLO assets and liabilities
are primarily derivatives recorded in trading
assets/liabilities.</font></i></td>
</tr>
</table>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Securitizations</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In the normal course of business, Merrill Lynch securitizes
commercial and residential mortgage loans, municipal,
government, and corporate bonds, and other types of financial
assets (as described above). In addition, Merrill Lynch sells
financial assets to entities that are controlled and
consolidated by third parties and provides financing to these
entities under asset-backed financing arrangements (these
transactions are reflected in Non-QSPEs Loans and real estate
entities below). Merrill Lynch’s involvement with VIEs that
are used to securitize financial assets includes: structuring
<font style="white-space: nowrap">and/or</font>
establishing VIEs; selling assets to VIEs; managing or servicing
assets held by VIEs; underwriting, distributing, and making
loans to VIEs; making markets in securities issued by VIEs;
engaging in derivative transactions with VIEs; owning notes or
certificates issued by VIEs;
<font style="white-space: nowrap">and/or</font>
providing liquidity facilities and other guarantees to, or for
the benefit of, VIEs. In many instances Merrill Lynch
has continued involvement with the transferred assets, including
servicing, retaining or holding an interest in the issuances of
the VIE, providing liquidity and other support to the VIEs or
investors in the VIEs, and entering into derivative contracts
with the VIEs.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The table below categorizes securitization transactions between
QSPEs and non-QSPEs. Transactions with CLNs and CDO/CLOs, which
have been accounted for as sales under SFAS No. 140
are reflected in the Sponsor/Significant VIH table above.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="38%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="5%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="6%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="1%"> </td><!-- colindex=04 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="6%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="1%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="1%"> </td><!-- colindex=06 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="2%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="1%"> </td><!-- colindex=07 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="2%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="25" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Maximum<br />
</b>
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Year-to-date</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b><font style="font-size: 9pt">Securitization Transactions<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Size/Principal<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Assets on<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Liabilities on<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Exposure to<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">(Loss)<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Cash<br />
</font></b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b>Type of Entity</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Outstanding<sup style="font-size: 85%; vertical-align: top">(1)</sup></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance
Sheet<sup style="font-size: 85%; vertical-align: top">(2)</sup></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Balance
Sheet<sup style="font-size: 85%; vertical-align: top">(2)</sup></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Loss<sup style="font-size: 85%; vertical-align: top">(3)</sup></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>on Sale</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Flows</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Successor Company</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>June 30, 2009</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>QSPEs:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Residential Mortgage
Loans<sup style="font-size: 85%; vertical-align: top">(4)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
44,022
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,275
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
126
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,284
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
188
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Municipal
Bonds<sup style="font-size: 85%; vertical-align: top">(5)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,477
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
829
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
498
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,314
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
343
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Commercial Loans and
Other<sup style="font-size: 85%; vertical-align: top">(6)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,267
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
247
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
348
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Non-QSPEs:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Loan and real estate
VIEs<sup style="font-size: 85%; vertical-align: top">(7)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,437
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,861
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,932
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
297
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Predecessor Company</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>December 26, 2008</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>QSPEs:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Residential Mortgage
Loans<sup style="font-size: 85%; vertical-align: top">(4)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
78,162
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,667
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
207
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,654
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,141
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Municipal
Bonds<sup style="font-size: 85%; vertical-align: top">(5)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,377
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
487
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
674
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,644
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,824
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Commercial Loans and
Other<sup style="font-size: 85%; vertical-align: top">(6)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18,366
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
288
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
288
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,091
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Non-QSPEs:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Loan and real estate
VIEs<sup style="font-size: 85%; vertical-align: top">(7)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,182
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,757
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,757
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(22
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,035
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Size/Principal Outstanding
reflects the estimated principal of the underlying assets held
by the VIE/SPEs.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Assets and Liabilities on
Merrill Lynch’s Balance Sheet reflect the effect of
FIN 39 balance sheet netting, if applicable.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">The maximum exposure to loss
includes the following: the assets held by Merrill
Lynch — including the value of derivatives that are in
an asset position and retained interests in the VIEs/SPEs; and
the notional amount of liquidity and other support generally
provided through total return swaps. The maximum exposure to
loss for liquidity and other support assumes a total loss on the
referenced assets held by the VIE.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(4) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Residential mortgage loan QSPE
assets primarily include servicing advances recorded in other
assets and derivatives recorded in trading assets. Liabilities
include derivatives recorded in trading liabilities.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(5) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Municipal bond QSPE assets
include cash instruments recorded in trading assets and
investment securities. Liabilities include derivatives recorded
in trading liabilities. At June 30, 2009 and
December 26, 2008, the carrying value of the liquidity and
other support related to these transactions was
$498 million and $674 million, respectively.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(6) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Commercial loans and other
QSPEs primarily include commercial mortgage securitizations.
Assets include cash instruments and derivatives, primarily
recorded in trading assets. Liabilities include derivatives
recorded in trading liabilities.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(7) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Loan and real estate entity
assets are recorded in loans, notes and mortgages and relate to
asset-backed financing arrangements, which include the sale of
U.S. super senior ABS CDOs in 2008 to an affiliate of Lone Star
Funds.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In certain instances, Merrill Lynch retains interests in the
senior tranche, subordinated tranche,
<font style="white-space: nowrap">and/or</font>
residual tranche of securities issued by VIEs that are created
to securitize assets. The gain or loss on the sale of the assets
is determined with reference to the previous carrying amount of
the financial assets transferred, which is allocated between the
assets sold and the retained interests, if any, based on their
relative fair values at the date of transfer.
</div>
</div>
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<div style="margin-left: 0%">
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Generally, retained interests and contracts that are used to
provide support to the VIE or the investors are recorded in the
Condensed Consolidated Balance Sheets at fair value. To obtain
fair values, observable market prices are used if available.
Where observable market prices are unavailable, Merrill Lynch
generally estimates fair value based on the present value of
expected future cash flows using management’s best
estimates of credit losses, prepayment rates, forward yield
curves, and discount rates, commensurate with the risks
involved. Retained interests are either held as trading assets,
with changes in fair value recorded in the Condensed
Consolidated Statements of Earnings/(Loss), or as investment
securities
<font style="white-space: nowrap">available-for-sale,</font>
with changes in fair value included in OCI.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Retained interests held as
<font style="white-space: nowrap">available-for-sale</font>
securities are reviewed periodically for impairment. In certain
cases liquidity facilities are accounted for as guarantees under
FIN 45 (refer to Note 14 for more information) and a
liability is recorded at fair value at the inception of the
transaction.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Retained interests in securitized assets were approximately
$1.0 billion and $1.8 billion at June 30, 2009
and December 26, 2008, respectively, which primarily
relates to municipal bond securitization transactions. Retained
interests in securitized assets do not include loans made to
entities under asset-backed financing arrangements.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following table presents information on retained interests
excluding the offsetting benefit of financial instruments used
to hedge risks, held by Merrill Lynch as of June 30, 2009,
which arise from Merrill Lynch’s municipal bond
securitization transactions. The pre-tax sensitivities of the
current fair value of the retained interests to immediate 10%
and 25% favorable and adverse changes in assumptions and
parameters are also shown.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="89%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="5" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Municipal<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Bonds</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="5" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Retained interest amount
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
829
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Weighted average credit losses (rate per
annum)<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
0.0
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 10% favorable change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 25% favorable change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 10% adverse change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 25% adverse change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Weighted average discount rate
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5.02
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 10% favorable change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
40
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 25% favorable change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
117
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 10% adverse change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(18
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 25% adverse change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(29
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Weighted average life (in years)
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Weighted average prepayment speed
(CPR)<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
0.0
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 10% favorable change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 25% favorable change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 10% adverse change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Impact on fair value of 25% adverse change
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<i><font style="font-size: 10pt">CPR=Constant Prepayment
Rate</font></i>
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Credit losses are computed only
on positions for which expected credit loss is either a key
assumption in the determination of fair value or is not
reflected in the discount rate.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Relates to select
securitization transactions where assets are prepayable. Merrill
Lynch does not hold any retained interest where the underlying
assets are prepayable.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The preceding sensitivity analysis is hypothetical and should be
used with caution. In particular, the effect of a variation in a
particular assumption on the fair value of the retained interest
is calculated independent of changes in any other assumption; in
practice, changes in one factor may result in
changes in another, which might magnify or counteract the
sensitivities. Further, changes in fair value based on a 10% or
25% variation in an assumption or parameter generally cannot be
extrapolated because the relationship of the change in the
assumption to the change in fair value may not be linear. Also,
the sensitivity analysis does not include the offsetting benefit
of financial instruments that Merrill Lynch utilizes to hedge
risks, including credit, interest rate, and prepayment risk,
that are inherent in the retained interests. These hedging
strategies are structured to take into consideration the
hypothetical stress scenarios above, such that they would be
effective in principally offsetting Merrill Lynch’s
exposure to loss in the event that these scenarios occur.
</div>
</div>
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<head></head>
<body>
<!-- Begin Block Tagged Note 10 - mer:LoansNotesMortgagesAndRelatedCommitmentsToExtendCreditTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 10.
Loans, Notes, Mortgages and Related Commitments to Extend
Credit<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Loans, notes, mortgages and related commitments to extend credit
include:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="4%"></td>
<td width="2%"></td>
<td width="94%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
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
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> </td>
<td> • 
</td>
<td align="left">
Commercial loans including corporate and institutional loans
(including corporate and financial sponsor, non-investment grade
lending commitments), commercial mortgages, asset-based loans,
small- and middle-market business loans, and other loans to
businesses.
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Loans, notes, mortgages and related commitments to extend credit
at June 30, 2009 and December 26, 2008, are presented
below. This disclosure includes commitments to extend credit
that, if drawn upon, will result in loans held for investment or
loans held for sale.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="51%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutterleft -->
<td width="1%"> </td><!-- colindex=03 type=gutterright -->
<td width="6%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="6%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="3%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="1%"> </td><!-- colindex=05 type=gutterleft -->
<td width="1%"> </td><!-- colindex=05 type=gutterright -->
<td width="6%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="6%" align="left"> </td><!-- colindex=05 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="19" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>dollars (in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="8" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Loans</b>
</td>
<td>
 
</td>
<td colspan="8" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Commitments<sup style="font-size: 85%; vertical-align: top">(1)</sup></b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Successor<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Predecessor<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Successor<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Predecessor<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Company</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Company</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Company</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Company</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>December 26,<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>December 26,<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2009</font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2008</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2009<sup style="font-size: 85%; vertical-align: top">(2)(3)</sup></font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="19" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Consumer:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Mortgages
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29,223
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29,397
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,366
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,269
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17,775
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,360
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,538
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,582
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Commercial and small- and middle-market business:</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Investment grade
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
16,093
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17,321
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20,342
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
28,269
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Non-investment grade
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
25,430
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
23,184
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12,474
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9,291
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
88,521
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
71,262
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
42,720
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
48,411
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Allowance for loan losses
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(242
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,072
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Reserve for lending-related
commitments<sup style="font-size: 85%; vertical-align: top">(4)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,062
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(2,471
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Total, net</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
88,279
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
69,190
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
40,658
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45,940
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="19" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="19" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Commitments are outstanding as
of the date the commitment letter is issued and are comprised of
closed and contingent commitments. Closed commitments represent
the unfunded portion of existing commitments available for draw
down. Contingent commitments are contingent on the borrower
fulfilling certain conditions or upon a particular event, such
as an acquisition. A portion of these contingent commitments may
be syndicated among other lenders or replaced with capital
markets funding.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">See Note 14 for a maturity
profile of these commitments.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">In addition to the loan
origination commitments included in the table above, Merrill
Lynch had agreements to purchase $693 million of loans
that, upon settlement of the commitment, will be classified in
loans held for investment and loans held for sale. See
Note 14 for additional information.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(4) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Amounts are included within
other payables on the Condensed Consolidated Balance
Sheets.</font></i></td>
</tr>
</table>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Activity in the allowance for loan losses is presented below:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="58%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="8%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutterleft -->
<td width="1%"> </td><!-- colindex=03 type=gutterright -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="10" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">June 30, 2009</font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">June 27, 2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="10" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Allowance for loan losses, at beginning of
period<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
533
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Provision for loan losses
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
237
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
170
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Charge-offs
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(104
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Recoveries
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Net recoveries (charge-offs)
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(98
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Allowance for loan losses, at end of period
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
242
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
602
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">The allowance for loan losses
as of December 26, 2008 was eliminated as of
January 1, 2009 as a result of purchase accounting
adjustments.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Consumer loans, substantially all of which are collateralized,
consisted of approximately 317,000 individual loans at
June 30, 2009. Commercial loans consisted of approximately
19,000 separate loans. The principal balance of non-accrual
loans was $3.3 billion at June 30, 2009 and
$2.5 billion at December 26, 2008. The investment
grade and non-investment grade categorization is determined
using the credit rating agency equivalent of internal credit
ratings. Non-investment grade counterparties are those rated
lower than the BBB- category.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The above amounts include $8.7 billion and
$11.5 billion of loans held for sale at June 30, 2009
and December 26, 2008, respectively. Loans held for sale
are loans that management expects to sell prior to maturity. At
June 30, 2009, such loans consisted of $4.0 billion of
consumer loans, primarily residential mortgages and automobile
loans, and $4.7 billion of commercial loans, approximately
13% of which are to investment grade counterparties. At
December 26, 2008, such loans consisted of
$4.0 billion of consumer loans, primarily residential
mortgages and automobile loans, and $7.5 billion of
commercial loans, approximately 15% of which were to investment
grade counterparties.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In some cases, Merrill Lynch enters into single name and index
credit default swaps to mitigate credit exposure related to
funded and unfunded commercial loans. The notional value of
these swaps totaled $12.1 billion and $13.2 billion at
June 30, 2009 and December 26, 2008, respectively. The
following tables provide information regarding Merrill
Lynch’s net credit default protection associated with its
funded and unfunded commercial loans as of June 30, 2009:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="91%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="5" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Net Credit Default Protection by Maturity Profile</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="5" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 10pt">
Less than or equal to one year
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 10pt">
Greater than one year and less than or equal to five years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
84
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 10pt">
Greater than five years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 20pt">
<b>Total net credit default protection</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
100
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" valign="top">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 0pt; font-size: 1pt">
</div>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="83%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="2%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="9" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Net Credit Default Protection by Credit Exposure Debt
Rating</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="9" nowrap="nowrap" align="left" valign="bottom">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>2009</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Net<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b>Ratings<sup style="font-size: 85%; vertical-align: top">(1)</sup></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Notional</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Percent</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="9" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
AAA
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
AA
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,305
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10.8
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
A
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3,930
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
32.5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
BBB
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,715
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
38.9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
BB
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,024
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8.5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
B
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(179
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1.5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
CCC and below
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(826
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6.8
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
NR
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(124
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1.0
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Total net credit default protection</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(12,103
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
100.0
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Merrill Lynch considers ratings
of BBB- or higher to meet the definition of investment
grade.</font></i></td>
</tr>
</table>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Effect of
the Acquisition of Merrill Lynch by Bank of America</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Upon completion of the acquisition of Merrill Lynch by Bank of
America, Merrill Lynch adjusted the carrying value of its loans
to fair value. Certain of these loans were subject to the
requirements of
<font style="white-space: nowrap">SOP 03-3,</font>
which addresses accounting for differences between contractual
cash flows and cash flows expected to be collected from an
investor’s initial investment in loans if those differences
are attributable, at least in part, to credit quality.
<font style="white-space: nowrap">SOP 03-3</font>
requires impaired loans to be recorded at estimated fair value
and prohibits “carrying over” or the creation of
valuation allowances in the initial accounting for loans
acquired in a transfer that are within the scope of this SOP.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The estimated fair values for loans within the scope of
<font style="white-space: nowrap">SOP 03-3</font>
are determined by discounting cash flows expected to be
collected using a discount rate for similar instruments with
adjustments that management believes a market participant would
consider in determining fair value. Cash flows expected to be
collected at acquisition are estimated using internal
prepayment, interest rate and credit risk models that
incorporate management’s best estimate of certain key
assumptions, such as default rates, loss severity and prepayment
speeds. All other loans were remeasured at the present value of
contractual payments discounted to the prevailing interest rates
on the date of acquisition.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Under
<font style="white-space: nowrap">SOP 03-3,</font>
the excess of cash flows expected at acquisition over the
estimated fair value is referred to as the accretable yield and
is recognized in interest income over the remaining life of the
loans. The difference between contractually required payments at
acquisition and the cash flows expected to be collected at
acquisition is referred to as the nonaccretable difference.
Changes in the expected cash flows from the date of acquisition
will either impact the accretable yield or result in a charge to
the provision for credit losses. Subsequent decreases to
expected principal cash flows will result in a charge to
provision for credit losses and a corresponding increase to
allowance for loan losses. Subsequent increases in expected
principal cash flows will result in recovery of any previously
recorded allowance for loan losses, to the extent applicable,
and an increase from expected cash flows to accretable yield for
any remaining increase. All changes in expected interest cash
flows will result in an increase or decrease of accretable yield.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In connection with Merrill Lynch’s acquisition by Bank of
America, loans within the scope of
<font style="white-space: nowrap">SOP 03-3</font>
had an unpaid principal balance of $5.6 billion
($2.7 billion consumer and $2.9 billion commercial)
and a carrying value of $4.2 billion ($2.3 billion
consumer and $1.9 billion commercial) as of January 1,
2009. These loans had an unpaid principal balance of
$5.3 billion ($2.6 billion
consumer and $2.7 billion commercial) and a carrying value
of $3.5 billion ($2.1 billion consumer and
$1.4 billion commercial, net of allowance for loan losses)
as of June 30, 2009. The following table provides details
of these loans.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="79%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="9%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="9%" align="left"> </td><!-- colindex=02 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<b><font style="font-size: 10pt">SOP 03-3 Loans<br />
</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<i>(dollars in millions)</i>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>As of January 1, 2009</b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="5" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 10pt">
Contractually required payments including interest
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,205
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 10pt">
Less: Nonaccretable difference
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,357
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 20pt">
Cash flows expected to be
collected<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,848
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 10pt">
Less: Accretable yield
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(627
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 20pt">
Fair value of loans acquired
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4,221
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" valign="top">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Represents undiscounted
expected principal and interest cash flows at the acquisition
date (January 1, 2009).</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following table provides activity for the accretable yield
of loans within the scope of
<font style="white-space: nowrap">SOP 03-3</font>
for the three and six months ended June 30, 2009.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="59%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="9%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="9%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="8%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="9" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2009</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Accretable yield, beginning of period
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
566
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
627
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Accretions
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(41
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(97
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Disposals
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(8
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Increase in expected cash
flows<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Accretable yield, June 30, 2009
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
551
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
551
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Represents reclassifications
to/from nonaccretable difference, increases/decreases in
interest cash flows due to prepayments and/or changes in
interest.</font></i></td>
</tr>
</table>
</div>
</body>
</html>
<!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" -->
<html>
<head></head>
<body>
<!-- Begin Block Tagged Note 11 - us-gaap:GoodwillAndIntangibleAssetsDisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 11.
Goodwill and Intangible Assets<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In connection with the acquisition of Merrill Lynch by Bank of
America, the carrying value of Merrill Lynch’s goodwill as
of December 26, 2008 was eliminated. New goodwill was
recorded on January 1, 2009. In addition, as of
January 1, 2009, certain intangible assets were adjusted to
their fair value and new intangible assets (e.g. trade name)
were recorded. Refer to Note 2 for further information.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Goodwill</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Goodwill is the cost of an acquired company in excess of the
fair value of identifiable net assets at the acquisition date.
Goodwill is tested annually (or more frequently under certain
conditions) for impairment at the reporting unit level in
accordance with SFAS No. 142, <i>Goodwill and Other
Intangible Assets. </i>If the fair value of the reporting unit
exceeds the carrying value, goodwill is not deemed to be
impaired. If the fair value is less than the carrying value, a
further analysis is required to determine the amount of
impairment, if any.
</div>
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<div style="margin-left: 0%">
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The following table sets forth the carrying amount of Merrill
Lynch’s goodwill:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="93%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<i><font style="font-size: 10pt">(dollars in millions)</font></i>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="5" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Predecessor Company - <br />
Goodwill, December 26,
2008<sup style="font-size: 85%; vertical-align: top">(1)</sup></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,221
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="top">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Successor Company - <br />
Goodwill, June 30,
2009<sup style="font-size: 85%; vertical-align: top">(2)(3)</sup></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,044
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" valign="top">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Predecessor Company goodwill as
of December 26, 2008 was eliminated as of January 1,
2009 as a result of purchase accounting adjustments.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Refer to Note 2 for
further information.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Balance remains unchanged since
January 1, 2009.</font></i></td>
</tr>
</table>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Intangible
Assets</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Intangible assets with definite lives at June 30, 2009 and
December 26, 2008 consist primarily of value assigned to
customer relationships and core deposits. Intangible assets with
definite lives are tested for impairment in accordance with
SFAS No. 144, <i>Accounting for the Impairment or
Disposal of Long-Lived Assets</i>,
(“SFAS No. 144”) whenever certain conditions
exist which would indicate the carrying amounts of such assets
may not be recoverable. Intangible assets with definite lives
are amortized over their respective estimated useful lives.
Intangible assets with indefinite lives consist of value
assigned to the Merrill Lynch brand and are tested for
impairment in accordance with SFAS No. 142. Intangible
assets with indefinite lives are not amortized.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The gross carrying amounts of intangible assets with definite
lives were $4.5 billion and $611 million as of
June 30, 2009 and December 26, 2008, respectively.
Accumulated amortization of intangible assets amounted to
$225 million and $216 million at June 30, 2009 and
December 26, 2008, respectively. The gross carrying amounts
of intangible assets with indefinite lives were
$1.2 billion as of June 30, 2009.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Amortization expense for the three and six months ended
June 30, 2009 was $113 million and $225 million,
respectively, compared with $29 million and
$53 million for the three and six months ended
June 27, 2008. Aggregate amortization expense is expected
to be approximately $450 million per year for each of the
next five years through 2014.
</div>
</div>
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<head></head>
<body>
<!-- Begin Block Tagged Note 12 - mer:BorrowingsAndDepositsTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 12.
Borrowings and Deposits<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Prior to Merrill Lynch’s acquisition by Bank of America,
ML & Co. was the primary issuer of all of Merrill
Lynch’s debt instruments. Debt instruments were also issued
by certain subsidiaries. ML & Co. is no longer a
primary issuer of new unsecured borrowings under the Bank of
America platform.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Following the completion of Bank of America’s acquisition
of Merrill Lynch, ML & Co. became a subsidiary of Bank
of America and established intercompany lending and borrowing
arrangements to facilitate centralized liquidity management.
Included in these intercompany agreements is an initial
$75 billion one-year, revolving unsecured line of credit
that allows ML & Co. to borrow funds from Bank of
America for operating requirements at a spread to LIBOR that is
reset periodically and is consistent with other intercompany
agreements. The maturity date for this credit line is
January 1, 2010. The credit line will automatically be
extended by one year to the succeeding January 1st unless Bank
of America provides written notice not to extend at least
45 days prior to the maturity date. The agreement does not
contain any financial or other covenants. During the first six
months of 2009, ML & Co. periodically borrowed against
the line of credit and had an outstanding borrowing of
$6.0 billion at June 30, 2009 which is included within
payables to Bank of America on the Condensed Consolidated
Balance Sheet (see Note 20).
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The value of Merrill Lynch’s debt instruments as recorded
on the Condensed Consolidated Balance Sheets does not
necessarily represent the amount that will be repaid at
maturity. This is due to the following:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="text-align: left">
<tr>
<td width="1%"></td>
<td width="99%"></td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> As a result of the acquisition by Bank of America, all debt
instruments were adjusted to their fair value on January 1,
2009;
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> 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);
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> 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
</td>
</tr>
<tr style="line-height: 6pt; font-size: 1pt">
<td> </td>
</tr>
<tr valign="top" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<td> • 
</td>
<td align="left"> Certain debt issuances are adjusted for the impact of fair value
hedge accounting (see Note 6).
</td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Total borrowings at June 30, 2009 and December 26,
2008, which are comprised of short-term borrowings, long-term
borrowings and junior subordinated notes (related to trust
preferred securities), consisted of the following:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="58%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="8%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutterleft -->
<td width="1%"> </td><!-- colindex=03 type=gutterright -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="10" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>December 26,<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2009</font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="10" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Senior debt issued by ML & Co. 
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
89,635
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
140,615
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Senior debt issued by subsidiaries — guaranteed by
ML & Co. 
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7,518
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,598
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Senior structured notes issued by ML & Co. 
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
33,125
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
34,541
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Senior structured notes issued by subsidiaries —
guaranteed by ML & Co. 
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18,185
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
24,048
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Subordinated debt issued by ML & Co. 
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,965
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,317
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Junior subordinated notes (related to trust preferred securities)
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,540
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,256
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Other subsidiary financing —
non-recourse<sup style="font-size: 85%; vertical-align: top">(1)</sup>
and/or not guaranteed by ML & Co. 
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,471
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,454
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Total
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
168,439
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
242,829
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Other subsidiary
financing — non-recourse is primarily attributable to
collateralized borrowings of subsidiaries.</font></i></td>
</tr>
</table>
</div>
<!-- END PAGE WIDTH -->
<!-- PAGEBREAK -->
<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 6pt; margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Borrowings and deposits at June 30, 2009 and
December 26, 2008, are presented below:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="58%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="8%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutterleft -->
<td width="1%"> </td><!-- colindex=03 type=gutterright -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="10" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>December 26,<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2009</font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="10" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Short-term borrowings</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Commercial
paper<sup style="font-size: 85%; vertical-align: top">(1)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20,104
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Secured short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14,137
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Other unsecured short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,925
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,654
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Total
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,934
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
37,895
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Long-term
borrowings<sup style="font-size: 85%; vertical-align: top">(2)</sup></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Fixed-rate
obligations<sup style="font-size: 85%; vertical-align: top">(3)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79,923
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
101,403
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Variable-rate
obligations<sup style="font-size: 85%; vertical-align: top">(4)(5)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
83,029
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
96,511
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Zero-coupon contingent convertible debt
(LYONs<sup style="font-size: 85%; vertical-align: text-top">®</sup>)
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,599
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Other obligations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
165
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Total
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
162,965
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
199,678
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
<b>Deposits</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
U.S. 
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
85,722
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
79,528
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
<font style="white-space: nowrap">Non-U.S. </font>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
16,005
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
16,579
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 20pt">
Total
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
101,727
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
96,107
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">The decrease in commercial
paper reflects the repayment of borrowings under the Federal
Reserve’s liquidity backstop for U.S. issuers of commercial
paper and the FDIC’s Temporary Liquidity Guarantee
Program.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Excludes junior subordinated
notes (related to trust preferred securities).</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Fixed-rate obligations are
generally swapped to variable-rates.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(4) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Variable interest rates are
generally based on rates such as LIBOR, the U.S. Treasury Bill
Rate, or the Federal Funds Rate.</font></i></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(5) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Includes structured
notes.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
See Note 5 for additional information on the fair value of
the long-term borrowings.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The weighted-average interest rates for borrowings at
June 30, 2009 and December 26, 2008 (excluding
structured products) were as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="58%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="8%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutterleft -->
<td width="1%"> </td><!-- colindex=03 type=gutterright -->
<td width="10%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="10%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="10" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>June 30,<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>December 26,<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2009</font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="10" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
0.84
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2.95
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Long-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3.59
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
4.65
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Junior subordinated notes (related to trust preferred securities)
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6.93
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6.83
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="10" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch also obtains standby letters of credit from
issuing banks to satisfy various counterparty collateral
requirements, in lieu of depositing cash or securities
collateral. Such standby letters of credit aggregated
$1.4 billion and $2.6 billion at June 30, 2009
and December 26, 2008, respectively.
</div>
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</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Long-Term
Borrowings</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
At June 30, 2009, long-term borrowings mature as follows:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="85%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="1%" align="left"> </td><!-- colindex=03 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<i><font style="font-size: 10pt">(dollars in millions)</font></i>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="9" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Less than 1 year
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
37,815
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
23
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
1  – 2 years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17,836
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
2<sup style="font-size: 85%; vertical-align: top">+</sup> –
3 years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
22,105
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
3<sup style="font-size: 85%; vertical-align: top">+</sup> –
4 years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
19,798
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
4<sup style="font-size: 85%; vertical-align: top">+</sup> –
5 years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18,028
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Greater than 5 years
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
47,383
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Total
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
162,965
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
100
</td>
<td nowrap="nowrap" align="left" valign="bottom">
%
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="9" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Certain long-term borrowing agreements contain provisions
whereby the borrowings are redeemable at the option of the
holder (“put” options) at specified dates prior to
maturity. These borrowings are reflected in the above table as
maturing at their put dates, rather than their contractual
maturities. Management believes, however, that a portion of such
borrowings will remain outstanding beyond their earliest
redemption date.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Certain structured notes whose coupon or repayment terms are
linked to the performance of debt and equity securities,
indices, currencies or commodities maturities may be accelerated
based on the value of a referenced index or security, in which
case Merrill Lynch may be required to immediately settle the
obligation for cash or other securities. These notes are
included in the portion of long-term debt maturing in less than
a year.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Senior and subordinated debt obligations issued by
ML & Co. and senior debt issued by subsidiaries and
guaranteed by ML & Co. did not contain provisions that
could, upon an adverse change in ML & Co.’s
credit rating, financial ratios, earnings, cash flows, trigger a
requirement for an early payment, additional collateral support,
changes in terms, acceleration of maturity, or the creation of
an additional financial obligation, except for an immaterial
amount of Floating Rate
LYONs<i><sup style="font-size: 85%; vertical-align: top"><sup style="font-size: 85%; vertical-align: text-top">®</sup></sup></i>.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Floating
Rate LYONs</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The completion of Bank of America’s acquisition of Merrill
Lynch on January 1, 2009, constituted a change in control
event under the terms of the LYONs. This required Merrill Lynch
to offer to repurchase the LYONs at the accreted price of
$1,095.98 for each $1,000 original principal amount. During the
six months ended June 30, 2009, Merrill Lynch repurchased
$1.6 billion original principal amount of LYONs for an
aggregate price of approximately $1.75 billion. At
June 30, 2009, $2.3 million of original principal
amount of the LYONs remained outstanding.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Committed
Credit Facilities</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Prior to Merrill Lynch’s acquisition by Bank of America,
Merrill Lynch maintained committed unsecured and secured credit
facilities to cover regular and contingent funding needs.
Following the completion of Bank of America’s acquisition
of Merrill Lynch on January 1, 2009, certain sources of
liquidity were centralized. During the quarter ended
March 31, 2009, ML & Co. repaid all outstanding
amounts and terminated all of its external committed unsecured
and secured credit facilities.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
See Note 9 of the 2008 Annual Report for additional
information on Borrowings.
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<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
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<b><font style="font-family: 'Times New Roman', Times">Note 13.
Stockholders’ Equity and Earnings Per Share<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
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<b><font style="font-family: 'Times New Roman', Times">Preferred
Equity</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As of the completion of the acquisition of Merrill Lynch by Bank
of America, ML & Co. Series 1 through
Series 8 preferred stock that were outstanding as of
December 26, 2008 were converted into Bank of America
preferred stock with substantially identical terms of the
corresponding series of ML & Co. preferred stock
(except for additional voting rights provided to the Bank of
America securities).
</div>
<div style="margin-top: 9pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Mandatory
Convertible</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
On July 28, 2008 Merrill Lynch issued an aggregate of
12,000 shares of newly issued 9% Non-Voting Mandatory
Convertible Non-Cumulative Preferred Stock, Series 2, par
value $1.00 per share and liquidation preference $100,000 per
share (the “Series 2 convertible preferred
stock”). On July 29, 2008 Merrill Lynch issued an
aggregate of 5,000 shares of newly issued 9% Non-Voting
Mandatory Convertible Non-Cumulative Preferred Stock,
Series 3, par value $1.00 per share and liquidation
preference $100,000 per share (the “Series 3
convertible preferred stock” and, together with the
Series 2 convertible preferred stock, the “new
convertible preferred stock”). The new convertible
preferred stock remained issued and outstanding subsequent to
the acquisition by Bank of America, but is now convertible into
Bank of America common stock. Each share of the Series 2
and Series 3 convertible preferred stock will be converted
on October 15, 2010 into a maximum of 2,605 shares and
3,820 shares, respectively, of Bank of America’s
common stock; however, they are optionally convertible prior to
that date into 2,227 shares and 3,265 shares,
respectively, of Bank of America’s common stock.
</div>
<div style="margin-top: 9pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Common
Stock</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As of the completion of the acquisition of Merrill Lynch by Bank
of America, each outstanding share of ML & Co. common
stock was converted into 0.8595 shares of Bank of America
common stock. Since January 1, 2009, there have been
1,000 shares of ML & Co. common stock
outstanding, all of which are owned by Bank of America.
</div>
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<b><font style="font-family: 'Times New Roman', Times">Earnings
Per Share</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Basic EPS is calculated by dividing earnings applicable to
common stockholders by the weighted-average number of common
shares outstanding. Diluted EPS is similar to basic EPS, but
adjusts for the effect of the potential issuance of common
shares. The following table presents the computations of basic
and diluted EPS for 2008. For 2009, such amounts are not
presented as Merrill Lynch is now a wholly-owned subsidiary of
Bank of America.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="49%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="5%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="5%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="1%"> </td><!-- colindex=04 type=gutterleft -->
<td width="1%"> </td><!-- colindex=04 type=gutterright -->
<td width="5%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="5%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="5%" align="left"> </td><!-- colindex=05 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="18" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions, except per share amounts)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ended June 30,<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ended June 30,<br />
</b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ended June 27,<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Ended June 27,<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">2009</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">2009</font></b>
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">2008</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">2008</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="18" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Net (loss)/earnings from continuing operations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,820
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,840
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,634
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6,603
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Net loss from discontinued operations
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Preferred stock dividends
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(38
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(53
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(237
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(411
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Net (loss)/earnings applicable to common
shareholders — for basic EPS</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,858
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,787
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,891
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(7,027
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Net (loss)/earnings applicable to common
shareholders — for diluted EPS</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(1,858
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,787
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4,891
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(7,027
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="18" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="18" style="border-top: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<i>(shares in thousands)</i>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Weighted-average basic shares
outstanding<sup style="font-size: 85%; vertical-align: top">(1)</sup></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
984,091
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
978,463
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Effect of dilutive instruments:
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Employee stock
options<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
FACAAP
shares<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Restricted shares and
units<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
Convertible
LYONs<sup style="font-size: 85%; vertical-align: text-top">®</sup><sup style="font-size: 85%; vertical-align: top">(3)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
ESPP
shares<sup style="font-size: 85%; vertical-align: top">(2)</sup>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Dilutive potential common shares
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Diluted
Shares<sup style="font-size: 85%; vertical-align: top">(4)</sup></b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
984,091
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
978,463
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="18" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="18" style="border-top: 1px solid #000000">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Basic EPS from continuing operations</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4.95
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(7.17
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Basic EPS from discontinued operations</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(0.02
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(0.01
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
<b>Basic EPS</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4.97
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(7.18
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Diluted EPS from continuing operations</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4.95
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(7.17
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Diluted EPS from discontinued operations</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(0.02
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(0.01
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 18pt">
<b>Diluted EPS</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
N/A
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(4.97
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(7.18
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
<b>Common shares outstanding at period end</b>
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,000
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,000
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td style="border-right: 1px solid #000000; padding-right: 2pt">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
985,376
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
985,376
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="18" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="18" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="3%"></td>
<td width="1%"></td>
<td width="96%"></td>
</tr>
<tr>
<td align="left" valign="top">
<i><font style="font-size: 10pt">N/A </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Earnings per share data is not
provided for the three and six months ended June 30, 2009,
as Merrill Lynch was a wholly-owned subsidiary of Bank of
America during that period.</font></i></td>
</tr>
<tr>
<td align="left" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Includes shares exchangeable
into common stock in 2008.</font></i></td>
</tr>
<tr>
<td align="left" valign="top">
<i><font style="font-size: 10pt">(2) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">See Note 13 of the 2008
Annual Report for a description of these items.</font></i></td>
</tr>
<tr>
<td align="left" valign="top">
<i><font style="font-size: 10pt">(3) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">See Note 12 for additional
information on
LYONs</font></i><font style="font-size: 10pt"><sup style="font-size: 85%; vertical-align: text-top">®</sup>.
</font></td>
</tr>
<tr>
<td align="left" valign="top">
<i><font style="font-size: 10pt">(4) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Due to the net loss for the
three and six months ended June 27, 2008, the diluted EPS
calculation excludes 300 million equity-related instruments
as they were antidilutive.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Basic and diluted loss per common share for the period from
December 27, 2008 to December 31, 2008 were both
$(0.10) per common share. The related weighted average shares
outstanding used to compute both basic and diluted loss per
common share was 1,600.3 million shares.
</div>
</div>
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<body>
<!-- Begin Block Tagged Note 14 - mer:CommitmentsContingenciesAndGuaranteesTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 14.
Commitments, Contingencies and Guarantees<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Litigation</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has been named as a defendant in various legal
actions, including arbitrations, class actions, and other
litigation arising in connection with its activities as a global
diversified financial services institution.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Some of the legal actions include claims for substantial
compensatory
<font style="white-space: nowrap">and/or</font>
punitive damages or claims for indeterminate amounts of damages.
In some cases, the issuers that would otherwise be the primary
defendants in such cases are bankrupt or otherwise in financial
distress. Merrill Lynch is also involved in investigations
<font style="white-space: nowrap">and/or</font>
proceedings by governmental and self-regulatory agencies.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch believes it has strong defenses to, and where
appropriate, will vigorously contest many of these matters.
Given the number of these matters, some are likely to result in
adverse judgments, penalties, injunctions, fines, or other
relief. Merrill Lynch may explore potential settlements before a
case is taken through trial because of the uncertainty, risks,
and costs inherent in the litigation process. In accordance with
SFAS No. 5, <i>Accounting for Contingencies</i>,
Merrill Lynch will accrue a liability when it is probable of
being incurred and the amount of the loss can be reasonably
estimated. In many lawsuits and arbitrations, including almost
all of the class action lawsuits, it is not possible to
determine whether a liability has been incurred or to estimate
the ultimate or minimum amount of that liability until the case
is close to resolution, in which case no accrual is made until
that time. In view of the inherent difficulty of predicting the
outcome of such matters, particularly in cases in which
claimants seek substantial or indeterminate damages, Merrill
Lynch cannot predict or estimate what the eventual loss or range
of loss related to such matters will be. Merrill Lynch continues
to assess these cases and believes, based on information
available to it, that the resolution of these matters will not
have a material adverse effect on the financial condition of
Merrill Lynch as set forth in the Condensed Consolidated
Financial Statements, but may be material to Merrill
Lynch’s operating results or cash flows for any particular
period and may impact ML & Co.’s credit ratings.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Commitments</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
At June 30, 2009 Merrill Lynch’s commitments had the
following expirations:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="57%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="3%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="2%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="2%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="2%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="21" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Commitment expiration</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Less than<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>1<sup style="font-size: 85%; vertical-align: top">+</sup> -
3<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>3<sup style="font-size: 85%; vertical-align: top">+</sup> -
5<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Over 5<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Total</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">1 year</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">years</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Lending commitments
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
42,720
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,029
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14,914
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,861
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,916
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Purchasing and other commitments
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,498
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,827
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
749
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,495
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,427
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Operating leases
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,894
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
759
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,301
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
886
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
948
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Commitments to enter into forward dated resale and securities
borrowing agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
89,612
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
89,612
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Commitments to enter into forward dated repurchase and
securities lending agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
73,080
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
73,080
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Total
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
215,804
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
179,307
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
16,964
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
11,242
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
8,291
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
</div>
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<div style="margin-left: 0%">
<!-- BEGIN PAGE WIDTH -->
<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Lending
Commitments</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch enters into commitments to extend credit,
predominantly at variable interest rates, in connection with
corporate finance, corporate and institutional transactions and
asset-based lending transactions. Clients may also be extended
loans or lines of credit collateralized by first and second
mortgages on real estate, certain liquid assets of small
businesses, or securities. These commitments usually have a
fixed expiration date and are contingent on certain contractual
conditions that may require payment of a fee by the
counterparty. Once commitments are drawn upon, Merrill Lynch may
require the counterparty to post collateral depending upon
creditworthiness and general market conditions. See Note 10
for additional information.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The contractual amounts of these commitments represent the
amounts at risk should the contract be fully drawn upon, the
client defaults, and the value of the existing collateral
becomes worthless. The total amount of outstanding commitments
may not represent future cash requirements, as commitments may
expire without being drawn.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
For lending commitments where the loan will be classified as
held for sale upon funding, liabilities associated with unfunded
commitments are calculated at the lower of cost or fair value,
capturing declines in the fair value of the respective credit
risk. For loan commitments where the loan will be classified as
held for investment upon funding, liabilities are calculated
considering both market and historical loss rates. Loan
commitments held by entities that apply broker-dealer industry
level accounting are accounted for at fair value.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Purchasing
and Other Commitments</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In the normal course of business, Merrill Lynch enters into
institutional and margin-lending transactions, some of which are
on a committed basis, but most of which are not. Margin lending
on a committed basis only includes amounts where Merrill Lynch
has a binding commitment. There were no binding margin lending
commitments outstanding at June 30, 2009 or
December 26, 2008.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch had commitments to purchase partnership interests,
primarily related to private equity and principal investing
activities, of $1.3 billion at both June 30, 2009 and
December 26, 2008. Merrill Lynch also has entered into
agreements with providers of market data, communications,
systems consulting, and other office-related services. At
June 30, 2009 and December 26, 2008, minimum fee
commitments over the remaining life of these agreements totaled
$1.9 billion and $2.2 billion, respectively. Merrill
Lynch entered into commitments to purchase loans of
$2.7 billion (which upon settlement of the commitment will
be included in trading assets, loans held for investment or
loans held for sale) at June 30, 2009. Such commitments
totaled $3.9 billion at December 26, 2008. Other
purchasing commitments amounted to $0.6 billion and
$0.7 billion at June 30, 2009 and December 26,
2008, respectively.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In the normal course of business, Merrill Lynch enters into
commitments for underwriting transactions. Settlement of these
transactions as of June 30, 2009 would not have a material
effect on the Condensed Consolidated Balance Sheets of Merrill
Lynch.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In connection with trading activities, Merrill Lynch enters into
commitments to enter into resale and securities borrowing and
also repurchase and securities lending agreements.
</div>
</div>
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<div style="margin-left: 0%">
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Operating
Leases</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has entered into various non-cancelable long-term
lease agreements for premises that expire through 2024. Merrill
Lynch has also entered into various non-cancelable short-term
lease agreements, which are primarily commitments of less than
one year under equipment leases.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Guarantees</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch issues various guarantees to counterparties in
connection with certain leasing, securitization and other
transactions. In accordance with FIN 45 and FSP
<font style="white-space: nowrap">FAS 133-1</font>
and
<font style="white-space: nowrap">FIN 45-4,</font>
<i>Disclosures about Credit Derivatives and Certain Guarantees:
An Amendment of FASB Statement No. 133 and FASB
Interpretation No. 45; and Clarification of the Effective
Date of FASB Statement No. 161 </i>(“FSP
<font style="white-space: nowrap">FAS 133-1</font>
and
<font style="white-space: nowrap">FIN 45-4”),</font>
Merrill Lynch is required to disclose information for guarantee
arrangements such as the maximum potential amount of future
payments under the guarantee, the term and carrying value of the
guarantee, the nature of any collateral or recourse provisions
and the current payment status of the guarantee. Merrill
Lynch’s guarantee arrangements and their expiration at
June 30, 2009 are summarized as follows (see Note 6
for information related to derivative financial instruments
within the scope of FIN 45):
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="34%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="4%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="4%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="4%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="3%"> </td><!-- colindex=07 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="3%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="25" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Maximum<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Less than 1<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Carrying<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Payout</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">year</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">1<sup style="font-size: 85%; vertical-align: top">+</sup>
- 3 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">3<sup style="font-size: 85%; vertical-align: top">+</sup>
- 5 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Over 5 years</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Value</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Standby liquidity facilities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,773
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,937
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,834
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
756
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Auction rate security guarantees
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
745
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
745
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
64
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Residual value guarantees
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
738
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
322
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
96
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
320
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Standby letters of credit and other guarantees
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
32,926
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,246
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,102
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
315
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
29,263
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
658
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Standby
Liquidity Facilities</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch provides standby liquidity facilities to certain
municipal bond securitization SPEs. In these arrangements,
Merrill Lynch is required to fund these standby liquidity
facilities if the fair value of the assets held by the SPE
declines below par value and certain other contingent events
take place. In those instances where the residual interest in
the securitized trust is owned by a third party, any payments
under the facilities are offset by economic hedges entered into
by Merrill Lynch. In those instances where the residual interest
in the securitized trust is owned by Merrill Lynch, any
requirement to pay under the facilities is considered remote
because Merrill Lynch, in most instances, will purchase the
senior interests issued by the trust at fair value as part of
its dealer market-making activities. However, Merrill Lynch will
have exposure to these purchased senior interests. In certain of
these facilities, Merrill Lynch is required to provide liquidity
support within seven days, while the remainder have third-party
liquidity support for between 30 and 364 days before
Merrill Lynch is required to provide liquidity. A portion of the
facilities where Merrill Lynch is required to provide liquidity
support within seven days are “net liquidity”
facilities where upon draw Merrill Lynch may direct the trustee
for the SPE to collapse the SPE trusts and liquidate the
municipal bonds, and Merrill Lynch would only be required to
fund any difference between par and the sale price of the bonds.
“Gross liquidity” facilities require Merrill Lynch to
wait up to 30 days before directing the trustee to
liquidate the municipal bonds. Details of these liquidity
facilities as of June 30, 2009, are illustrated in the
table below:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="40%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="6%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="6%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="1%"> </td><!-- colindex=03 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="5%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="1%"> </td><!-- colindex=04 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="4%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="1%"> </td><!-- colindex=05 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="2%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="1%"> </td><!-- colindex=06 type=gutter -->
<td width="8%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="8%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="21" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="15" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Merrill Lynch Liquidity Facilities Can Be Drawn:</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Municipal Bonds to<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>In 7 Days with<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>After 7 and<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Which Merrill Lynch<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>In 7 Days with<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>“Gross<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Up to 364<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Has Recourse if<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">‘‘Net
Liquidity”</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Liquidity”</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Days<sup style="font-size: 85%; vertical-align: top">(1)</sup></font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Total</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Facilities Are Drawn</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Merrill Lynch provides standby liquidity facilities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,768
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
906
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
2,810
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,484
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,758
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<table width="100%" border="0" cellpadding="0" cellspacing="0" style="font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<tr>
<td width="2%"></td>
<td width="1%"></td>
<td width="97%"></td>
</tr>
<tr>
<td align="right" valign="top">
<i><font style="font-size: 10pt">(1) </font></i></td>
<td></td>
<td valign="bottom">
<i><font style="font-size: 10pt">Initial liquidity support is
provided by third parties within seven days, to be reimbursed by
Merrill Lynch within 364 days.</font></i></td>
</tr>
</table>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Refer to Note 9 for further information.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Auction
Rate Security (“ARS”) Guarantees</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Under the terms of its announced purchase program, as augmented
by the global agreement reached with the New York Attorney
General, the Securities and Exchange Commission, the
Massachusetts Securities Division and other state securities
regulators, Merrill Lynch agreed to purchase ARS at par from its
retail clients, including individual,
<font style="white-space: nowrap">not-for-profit,</font>
and small business clients. Certain retail clients with less
than $4 million in assets with Merrill Lynch as of
February 13, 2008 were eligible to sell eligible ARS to
Merrill Lynch starting on October 1, 2008. Other eligible
retail clients meeting specified asset requirements were
eligible to sell ARS to Merrill Lynch beginning on
January 2, 2009. The final date of the ARS purchase program
is January 15, 2010. Under the ARS purchase program, the
eligible ARS held in accounts of eligible retail clients at
Merrill Lynch as of June 30, 2009 was $745 million. As
of June 30, 2009, Merrill Lynch had purchased
$8 billion of ARS from eligible clients. In addition, under
the ARS purchase program, Merrill Lynch has agreed to purchase
ARS from retail clients who purchased their securities from
Merrill Lynch and transferred their accounts to other brokers
prior to February 13, 2008. Payment risk related to ARS
guarantees is based largely upon the client’s overall
financial objectives. At June 30, 2009, a liability of
$64 million has been recorded for the difference between
the fair value and par value of all outstanding ARS that are
subject to this guarantee.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Residual
Value Guarantees</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
At June 30, 2009, residual value guarantees of
$738 million include amounts associated with the Hopewell,
NJ campus, aircraft leases and certain power plant facilities.
Payments under these guarantees would only be required if the
fair value of such assets declined below their guaranteed value.
As of June 30, 2009, no payments have been made under this
guarantee, as Merrill Lynch believes that the estimated fair
value of such assets was in excess of their guaranteed value.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Standby
Letters of Credit and Other FIN 45 Guarantees</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch provides guarantees to certain counterparties in
the form of standby letters of credit in the amount of
$2.4 billion. Payment risk is evaluated based upon
historical payment activity. At June 30, 2009 Merrill Lynch
held marketable securities of $372 million as collateral to
secure these guarantees and a liability of $43 million was
recorded on the Condensed Consolidated Balance Sheets.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In connection with residential mortgage loan and other
securitization transactions, Merrill Lynch typically makes
representations and warranties about the underlying assets. If
there is a material breach of such representations and
warranties, Merrill Lynch may have an obligation to repurchase
the assets
or indemnify the purchaser against any loss. For residential
mortgage loan and other securitizations, the maximum potential
amount that could be required to be repurchased is the current
outstanding asset balance. Specifically related to First
Franklin activities, there is currently approximately
$29 billion (including loans serviced by others) of
outstanding loans that First Franklin sold in various asset
sales and securitization transactions where there may be an
obligation to repurchase the asset or indemnify the purchaser
against the loss if claims are made and it is ultimately
determined that there has been a material breach related to such
loans. The risk of repurchase under the First Franklin
representations and warranties is evaluated by management based
on an analysis of the unpaid principal balance on the loans sold
along with historical payment experience and general market
conditions. The repurchase reserve liability arising from these
First Franklin residential mortgage sales and securitization
transactions was approximately $610 million at
June 30, 2009.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
See Note 11 of the 2008 Annual Report for additional
information on guarantees.
</div>
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<!-- Begin Block Tagged Note 15 - us-gaap:PensionAndOtherPostretirementBenefitsDisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
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</div><!-- callerid=999 iwidth=468 length=0 -->
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<b><font style="font-family: 'Times New Roman', Times">Note 15.
Employee Benefit Plans<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch provides pension and other postretirement benefits
to its employees worldwide through defined contribution pension,
defined benefit pension and other postretirement plans. These
plans vary based on the country and local practices. Merrill
Lynch reserves the right to amend or terminate these plans at
any time. Refer to Note 12 of the 2008 Annual Report for a
complete discussion of employee benefit plans.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Effective January 1, 2009, Merrill Lynch’s employee
benefit plans were assumed by Bank of America.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Defined
Benefit Pension Plans</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Pension cost for the three and six months ended June 30,
2009 and June 27, 2008, for Merrill Lynch’s defined
benefit pension plans, included the following components:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="41%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="5%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="1%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="3%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="5%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="1%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
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<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="23" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Successor Company</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>June 30, 2009</b>
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>June 30, 2009</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">U.S. Plans</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Non-U.S. Plans</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Total</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">U.S. Plans</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Non-U.S. Plans</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Total</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Service cost
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Interest cost
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
24
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
18
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
42
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
49
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
35
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
84
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Expected return on plan assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(37
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(18
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(55
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(74
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(35
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(109
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Total defined benefit pension cost
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(25
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(12
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 9pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="41%"> </td><!-- colindex=01 type=maindata -->
<td width="1%"> </td><!-- colindex=02 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="3%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="2%"> </td><!-- colindex=03 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="5%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="2%"> </td><!-- colindex=04 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="1%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="2%"> </td><!-- colindex=05 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="3%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="2%"> </td><!-- colindex=06 type=gutter -->
<td width="5%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="5%" align="left"> </td><!-- colindex=06 type=hang1 -->
<td width="2%"> </td><!-- colindex=07 type=gutter -->
<td width="1%" align="right"> </td><!-- colindex=07 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=07 type=body -->
<td width="1%" align="left"> </td><!-- colindex=07 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 9pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="23" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>Predecessor Company</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>Three Months Ended<br />
</b>
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom">
<b>Six Months Ended<br />
</b>
</td>
</tr>
<tr style="font-size: 9pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>June 27, 2008</b>
</td>
<td>
 
</td>
<td colspan="11" nowrap="nowrap" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>June 27, 2008</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="center" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">U.S. Plans</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Non-U.S. Plans</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Total</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">U.S. Plans</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Non-U.S. Plans</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 9pt">Total</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="25" nowrap="nowrap" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Service cost
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
7
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Interest cost
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
24
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
21
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
45
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
48
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
43
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
91
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Expected return on plan assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(29
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(21
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(50
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(59
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(43
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(102
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Amortization of net (gains)/losses, prior service costs and other
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
-
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -9pt; margin-left: 9pt">
Total defined benefit pension cost
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
(11
</td>
<td nowrap="nowrap" align="left" valign="bottom">
)
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
20
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="25" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch disclosed in its 2008 Annual Report that it
expected to pay $1 million of benefit payments to
participants in the U.S. non-qualified pension plan and
that it expected to contribute $120 million and
$55 million, respectively, to its U.S. and
<font style="white-space: nowrap">non-U.S. defined</font>
benefit pension plans in 2009. Merrill Lynch does not expect its
contributions to differ significantly from amounts previously
disclosed.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<i><font style="font-family: 'Times New Roman', Times">Postretirement
Benefits Other Than Pensions</font></i>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Other postretirement benefit cost for the three and six months
ended June 30, 2009 were $5 million and
$9 million, respectively, and were $(3) million and $0
for the three and six months ended June 27, 2008.
Approximately 93% of the postretirement benefit cost components
for the period relate to the U.S. postretirement plan.
</div>
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
</div>
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<body>
<!-- Begin Block Tagged Note 16 - us-gaap:IncomeTaxDisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 16.
Income Taxes<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch is under examination by the Internal Revenue
Service (“IRS”) and other tax authorities in countries
and states in which Merrill Lynch has significant business
operations. The tax years under examination vary by
jurisdiction. The IRS audits for the years 2005, 2006 and
2007 may be completed in 2009. The IRS proposed adjustments
for two issues in the audit for the tax year 2004 which Merrill
Lynch has protested to the Appeals office. The issues involve
eligibility for the dividend received deduction and foreign tax
credits with respect to certain transactions. Similarly, Merrill
Lynch intends to protest any proposed adjustments for these two
issues for years 2005, 2006 and 2007. During 2008, the Japanese
tax authorities completed the audit of the fiscal tax years
April 1, 2003 through March 31, 2007. An assessment
reflecting the Japanese tax authorities’ view that certain
income on which Merrill Lynch previously paid income tax to
other international jurisdictions, primarily the U.S., should
have been allocated to Japan was issued and paid in 2008.
Similar to the Japan tax assessment received in 2005, Merrill
Lynch is in the process of obtaining clarification from
international authorities (Competent Authority) on the
appropriate allocation of income among multiple jurisdictions to
prevent double taxation. The audits in the U.K. for the tax year
2006 and in Germany for the tax year 2007 are also in progress
and may be completed during 2009. The Canadian tax authorities
completed the audit for the tax years 2004 and 2005 during the
first quarter of 2009. New York State and New York City audits
are in progress for the years 2002 through 2006.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Depending on the outcomes of multi-jurisdictional global audits
and the ongoing Competent Authority proceeding with respect to
the Japan assessments, it is reasonably possible Merrill
Lynch’s unrecognized tax benefits, which were approximately
$2 billion as of June 30, 2009, may be reduced during
the next 12 months, either because Merrill Lynch’s tax
positions are sustained on audit or Merrill Lynch agrees to
settle certain issues. Merrill Lynch’s unrecognized tax
benefits may decrease by as much as $311 million during
that period since resolved items would be removed from the
unrecognized tax benefit balance whether their resolution
resulted in payment or recognition.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
On June 30, 2009, Merrill Lynch’s net deferred tax
asset was approximately $19 billion. This balance included
the January 1, 2009 impact of measuring Merrill
Lynch’s deferred tax assets and liabilities under the
acquisition method of accounting in accordance with
SFAS No. 141(R). This measurement process resulted in
an adjustment to certain deferred tax assets and liabilities,
including a $1 billion reduction to valuation allowances
primarily associated with the U.S. federal capital losses
and foreign tax credit carryforwards. The remeasured net
deferred tax asset includes carryforward amounts generated in
the U.S. and U.K. that are deductible in the future as net
operating losses (“NOLs”). The U.K. NOL deferred tax
asset of approximately $10 billion has an unlimited
carryforward period but, due to
<font style="white-space: nowrap">change-in-control</font>
limitations in the three years prior to and following the change
in ownership, can be jeopardized by certain major changes in the
nature or conduct of the U.K. businesses. The U.S. federal
NOL of $12 billion, which is represented by a deferred tax
asset of approximately $4 billion, can be carried forward
against future tax periods of Bank of America until 2028.
Merrill Lynch has concluded that no valuation allowances are
necessary to reduce NOL deferred tax assets since estimated
future taxable income will more likely than not be sufficient to
utilize the assets prior to expiration. Due to capital gains
recognized by Bank of America during the quarter ended
June 30, 2009, Merrill Lynch’s effective tax rate
reflects the release of $750 million of a valuation
allowance attributable to its federal capital loss carryforward
during 2009.
</div>
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</div>
</div>
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<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
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<b><font style="font-family: 'Times New Roman', Times">Note 17.
Regulatory Requirements<br />
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</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Prior to its acquisition by Bank of America, Merrill Lynch was a
consolidated supervised entity subject to group-wide supervision
by the SEC and capital requirements generally consistent with
the standards of the Basel Committee on Banking Supervision. As
such, Merrill Lynch computed allowable capital and risk
allowances consistent with Basel II capital standards;
permitted the SEC to examine the books and records of
ML & Co. and any affiliate that did not have a
principal regulator; and had various additional SEC reporting,
record-keeping, and notification requirements.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As a wholly-owned subsidiary of Bank of America, a bank holding
company that is also a financial holding company, Merrill Lynch
is subject to the oversight of, and inspection by, the Board of
Governors of the Federal Reserve System.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Certain U.S. and
<font style="white-space: nowrap">non-U.S. subsidiaries</font>
are subject to various securities and banking regulations and
capital adequacy requirements promulgated by the regulatory and
exchange authorities of the countries in which they operate.
These regulatory restrictions may impose regulatory capital
requirements and limit the amounts that these subsidiaries can
pay in dividends or advance to Merrill Lynch. Merrill
Lynch’s principal regulated subsidiaries are discussed
below.
</div>
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Securities
Regulation</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As a registered broker-dealer, Merrill Lynch, Pierce,
Fenner & Smith Incorporated (“MLPF&S”)
is subject to the net capital requirements of
<font style="white-space: nowrap">Rule 15c3-1</font>
under the Securities Exchange Act of 1934 (“the
Rule”). Under the alternative method permitted by the Rule,
the minimum required net capital, as defined, shall be the
greater of 2% of aggregate debit items (“ADI”) arising
from customer transactions or $500 million in accordance
with Appendix E of the Rule. At June 30, 2009,
MLPF&S’s regulatory net capital of $5.0 billion
was approximately 52% of ADI, and its regulatory net capital in
excess of the SEC minimum required was $4.5 billion.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As a futures commission merchant, MLPF&S is also subject to
the capital requirements of the Commodity Futures Trading
Commission (“CFTC”), which requires that minimum net
capital should not be less than 8% of the total customer risk
margin requirement plus 4% of the total non-customer risk margin
requirement. MLPF&S regulatory net capital of
$5.0 billion exceeded the CFTC minimum requirement of
$575 million by $4.4 billion.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch International (“MLI”), a U.K. regulated
investment firm, is subject to capital requirements of the
Financial Services Authority (“FSA”). Financial
resources, as defined, must exceed the total financial resources
requirement set by the FSA. At June 30, 2009, MLI’s
financial resources were $16.7 billion, exceeding the
minimum requirement by $4.1 billion.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch Japan Securities Co., Ltd. (“MLJS”), a
Japan-based regulated broker-dealer, is subject to capital
requirements of the Japanese Financial Services Agency
(“JFSA”). Net capital, as defined, must exceed 120% of
the total risk equivalents requirement of the JFSA. At
June 30, 2009, MLJS’s net capital was
$1.4 billion, exceeding the minimum requirement by
$716 million.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch Government Securities Inc. (“MLGSI”) was
a primary dealer in U.S. Government securities. As a result
of the Bank of America acquisition of Merrill Lynch, MLGSI was
delisted as a primary U.S. Government securities dealer in
February 2009.
</div>
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</div>
<div align="left" style="margin-top: 12pt; margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Banking
Regulation</font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch Bank USA (“MLBUSA”) is a Utah-chartered
industrial bank, regulated by the Federal Deposit Insurance
Corporation (“FDIC”) and the State of Utah Department
of Financial Institutions (“UTDFI”). Merrill Lynch
Bank & Trust Co., FSB (“MLBT-FSB”) is a
full service thrift institution regulated by the Office of
Thrift Supervision (“OTS”), whose deposits are insured
by the FDIC. Both MLBUSA and MLBT-FSB are required to maintain
capital levels that at least equal minimum capital levels
specified in federal banking laws and regulations. Failure to
meet the minimum levels will result in certain mandatory, and
possibly additional discretionary, actions by the regulators
that, if undertaken, could have a direct material effect on the
banks. The following table illustrates the actual capital ratios
and capital amounts for MLBUSA and MLBT-FSB as of June 30,
2009.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="53%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="4%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="4%" align="left"> </td><!-- colindex=02 type=hang1 -->
<td width="3%"> </td><!-- colindex=03 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=03 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=03 type=body -->
<td width="2%" align="left"> </td><!-- colindex=03 type=hang1 -->
<td width="3%"> </td><!-- colindex=04 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=04 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=04 type=body -->
<td width="3%" align="left"> </td><!-- colindex=04 type=hang1 -->
<td width="3%"> </td><!-- colindex=05 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=05 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=05 type=body -->
<td width="2%" align="left"> </td><!-- colindex=05 type=hang1 -->
<td width="3%"> </td><!-- colindex=06 type=gutter -->
<td width="3%" align="right"> </td><!-- colindex=06 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=06 type=body -->
<td width="3%" align="left"> </td><!-- colindex=06 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 10pt" valign="bottom" align="center">
<td colspan="21" align="left" valign="bottom" style="border-bottom: 1px solid #000000">
<i>(dollars in millions)</i>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Well<br />
</b>
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>MLBUSA</b>
</td>
<td>
 
</td>
<td colspan="7" align="center" valign="bottom" style="border-bottom: 1px solid #000000">
<b>MLBT-FSB</b>
</td>
</tr>
<tr style="font-size: 10pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Capitalized<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Actual<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Actual<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Actual<br />
</b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b>Actual<br />
</b>
</td>
</tr>
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Minimum</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Ratio</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Amount</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Ratio</font></b>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
<b><font style="font-size: 10pt">Amount</font></b>
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="21" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Tier 1 leverage
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9.14%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,767
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
9.44%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,308
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Tier 1 capital
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17.22%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,767
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13.73%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,308
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Total capital
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
17.51%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
5,867
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
14.50%
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,493
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="21" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
As a result of its ownership of MLBT-FSB, ML & Co. is
registered with the OTS as a savings and loan holding company
(“SLHC”) and is subject to regulation and examination
by the OTS as a SLHC. As a result of the Bank of America
acquisition, ML & Co. has requested that it be
deregistered as a SLHC.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch International Bank Limited (“MLIB”), an
Ireland-based regulated bank, is subject to the capital
requirements of the Irish Financial Services Regulatory
Authority (“IFSRA”). MLIB is required to meet minimum
regulatory capital requirements under the European Union
(“EU”) banking law as implemented in Ireland by the
IFSRA. At June 30, 2009, MLIB’s financial resources
were $15.1 billion, exceeding the minimum requirement by
$4.0 billion.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
See Note 21 for subsequent events information regarding
MLBUSA and MLBT-FSB.
</div>
</div>
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<!-- Begin Block Tagged Note 18 - us-gaap:DisposalGroupsIncludingDiscontinuedOperationsDisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 18.
Discontinued Operations<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
During the three and six months ended June 27, 2008,
Merrill Lynch recorded pre-tax losses of $32 million and
$57 million, and net losses of $20 million and
$13 million within discontinued operations. Such results
were associated with Merrill Lynch Life Insurance Company and ML
Life Insurance Company of New York, which were sold in 2007, and
Merrill Lynch Capital, which was sold in 2008.
</div>
</div>
<!-- END PAGE WIDTH -->
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<div style="margin-left: 0%">
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
</div>
</body>
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<body>
<!-- Begin Block Tagged Note 19 - us-gaap:RestructuringAndRelatedActivitiesDisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 19.
Restructuring Charge<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch recorded a pre-tax restructuring charge of
approximately $486 million during 2008, of which
$445 million was recorded in the three and six months ended
June 27, 2008. The full year 2008 charge was comprised of
severance costs of $348 million and expenses related to the
accelerated amortization of previous granted equity-based
compensation awards of $138 million.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
During 2008, Merrill Lynch made cash payments, primarily
severance related, of $331 million, resulting in a
remaining liability balance of $17 million as of
December 26, 2008. During the first half of 2009, Merrill
Lynch made cash payments, primarily severance related, of
$7 million, resulting in a remaining liability balance of
$10 million as of June 30, 2009. This liability is
recorded in other payables on the Condensed Consolidated Balance
Sheets.
</div>
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<div style="margin-top: 0pt; font-size: 1pt"> 
</div>
</div>
</body>
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<head></head>
<body>
<!-- Begin Block Tagged Note 20 - us-gaap:RelatedPartyTransactionsDisclosureTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 20.
Related Party Transactions<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Merrill Lynch has entered into various transactions with Bank of
America, primarily in connection with certain sales and trading
and financing activities. Details on amounts receivable from and
payable to Bank of America as of June 30, 2009 are
presented below:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Receivables from Bank of America are comprised of:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="93%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<i><font style="font-size: 10pt">(dollars in millions)</font></i>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="5" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Cash and cash equivalents
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,708
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Cash and securities segregated for regulatory purposes
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
210
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Receivables under resale agreements and securities borrowed
transactions
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
653
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Trading assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
383
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Other receivables
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
33
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Other assets
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
28
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Total
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
3,015
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Payables to Bank of America are comprised of:
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<table border="0" width="100%" align="center" cellpadding="0" cellspacing="0" style="font-size: 10pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF; text-align: left">
<!-- Table Width Row BEGIN -->
<tr style="font-size: 1pt" valign="bottom">
<td width="93%"> </td><!-- colindex=01 type=maindata -->
<td width="2%"> </td><!-- colindex=02 type=gutter -->
<td width="2%" align="right"> </td><!-- colindex=02 type=lead -->
<td width="1%" align="right"> </td><!-- colindex=02 type=body -->
<td width="2%" align="left"> </td><!-- colindex=02 type=hang1 -->
</tr>
<!-- Table Width Row END -->
<tr style="font-size: 8pt" valign="bottom" align="center">
<td nowrap="nowrap" align="left" valign="bottom">
<i><font style="font-size: 10pt">(dollars in millions)</font></i>
</td>
<td>
 
</td>
<td colspan="3" nowrap="nowrap" align="center" valign="bottom">
 
</td>
</tr>
<tr style="font-size: 1pt" valign="bottom" align="center">
<td colspan="5" align="center" valign="bottom" style="font-size: 1pt; border-bottom: 1px solid #000000">
 
</td>
</tr>
<tr style="line-height: 3pt; font-size: 1pt">
<td> 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Payables under repurchase agreements
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
13,402
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Payables under securities loaned transactions
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
10,903
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Short-term borrowings
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
6,031
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Trading liabilities
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
303
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Other payables
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
1,117
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 1px solid #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom">
<td nowrap="nowrap" align="left" valign="bottom">
<div style="text-indent: -10pt; margin-left: 10pt">
Total
</div>
</td>
<td>
 
</td>
<td nowrap="nowrap" align="right" valign="bottom">
$
</td>
<td nowrap="nowrap" align="right" valign="bottom">
31,756
</td>
<td nowrap="nowrap" align="left" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td>
 
</td>
<td>
 
</td>
<td>
 
</td>
<td style="border-top: 3px double #000000">
 
</td>
<td>
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" valign="bottom">
 
</td>
</tr>
<tr valign="bottom" style="font-size: 1pt">
<td colspan="5" style="border-top: 1px solid #000000">
 
</td>
</tr>
</table>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
Revenues and expenses related to transactions with Bank of
America were not material for the three and six months ended
June 30, 2009.
</div>
</div>
</body>
</html>
<!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" -->
<html>
<head></head>
<body>
<!-- Begin Block Tagged Note 21 - us-gaap:ScheduleOfSubsequentEventsTextBlock-->
<div style="margin-left: 0%">
<div style="margin-top: 12pt; font-size: 1pt"> 
</div>
<div style="font-size: 0pt; margin-left: 0%; width: 100%; align: left; border-bottom: 2pt solid #000000">
</div><!-- callerid=999 iwidth=468 length=0 -->
<div align="left" style="margin-left: 0%; margin-right: 0%; font-size: 11pt; font-family: Arial, Helvetica; color: #000000; background: #FFFFFF">
<b><font style="font-family: 'Times New Roman', Times">Note 21.
Subsequent Events<br />
<div style="font-size: 1pt; margin-left: 0%; width: 100%; align: left; border-bottom: 1pt solid #000000">
</div><!-- callerid=109 iwidth=468 length=0 --></font></b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
<b>Sale of U.S. Banks to Bank of America:</b>
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
During the second quarter of 2009, the separate boards of
directors of MLBUSA and MLBT-FSB approved the sale of their
respective entities to a subsidiary of Bank of America.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
In both transactions, Merrill Lynch will sell the shares of the
respective entity to Bank of America. The sale price will be
equal to the net book value of the respective entity as of the
date of transfer, and consideration will be in the form of
floating rate demand notes payable from Bank of America to
Merrill Lynch. The demand notes will be established at market
rates at the time of each sale.
</div>
<div style="margin-top: 6pt; font-size: 1pt"> 
</div>
<div align="left" style="margin-left: 0%; margin-right: 0%; text-indent: 0%; font-size: 11pt; font-family: 'Times New Roman', Times; color: #000000; background: #FFFFFF">
The MLBUSA sale was completed on July 1, 2009. At that
time, MLBUSA was merged into Bank of America, N.A., a subsidiary
of Bank of America. The sale of MLBT-FSB is expected to be
completed on or about October 1, 2009. At June 30,
2009, the total assets of MLBUSA and MLBT-FSB were
$68 billion and $35 billion, respectively.
</div>
</div>
</body>
</html>
false
--12-31
2009-06-30
10-Q
0000065100
1000
Yes
Large Accelerated Filer
17400000000
MERRILL LYNCH & CO., INC.
No
Yes
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94000000
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7871000000
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23678000000
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667543000000
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-44000000
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-7.18
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-7.17
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6424000000
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537601000000
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159000000
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-53912000000
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-25491000000
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-6616000000
-4654000000
-153000000
1840000000
-1820000000
-7027000000
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-2000000
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-119000000
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-40000000
-89000000
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-33000000
-1814000000
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-17000000
-1818000000
-910000000
1136000000
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22104000000
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109000000
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0
53000000
38000000
100000
1000
30000
100000
0
0
25000000
25000000
17000
115000
244100
17000
0
0
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53564000000
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978500000
984100000
1600300000
Amount for Successor Company is as of January 1, 2009.