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~ ~ .... N o "'" "'" o o o IT Merrill Lynch & Co. o c Market Risk Management U I ....I 2: U <C III Presentation to the Risk Oversight Committee Market Risk Management Update September 26, 2007 CI)

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SLIDE 1

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Merrill Lynch & Co. Market Risk Management

CONFIDENTIAL

Presentation to the Risk Oversight Committee Market Risk Management Update

September 26, 2007

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SLIDE 2

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Merrill Lynch & Co, Market Risk Management

MRM Presentation to the Risk Oversight Committee

VaR Backtesting

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300 200 100 (100) (200) (300) Jan- 01 Daily Backtesting P/L*

  • I-day

99% specific risk VaK + add-on for specific issuer volatility Jan- Jan- Feb- Feb- Mar- Mar- 15 29 12 26 12 26 Apr- Apr- 09 23

!

:8/16

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8/7

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8/23

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May- May- Jun- Jun- Jul- Jul- Jul- Aug- Aug- Sep- 07 21 04 18 02 16 30 13 27 10

'Daily Backtesting PjL is intended to reflect profits or losses driven by market price changes on the day. The base PjL is Greensheets Principal Transactions, which excludes interest, dividends, fees and commissions. In some cases, Daily Backtesting PjL is also adjusted to eliminate material non-market driven accounting adjustments, new deal PjL, and in some cases intraday trading. The backtesting P&L does not include RPI and CD 0 Super Senior re-marking P&L due to the frequency of MTM.

CONFIDENTIAL

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SLIDE 3

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Merrill Lynch & Co. Market Risk Management

ML & CO. VaR Backtesting

VaR Backtesting (Cont'd)

n

Highlight of PfL Movements

($Millions) Aug-07 (144) Equity SRG GSFI Credit Trading All Others Aug-16 265 Currencies Credit Trading Global Rates Aug-20 (112) Currencies Credit Trading All Others Aug-23 (152) Credit Trading Currencies GSFI Global Rates

CONFIDENTIAL

(53) (39) (19) (33) 111 111 41 (71) (17) (24) (51) (48) (35) (20) Proprietary trading losses in Statistical Arbitrage business Losses on macro hedge due to tightening swap spreads and an equity market rally Losses driven by CDX spread P / L and bond re-marks Small losses in various businesses with $12mm from Principal Credit Group Americas Gains driven by long volatility positions in JPY, CHF, NZD and MXN as well as from short positions in TRL and NZD and long positions in JPY. Gains due to macro hedges in super-senior book, implemented by buying protection

  • n monolines and through ABX index trades

Gains from long USD interest rate positions and long EUR and USD interest rate vega Losses driven by lower volatility in JPY, AUD, NZD and TRY Losses driven primarily by US proprietary trading

  • $13mm from US. and Japan GELP

Losses in the super-senior book on ABX index hedges and long protection on monolines Losses in options trading due to lower JPY, AUD and NZD volatilities Losses due to adverse market movements causing losses in ABX positions Drop in interest rate volatilities combined with are-mark ofFX volatilities in the Long Term Complex FX Option business

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SLIDE 4

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Merrill Lynch & Co. Market Risk Management

ML & CO. VaR Backtesting

VaR Backtesting (Cont'd)

n

Impact of Recent Volatility

  • Significantly higher volatility than the four year history (see below)

Prior After Period* 7/10/2007 S&P SOO 11% 22% CDX High Yield Syr 4% 13% Treasury Rate Syr 89 bp 117 bp Dollar / Yen 1 y Implied Volatility 19% 84%

* Based on current MRM system definition

  • Liquidity driven market event (such as Stat. Arb.) is an evident challenge
  • Macro hedge positions are significantly reduced from the peak

%

Increase 100%

225% 31% 342%

  • The challenges are industry-wide; feedback from supervisors indicates that ML experience is not

extraordinary compared to peers

CONFIDENTIAL

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slide-5
SLIDE 5

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Merrill Lynch & Co. Market Risk Management

ML&Co. Credit Event Scenarios Trend

Once in 10 Years Spread Widening Scenario*

By Collateral Type: T

radin g

f-=-.I-"'C=-=o=l=la=t-=er=-=a=l-=-.~=-=-=-=-'-~_=_G_-'=-'-~-'=-'-~_'_=_G_-_

$4,000

Commercial Real Estate Corporate & Commercial Finance Consumer Credit Sovereigns

  • CDO

Other

*2005 data represents monthly averages; quarterly data represents weekly averages; Credit SES does not include correlation risk which has a separate stress limit of $250mm

vs. vs.

VS. VS.

9/14 $ % $ % 9/14 $ % $ % Trading+ Non-Trading 925 (46)

  • 5%

(108)

  • 10%

50.2 (16.9)

  • 25%

(21.7)

  • 30%
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Americas

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(18.7)

  • 31%

Prime 346 (4)

  • 1%

(32)

  • 8%

18.9 (10.9)

  • 37%

(10.1)

  • 35%

Non~Prime

470 (76)

  • 14%

(143)

  • 23%

23.2 2.2 10% (8.6)

  • 27%

MLEMEA 76 17 28% 33 78% 7.0 (8.3)

  • 54%

(3.6)

  • 34%

PACRIM 33 17 113% 33 NM

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13% 0.7 182% vs.2Q07 vs.06Avg. vs.2Q07 vs.06Avg. 9/14 % % 9/14 % % 341 8.9

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  • 75%

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  • 77%

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  • 23%

(210)

  • 41%

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  • 5%

(117)

  • 63%

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  • 25%

0.1 (9.3)

  • 99%

(6.6)

  • 99%

PACRIM NM NM

0.0 0.0

NM

0.0

NM

CONFIDENTIAL

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SLIDE 6

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Confidential Treatment Requested BAC-ML-CDO-000077017

slide-7
SLIDE 7

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Merrill Lynch & Co. Market Risk Management

VaR Growth by Asset Class

2006 - 2007 TD

Quarterly Average Trading+ N on-Trading VaR

  • Credit portfolio risk increase has been contained as discussed at Risk Oversight Committee. We always had

significant concentration in credit spread risk.

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D Credit D IR D Equity D Commodity D FX

CONFIDENTIAL

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SLIDE 8

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Merrill Lynch & Co. Market Risk Management

ABS CDOs Risk Update

n ·

Issues

  • Until February 2007, we were able to buy protection to make the risk very far out-of-the-money, hence DV01

was modest. The real challenge started when monolines stopped selling protection on mezzanines.

  • After the start of Subprime crisis, the first order focus was to reduce the junior tranche exposure.
  • Underlying collateral analysis is extremely challenging due to the complexity of ABS asset combination
  • The very low usage in Stress Event Scenario was due to the combination of the far out-of-the-money risk

nature and the very low historical volatility of the Super AAA time series mapping.

  • Desk-level DV01limits were set at a modest level for AAA risks.
  • Current Status
  • $5 billion reduction on 50%-100% High Grade risk, possibly more
  • Business / Risk / Finance working on new valuation methodology based on fundamental analysis
  • Infrastructure challenges in Credit Derivatives
  • Exposure Update

Retained Super Senior Spread DV01

($Millions)

High Grade Mezzanines CD02 Total $ Limit AUG-06 5,580 1,610 7,190 2.35 Stress $75mm SEP-06 7,210 2,075 9,285 2.76 3.00 JAN-07 12,810 4,524 17,334 2.42 5.70 FEB 15,175 4,737 370 20,282 4.78 5.70 MAR 18,620 6,109 700 25,429 6.84 7.40 APR 23,220 6,192 1,340 30,752 6.01 7.40 MAY 22,310 6,117 440 28,867 5.98 7.40 JUN 22,310 6,423 1,620 30,353 6.79 7.40 JUL 24,120 6,438 1,505 32,158 6.60 7.40 AUG 18,286 6,228 1,201 25,715 5.40 7.40 SEP 18,158 6,173 1,201 25,532 5.30 7.40

CONFIDENTIAL

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slide-9
SLIDE 9

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Merrill Lynch & Co. Market Risk Management

U

Follow-up for the Future

ABS CDOs Risk Update (Con t

'd)

  • Revised methodology for Subprime stress scenarios based on fundamental analysis (see page on Real Estate

Price Shock Scenario)

  • Review of other large BjS or far out-of-the-money risk concentration with senior management
  • Examples:
  • GSFI lending ($40bn+)
  • Investment Portfolio ($20bn+ and MLBUSA ABCP)
  • Commercial Real Estate Lending ($25bn+ including ML Capital)
  • Treasury Liquidity Portfolio ($20bn+ in CMO Floaters)
  • Convertibility risk (Korea, India, Brazil, Turkey, etc.)
  • GELP non-recourse financing and Hedge Fund derivatives
  • OTM Derivative risk in GELP and CFXO (shorter Vega as markets sell off)

CONFIDENTIAL

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SLIDE 10

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SLIDE 11

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  • Confidential Treatment Requested

BAC-ML-CDO-000077022

slide-12
SLIDE 12

.

Confidential Treatment Requested BAC-ML-CDO-000077023

slide-13
SLIDE 13

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Merrill Lynch & Co. Market Risk Management

CONFIDENTIAL

Global Market Risk Management - Appendix Risk Profile Update

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SLIDE 14

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Merrill Lynch & Co, Market Risk Management

MRM Presentation to the Risk Oversight Committee

ABX HE 07-1

2007-to-Date Weekly Price Trend by Rating

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CONFIDENTIAL

4,000 3,500 3,000 2,500 2,000 1,500 1,000 500

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SLIDE 15

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Merrill Lynch & Co. Market Risk Management

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Q4'05 VaR $38mm

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100 80 60 40 20

Jan-06

Ql '06

40mm Apr-06

ML&Co. Daily 95% Trading VaR

January 2006 - September 20, 2007

Q2'06 54mm

Jul-06

Q3'06 43mm

  • ct-O 6

Q4'06 52mm

Jan-07

Ql '07

65mm Apr-07 Q2'07 70mm Jul-07

  • --Daily

95% VaR Daily 30-Day Rolling Average VaR

CONFIDENTIAL

9/27/07 67mm

100 80 60 40 20

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SLIDE 16

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Merrill Lynch & Co. Market Risk Management

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  • Jan-06

Apr-06

ML&Co. Daily 95% Trading VaR Trend by Risk Factor

January 2006 - September 20, 2007

Jul-06 Oct-06 Jan-07 Apr-07 Jul-07

I-TOTAL

VAR -CREDIT COMMODITY EQUITY -IR

FXI

Note: Credit Risk = Spread Volatility + Credit Product Spread + Credit Product Market Value

CONFIDENTIAL

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SLIDE 17

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Merrill Lynch & Co. Market Risk Management

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November 2006 - September 20, 2007

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........

  • Total VaR wi Eqty Sp. Risk

Total VaR wi Gen. Mkt Risk

CONFIDENTIAL

  • ........
  • Equity VaR wi Eqty Sp. Risk
  • - - - - - - Equity VaR wi Gen. Mkt Risk

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SLIDE 18

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Merrill Lynch & Co. Market Risk Management

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By Risk Factor

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ML&Co. Daily 95% Stand-alone VaR: Trading+ N

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January 2006 - September 20, 2007

180 160 140 120 100 1

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I-TOTAL

VAR -CREDIT COMMODITY EQUITY -IR

FXI

Note: Credit Risk = Spread Volatility + Credit Product Spread + Credit Product Market Value

CONFIDENTIAL

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SLIDE 19

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Merrill Lynch & Co. Market Risk Management

ML&Co. Interest Risk

Trading

ML&Co. P&L Profile P&L Profile by Major Currency: 9/20/07

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SLIDE 20

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Merrill Lynch & Co. Market Risk Management

ML&Co. P&L Profile

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Trading

P&L Profile: 9/20/07

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slide-21
SLIDE 21

.

Merrill Lynch & Co. Market Risk Management

ML&Co. Currency Risk Trend

Trading

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slide-22
SLIDE 22

.

Merrill Lynch & Co. Market Risk Management

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Delta by Product

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ML&Co. Commodity Risk Analysis

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European Power

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CONFIDENTIAL

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slide-23
SLIDE 23

.

Confidential Treatment Requested BAC-ML-CDO-000077034