Former Merrill Lynch CEO John Thain told CNBC that the brokerage firm's huge fourth-quarter loss resulted from investments made by his predecessor and that Bank of America was well aware of the growing losses before it acquired Merrill Lynch on Jan. 1.

In an exclusive interview, Thain also said he was surprised to be let go just 20 days after the merger with Bank of America and had no regrets about selling Merrill to the banking giant last fall.