BANK OF AMERICA : EUROPE DAC ANNUAL REPORT

Registered number: 229165

BANK OF AMERICA EUROPE DAC

ANNUAL REPORT AND FINANCIAL STATEMENTS

FOR THE YEAR ENDED 31 DECEMBER 2021

DIRECTORSCOMPANY SECRETARY

O.T. Bussmann (Independent non-executive director) G.C. Carp (resigned 16 November 2021)

A.M. Finucane

S.A. James (Independent non-executive director) N.M. Jordan (Independent non-executive director) J.H. Lee (appointed 16 November 2021)

S. Lilly (resigned 15 November 2021)

R. McHugh (Independent non-executive director) J.G. Murphy (Independent non-executive director) F. Vicario

Merrill Lynch Corporate Services Limited

REGISTERED NUMBER

229165

REGISTERED OFFICE

Two Park Place Hatch Street Dublin 2

INDEPENDENT AUDITORS

Mazars

Chartered Accountants and Statutory Audit Firm Block 3 Harcourt Centre

Harcourt Road

Dublin 2 Ireland

CONTENTS

Page(s)
Directors' report	1 - 17
Independent auditors' report	18 - 25
Income statement	26
Statement of comprehensive income	27
Statement of financial position	28 - 29
Statement of changes in equity	30 - 31
Notes to the financial statements	32 - 122

DIRECTORS' REPORT

FOR THE YEAR ENDED 31 DECEMBER 2021

The directors present their Annual Report and the audited financial statements of Bank of America Europe DAC ("BofA Europe", "the Company") for the year ended 31 December 2021.

The Company is a registered bank in the Republic of Ireland which is authorised and regulated by the Central Bank of Ireland ("CBI") and supervised under the Single Supervisory Mechanism ("SSM") by the European Central Bank ("ECB"). The Company is a wholly owned subsidiary of Bank of America, National Association ("BANA") and the ultimate parent of the Company is Bank of America Corporation (NYSE:BAC) ("BAC").

The Company's head office is in the Republic of Ireland with branches in the United Kingdom ("UK"), Belgium, France, Germany, Greece, Italy, the Netherlands, Spain, Sweden, and Switzerland.

DIRECTORS' RESPONSIBILITIES STATEMENT

The directors are responsible for preparing the Directors' report and the financial statements in accordance with Irish law and regulations.

Irish company law requires the directors to prepare the financial statements for each financial year. Under the law, the directors have prepared the financial statements in accordance with the Companies Act 2014 and Financial Reporting Standard 101 "Reduced Disclosure Framework".

Under company law, the directors must not approve the financial statements unless they are satisfied they give a true and fair view of the assets, liabilities and financial position of the Company as at the financial end date, of the profit or loss for that financial year and otherwise comply with the Companies Act 2014.

In preparing these financial statements, the directors are required to:

•  select suitable accounting policies and then apply them consistently;

•  make judgements and accounting estimates that are reasonable and prudent;

•  state whether the financial statements have been prepared in accordance with applicable accounting standards, identify those standards, and note the effect and the reasons for any material departure from those standards; and

•  prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in business.

The directors are responsible for ensuring that the Company keeps adequate accounting records which correctly explain and record the transactions of the Company, enable at any time the assets, liabilities, financial position and profit or loss of the Company to be determined with reasonable accuracy, enable them to ensure that the financial statements and Directors' report comply with the Companies Act 2014 and enable the financial statements to be audited. They are also responsible for safeguarding the assets of the Company and hence for taking reasonable steps for the prevention and detection of fraud and other irregularities.

Legislation in the Republic of Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

PRINCIPAL ACTIVITIES

The Company provides a range of financial services and forms part of BAC's Global Banking and Global Markets operations in the Europe, Middle East and Africa ("EMEA") region. Clients principally include large multinational groups, financial institutions, governments and government entities. The Company has the ability to conduct business with international clients and to trade throughout the European Economic Area ("EEA") and other key markets within the EMEA region.

As well as providing financial services, during the year the Company also provided support services to other companies in the BAC group in the EMEA region. Services provided include Information Technology ("IT") and

DIRECTORS' REPORT (CONTINUED)

FOR THE YEAR ENDED 31 DECEMBER 2021

operations support, administration and Human Resources ("HR") support and real estate services. On 1 April 2021 the Company transferred 708 employees, along with associated support services activities, to the London branch of BANA. See note 3 for further information regarding the transfer of activities. The Company continues to charge other BAC companies in relation to costs incurred for other services provided to the BAC group.

As at 31 December 2021, the Company was rated by Fitch (AA/F1+) and Standard & Poor's (A+/A-1).

Notwithstanding the transfer of some support services activities to the London branch of BANA during the year, the directors do not anticipate any significant changes in the Company's activities in the forthcoming year.

MARKET ENVIRONMENT

Geopolitical

In 2021, there was a rebound in market and client activity driven by the roll-out of effective COVID-19 related vaccines and continued unprecedented levels of fiscal and monetary stimulus. Investment Banking activity hit new highs with global records set for announced Mergers and Acquisitions ("M&A"), Initial Public Offerings and High Yield Bond volumes. The global Investment Banking fee pool reached a record $128B, up 39% year on year, and in EMEA fees were up 44% to $27.4B, driven by M&A, Equity Capital Markets and Leveraged Finance market fee pools all up over 60%. Risk-on sentiment and low interest rates drove fund flows into equities and propelled global equity market capitalisation to a new all-time high, as 2021 saw record global equity fund inflows of nearly $950B, more than the cumulative inflows of the last 20 years. (Sources: Dealogic, Emerging Portfolio Fund Research Platform, BofA Europe Global Investment Strategy).

However, COVID-19 continues to cause concern following the emergence and rapid spread of the Delta and Omicron variants. Inflation worries, ongoing supply chain issues and central bank policy tightening may lead to increased volatility in 2022 while elevated geopolitical tensions also pose risks, particularly with China/Hong Kong tensions and volatility in Turkey.

The Company is subject to numerous geopolitical, economic and other risks in the jurisdictions in which it operates. The Company does business throughout the world including in emerging markets. Economic or geopolitical stress in one or more countries could have a negative global impact, resulting in reduced market value and economic output. The businesses and revenues are subject to risk of loss from currency fluctuations, financial, social or judicial instability, electoral outcomes, changes in governmental policies or policies of central banks, price controls, high inflation, protectionist trade policies, continued trade tensions (particularly as a result of Brexit) including the risk that tariffs continue to rise and other restrictive actions are taken that weigh heavily on regional trade volumes and domestic demand through falling business sentiment and lower consumer confidence and changes in legislation. These risks are especially elevated in emerging markets.

Furthermore, changes in fiscal, monetary or regulatory policy could adversely affect the Company's business operations, organisational structure and results of operations. The Company is also subject to geopolitical risks including for example; acts or threats of terrorism and/or military conflicts which could adversely affect business and economic conditions globally.

Russia/Ukraine Conflict

Post year end, financial markets and commodities markets have been impacted by the Russia/Ukraine conflict, including the implementation of various economic sanctions by multiple jurisdictions on select Russian government and military leaders, financial institutions, business leaders and the Central Bank of Russia. In addition, the government of Russia has implemented economic sanctions on selected non-Russian institutions.

The Company's exposure to Russia is being closely monitored and the post year end impact to impairment is not considered to be material at this point. The potential impact of the conflict and sanctions regime on European and global markets and institutions remains uncertain, and episodes of economic and market volatility may continue to occur. As a result, the Company's business, results of performance, financial position and/or operational model could be adversely affected.