ML UK Capital Holdings Limited Including Merrill Lynch International
Pillar 3 Disclosure
As at 31 December 2021
Contents
1. | Introduction ..................................................................................................................................................... | 8 |
2. | Capital Resources and Minimum Capital Requirement ................................................................................... | 16 |
3. | Liquidity Position and Encumbered and Unencumbered Assets ..................................................................... | 24 |
4. | Risk Management, Objectives, and Policy ....................................................................................................... | 31 |
5. | Further Detail on Capital Requirement, Capital Resources, Leverage, Securitisation and Capital Buffers ..... | 62 |
6. | Additional Information on Remuneration Disclosure ...................................................................................... | 88 |
7. | Appendices ....................................................................................................................................................... | 90 |
List of Figures & Tables
Figures
Figure1.1.4.F1. - Summary of MLI's Key Metrics as at 31 December 2021 ..................................................................................................
10
Figure 1.4.F1. - High Level Ownership Chart .................................................................................................................................................
15
Figure2.2.1.F1. - Summary of MLI's Minimum Capital Requirement ...........................................................................................................
19
Figure4.2.5.F1. - MLI Risk Governance Structure ......................................................................................................................................... Figure 5.1.F1. - Minimum Capital Requirement Detail: Counterparty and Credit Risk Exposure ................................................................. Figure 5.1.F2. - Minimum Capital Requirement Detail: Market Risk Capital Requirement ..........................................................................
38
63
63
Figure5.3.1.F1. - EU MR 4 Comparison of VaR Estimates with Gains/Losses ...............................................................................................
68
Tables
Table1.2.1.1.T1. - EU LI1 Differences Between Accounting and Regulatory Scopes of Consolidation and the Mapping of Financial Statement Categories with Regulatory Risk Categories ................................................................................................................................. Table1.2.2.2.T1. - EU LI2 Main Sources of Differences between Regulatory Exposure Amounts and Carrying Values in Financial Statements ......................................................................................................................................................................................................
12
13
Table2.1.2.T1. - Capital Resources ................................................................................................................................................................
17
Table2.2.2.T1. - RWAs and Minimum Capital Requirement .........................................................................................................................
20
Table2.3.1.T1. - Capital Surplus over Minimum Capital Requirement and Tier 1 Ratio ...............................................................................
21
Table2.5.1.T1. - Leverage Ratio .....................................................................................................................................................................
23
Table 3.2.T1. - Encumbered and Unencumbered Assets ...............................................................................................................................
26
Table 3.2.T2. - Collateral Received ................................................................................................................................................................
28
Table 3.2.T3. - Sources of Encumbrance ........................................................................................................................................................
29
Table3.3.2.T1. - LCR Disclosure .....................................................................................................................................................................
30
Table4.3.3.T1. - December 2021 IRRBB Metrics ...........................................................................................................................................
49
Table 5.2.T1. - Key Metrics - MREL Requirements .........................................................................................................................................
64
Table 5.3.T1. - EU MR 1 Market Risk under the Standardised Approach ......................................................................................................
65
Table 5.3.T2. - EU MR 2-A Market Risk under the IMA .................................................................................................................................
65
Table 5.3.T3. - EU MR 2-B RWA Flow Statements of Market Risk Exposures under the IMA .......................................................................
66
Table5.3.1.T1. - MR 3 IMA Values for Trading Portfolios .............................................................................................................................
70
Table5.4.1.T1. - Counterparty Credit Risk Exposure by Industry Distribution ..............................................................................................
71
Table5.4.2.T1. - Counterparty Credit Risk Exposure by Geographical Distribution ......................................................................................
72
Table5.4.2.T2. - Counterparty Credit Risk Exposure by Residual Maturity ..................................................................................................
73
Table5.4.3.T1. - Counterparty Credit Risk Exposure by CQS ........................................................................................................................
74
Table5.5.5.T1. - Current Exposure by Exposure Type to Securitisations ......................................................................................................
77
Table5.5.5.T2. - Securitisation Positions Risk Weighted at 1,250% ..............................................................................................................
77
Table5.5.5.T3. - Securitisation Exposures and Capital Requirements by Risk Weight .................................................................................
78
Table 5.6.T1. - MLI CCYB - Exposures .............................................................................................................................................................
79
Table 5.6.T2. - MLI CCYB - Own Fund Requirements .....................................................................................................................................
79
Table 5.6.T3. - MLI CCYB - Amount of institution-specific CCYB ....................................................................................................................
79
Table 5.6.T4. - MLUKCH Group CCYB - Exposures .........................................................................................................................................
80
Table 5.6.T5. - MLUKCH Group CCYB - Own Fund Requirements .................................................................................................................
80
Table 5.6.T6. - MLUKCH Group CCYB - Amount of institution-specific CCYB ................................................................................................ Table 5.7.T1. - Regulatory Capital Resources Reconciliation to Accounting Balance Sheet .........................................................................
80
81
Table 5.7.T2. - MLUKCH Group Capital Instrument Features ........................................................................................................................
82
Table 5.7.T3. - MLI Capital Instrument Features ...........................................................................................................................................
83
Table 5.7.T4. - Own Funds Disclosure Template ........................................................................................................................................... Table5.8.2.T1. - Summary Reconciliation of Accounting Assets and Leverage Ratio Exposures .................................................................
84
85
Table5.8.2.T2. - Leverage Ratio Common Disclosure ................................................................................................................................... Table5.8.2.T3. - Split of On-Balance Sheet Exposures (Excluding Derivatives, SFTs and exempted exposures) ..........................................
86
86
Table A1.T1. - MLUKCH Directors Board Membership and Experience .......................................................................................................
91
Table A1.T2. - MLI Directors Board Membership and Experience ................................................................................................................ Table A2.T1. - EU LI3 Outline of the Differences in the Scopes of Consolidation (Entity by Entity) .............................................................
91
93
Table A2.T2. - EU CRB-B Total and Average Net Amount of Exposures ........................................................................................................ 93
Table A2.T3. - EU CRB-C Geographical Breakdown of Exposures .................................................................................................................. 94
Table A2.T4. - EU CRB-D Concentration of Exposures by Industry or Counterparty Types ........................................................................... 95
Table A2.T5. - EU CRB-E Maturity of Exposures ............................................................................................................................................ 96
Table A2.T6. - EU CR1-A Credit Quality of Exposures by Exposure Class and Instrument ............................................................................ 96
Table A2.T7. - EU CR1-B Credit Quality of Exposures by Industry or Counterparty Types ............................................................................ 97
Table A2.T8. - EU CR1-C Credit Quality of Exposures by Geography ............................................................................................................. 97
Table A2.T9. - EU CR1-E Non-Performing and Forborne Exposures .............................................................................................................. 98
Table A2.T10. - EU CR2-B Changes in the Stock of Defaulted and Impaired Loans and Debt Securities ...................................................... 98
Table A2.T11. - EU CR3 CRM Techniques - Overview ................................................................................................................................... 98
Table A2.T12. - EU CR4 Standardised approach - Credit Risk Exposure and CRM Effects ............................................................................ 99
Table A2.T13. - EU CR5 Standardised Approach ............................................................................................................................................ 100
Table A2.T14. - EU CCR1 Analysis of CCR Exposure by Approach .................................................................................................................. 101
Table A2.T15. - EU CCR2 CVA Capital Charge ................................................................................................................................................ 101
Table A2.T16. - EU CCR8 Exposures to CCPs .................................................................................................................................................. 101
Table A2.T17. - EU CCR3 Standardised Approach - CCR Exposures by Regulatory Portfolio and Risk ......................................................... 102
Table A2.T18. - EU CCR5-A Impact of Netting and Collateral Held on Exposure Values ............................................................................... 102
Table A2.T19. - EU CCR5-B Composition of Collateral for Exposures to CCR ................................................................................................ 103
Table A2.T20. - EU CCR6 Credit Derivatives Exposures ................................................................................................................................. 103
Table A2.T21. - EU OV1 Quarterly Overview of RWAs .................................................................................................................................. 104
Glossary
ABS | Asset-Backed Securities |
AIRB | Advanced IRB Approach |
ALM | Assets and Liabilities Management |
AT1 | Additional Tier 1 Capital |
BAC / the Enterprise | Bank of America Corporation |
BOE | Bank of England |
Brexit | U.K. Exit from the European Union |
Capital Resources | Available Capital Resources |
CCP | Central Counterparty |
CCR | Counterparty Credit Risk |
CCYB | Countercyclical Capital Buffer |
CDO | Collateralized Debt Obligation |
CDS | Credit Default Swap |
CET1 | Common Equity Tier 1 |
CFO | Chief Financial Officer |
CFs | Control Functions |
CMR | Contingent Market Risk |
COVID-19 | Coronavirus |
CQS | Credit Quality Step |
CRD | Capital Requirements Directive |
CRD IV | Capital Requirements Directive IV |
CRM | Comprehensive Risk Measure |
CRO | Chief Risk Officer |
CRR | Capital Requirements Regulation |
CSA | Credit Support Annex |
CVA | Credit Valuation Adjustment |
DVA | Debit Valuation Adjustment |
EaR | Earnings at Risk |
EBA | European Banking Authority |
ECAIs | External Credit Assessment Institutions |
ECAs | Export Credit Agencies |
ECL | Expected Credit Losses |
ECR | Enterprise Credit Risk |
EEA | European Economic Area |
ELD | External Operational Loss Event Data |
EMEA | Europe, Middle East and Africa |
ESG | Environmental, Social and Governance |
EU | European Union |
EVE | Economic Value of Equity |
FCA | Financial Conduct Authority |
FDIC | Federal Deposit Insurance Corporation |
FIRB | Foundation IRB Approach |
Fitch | Fitch Ratings, Inc. |
FLU | Front Line Unit |
FPC | Financial Policy Committee |
FRS 101 | Financial Reporting Standard 101 'Reduced Disclosure Framework' |
FX | Foreign Exchange |
G-SII | Global Systemically Important Institutions |
GBAM | Global Banking and Markets |
GCOR | Global Compliance and Operational Risk |
GDP | Gross Domestic Product |
GMFR | Global Markets and Financial Risk |
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Bank of America Corporation published this content on 03 May 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 25 May 2022 03:02:04 UTC.