Bank of America : Financial Report

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