Bank of America : Financial Report

BofA Securities Europe SA

Pillar 3 Disclosure

For the Half Year Ended 30 June 2022

BofA Securities Europe SA

Pillar 3 Disclosure for the Half Year Ended 30 June 2022

1. Overview and Purpose of Document

This document contains certain Pillar 3 disclosures for the half year ended 30 June 2022 of BofA Securities Europe SA ("BofASE SA" or "the Company").

In accordance with Article 433a(2) of the EU's Capital Requirements Regulation ("CRR") as amended by the Capital Requirements Regulation 2 ("CRR2"), BofASE SA is required to disclose the key metrics referred to in Article 447 of CRR on a semi-annual basis. This document contains these disclosures, which includes information on capital adequacy, leverage and liquidity.

For further information on BofASE SA's risk management objectives and policies, please refer to BofASE SA's annual Pillar 3 disclosure for the year ended 31 December 2021 on Bank of America's corporate website:

http://investor.bankofamerica.com

1.1 BofASE SA

BofASE SA is owned by NB Holdings Corporation (which holds 99.9% of BofASE SA) and Merrill Lynch Group Holdings I, L.L.C. (which holds 0.1% of BofASE SA), and its ultimate parent is Bank of America Corporation ("BAC" or "the Enterprise"). BofASE SA's activities form part of BAC's Global Banking and Markets operations in Europe, Middle East and Africa ("EMEA"), and will serve as Bank of America's primary Broker Dealer for clients in the European Economic Area ("EEA").

BofASE SA's head office is in France. The Company is authorised as an investment firm by the Autorité de Contrôle Prudentiel et de Résolution ("ACPR") and is regulated by the ACPR and the Autorité des Marchés Financiers ("AMF"). BofASE SA has the ability to trade throughout the European Economic Area ("EEA") and conduct business with international clients.

As at 30 June 2022, BofASE SA was rated by Fitch Ratings, Inc ("Fitch") (AA / F1+) and Standard & Poor's ("S&P") (A+ / A-1).

2. Basis of Preparation

The Basel Capital Accords provides a series of international standards for bank regulation commonly known as Basel I, Basel II and, most recently, Basel III. Basel III was implemented in the European Union ("EU") via the Capital Requirements Directive ("CRD") and the Capital Requirements Regulation ("CRR"), collectively known as the Capital Requirements Directive IV. CRR was subsequently amended by the Capital Requirements Regulation 2 ("CRR2"), with the collective CRD IV requirements being amended by Capital Requirements Directive V ("CRD V"). The CRD IV requirements took effect from 1 January 2014. The CRD V was transposed into French law on 29 December 2020.

This legislation consists of three pillars. Pillar 1 is defined as 'Minimum Capital Requirement,' Pillar 2 'Supervisory Review Process,' and Pillar 3 'Market Discipline.' The aim of Pillar 3 is to encourage market discipline by allowing market participants to access key pieces of information regarding the capital adequacy of institutions through a prescribed set of disclosure requirements.

The information contained in this Pillar 3 disclosure has been prepared in accordance with the requirements of Part Eight of the CRR, on an individual basis, for the purpose of explaining the basis on which BofASE SA has prepared and disclosed certain information about the application of regulatory capital adequacy rules and concepts. It therefore does not constitute any form of financial statement on BofASE SA, or of the wider Enterprise, and as such, is not prepared in accordance with International Financial Reporting Standards ("IFRS") or French Generally Accepted Accounting Principles ("French GAAP"). Therefore the information is not directly comparable with the annual financial statements and the disclosure is not required to be audited by external auditors.

In addition, the report does not constitute any form of contemporary or forward looking record or opinion on the Company or the Enterprise. Although the Pillar 3 disclosure is intended to provide transparent information on a common basis, the information contained in this document may not be directly comparable with the information provided by other investment firms. Any financial information included herein is unaudited.

This Pillar 3 disclosure is published on BAC's corporate website: http://investor.bankofamerica.com.

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BofA Securities Europe SA

Pillar 3 Disclosure for the Half Year Ended 30 June 2022

CRR 'Quick Fix'

On 26 June 2020, Regulation (EU) 2020/873 (CRR 'quick fix') was published in the Official Journal of the EU, amending Regulations (EU) No 575/2013 and (EU) 2019/876 as regards certain adjustments in response to the coronavirus ("COVID-19") pandemic. The CRR 'quick fix' is part of a series of measures taken by European institutions to mitigate the impact of the COVID- 19 pandemic on institutions across EU Member States. In addition to the flexibility already provided in the existing rules, the CRR 'quick fix' introduces certain adjustments to the CRR, including temporary measures, intended, inter alia, to enhance credit flows to companies and households, thereby supporting the EU's economy.

Article 468 of CRR 'quick fix' relates to the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the COVID-19 pandemic.

This article introduces a temporary treatment that allows institutions to remove from the calculation of their CET1 items, unrealised gains and losses measured at fair value through other comprehensive income, corresponding to exposures to central governments, to regional governments or to local authorities referred to in Article 115(2) CRR and to public sector entities referred to in Article 116(4) CRR, excluding those financial assets that are credit-impaired, during the period from 1 January 2020 to 31 December 2022. This article replaces the current article that was applicable until 31 December 2017.

BofASE SA has chosen not to apply this temporary treatment of Article 468 of CRR.

3. Disclosure Policy

In accordance with Article 431(3) of the CRR, as amended by CRR 2, BofASE SA has adopted a formal policy to comply with the disclosure requirements included in Part Eight of the CRR. The BofA Securities Europe SA Pillar 3 Disclosure Policy sets out the internal processes, systems and controls used to verify that the disclosures are appropriate and in compliance with regulatory requirements, and that the disclosures convey BofASE SA's risk profile comprehensively to market participants.

Senior Management Attestation

"I attest that the disclosures provided in the BofASE SA Pillar 3 Disclosure for the Half Year Ended 30 June 2022 have been prepared in accordance with the internal control processes detailed in the BofASE SA Pillar 3 Disclosure Policy, which has been approved at the management body level as amended for non-material changes."

The BofASE SA Pillar 3 Disclosures have been attested by:

BofASE SA Chief Financial Officer and Member of the Board

George Carp

4. Key Metrics

The following table shows a summary of BofASE SA's key capital, leverage and liquidity metrics as at 30 June 2022.

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BofA Securities Europe SA

Pillar 3 Disclosure for the Half Year Ended 30 June 2022

Table 1. EU KM1 - Key Metrics Template
	(Euros in					a			b			c
					Q2 2022			Q4 2021			Q2 2021
	Millions)
				Available own funds (amounts)
	1			Common Equity Tier 1 (CET1) capital			6,808			6,008			6,054
	2			Tier 1 capital			6,808			6,008			6,054
	3			Total capital			7,728			6,928			6,054
				Risk-weighted exposure amounts
	4			Total risk-weighted exposure amount			38,682			30,434			28,722
				Capital ratios (as a percentage of risk-weighted exposure amount)
	5			Common Equity Tier 1 ratio (%)			17.60%			19.74%			21.08%
	6			Tier 1 ratio (%)			17.60%			19.74%			21.08%
	7			Total capital ratio (%)			19.98%			22.76%			21.08%
				Additional own funds requirements to address risks other than	the risk of	excessive leverage (as a
				percentage of risk-weighted exposure amount)
	EU 7a			Additional own funds requirements to address risks other			3.69%			3.69%			3.69%
			than the risk of excessive leverage (%)
	EU 7b			of which: to be made up of CET1 capital (percentage			2.08%			2.08%			2.08%
			points)
	EU 7c			of which: to be made up of Tier 1 capital (percentage			2.77%			2.77%			2.77%
			points)
	EU 7d			Total SREP own funds requirements (%)			11.69%			11.69%			11.69%
				Combined buffer requirement (as a percentage of risk-weighted exposure amount)
	8			Capital conservation buffer (%)			2.50%			2.50%			2.50%
	EU 8a			Conservation buffer due to macro-prudential or systemic risk			0.00%			0.00%			0.00%
			identified at the level of a Member State (%)
	9			Institution specific countercyclical capital buffer (%)			0.08%			0.10%			0.10%
	EU 9a			Systemic risk buffer (%)			0.00%			0.00%			0.00%
	10			Global Systemically Important Institution buffer (%)			0.00%			0.00%			0.00%
	EU 10a			Other Systemically Important Institution buffer (%)			0.00%			0.00%			0.00%
	11			Combined buffer requirement (%)			2.58%			2.60%			2.60%
	EU 11a			Overall capital requirements (%)			14.27%			14.29%			14.29%
	12			CET1 available after meeting the total SREP own funds			8.29%			11.07%			9.39%
			requirements (%)
				Leverage ratio
	13			Total exposure measure			113,096			70,770			74,731
	14			Leverage ratio (%)			6.02%			8.49%			8.10%
				Additional own funds requirements to address the risk of excessive leverage (as a percentage of total
				exposure measure)
	EU 14a			Additional own funds requirements to address the risk of			0.00%			0.00%			0.00%
			excessive leverage (%)
	EU 14b			of which: to be made up of CET1 capital (percentage			0.00%			0.00%			0.00%
			points)
	EU 14c			Total SREP leverage ratio requirements (%)			3.00%			3.00%			3.00%

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BofA Securities Europe SA

Pillar 3 Disclosure for the Half Year Ended 30 June 2022

Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)

	EU 14d		Leverage ratio buffer requirement (%)			0.00%			0.00%			0.00%
	EU 14e		Overall leverage ratio requirements (%)			3.00%			3.00%			3.00%
			Liquidity Coverage Ratio
	15		Total high-quality liquid assets (HQLA) (Weighted value -			6,314			5,345			4,475
		average)
	EU 16a		Cash outflows - Total weighted value			6,476			4,912			4,520
	EU 16b		Cash inflows - Total weighted value			3,022			2,111			1,923
	16		Total net cash outflows (adjusted value)			3,454			2,802			2,596
	17		Liquidity coverage ratio (%)			187.81%			193.07%			174.69%
			Net Stable Funding Ratio
	18		Total available stable funding			15,171			12,788			11,312
	19		Total required stable funding			10,892			10,261			9,466
	20		NSFR ratio (%)			139.28%			124.63%			119.50%

In the half year ended 30 June 2022, CET1 Capital and Tier 1 Capital both increased by €0.8bn. This was mainly due to a capital injection of €0.9bn which was made in the period.

Total RWA increased by €8.2bn. This was mainly driven by an increase in market risk in the period. Counterparty credit risk also increased mainly due to an increase in securities financing exposures.

The leverage ratio exposure measure also increased in the period by €42.3bn. This was primarily driven by an increase in on-balance sheet exposures for securities financing and other assets.

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