Registered no: 56457103

MERRILL LYNCH B.V.

UNAUDITED

INTERIM REPORT AND FINANCIAL STATEMENTS

FOR THE SIX MONTHS ENDED 30 JUNE 2022

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MERRILL LYNCH B.V.

COMPANY INFORMATION

Directors

A. Dicke (appointed 12 May 2022)

L.J.M. Duijsens

S. Lilly (resigned 12 May 2022)

A.E.Okobia

Registered number

56457103

Registered office

Amstelplein 1, Rembrandt Tower

27 Floor, 1096 HA, Amsterdam

The Netherlands

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MERRILL LYNCH B.V.

CONTENTS

Page(s)

Directors' report

1 -5

Financial statements

• Statement of profit or loss and other comprehensive income

6

• Statement of financial position

7-8

Statement of changes in equity

9 -10

• Statement of cash flows

11

Notes to the financial statements

12 - 47

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MERRILL LYNCH B.V.

DIRECTORS' REPORT

FOR THE PERIOD ENDED 30 JUNE 2022

The directors present their report and the financial statements of Merrill Lynch B.V. ("MLBV", the "Company") for the six months ended 30 June 2022.

Statement of directors' responsibilities

The directors are responsible for preparing the Directors' Report and the financial statements in accordance with applicable laws and regulations.

The directors confirm that to the best of their knowledge:

the financial statements give a true and fair view of the state of the Company's affairs as at 30 June 2022 and of its profit and cash flows for the six months then ended; and

the directors' report gives a true and fair view of the Company's situation as at the reporting date, the events that occurred during the first half of 2022, future outlook, events after the reporting date and the risks to which the Company is exposed.

The Dutch Civil Code requires the directors to prepare financial statements for each financial year. Under that law the directors have prepared the financial statements in accordance with International Financial Reporting Standards as adopted by the European Union ("IFRS as adopted by the EU") and the additional requirements of Title 9 Book 2 of the Netherlands Civil Code in accordance with article 362 section 8 and 9 of the Netherlands Civil Code.

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;

state whether applicable IFRS's as adopted by the EU have been followed, subject to any material departures disclosed and explained in the financial statements;

prepare the financial statements on a going concern basis unless the directors either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so.

The directors are responsible for keeping adequate accounting records that are sufficient to show and explain the Company's transactions and disclose with reasonable accuracy at any time the financial position of the Company and enable them to ensure that the financial statements comply with IFRS as adopted by the EU and the additional requirements of Title 9 Book 2 of the Netherlands Civil Code in accordance with article 362 section 8 and 9 of the Netherlands Civil Code. 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.

Electronic distribution

The directors are responsible for ensuring that the Company's financial statements are provided for inclusion on the website of the Company's ultimate parent undertaking, Bank of America Corporation ("BAC").

Principal activities

The principal activities of the Company are the issuance of structured notes and economically hedging these instruments through derivatives with another group affiliate. In addition the Company grants intercompany loans to affiliated entities and places deposits with BAC and Merrill Lynch International ("MLI"), a BAC affiliate.

There has been no change to the principal activities and the directors expect the principal activities to continue during 2022.

Page 1

MERRILL LYNCH B.V.

DIRECTORS' REPORT (CONTINUED)

FOR THE PERIOD ENDED 30 JUNE 2022

Business review and market environment

The Company was incorporated on November 12, 2012 in Amsterdam, The Netherlands. The statutory address of the Company is Amstelplein 1, Rembrandt Tower, 27 Floor, 1096 HA, Amsterdam, The Netherlands.

The parent of the Company is Merrill Lynch International, LLC ("MLI LLC") and the ultimate parent of the Company is BAC.

Coronavirus ("COVID-19'�

The effects of the pandemic have adversely affected, and may continue to adversely affect the Company's businesses and results of operations, and the pandemic's duration and future impacts on global health, the global economy and its businesses, results of operations and financial condition remain uncertain. Pandemic developments and certain responses have also resulted in inflationary pressure and ultimately may contribute to the development of a prolonged, disruptive period of high inflation globally. There has been no material impact to the accounting estimates or going concern assessment for the Company.

The Company continues to execute its business continuity plans in connection with the pandemic, both locally and as part of BAC's coordinated response. The Company continues to closely monitor the pandemic and related risks as they evolve.

However, the Company continued to be profitable in 2022 and the cash position is positive. Based on a current analysis, management does not expect a material impact on the Company's working capital, liquidity and solvency.

Geopolitical

During the year, 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 and prevented outflows of selected currencies from Russia. While the Company's exposure to the conflicted areas is limited, 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.

Transition from London Interbank Offered Rate ("LIBOR") and other benchmark rates

Subject to the continued publication of certain non-representative LIBOR benchmark rates based on a modifieq calculation, all British Pound Sterling, Euro, Swiss Franc and Japanese Yen LIBOR rates and one week and two month US dollar ("USD") LIBOR rates ceased or became no longer representative of the underlying market the rates seek to measure immediately after 31 December 2021, and the remaining USD LIBOR rates {i.e., overnight, one month, three month, six month and 12 month) will become non-representative immediately after 30 June 2023.

As a result, a major transition has been and continues to be in progress in the global financial markets with respect to the replacement of Interbank Offered Rates ("IBORs"). This is a complex process impacting a variety of the Company's business and operations. IBORs have historically been used in many of the Company's products and contracts. In response, BAG has established an enterprise-wide IBOR transition programme. The programme was established and continues to drive the BAC's industry and regulatory engagement, client and financial contract changes, internal and external communications, technology and operations modifications, including updates to its operational models, systems and processes, introduction of new products, migration of existing clients, and programme strategy and governance.

Page 2

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Bank of America Corporation published this content on 05 October 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 05 October 2022 14:31:04 UTC.