Merrill Lynch Equity S.àr.l. Pillar 3 Disclosures. As at December 31, 2012

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1 Merrill Lynch Equity S.àr.l. Pillar 3 Disclosures As at December 31,

2 2

3 Contents 1. Introduction 2. Capital Resources and Requirements 3. Risk Management Objectives and Policies 4. Further Detail 5. Remuneration Policy

4 1 - Introduction Merrill Lynch Equity S.à r.l. (MLESA) was incorporated in Luxembourg on February 5, The principal activities of MLESA are stock lending, equity derivatives and American Depositary Receipt (ADR) conversion as per the authorization received from Commission de Surveillance du Secteur Financier (CSSF). This report constitutes the Capital Adequacy Disclosure pursuant to the regulatory requirements of Pillar 3 as per the provisions set out in CSSF Circular CSSF 07/290 Part XIX. In June 2006, the Basel Committee on Banking Supervision (BCBS) introduced a new capital adequacy framework to replace the 1988 Basel Capital Accord in the form of the International Convergence of Capital Measurement and Capital Standards (commonly known as Basel II ). The supervisory objectives of Basel II are to promote safety and soundness in the financial system and maintain an appropriate level of capital, enhance competitive equality, and establish a more comprehensive approach to addressing risks. Basel II is structured around three pillars : pillar 1, minimum capital requirements, pillar 2, supervisory review and pillar 3, market discipline. The aim of Basel II 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 disclosures in this report are based on the figures as at December 31, Scope of Application MLESA is a subsidiary of Merrill Lynch Equity Scotland Limited Partnership, a Scottish limited partnership. The ultimate parent of MLESA is Bank of America Corporation (BAC or the Group), a US corporation with its head office in Charlotte, North Carolina and as such must also comply with all relevant US regulations. MLESA must comply with all applicable laws and regulations in Luxembourg, other jurisdictions affecting its businesses, as well as with guidelines on best practices issued by the regulator. The chart on the next page (Figure 1) shows the ownership and regulatory structure of MLESA. MLESA does not form any part of a consolidated group within the meaning of Chapter 2 of CSSF 07/290 Part XIX. At December 31, 2012, MLESA does not hold shares or units in other entities that may be consolidated for accounting purposes, so there are no differences in the scope of consolidation for accounting and capital adequacy purposes. 2.1 Basis of Preparation The information contained in these disclosures has been prepared in accordance with regulatory capital adequacy rules, rather than in accordance with international accounting standards. Therefore, the information is not directly comparable with information published in the annual financial statements. These disclosures are not required to be audited by the external auditors. The document has been

5 prepared purely for the purpose of explaining the basis on which MLESA has prepared and disclosed certain information about the management of risks relating to those requirements, and for no other purpose. It therefore does not constitute any form of financial statement for MLESA or of the wider BAC group, nor does it constitute any form of contemporary or forward looking record or opinion of the group. Although Pillar 3 disclosures are intended to provide transparent disclosures on a common basis, the information contained in this document may not be comparable with that of other banks. Figure 1: MLESA Holding Structure Bank of America Corporation Merrill Lynch & Co., Inc Merrill Lynch Group, Inc Merrill Lynch Group Holdings I, LLC ML Invest Finance, LLC Merrill Lynch Equity Scotland Limited Partnership Merrill Lynch Equity S.a.r.l

6 2 - Capital Resources and Requirements 2.1 Summary of Capital Resources The table below shows the regulatory capital resources for MLESA Table 1: MLESA Capital Funds 2011 vs Merrill Lynch Equity S.àr.l. Actuals (USD in Millions) Eligible Capital Eligible Reserves 0 8 Tier 1 Capital Loan loss provision 0 0 Tier 2 Capital 0 0 Total Capital Funds The capital was increased during extraordinary meeting held December 14th On December 31, 2012 the Company s share capital amounted to USD represented by a total of shares with a par value of USD each. On December 31, 2011 the Company s share capital amounted to USD 70,315,000 represented by a total of 50,000,000 shares with a par value of USD each Variance between above Capital and Eligible Capital is made of share premium. 2.2 Capital Adequacy In accordance with the provisions of CSSF circular 07/290, MLESA calculates the simplified solvency ratio. For the calculation of this solvency ratio, the numerator consists of the amount of eligible own funds and the denominator is equal to the greater of: The risk weighted assets for credit risk, operational risk and foreign exchange risk or; A requirement corresponding to 25% of the general expenses of the previous exercise. MLESA uses the first approach. MLESA uses the Standardized Approach (SA) for Credit and Market Risk and the Basic Indicator approach (BIA) for Operational Risk.

7 Under the Standardized Approach for Credit Risk, MLESA relies upon the ratings assigned to counterparties by the external credit rating agencies recognized by the CSSF for assigning risk weights for capital adequacy purposes. Under the Standardized Approach for Market Risk, MLESA calculates its exposure as the maximum between the total of the long and the total of the short positions in foreign currencies. Under the Basic Indicator Approach, MLESA holds capital for Operational Risk equal to a fixed percentage (15%) of the prior three years average positive annual gross income. Gross income includes interest income, payment fees, and commissions. The risk weighted assets for Operational Risk are calculated by dividing the Operational Risk capital charge by 8%. The following table provides a breakdown of capital requirements per risk type as at December 31, Table 2: Capital requirements 2011 vs Merrill Lynch Equity S.àr.l. Actuals (USD in Millions) Credit Risk Central Banks Institutions Corporate Other items Total Credit Risk Total Market Risk Operational Risk Total Capital Requirements MLESA performs an internal capital adequacy assessment process (ICAAP) in accordance with circular CSSF 07/301. Basel II Pillar 2 requires an establishment of a framework for banks to perform a comprehensive assessment of the risks they face and to relate capital adequacy to these risks. Furthermore, the capital analysis performed by banks is expected to encompass all risks, not only those risks captured by the Pillar 1 minimum regulatory capital calculation. The ICAAP risk assessment focused on the following risk areas: Credit risk is the risk of loss arising from the inability or failure of a borrower or counterparty to meet its obligations. Minimum cash positions are held as a result of regulatory requirements and settlement of operations; balances in excess are in principle swept to the Group s Treasury to reimburse Treasury financing of the physical stocks purchases.

8 Market Risk is the risk that values of assets and liabilities or revenues will be adversely affected by changes in market conditions, such as interest rate movements, currency exchange rates and security prices. ML Equity s market risk exposure is mainly due to exchange risk. Market risk related to its investment portfolio is 100% covered by bilateral Total Return Swaps (TRS) with Merrill Lynch International (MLI) and therefore market risk is zero for this portfolio. Operational risk is the risk of loss resulting from inadequate or failed internal processes, people and systems, or from external events. It includes the following event types: internal fraud; external fraud; employment practices and workplace safety; clients, products, and business practices; damage to physical assets; business disruption and system failures; and execution, delivery and process management. To monitor and control operational risk a system of policies and control framework, designed to ensure a sound and well-controlled operational environment, is maintained. Liquidity risk is the potential inability to meet contractual and contingent financial obligations on- or off-balance sheet as they come due. Strategic risk is the risk that results from adverse business decisions, inappropriate business plans, ineffective business strategy execution or failure to respond in a timely manner to changes in the macro-economic environment such as business cycles, competitor actions, changing customer preferences, product obsolescence, technology developments and regulatory environment. Reputational risk is the potential that negative perceptions of an organization s conduct or business practices will adversely affect its profitability, operations or customers and clients. MLESA had USD 230mn of eligible own funds compared to the capital requirement of USD 108mn as at December 31, 2012 and the surplus own funds highlight the fact that MLESA is well capitalized relative to its risks. Below template provides surplus and solvency computation. Table 3: Solvency Ratio 2011 vs Merrill Lynch Equity S.àr.l. Actuals (USD in Millions) Total Capital Funds Capital Requirements 5 9 Surplus Own Funds Solvency Ratio 118% 214%

9 3 - Risk Management Objectives and Policies 3.1 Strategy and Process As at December 31, 2012, MLESA s activities are focused on stock lending, equity derivatives (Total Return Swaps or TRS) and ADR conversion. TRSs are currently only transacted with MLI. Only stock lending activities have involved external counterparts in BAC adopted a revised Risk Framework in January MLESA has adopted the risk philosophy, processes and controls of BAC, but has adapted these to reflect local business, legal and regulatory requirements. BAC takes a comprehensive approach to risk management by fully integrating risk management with strategic, financial and customer / client planning so that goals and responsibilities align across BAC. BAC s risk appetite and risk exposures are aligned. BAC manages risk systematically, with a focus as a whole and by Business, the Governance and Control Functions ( GCF ), geography, legal entity (where appropriate), product, service and transaction. This holistic approach promotes the Company s risk versus reward analysis needed to make informed strategic and business decisions. The risk management approach has five components: Risk culture; Risk appetite and philosophy; Risk governance and organization; Risk transparency and reporting; and Risk management processes, including the Identify, Mitigate, Monitor, and Report (IMMR) risk management process. Focusing on these five components allows BAC to effectively manage risks across the seven key risk types identified (strategic, credit, market, liquidity, operational, compliance and reputational risks) and across all LOBs and, where applicable, GCFs. MLESA, in adopting the BAC approach to risk management, considers that appropriate procedures and controls, together with its governance framework, provide a sustainable form of risk mitigation. 3.2 Scope and nature of risk reporting and measurements systems Risk management reports are compiled by the Global Risk Department. The reports are reviewed and discussed by the day-to-day managers.

10 3.3 Policies for Hedging and Mitigating Risk The oversight of risk management for MLESA is undertaken by senior management in collaboration with Risk teams based in London. The main objective is to measure, monitor and report the risks to which MLESA is, or could be, exposed. The risk management function is proportionate to MLESA s activities and organization. The day-to-day managers of MLESA in conjunction with the equity trading employees are responsible for ensuring that all the transactions which MLESA enters into are compliant with the risk management policies adopted by the Board. The day-to-day managers undertake and document their review of MLESA s outstanding positions on a daily basis.

11 4 - Further details 4.1 Credit Risk Credit risk for MLESA arises from total return swap (TRS) transactions with Merrill Lynch International (MLI) which is the only counterparty as at December 31, ML Equity s position is 100% hedged and a daily report is produced for the trading desk showing any market risk exposure. MLI was the sole counterparty in 2012 and the capital requirement as at December was evaluated at USD 3.8 mn. As part of its stock lending activities, MLESA invited counterparties to borrow from a list of available equities and received cash and non-cash collateral in return. Only stock lending activities involved external counterparties in MLESA receives daily report on collateral exposures to ensure that it has sufficient collateral against the loans to external parties. As at December 31, 2012, the capital requirement due to lent securities was calculated at USD 3.5 mn. The following tables show the credit risk exposures by exposure class, geographic distribution, industry groups and residual maturity. All the exposures reported in the tables below are based on the exposures of the counterparties as at December 31, 2012 Table 4: Total Gross Exposure by Exposure Class USD k Exposure Class Central Government or Central Banks Gross Exposure 48,249 Institutions 1,979,609 Corporate 0 Other Items 260 Total 2,028,118 Table 5: Total Gross Exposure by Geographic Distribution USD k Geographic Location Gross Exposure Luxembourg 49,460 United Kingdom 1,978,398 Other European Union 0 United States 0 Asia 0 Rest of the World 260 Total 2,028,118

12 Table 6: Total Gross Exposure by Industry Group USD k Industry Group Gross Exposure Central Government or Central Banks 48,249 Credit Institutions 1,211 Manufacturing (Building Products) 0 Other Financial Institutions 1,978,398 Manufacturing (Other) 0 Other 260 Total 2,028,118 Table 7: Total Gross Exposure by Residual Maturity USD k Residual Maturity Gross Exposure Next Day Days 9 Days - 1 Month 1-3 Months 3 Months 1 Year 1 Year or more Total Credit quality steps before and after Credit Risk Mitigation using Standardised Approach Table 8: Credit quality step analysis of pre CRM exposure and capital deductions under the Standardised Approach as at December 31, 2012 USD k Exposure / Capital Pre- CRM Credit Quality Step 1 Credit Quality Step 2 Credit Quality Step 3 Exposures Credit Quality Step 4 Credit Quality Step 5 Credit Quality Step 6 Unrated Central Government or Central Banks Institutions Corporate 0 Other Total Credit Risk Exposure / Capital Total Capital deducted from own funds Table 9: Credit quality step analysis of post CRM exposure and capital deductions under the Standardised Approach as at December 31, 2012 USD k Exposure / Capital Post- CRM Credit Quality Step 1 Credit Quality Step 2 Credit Quality Step 3 Exposures Credit Quality Step 4 Credit Quality Step 5 Credit Quality Step 6 Unrated Central Government or Central Banks Institutions Corporate 0 Other Total Credit Risk Exposure Total Capital deducted from own funds 4.2 Credit Risk Mitigants

13 Risk management reports are compiled by the Global Risk Department. The reports are reviewed and discussed by the day-to-day managers. Credit risk mitigation is used by financial institutions for the limitation of credit risk linked to one or more risk positions that the institution has. MLESA does hold eligible collateral which mitigates credit risk and uses the technique as specified in Part IX of CSSF Circular 07/290 in order to reduce its capital requirement. MLESA uses the Financial Collateral Simple Method for assessing the appropriate risk weighting for which it receives cash as collateral. The table below provides the fully adjusted exposure values by risk weights where CRM has been applied as at December Table 10: Credit Risk Mitigation USD k Exposure class Institutions Other Risk Weight Gross Exposures Amount Fully Adjusted Exposure Value Risk Weighted Exposure Amount Capital Requirement 0% 20% % 20% 100%. 4.3 Market risk MLESA is not exposed to market risk as a result of entering into derivatives and always transacts on a fully hedged basis. Therefore, market risk related to the investment portfolio is zero as it is 100% covered by bilateral Total Return Swaps (TRS) with MLI. MLESA uses the Standardized Approach for calculating capital requirements for market risk. The capital requirement due to exchange rate risk is USD 94k. 4.4 Operational risk The total capital requirement for operational risk is calculated by MLESA using the Basic Indicator Approach. As at December 31, 2012, the capital requirement for operational risk amounted to EUR USD 1,143k.

14 4.5 Disclosures Linked to the Equity Exposures Not Included in the Trading Book MLESA does not have exposures in equities from credit institutions and other commercial companies that are not included in the trading book. 4.6 Disclosures Linked to Interest Rate Risk Exposures on Positions Not Included in the Trading Book MLESA applies the methodology and scenario defined by CSSF Circular 08/338 in order to monitor the interest rate risk exposures on positions not included in the trading book. The objective of the assessment is to determine the impact on eligible own funds due to an increase or decrease of 200 basis points of the interest rates on the market value of exposures outside the investment portfolio. As at December , the impact of the change in interest rates as per CSSF Circular 08/338 is 1,763 USD k. 4.7 Disclosures Linked to Securitization MLESA does not hold any material securitization positions so no disclosures are made.

15 5 - Remuneration Disclosures Introduction The following information sets forth the qualitative disclosures required under Directive 2006/48/EU (as amended by Directive 2010/76/EU) (CRD III) at paragraphs (a) to (e) of Point 15, Annex XII, Part 2 regarding the incentive compensation programs operated in performance year 2012 by Bank of America Corporation ( Bank of America or the Company ). The quantitative disclosures required under paragraphs (f) and (g) of Point 15, Annex XII, Part 2 of Directive 2006/48/EU appear after this section. The following three key principles are used so the Company s incentive compensation plans do not encourage excessive risk-taking: 1. Incentive compensation plans should be designed to appropriately balance risk and financial results. 2. The Company s risk-management processes and internal controls should reinforce and support the development and governance of balanced incentive compensation plans. 3. The Company should have a strong corporate governance approach to incentive compensation plans, with oversight, review and responsibility for compensation decision-making allocated to the appropriate level of the Company s structure so the most relevant level of management makes compensation decisions on the basis of appropriate oversight and appropriate input from the Company s Independent Control Functions (i.e., Risk, Compliance, Legal, Finance, Audit and Human Resources). These principles work in conjunction with broader policies, including the Company s overall commitment to pay-for-performance, which are reflected in Bank of America s disclosed Global Compensation Principles and its remuneration policies and risk management procedures. 5.1 Governance and the decision-making process for determining the remuneration policy The Company applies its compensation policies on a global basis and has four primary levels for the governance of incentive compensation plans (together the Compensation Committees ): (i) the Board of Directors (the Board ), (ii) the Board of Directors Compensation and Benefits Committee (the Committee ), which is wholly made up of independent directors and functions as the Company s global Remuneration Committee, (iii) the Management Compensation Committee, and (iv) a Line of Business Compensation Committee for each of the Company s lines of business. The Committee oversees the establishment, maintenance and administration of the Company s compensation programs and employee benefit plans, including approving and recommending the compensation of its Chief Executive Officer (the CEO ) to the Board for its approval and approving

16 the compensation of the CEO s direct reports. Under supervision of the Committee, oversight, review and responsibility for remuneration decision-making is allocated to the appropriate level of the Bank s structure so that the most relevant level of management makes remuneration decisions with documented input from the Bank s Independent Control Functions. The appropriate level of compensation committee reviews and evaluates employee compensation programs periodically in order to assess any risk posed by the programs so they do not encourage excessive risk-taking. In addition, the Committee is responsible for reviewing senior executive officer compensation programs. The Committee has adopted and reviews at least annually the Bank of America Compensation Governance Policy to govern incentive compensation decisions and define the framework for design oversight of incentive compensation programs across the Company. The Compensation Governance Policy is designed to be consistent with global regulatory initiatives so that the Company s incentive compensation plans do not encourage excessive risk-taking. The Company's Independent Control Functions provide input for the Compensation Committees and provide direct feedback to the Committee on the operation of the Company s compensation programs. The Committee also holds periodic meetings with senior risk officers, including the Chief Risk Officer, to review and evaluate employee compensation programs and assess any risk posed by the programs so that the programs appropriately balance risks and rewards in a manner that does not encourage excessive risk-taking and are otherwise consistent with the Company's Compensation Governance Policy. As authorized under its charter, the Committee has engaged an independent compensation consultant. The Committee engaged Frederic W. Cook & Company ( Cook ) as its independent compensation consultant for Cook meets regularly with the Committee outside the presence of management and alone with the Committee chair. 5.2 The link between pay and performance The cornerstone of Bank of America s compensation philosophy across all lines of business is to payfor-performance Company, line of business and individual performance. Through the Company s Performance Management process, employees understand performance expectations for their role through on-going dialogue with their manager. The Performance Management process is designed and monitored by the Leadership Development function in Human Resources. This process is reviewed periodically so that it meets the needs of managers to assess and communicate performance expectations. Throughout the year, employees receive coaching on their performance and ultimately receive a rating for their full year of performance based upon their achievement of goals for their job. Each employee s performance is assessed on financial and non-financial metrics as well as specific behaviors and performance is factored into each employee s incentive compensation award. Depending on the employee, financial performance metrics may be focused on corporate-wide, line of business, or product results. Non-financial performance metrics may include quality and sustainability of earnings, successful implementation of strategic initiatives, adoption of risk culture/adherence to risk framework and other core values and operating principles of the Company. Employees receive two ratings a Result rating (based on objective metrics) and a Behavior rating (based on subjective metrics such as leadership, teamwork, etc.). The scale for both ratings is Exceeds Expectations, Meets Expectations, and Does Not Meet Expectations. Both the Result and Behavior ratings are used in determining employees compensation. As a result, an employee s compensation can be influenced not only by what the employee achieves, but how the employee achieves it and employees may receive no variable award if performance is not sufficiently strong.

17 The Company's pay-for-performance program also requires that all employees complete annual mandatory risk and compliance training. Failure to complete the training can impact an individual employee's compensation. 5.3 Risk Management and Incentive Plans Risk is inherent in every material business activity that the Company undertakes. The Company s business exposes it to strategic, credit, market, liquidity, compliance, operational and reputational risks. The Company must manage these risks to maximize its long-term results by ensuring the integrity of its assets and the quality of its earnings. To support the Company s corporate goals and objectives, risk appetite, and business and risk strategies, the Company maintains a governance structure that delineates the responsibilities for risk management activities, as well as governance and oversight of those activities, by management and the Company s Board. Executive management develops for Board approval the Company s Risk Framework, which defines the accountability of the Company and its employees in managing risk; the Company s Risk Appetite Statement, which defines the parameters under which the Company will take risk; and the Company s strategic and financial operating plans. Management monitors, and the Board oversees directly and through its committees, the Company s financial performance, execution against the strategic and financial operating plans, compliance with the risk appetite metrics and the adequacy of internal controls. The Company believes that prudent risk management practices are applied to its incentive remuneration programs across the enterprise. The Company continually evaluates the design of its remuneration programs in accordance with the risk framework. The Committee is committed to a compensation governance structure that effectively contributes to the Company s broader risk management policies. The Company's incentive plans are designed to compensate employees based on their performance ratings for results against their individual performance plan and behaviors, as well as overall Company and line of business performance. The levels of funding approved for and compensation awarded from the incentive plan bonus pools are benchmarked regularly with an independent consultant. Incentive plan bonus pools are based on profit measures, which inherently recognize certain underlying risk factors and are further adjusted to reflect the use of capital associated with individual lines of business or products and/or the quality and sustainability of earnings over time. The determination of incentive plan bonus pools is also subject to management discretion which operates so proper account is taken of the performance of the overall Company, individual lines of business, products and other factors including the achievement of strategic objectives. Incentive plan bonus pools may be adjusted to reflect long-term risk arising through line of business and product performance. These pools are tied to the overall performance, inclusive of risk, of Bank of America and/or specific lines of business or products, creating for employees a vested interest in profitable performance across the Company and its businesses. Long-term risk is also taken into account and managed in connection with the Company s incentive compensation programs through arrangements permitting performance adjustment of deferred variable compensation. Employees in positions where the greatest risk is being taken are subject to higher levels of deferral and potential performance adjustments. The compensation of the Independent Control Functions is determined independently from the line of business supported. The funding of the incentive pool for these employees is based upon overall

18 Company performance with the actual employee awards determined based upon individual performance against predetermined objectives. The Company has determined that certain individuals and groups of employees should be classified as Covered Employees which include (i) the CEO and CEO s direct reports, (ii) other individual employees whose activities may expose the Company or the employee s line of business to material amounts of risk, and (iii) groups of employees who, in aggregate, may expose the Company or the employees line of business to material risk. Incentive compensation plans for Covered Employees will be consistent with the Company s Global Compensation Principles. Plans will also be designed to appropriately consider the full range of applicable risks, taking into account where practicable the duration of those risks. 5.4 Employee Pay Bank of America compensates its employees using a balanced mix of base salary, annual cash incentives and long-term incentives (which are delivered in equity, equity-linked instruments or cash). In general, the higher an employee s management level or amount of incentive compensation award, the greater the proportion of incentive compensation should be (i) subject to deferral and (ii) delivered in the form of equity-linked compensation. The Company believes equity-linked awards are the simplest, most direct way to align employee interests with those of its stockholders. A significant portion of incentive awards is provided as a long-term incentive that generally becomes earned and payable over a period of three years after grant subject to performance adjustment (i.e., cancellation) in case of detrimental conduct or (for certain risk-takers) failure of the Company, line of business or business unit (as applicable) to remain profitable during the vesting period. This approach serves two key objectives, which are to focus employees on long-term sustainable results and to subject compensation awards to risk over an appropriate time horizon that can be easily communicated and understood. 5.5 Quantitative Data Bank of America has carried out a review of its remuneration policies, which has included determining where Identified Staff are located. The criteria used by the Company to assess Identified Staff (and equivalent designations outside the EU) on a global basis are based on the Financial Stability Board's Principles and Implementation Standards and Directive 2006/48/EU. The Company considers that it applies its remuneration policies (including the determination of Identified Staff) in a way that is appropriate to the size, internal organization and the nature, scope and complexity of its activities in all the countries in which it operates and has determined that, as the scope of the activities of employees in Luxembourg is relatively limited, the operation there has no Identified Staff. Senior employees, including control functions, at Merrill Lynch Equity S.a.r.l have functional reporting lines to more senior Bank of America employees in other countries who are covered by regulations based on CRD III and the CEBS guidelines and who are reported as Identified Staff in their respective countries.

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