Bank of America : Merrill Lynch B.V. Annual Report for the Year Ended 31 December 2023

MERRILL LYNCH B.V.

DIRECTORS' REPORT

FOR THE YEAR ENDED 31 DECEMBER 2023

The directors present their report and the audited financial statements of Merrill Lynch B.V. ("MLBV", the "Company") for the year ended 31 December 2023.

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 31 December 2023 and of its profit and cash flows for the year 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 2023, 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; and
• 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"). The work carried out by the auditors does not involve consideration of these matters and accordingly, the auditors accept no responsibility for any changes that may have occurred to the financial statements since they were initially presented on the website.

Principal activities

The principal activities of the Company are the issuance of structured notes, certificates and warrants ("Structured issuances") and economically hedging these instruments through derivatives with affiliated companies. In addition, the Company grants intercompany loans to Merrill Lynch International ("MLI"), a BAC affiliate.

During the year, the Company started to issue warrants in addition to structured notes and certificates. The directors expect the principal activities to continue during 2024.

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MERRILL LYNCH B.V.

DIRECTORS' REPORT (CONTINUED)

FOR THE YEAR ENDED 31 DECEMBER 2023

Business review and market environment

Details about the Company's incorporation and the parent of the Company are disclosed in Note 1 Corporate information.

Outlook

The 2023 market environment was characterised by turbulence in the banking system, as bank failures early in the year caused stress through the banking system that significantly impacted asset prices and volatility. The situation drove investor caution, and 2023 saw record annual inflows into money market funds and Treasuries.

2023 was also dominated by the direction of interest rates, as central banks hiked policy rates in an effort to reduce inflation. Data from BAC Research shows that the sharp increase in inflation in the Eurozone/European Economic area started to stabilise towards the end of the year, but remained above central bank targets. Looking ahead to 2024, market expectations are that inflation will reduce and central banks will start cutting rates.

Geopolitical risk continued to rise in 2023, driven by the continued conflict between Russia and Ukraine, tensions between China and Hong Kong/Taiwan, and relations between the US and China. Additionally, instability in the Middle East, instigated by the conflict between Israel and Hamas, continues to develop and has the potential to broaden in scope.

As a result of these geopolitical risk factors, the Company's business, results of performance, financial position and/or operational model could be adversely affected. The Company continues to actively monitor the recoverability of its financial assets and ensures any loss allowance reflects on a timely basis management's best estimate of potential losses.

LIBOR and Other Benchmark Rates

Immediately after 30 June 2023, the remaining U.S. dollar London Interbank Offered Rate ("LIBOR") settings (i.e., overnight, one-month,three-month,six-month and twelve-month) ceased or became non-representative (LIBOR Cessation), although the Financial Conduct Authority ("FCA") is requiring LIBOR's administrator, ICE Benchmark Administration Limited, to continue publication of the one-month,three-month and six-month USD LIBOR settings on a "synthetic" basis (calculated using the relevant CME Term Secured Overnight Financing Rate ("SOFR") Reference Rate plus the respective International Swaps and Derivatives Association fixed spread adjustment) for use in legacy contracts, which the FCA intends to continue to publish until 30 September 2024. Additionally, certain central counterparties completed processes to convert outstanding USD LIBOR-cleared derivatives to alternative reference rates ("ARR"s).

In connection with LIBOR Cessation, the Company has completed the transition process for all its products and contracts referencing USD LIBOR to ARRs.

For further information on the status of the Company's IBOR transition, see note 24 Interest Rate Benchmark Reform.

Results

The directors are satisfied with the Company's performance for the financial year ended 31 December 2023 and financial position at the end of the year. The profit before tax for the financial year, amounted to $94,503,000 (2022: $63,672,000). This was driven primarily by the interest income on intercompany loans granted to affiliated entities of $542,593,000 (2022: $124,100,000), partially offset by the net loss of $423,084,000 (2022: net loss of $55,430,000) on the fair value of the structured issuances and derivatives used to economically hedge these instruments.

The debit valuation adjustments on the structured issuances resulted in a loss before tax of $148,699,000 (2022: gain of $154,535,000) due to movements in the BAC credit spreads.

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MERRILL LYNCH B.V.

DIRECTORS' REPORT (CONTINUED)

FOR THE YEAR ENDED 31 DECEMBER 2023

Management of climate change risk

BAC's Environmental and Social Risk Policy Framework ("ESRPF") (as adopted by the Company) provides additional clarity and transparency regarding the Company's approach to environmental and social risks, inclusive of climate-related financial risk ("climate risk"). Like all risks, environmental and social risks require coordinated governance, clearly defined roles and responsibilities, and well-developed processes to ensure they are identified, measured, monitored and managed appropriately and in a timely manner. Recognising that certain sectors are more sensitive to these types of risk, the Company evaluates the associated risks as appropriate.

Further information about BAC Group's approach to sustainability matters can be accessed via the ESRPF at www.bankofamerica.com/ESRPF and Bank of America's Task Force on Climate-related Financial Disclosures Report (the "TCFD Report") available at www.bankofamerica.com/TCFD.

Set out below is a summary of the Company's approach to management of climate risk.

Climate risk is the risk that climate change, or actions taken to mitigate climate change, expose the Company to economic, operational or reputational harm. Climate-related risks are divided into two major categories, both of which span across the seven key risk types:

• Physical Risk - Risks related to the physical impacts of climate change, driven by extreme weather events, such as hurricanes and floods, as well as chronic longer-term shifts, such as rising average global temperatures and sea levels, and,
• Transition Risk - Risks related to the transition to a low-carbon economy, which may entail extensive policy, legal, technology and market changes.

Physical risks of climate change, such as more frequent and severe extreme weather events, can increase credit risk by diminishing clients' repayment capacity or collateral values or can increase operational risk by negatively impacting the Company's facilities or vendors.

Transition risks of climate change may amplify credit risks through the financial impacts of changes in policy, technology or the market on the Company or its counterparties. Unanticipated market changes can lead to sudden price adjustments and give rise to heightened market risk. Reputational risk can arise if the Company does not meet its climate-related commitments.

No material climate-related risk variables impacting the financial position of the Company as at 31 December 2023 have been identified.

Global compliance and operational risk

The Company's overall approach to managing risk, including compliance risk, is governed by the BAC Risk Framework. As part of this, the Global Compliance & Operational Risk and the Global Financial Crimes teams work in partnership to offer continuous challenge and oversight in order to minimise the risk of legal or regulatory sanctions, material financial loss or reputational damage, including but not limited to, the risks associated with bribery and corruption, economic sanctions, money laundering, terrorist and criminal financing, and internal and external fraud.

In this respect, BAC has a Code of Conduct in place which provides basic guidelines of business practice, and professional and personal conduct that are expected from employees. Likewise, BAC has whistleblowing arrangements in place which will allow employees to report suspected malpractices such as unethical conduct, violations of law etc. on an anonymous and/or confidential basis In this respect, BAC has a Code of Conduct in place which provides basic guidelines of business practice, and professional and personal conduct that are expected from employees. Likewise BAC has whistleblowing arrangements in place which will allow employees to report suspected malpractices such as unethical conduct, violations of law etc. on an anonymous and/or confidential basis.

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MERRILL LYNCH B.V.

DIRECTORS' REPORT (CONTINUED)

FOR THE YEAR ENDED 31 DECEMBER 2023

Risk management

BAC has established a risk governance framework (the "Risk Framework") which serves as the foundation for consistent and effective management of risks facing BAC and its subsidiaries (including the Company). It provides an understanding of the Company's approach to risk management and each employee's responsibilities for managing risk. All employees must take ownership for managing risk well and are accountable for identifying, escalating and debating risks facing the Company.

The risk management approach has five components:

• Culture of managing risk well;
• Risk appetite;
• Risk management process;
• Risk data management, aggregation and reporting; and
• Risk governance

The seven key types of risk faced by BAC businesses as defined in the Risk Framework are strategic, credit, market, liquidity, operational, compliance and reputational risks.

The Company's approach to each of the risk types are further described in the notes to the financial statements (see note 22).

Disclosure of information to auditors

Each of the persons who are directors at the time when this Directors' report is approved has confirmed that:

• so far as the director is aware, there is no relevant audit information of which the Company's auditors are unaware, and
• the director has taken all the steps that ought to have been taken as a director in order to be aware of any relevant audit information and to establish that the Company's auditors are aware of that information.

Events after the reporting period

The directors are of the opinion that there were no material subsequent events that occurred since the year end that would require disclosure or recognition in the financials statements as of 31 December 2023.

Composition of the board

The size and composition of the Board of Directors and the combined experience reflects the best fit for the profile and strategy of the Company. Currently the Board are all male, however the Company is aware of the gender diversity goals as set out in the Dutch Civil Code and the Company will pay close attention to gender diversity in the process of recruiting and appointing new directors.

The Company did not have any employees in the current or the preceding year. The directors are delegated to the Company and are employed by other group companies.

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MERRILL LYNCH B.V.

DIRECTORS' REPORT (CONTINUED)

FOR THE YEAR ENDED 31 DECEMBER 2023

Board of Directors

The directors of the Company, who were in office during the year and up to the date of approval of this report, except where noted were:

(together authorised to represent the Company)

These financial statements have been approved and authorised for issue by the Board on 25 April 2024. The directors have the power to amend and reissue the financial statements.

A.E. Okobia Director

L.R. Whitley Director

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MERRILL LYNCH B.V.

STATEMENT OF PROFIT OR LOSS AND OTHER COMPREHENSIVE INCOME

FOR THE YEAR ENDED 31 DECEMBER 2023

The notes on pages 12 to 47 form part of these financial statements.

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MERRILL LYNCH B.V.

STATEMENT OF FINANCIAL POSITION

AS AT 31 DECEMBER 2023

(Before appropriation of result)

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