On June 23, 2016, the SEC announced that "Merrill Lynch has agreed to pay a $10 million penalty to settle charges that it was responsible for misleading statements in offering materials provided to retail investors for structured notes linked to a proprietary volatility index."

On June 23, 2016, the SEC instituted settled cease-and-desist proceedings against Merrill Lynch, Pierce, Fenner & Smith Incorporated ('Merrill Lynch'). According to the SEC: "These proceedings involve Merrill Lynch's failure to adequately disclose certain fixed costs in a proprietary volatility index linked to structured notes known as Strategic Return Notes ('SRNs') of Bank of America Corporation ('BAC'). Merrill Lynch offered and sold approximately $150 million of these volatility notes to approximately 4,000 retail investor accounts in 2010 and 2011. The disclosures made it appear as if the volatility product had relatively low fixed costs. The offering materials emphasized that investors would be subject to a 2% sales commission and a 0.75% annual fee. The offering materials failed to adequately disclose a third fixed, regularly occurring cost included in its proprietary volatility index known as the 'Execution Factor' (distinct from 'holding' or 'decay' costs associated with daily calculation of the underlying index which are variable and depend upon market conditions). As a result, the disclosures in the offering materials of the fixed costs associated with the SRNs were materially misleading."