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Pillar 3 Regulatory Capital Disclosure Advanced Approaches Pillar 3 Regulatory Capital Disclosure Advanced Approaches For the quarter ended September 30, 2020 TABLE OF CONTENTS 36TDISCLOSURE MAP36T ................................................................................................................................................... 3 36TSCOPE OF APPLICATION36T .......................................................................................................................................... 4 36TCAPITAL STRUCTURE36T ............................................................................................................................................... 6 36TCAPITAL ADEQUACY36T ................................................................................................................................................. 7 36TRISK MANAGEMENT ORGANIZATIONAL STRUCTURE AND RESPONSIBILITIES36T ................................................. 11 36TCREDIT RISK36T .......................................................................................................................................................... 12 36TRETAIL CREDIT RISK36T ............................................................................................................................................. 14 36TWHOLESALE CREDIT RISK36T .................................................................................................................................... 16 36TCOUNTERPARTY CREDIT RISK36T .............................................................................................................................. 18 36TCREDIT RISK MITIGATION36T ..................................................................................................................................... 20 36TSECURITIZATION36T .................................................................................................................................................... 21 36TMARKET RISK OVERVIEW36T ..................................................................................................................................... 24 36TEQUITY EXPOSURES IN THE BANKING BOOK36T ...................................................................................................... 27 36TOPERATIONAL RISK OVERVIEW36T ............................................................................................................................ 28 36TINTEREST RATE RISK MANAGEMENT FOR THE BANKING BOOK36T ....................................................................... 29 36TSUPPLEMENTARY LEVERAGE RATIO36T .................................................................................................................... 30 36TMODEL RISK MANAGEMENT36T ................................................................................................................................ 31 36TAPPENDIX A: REFERENCES36T ................................................................................................................................... 32 2 DISCLOSURE MAP 3 SCOPE OF APPLICATION Corporate Overview September 30, 2020 Form 10-Q, the Consolidated Financial Statements for Bank Holding Companies – FR Y-9C, the Bank of America Corporation (together, with its consolidated Market Risk Regulatory Report for Institutions Subject to the subsidiaries, Bank of America, we or us) is a Delaware Market Risk Capital Rule – FFIEC 102 and the Regulatory corporation, a bank holding company (BHC) and a financial Capital Reporting for Institutions Subject to the Advanced holding company. When used in this report, “the Corporation” Capital Adequacy Framework ― FFIEC 101 for the period may refer to Bank of America Corporation individually, Bank of ended September 30, 2020. America Corporation and its subsidiaries or certain of Bank of The Corporation’s Pillar 3 disclosures may include some America Corporation’s subsidiaries or affiliates. Bank of financial information that has not been prepared under GAAP. America is one of the world’s largest financial institutions, Certain information contained in the Pillar 3 disclosures is serving individual consumers, small- and middle-market prepared pursuant to instructions in the U.S. Basel 3 Final businesses, institutional investors, large corporations and Rule (Basel 3). governments with a full range of banking, investing, asset U.S. banking regulators permit certain Pillar 3 disclosure management and other financial and risk management requirements to be addressed by their inclusion in the products and services. Our principal executive offices are Consolidated Financial Statements of the Corporation. In such located in the Bank of America Corporate Center, 100 North instances, incorporation into this report is made by reference Tryon Street, Charlotte, North Carolina 28255. to the relevant section(s) of the most recent Forms 10-Q and 10-K filed with the Securities and Exchange Commission (SEC) Principals of Consolidation and Basis of Presentation of the United States. This Pillar 3 report should be read in conjunction with the aforementioned reports as information The Consolidated Financial Statements include the accounts regarding regulatory capital and risk management is largely of the Corporation and its majority-owned subsidiaries and contained in those filings. The table on the previous page those variable interest entities (VIEs) where the Corporation is indicates the location of such disclosures. the primary beneficiary. Intercompany accounts and transactions have been eliminated. Results of operations of Basel 3 Regulatory Capital Standards and Disclosures acquired companies are included from the dates of acquisition and for VIEs, from the dates that the Corporation became the As a financial holding company, the Corporation is subject to primary beneficiary. Assets held in an agency or fiduciary regulatory capital rules, including Basel 3, issued by the U.S. capacity are not included in the Consolidated Financial banking regulators. Basel 3 is a regulatory capital framework Statements. The Corporation accounts for investments in composed of three parts, or pillars. Pillar 1 addresses capital companies for which it owns a voting interest and for which it adequacy and provides minimum capital requirements. Pillar has the ability to exercise significant influence over operating 2 requires supervisory review of capital adequacy and financing decisions using the equity method of assessments and strategies. Pillar 3 promotes market accounting. These investments are included in other assets. discipline through prescribed regulatory public disclosures on Equity method investments are subject to impairment testing, capital structure, capital adequacy and RWA. and the Corporation’s proportionate share of income or loss is The Corporation and its primary banking subsidiaries, included in other income. Bank of America, National Association (BANA) and Bank of The preparation of the Consolidated Financial Statements America California, National Association (BACANA), are in conformity with accounting principles generally accepted in Advanced approaches institutions under Basel 3. Basel 3 the United States of America (GAAP) requires management to requires the Corporation and its banking subsidiaries to meet make estimates and assumptions that affect reported minimum regulatory capital ratios and buffers in order to avoid amounts and disclosures. Actual results could materially differ certain restrictions, including restrictions on capital from those estimates and assumptions. For additional distributions. The Corporation is subject to a capital information, refer to Note 1 – Summary of Significant conservation buffer, a countercyclical capital buffer (if any) Accounting Principles in the September 30, 2020 Form 10-Q and a global systemically important bank (G-SIB) surcharge. In and December 31, 2019 Form 10-K. addition, banking entities are required to meet adequately These disclosures are required by regulatory capital rules capitalized requirements under the Prompt Corrective Action set out by the Office of the Comptroller of the Currency, the (PCA) framework. The PCA framework establishes categories Board of Governors of the Federal Reserve System (Federal of capitalization including well capitalized, based on the Basel Reserve) and the Federal Deposit Insurance Corporation 3 regulatory capital ratio requirements. U.S. banking (FDIC) (collectively, U.S. banking regulators) in alignment with regulators are required to take certain mandatory actions the Basel 3 regulatory capital framework. These disclosures depending on the category of capitalization, with no mandatory provide qualitative and quantitative information about actions required for well capitalized banking organizations. regulatory capital and risk-weighted assets (RWA) for the Basel 3 provides two methods of calculating RWA, the Advanced approaches, and should be read in conjunction with Standardized approach and the Advanced approaches. As an our Form 10-K for the year ended December 31, 2019 and the Advanced approaches institution, the Corporation is required 4 to report regulatory risk-based capital ratios and RWA under existing rates that do not exceed the average of the last four both the Standardized and Advanced approaches. The quarters’ net income. In September 2020, the Federal approach that yields the lower ratio is used to assess capital Reserve announced that these measures would remain in adequacy including under the PCA framework. As of place for the fourth quarter 2020. Large banks will also be September 30,
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