Bank of America Corporatio : Bank of America Corporation

Pillar 3 U.S. Liquidity Coverage Ratio (LCR) Disclosures

For the quarter ended June 30, 2020

Bank of America - Pillar 3 U.S. Liquidity Coverage Ratio Disclosures

TABLE OF CONTENTS
DISCLOSURE MAP ........................................................................................................................................................................	3
EXECUTIVE SUMMARY .................................................................................................................................................................	3
LCR REQUIREMENTS AND DISCLOSURES .....................................................................................................................................	3
THE MAIN DRIVERS OF THE LCR...................................................................................................................................................	4
THE COMPOSITION OF ELIGIBLE HQLA ........................................................................................................................................	5
CONCENTRATION OF FUNDING SOURCES ...................................................................................................................................	5
DERIVATIVE EXPOSURES AND POTENTIAL COLLATERAL CALLS ...................................................................................................	5
CURRENCY MISMATCH IN THE LCR..............................................................................................................................................	5
CENTRALIZED LIQUIDITY MANAGEMENT FUNCTION ..................................................................................................................	5

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Bank of America - Pillar 3 U.S. Liquidity Coverage Ratio Disclosures

Important Presentation Information

These disclosures are required by the Liquidity Coverage Ratio: Public Disclosure Requirements Final Rule published by the Board of Governors of the Federal Reserve System in alignment with the Basel 3 liquidity framework and U.S. Liquidity Coverage Ratio (LCR) Final Rule (LCR Rule). Information contained in this report is presented in accordance with the LCR Rule, and follows the Liquidity Coverage Ratio: Public Disclosure Requirements Final Rule for the quantitative and qualitative presentation of data. Information presented herein may differ from similar information presented in the Consolidated Financial Statements and other publicly available disclosures. Unless specified otherwise, all amounts and information are presented in conformity with the definitions, rules and requirements of the LCR Rule.

U.S. banking regulators permit certain Pillar 3 disclosure requirements to be addressed by their inclusion in the Consolidated Financial Statements of the Corporation. In such instances, incorporation into this report is made by reference to the relevant section(s) of the most recent Form 10-Q filed with the Securities and Exchange Commission of the United States. This Pillar 3 report should be read in conjunction with the aforementioned report as information regarding liquidity and risk management is largely contained in this filing. The table below indicates the location of such disclosure.

DISCLOSURE MAP

	Pillar 3 Report	2019 Form	2Q20 Form
Description	page	10-K page	10-Q page
	reference	reference	reference
Executive Summary	3	21-22	3-4
LCR Requirements and Disclosures	3	49-53	28-30
Main Drivers of the LCR	4	49-53	28-30
Composition of Eligible HQLA	5	49-53	28-30
Concentration of Funding Sources	5	49-53	28-30
Derivative Exposures and Potential Collateral Calls	5
Currency Mismatch in the LCR	5
Centralized Liquidity Management Function	5	49-53	28-30

EXECUTIVE SUMMARY

Bank of America Corporation (together, with its consolidated subsidiaries, Bank of America, "we" or "us") is a Delaware corporation, a bank holding company and a financial holding company. When used in this report, "the Corporation" may refer to Bank of America Corporation individually, Bank of America Corporation and its subsidiaries or certain of Bank of America Corporation's subsidiaries or affiliates. Bank of America is one of the world's largest financial institutions, serving individual consumers, small- and middle-market businesses, institutional investors, large corporations and governments with a full range of banking, investing, asset management and other financial and risk management products and services. Our principal executive offices are located in the Bank of America Corporate Center, 100 North Tryon Street, Charlotte, North Carolina 28255.

LCR REQUIREMENTS AND DISCLOSURES

The objective of the LCR is to promote the short-term resilience of the liquidity risk profile of financial institutions by requiring banks to hold high-quality liquid assets (HQLA) that can be easily monetized to meet their liquidity needs for a 30 calendar-day liquidity stress scenario. The LCR is intended to improve the banking sector's ability to absorb shocks arising from financial and economic stress. The LCR is calculated as the amount of a financial institution's HQLA relative to the prescribed net cash outflows the institution could encounter over a 30 calendar-day period of significant liquidity stress, expressed as a percentage.

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Bank of America - Pillar 3 U.S. Liquidity Coverage Ratio Disclosures

THE MAIN DRIVERS OF THE LCR

The main drivers of the Corporation's U.S. LCR include changes in total HQLA and composition of Level 1 and Level 2 assets, as well as changes in net cash outflows related to, but not limited to, deposits, commitment facilities, securities financing and client brokerage and collateralized derivatives.

For the quarterly period ended June 30, 2020, the Corporation's average daily U.S. LCR was 120.9 percent. This ratio is the result of average weighted HQLA of $549 billion divided by average potential net cash outflows over a 30 calendar-day period of $454 billion. The Corporation's average daily LCR increased approximately 6 percent compared to the prior quarter, primarily due to an increase in HQLA.

4/01/2020 to 6/30/2020	Average	Average
In millions of U.S. Dollars	Unweighted	Weighted
		Amount	Amount
		2Q20	2Q20
HIGH-QUALITY LIQUID ASSETS
1	Total eligible high-quality liquid assets (HQLA), of which:	550,595	549,220
2	Eligible level 1 liquid assets	541,425	541,425
3	Eligible level 2A liquid assets	9,170	7,794
4	Eligible level 2B liquid assets	-	-
CASH OUTFLOW AMOUNTS
5	Deposit outflow from retail customers and counterparties, of which:	1,038,962	99,335
6	Stable retail deposit outflow	600,530	18,016
7	Other retail funding outflow	199,543	21,087
8	Brokered deposit outflow	238,889	60,233
9	Unsecured wholesale funding outflow, of which:	603,591	220,327
10	Operational deposit outflow	326,236	80,837
11	Non-operational funding outflow	272,545	134,680
12	Unsecured debt outflow	4,810	4,810
13	Secured wholesale funding and asset exchange outflow	470,919	122,292
14	Additional outflow requirements, of which:	463,282	129,065
15	Outflow related to derivative exposures and other collateral requirements	45,912	41,572
16	Outflow related to credit and liquidity facilities including unconsolidated	417,371	87,494
	structured transactions and mortgage commitments
17	Other contractual funding obligation outflow	1,635	1,635
18	Other contingent funding obligations outflow	234,583	7,730
19	TOTAL CASH OUTFLOW	2,812,972	580,385
CASH INFLOW AMOUNTS
20	Secured lending and asset exchange cash inflow	481,485	88,796
21	Retail cash inflow	5,527	2,764
22	Unsecured wholesale cash inflow	8,458	5,583
23	Other cash inflows, of which:	37,142	37,142
24	Net derivative cash inflow	9,496	9,496
25	Securities cash inflow	3,736	3,736
26	Broker-dealer segregated account inflow	23,910	23,910
27	Other cash inflow	-	-
28	TOTAL CASH INFLOW	532,612	134,284
			Average
			Amount1
29	HQLA AMOUNT		549,220
30	TOTAL NET CASH OUTFLOW AMOUNT EXCLUDING THE MATURITY MISMATCH		446,204
	ADD-ON
31	MATURITY MISMATCH ADD-ON		8,101
32	TOTAL UNADJUSTED NET CASH OUTFLOW AMOUNT		454,305
33	OUTFLOW ADJUSTMENT PERCENTAGE		100%
34	TOTAL ADJUSTED NET CASH OUTFLOW AMOUNT		454,305
35	LIQUIDITY COVERAGE RATIO (%)		120.9%

1 The amounts reported in this column may not equal the calculation of those amounts using component amounts reported in rows 1-28 due to technical factors such as the application of the level 2 liquid asset caps, the total inflow cap, and for depository institution holding companies subject to subpart G, the application of the modification to total net cash outflows .

Note: Eligible HQLA reported in rows 1-4 in the table above exclude excess liquidity held at certain subsidiaries.

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Bank of America - Pillar 3 U.S. Liquidity Coverage Ratio Disclosures

THE COMPOSITION OF ELIGIBLE HQLA

Under U.S. LCR rules, HQLA is classified into three categories: Level 1, Level 2A and Level 2B. Level 1 assets include central bank reserves (less reserve requirements) and certain marketable securities backed by sovereigns and central banks. Level 2A assets, subject to a 15 percent haircut, include certain U.S. government-sponsored enterprise securities and government or central bank securities not eligible for Level 1. Level 2B assets, subject to a 50 percent haircut, include certain corporate debt securities (including commercial paper), municipal bonds and publicly traded common equities. Level 2 assets (both Level 2A and Level 2B combined) are limited to 40 percent of total HQLA and Level 2B assets are limited to 15 percent of total HQLA. For additional information, refer to Liquidity Risk - Global Liquidity Sources and Other Unencumbered Assets within the MD&A section in the June 30, 2020 Form 10-Q.

CONCENTRATION OF FUNDING SOURCES

We fund our assets primarily with a mix of deposits and secured and unsecured liabilities through a centralized, globally coordinated funding approach diversified across products, programs, markets, currencies and investor groups. We consider a substantial portion of our deposits to be a stable, low-cost and consistent source of funding. Our long-term unsecured debt is primarily issued in a variety of maturities and currencies to achieve cost-efficient funding, to maintain an appropriate maturity profile and to ensure that we maintain global capital market access. Our trading activities in our broker-dealer entities are primarily funded on a secured basis through securities lending and repurchase agreements and these amounts will vary based on customer activity and market conditions. We believe funding these activities in the secured financing markets is less sensitive to changes in our credit ratings than unsecured financing, and more cost-efficient. For additional information on funding sources refer to Liquidity Risk - Diversified Funding Sources within the MD&A section in the June 30, 2020 Form 10-Q.

DERIVATIVE EXPOSURES AND POTENTIAL COLLATERAL CALLS

We enter into derivative transactions with customers to help them manage different types of risk, including risks that they may face given changes in interest rates, currency relationships, securities prices or commodities prices. In addition, we enter into derivative transactions with third parties and between affiliate legal entities to enable management of risk across the enterprise. Risk factors in derivatives activities impacting liquidity include: contractual margin asymmetries, cash and collateral outflows related to changes in the financial condition of the Corporation, counterparty behavior and valuation changes.

CURRENCY MISMATCH IN THE LCR

Given the nature of our business, our HQLA and net cash outflows are primarily in U.S. dollars. Additional amounts are primarily held in G7 currencies. We maintain and monitor concentrations within our funding profile, such as maturities, currencies and counterparties, and access foreign exchange markets to supplement local currency holdings to meet outflows.

CENTRALIZED LIQUIDITY MANAGEMENT FUNCTION

We manage our liquidity position through line of business and asset-liability management activities, as well as through our legal entity funding strategy, on both a forward and current (including intraday) basis under both expected and stressed conditions. We believe that a centralized approach to funding and liquidity management enhances our ability to monitor liquidity requirements, maximizes access to funding sources, minimizes borrowing costs and facilitates timely responses to liquidity events. For additional information on funding sources refer to Liquidity Risk - Funding and Liquidity Risk Management within the MD&A section in the June 30, 2020 Form 10-Q.

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