Bank of America : 1 report for June 30, 2021

Pillar 3 Regulatory Capital Disclosure

Advanced Approaches

For the quarter ended June 30, 2021

TABLE OF CONTENTS
DISCLOSURE MAP ....................................................................................................................................................	3
SCOPE OF APPLICATION...........................................................................................................................................	4
CAPITAL STRUCTURE ................................................................................................................................................	6
CAPITAL ADEQUACY ..................................................................................................................................................	7
RISK MANAGEMENT ORGANIZATIONAL STRUCTURE AND RESPONSIBILITIES ..................................................	11
CREDIT RISK ...........................................................................................................................................................	12
RETAIL CREDIT RISK...............................................................................................................................................	14
WHOLESALE CREDIT RISK .....................................................................................................................................	16
COUNTERPARTY CREDIT RISK ...............................................................................................................................	18
CREDIT RISK MITIGATION ......................................................................................................................................	20
SECURITIZATION .....................................................................................................................................................	21
MARKET RISK OVERVIEW ......................................................................................................................................	24
EQUITY EXPOSURES IN THE BANKING BOOK .......................................................................................................	27
OPERATIONAL RISK OVERVIEW .............................................................................................................................	28
INTEREST RATE RISK MANAGEMENT FOR THE BANKING BOOK ........................................................................	29
SUPPLEMENTARY LEVERAGE RATIO .....................................................................................................................	30
MODEL RISK MANAGEMENT .................................................................................................................................	31
APPENDIX: REFERENCES .......................................................................................................................................	32

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DISCLOSURE MAP

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SCOPE OF APPLICATION

Corporate Overview

Bank of America Corporation (together, with its consolidated subsidiaries, Bank of America, we or us) is a Delaware corporation, a bank holding company (BHC) 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.

Principals of Consolidation and Basis of Presentation

The Consolidated Financial Statements include the accounts of the Corporation and its majority-owned subsidiaries and those variable interest entities (VIEs) where the Corporation is the primary beneficiary. Intercompany accounts and transactions have been eliminated. Results of operations of acquired companies are included from the dates of acquisition and for VIEs, from the dates that the Corporation became the primary beneficiary. Assets held in an agency or fiduciary capacity are not included in the Consolidated Financial Statements. The Corporation accounts for investments in companies for which it owns a voting interest and for which it has the ability to exercise significant influence over operating and financing decisions using the equity method of accounting. These investments are included in other assets. Equity method investments are subject to impairment testing, and the Corporation's proportionate share of income or loss is included in other income.

The preparation of the Consolidated Financial Statements in conformity with accounting principles generally accepted in the United States of America (GAAP) requires management to make estimates and assumptions that affect reported amounts and disclosures. Actual results could materially differ from those estimates and assumptions. For additional information, refer to Note 1 - Summary of Significant Accounting Principles in the June 30, 2021 Form 10-Q and December 31, 2020 Form 10-K.

These disclosures are required by regulatory capital rules set out by the Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System (Federal Reserve) and the Federal Deposit Insurance Corporation (FDIC) (collectively, U.S. banking regulators) in alignment with the Basel 3 regulatory capital framework. These disclosures provide qualitative and quantitative information about regulatory capital and risk-weighted assets (RWA) for the Advanced approaches, and should be read in conjunction with our Form 10-K for the year ended December 31, 2020 and the June 30, 2021 Form 10-Q, and the

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Consolidated Financial Statements for Bank Holding Companies - FR Y-9C, the Market Risk Regulatory Report for Institutions Subject to the Market Risk Capital Rule - FFIEC 102 and the Regulatory Capital Reporting for Institutions Subject to the Advanced Capital Adequacy Framework ― FFIEC 101 for the period ended June 30, 2021.

The Corporation's Pillar 3 disclosures may include some financial information that has not been prepared under GAAP. Certain information contained in the Pillar 3 disclosures is prepared pursuant to instructions in the U.S. Basel 3 Final Rule (Basel 3).

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-K filed with the Securities and Exchange Commission (SEC) of the United States. This Pillar 3 report should be read in conjunction with the aforementioned reports as information regarding regulatory capital and risk management is largely contained in those filings. The table on the previous page indicates the location of such disclosures.

Basel 3 Regulatory Capital Standards and Disclosures

As a financial holding company, the Corporation is subject to regulatory capital rules, including Basel 3, issued by the U.S. banking regulators. Basel 3 is a regulatory capital framework composed of three parts, or pillars. Pillar 1 addresses capital adequacy and provides minimum capital requirements. Pillar 2 requires supervisory review of capital adequacy assessments and strategies. Pillar 3 promotes market discipline through prescribed regulatory public disclosures on capital structure, capital adequacy and RWA.

The Corporation and its primary banking subsidiaries, Bank of America, National Association (BANA) and Bank of America California, National Association (BACANA), are Advanced approaches institutions under Basel 3. Basel 3 requires the Corporation and its banking subsidiaries to meet minimum regulatory capital ratios and buffers in order to avoid certain restrictions, including restrictions on capital distributions. The Corporation is subject to a capital conservation buffer, a countercyclical capital buffer (if any) and a global systemically important bank (G-SIB) surcharge. The stress capital buffer (SCB) replaces the capital conservation buffer for the Corporation's Standardized approach ratio requirements. The buffers and surcharge must be comprised solely of Common equity tier 1 (CET1) capital. In addition, banking entities are required to meet adequately capitalized requirements under the Prompt Corrective Action (PCA) framework. The PCA framework establishes categories of capitalization including well capitalized, based on the Basel 3 regulatory capital ratio requirements. U.S. banking regulators are required to take certain mandatory actions depending on the category of capitalization, with no mandatory actions required for well capitalized banking organizations.

Basel 3 provides two methods of calculating RWA, the Standardized approach and the Advanced approaches. As an Advanced approaches institution, the Corporation is required to report regulatory risk-based capital ratios and RWA under both the Standardized and Advanced approaches. The approach that yields the lower ratio is used to assess capital adequacy including under the PCA framework. As of June 30, 2021, the Common equity tier 1, Tier 1 capital and Total Capital ratios for the Corporation were lower under the Standardized approach. The Corporation's CET1 capital ratio must be a minimum of 9.5 percent under both Standardized and Advanced Approaches.

The Corporation is also required to maintain a minimum supplementary leverage ratio (SLR) of 3.0 percent plus a leverage buffer of 2.0 percent in order to avoid certain restrictions, including restrictions on capital distributions. The Corporation's insured depository institution subsidiaries are required to maintain a minimum 6.0 percent SLR to be considered well capitalized under the PCA framework.

The Corporation is subject to the Federal Reserve's final rule requiring G-SIBs to maintain minimum levels of total loss- absorbing capacity (TLAC) and long-term debt. TLAC consists of the Corporation's Tier 1 capital and eligible long-term debt issued directly by the Corporation. Eligible long-term debt for TLAC ratios is comprised of unsecured debt that has a remaining maturity of at least one year and satisfies additional requirements as prescribed in the TLAC final rule. As with the risk-based capital ratios and SLR, the Corporation is required to maintain TLAC ratios in excess of minimum requirements plus applicable buffers in order to avoid certain restrictions, including restrictions on capital distributions.

On October 20, 2020, the Federal Reserve, FDIC and the OCC (U.S. Agencies) finalized a rule requiring Advanced approaches institutions to deduct from regulatory capital certain investments in TLAC-eligiblelong-term debt and other pari passu or subordinated debt instruments issued by GSIBs above a specified threshold. The final rule is intended to limit the interconnectedness between G-SIBs and is complementary to existing regulatory capital requirements that generally require banks to deduct investments in the regulatory capital of financial institutions. The final rule was effective April 1, 2021 and did not have a significant impact on the Corporation.

For additional information on Basel 3 and management of the Corporation's regulatory capital and pending or proposed capital changes, refer to Capital Management within the Management's Discussion and Analysis of Financial Condition and Results of Operations (MD&A) section in the June 30, 2021 Form 10-Q and in the December 31, 2020 Form 10-K and Note 16 - Regulatory Requirements and Restrictions in the December 31, 2020 Form 10-K.

Information contained in this report is presented in accordance with the Basel 3 rules for RWA and capital measurement under the Advanced approaches, and follows the Pillar 3 disclosure requirements 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 Basel 3.

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